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SECURITIES AND EXCHANGE COMMISSION
INVESTMENT COMPANIES
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 8.06 | % | ||
Series II Shares | 7.77 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
Custom Basic Balanced Index§ (Style-Specific Index) | 12.39 | |||
Lipper VUF Mixed-Asset Target Allocation Moderate Funds Index▼ (Peer Group Index) | 11.58 | |||
▼Lipper Inc.; ■Invesco, Lipper Inc. |
Common Stocks & Other Equity Interests | 69.6 | % | ||
Bonds & Notes | 10.9 | |||
U.S. Treasury Securities | 8.1 | |||
U.S. Government Sponsored | ||||
Mortgage-Backed Securities | 2.5 | |||
U.S. Government Sponsored | ||||
Agency Securities | 0.4 | |||
Asset-Backed Securities | 0.2 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | 8.3 |
1. | JPMorgan Chase & Co. | 3.3 | % | |||||
2. | General Electric Co. | 2.7 | ||||||
3. | Marsh & McLennan Cos., Inc. | 2.4 | ||||||
4. | Viacom Inc.-Class B | 2.0 | ||||||
5. | Occidental Petroleum Corp. | 1.8 | ||||||
6. | Anadarko Petroleum Corp. | 1.6 | ||||||
7. | eBay Inc. | 1.6 | ||||||
8. | American Electric Power Co., Inc. | 1.4 | ||||||
9. | Tyco International Ltd. | 1.4 | ||||||
10. | Royal Dutch Shell PLC-ADR | 1.4 |
Total Net Assets | $31.3 million | |
Total Number of Holdings* | 192 |
Series I Shares | ||||
Inception (5/1/98) | 1.84 | % | ||
10 Years | -0.25 | |||
5 Years | 0.16 | |||
1 Year | 8.06 | |||
Series II Shares | ||||
10 Years | -0.50 | % | ||
5 Years | -0.09 | |||
1 Year | 7.77 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least April 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–69.61% | ||||||||
Air Freight & Logistics–0.37% | ||||||||
FedEx Corp. | 1,249 | $ | 116,169 | |||||
Asset Management & Custody Banks–0.77% | ||||||||
State Street Corp. | 5,182 | 240,134 | ||||||
Automobile Manufacturers–1.16% | ||||||||
Ford Motor Co.(b) | 11,776 | 197,719 | ||||||
General Motors Co.(b) | 4,514 | 166,386 | ||||||
364,105 | ||||||||
Cable & Satellite–2.24% | ||||||||
Comcast Corp.,–Class A | 18,096 | 397,569 | ||||||
Time Warner Cable Inc. | 4,563 | 301,295 | ||||||
698,864 | ||||||||
Communications Equipment–0.73% | ||||||||
Cisco Systems, Inc.(b) | 11,294 | 228,478 | ||||||
Computer Hardware–1.94% | ||||||||
Dell Inc.(b) | 19,922 | 269,943 | ||||||
Hewlett-Packard Co. | 8,029 | 338,021 | ||||||
607,964 | ||||||||
Consumer Electronics–0.82% | ||||||||
Sony Corp.–ADR (Japan) | 7,206 | 257,326 | ||||||
Data Processing & Outsourced Services–0.77% | ||||||||
Western Union Co. (The) | 12,905 | 239,646 | ||||||
Diversified Banks–1.16% | ||||||||
US Bancorp | 5,416 | 146,070 | ||||||
Wells Fargo & Co. | 6,999 | 216,899 | ||||||
362,969 | ||||||||
Diversified Chemicals–1.34% | ||||||||
Dow Chemical Co. (The) | 6,035 | 206,035 | ||||||
PPG Industries, Inc. | 2,540 | 213,538 | ||||||
419,573 | ||||||||
Diversified Support Services–0.39% | ||||||||
Cintas Corp. | 4,313 | 120,591 | ||||||
Drug Retail–1.05% | ||||||||
Walgreen Co. | 8,400 | 327,264 | ||||||
Electric Utilities–2.82% | ||||||||
American Electric Power Co., Inc. | 12,527 | 450,722 | ||||||
Edison International | 3,628 | 140,041 | ||||||
Entergy Corp. | 1,916 | 135,710 | ||||||
FirstEnergy Corp. | 4,218 | 156,150 | ||||||
882,623 | ||||||||
Food Distributors–0.65% | ||||||||
Sysco Corp. | 6,927 | 203,654 | ||||||
Health Care Distributors–0.48% | ||||||||
Cardinal Health, Inc. | 3,921 | 150,213 | ||||||
Health Care Equipment–0.89% | ||||||||
Covidien PLC (Ireland) | 6,082 | 277,704 | ||||||
Home Improvement Retail–1.00% | ||||||||
Home Depot, Inc. (The) | 8,930 | 313,086 | ||||||
Household Products–1.32% | ||||||||
Procter & Gamble Co. (The) | 6,431 | 413,706 | ||||||
Human Resource & Employment Services–0.86% | ||||||||
Manpower Inc. | 2,424 | 152,130 | ||||||
Robert Half International, Inc. | 3,807 | 116,494 | ||||||
268,624 | ||||||||
Hypermarkets & Super Centers–0.69% | ||||||||
Wal-Mart Stores, Inc. | 4,025 | 217,068 | ||||||
Industrial Conglomerates–4.14% | ||||||||
General Electric Co. | 46,241 | 845,748 | ||||||
Tyco International Ltd. | 10,835 | 449,002 | ||||||
1,294,750 | ||||||||
Industrial Machinery–1.19% | ||||||||
Dover Corp. | 1,995 | 116,608 | ||||||
Ingersoll-Rand PLC (Ireland) | 5,391 | 253,862 | ||||||
370,470 | ||||||||
Insurance Brokers–2.36% | ||||||||
Marsh & McLennan Cos., Inc. | 27,018 | 738,672 | ||||||
Integrated Oil & Gas–5.80% | ||||||||
ConocoPhillips | 2,559 | 174,268 | ||||||
Exxon Mobil Corp. | 3,241 | 236,982 | ||||||
Hess Corp. | 4,965 | 380,021 | ||||||
Occidental Petroleum Corp. | 5,874 | 576,239 | ||||||
Royal Dutch Shell PLC–ADR (United Kingdom) | 6,692 | 446,892 | ||||||
1,814,402 | ||||||||
Integrated Telecommunication Services–0.79% | ||||||||
Verizon Communications Inc. | 6,928 | 247,884 | ||||||
Shares | Value | |||||||
Internet Software & Services–2.42% | ||||||||
eBay Inc.(b) | 18,038 | $ | 501,997 | |||||
Yahoo! Inc.(b) | 15,238 | 253,408 | ||||||
755,405 | ||||||||
Investment Banking & Brokerage–2.06% | ||||||||
Charles Schwab Corp. (The) | 18,896 | 323,311 | ||||||
LPL Investment Holdings, Inc.(b) | 671 | 24,404 | ||||||
Morgan Stanley | 10,931 | 297,432 | ||||||
645,147 | ||||||||
IT Consulting & Other Services–0.63% | ||||||||
Amdocs Ltd.(b) | 7,220 | 198,333 | ||||||
Life & Health Insurance–0.62% | ||||||||
Principal Financial Group, Inc. | 5,917 | 192,658 | ||||||
Managed Health Care–1.29% | ||||||||
UnitedHealth Group Inc. | 11,162 | 403,060 | ||||||
Movies & Entertainment–3.30% | ||||||||
Time Warner Inc. | 12,286 | 395,241 | ||||||
Viacom Inc.–Class B | 16,076 | 636,770 | ||||||
1,032,011 | ||||||||
Office Services & Supplies–0.47% | ||||||||
Avery Dennison Corp. | 3,463 | 146,623 | ||||||
Oil & Gas Equipment & Services–1.46% | ||||||||
Cameron International Corp.(b) | 1,766 | 89,589 | ||||||
Schlumberger Ltd. | 4,398 | 367,233 | ||||||
456,822 | ||||||||
Oil & Gas Exploration & Production–2.77% | ||||||||
Anadarko Petroleum Corp. | 6,690 | 509,511 | ||||||
Devon Energy Corp. | 3,032 | 238,042 | ||||||
Noble Energy, Inc. | 1,389 | 119,565 | ||||||
867,118 | ||||||||
Oil & Gas Storage & Transportation–0.22% | ||||||||
Williams Cos., Inc. (The) | 2,805 | 69,340 | ||||||
Other Diversified Financial Services–5.65% | ||||||||
Bank of America Corp. | 31,974 | 426,533 | ||||||
Citigroup Inc.(b) | 63,922 | 302,351 | ||||||
JPMorgan Chase & Co. | 24,470 | 1,038,018 | ||||||
1,766,902 | ||||||||
Packaged Foods & Meats–1.90% | ||||||||
Kraft Foods Inc.–Class A | 9,903 | 312,044 | ||||||
Unilever N.V. New York Shares (Netherlands) | 8,948 | 280,967 | ||||||
593,011 | ||||||||
Personal Products–1.10% | ||||||||
Avon Products, Inc. | 11,827 | 343,693 | ||||||
Pharmaceuticals–4.14% | ||||||||
Abbott Laboratories | 3,085 | 147,802 | ||||||
Bristol-Myers Squibb Co. | 13,104 | 346,994 | ||||||
Merck & Co., Inc. | 5,443 | 196,166 | ||||||
Pfizer Inc. | 22,468 | 393,415 | ||||||
Roche Holdings AG–ADR (Switzerland) | 5,716 | 210,034 | ||||||
1,294,411 | ||||||||
Property & Casualty Insurance–0.53% | ||||||||
Chubb Corp. | 2,780 | 165,799 | ||||||
Regional Banks–2.11% | ||||||||
BB&T Corp. | 4,824 | 126,823 | ||||||
Fifth Third Bancorp | 8,652 | 127,011 | ||||||
PNC Financial Services Group, Inc. | 6,698 | 406,703 | ||||||
660,537 | ||||||||
Semiconductors–0.67% | ||||||||
Intel Corp. | 10,028 | 210,889 | ||||||
Soft Drinks–0.89% | ||||||||
Coca-Cola Co. (The) | 2,562 | 168,503 | ||||||
Coca-Cola Enterprises, Inc. | 4,326 | 108,280 | ||||||
276,783 | ||||||||
Specialty Chemicals–0.29% | ||||||||
LyondellBasell Industries N.V.–Class A (Netherlands)(b) | 2,624 | 90,266 | ||||||
Systems Software–0.18% | ||||||||
Microsoft Corp. | 2,003 | 55,924 | ||||||
Wireless Telecommunication Services–1.18% | ||||||||
Vodafone Group PLC–ADR (United Kingdom) | 14,010 | 370,284 | ||||||
Total Common Stocks & Other Equity Interests (Cost $18,237,670) | 21,770,955 | |||||||
Principal | ||||||||
Amount | ||||||||
Bonds & Notes–10.86% | ||||||||
Aerospace & Defense–0.03% | ||||||||
Raytheon Co., Sr. Unsec. Notes, 1.63%, 10/15/15 | $ | 10,000 | 9,610 | |||||
Agricultural Products–0.05% | ||||||||
Corn Products International Inc., Sr. Unsec. Notes, 6.63%, 04/15/37 | 15,000 | 15,689 | ||||||
Airlines–0.40% | ||||||||
Continental Airlines Inc., Series 2010-1, Class A, Sec. Pass Through Ctfs., 4.75%, 01/12/21 | 20,000 | 20,037 | ||||||
Delta Air Lines, Inc., Series 2001-1, Class A-2, Sr. Sec. Pass Through Ctfs., 7.11%, 09/18/11 | 100,000 | 103,875 | ||||||
123,912 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Automotive Retail–0.24% | ||||||||
Advance Auto Parts Inc., Sr. Unsec. Gtd. Notes, 5.75%, 05/01/20 | $ | 10,000 | $ | 10,388 | ||||
AutoZone Inc., Sr. Unsec. Notes, 5.88%, 10/15/12 | 60,000 | 64,469 | ||||||
74,857 | ||||||||
Brewers–0.27% | ||||||||
Anheuser-Busch InBev Worldwide Inc., Sr. Unsec. Gtd. Global Notes, | ||||||||
2.50%, 03/26/13 | 10,000 | 10,219 | ||||||
3.63%, 04/15/15 | 20,000 | 20,706 | ||||||
5.38%, 01/15/20 | 50,000 | 54,536 | ||||||
85,461 | ||||||||
Broadcasting–0.36% | ||||||||
CBS Corp., Sr. Unsec. Gtd. Global Notes, 5.75%, 04/15/20 | 50,000 | 53,218 | ||||||
COX Communications Inc., Sr. Unsec. Bonds, 8.38%, 03/01/39(c) | 30,000 | 38,768 | ||||||
Sr. Unsec. Global Notes, 5.45%, 12/15/14 | 20,000 | 22,004 | ||||||
113,990 | ||||||||
Cable & Satellite–0.17% | ||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co. Inc., Sr. Unsec. Gtd. Global Notes, 7.63%, 05/15/16 | 25,000 | 27,813 | ||||||
Time Warner Cable Inc., Sr. Unsec. Gtd. Notes, 5.88%, 11/15/40 | 25,000 | 24,851 | ||||||
52,664 | ||||||||
Department Stores–0.22% | ||||||||
Macy’s Retail Holdings Inc., Sr. Unsec. Gtd. Notes, 5.35%, 03/15/12 | 65,000 | 67,437 | ||||||
Diversified Banks–0.79% | ||||||||
Barclays Bank PLC (United Kingdom), Sr. Unsec. Global Notes, 5.13%, 01/08/20 | 60,000 | 61,827 | ||||||
Royal Bank of Scotland PLC (The) (United Kingdom), Sr. Unsec. Gtd. Global Notes, 4.88%, 03/16/15 | 25,000 | 25,468 | ||||||
Standard Chartered PLC (United Kingdom), Sr. Unsec. Notes, 5.50%, 11/18/14(c) | 100,000 | 107,890 | ||||||
Wells Fargo & Co., Sr. Unsec. Global Notes, 3.63%, 04/15/15 | 50,000 | 52,011 | ||||||
247,196 | ||||||||
Diversified Metals & Mining–0.05% | ||||||||
Freeport-McMoRan Copper & Gold Inc., Sr. Unsec. Notes, 8.38%, 04/01/17 | 15,000 | 16,570 | ||||||
Electric Utilities–0.66% | ||||||||
Carolina Power & Light Co., Sec. First Mortgage Bonds, 5.30%, 01/15/19 | 15,000 | 16,693 | ||||||
Ohio Power Co., Series M, Sr. Unsec. Notes, 5.38%, 10/01/21 | 50,000 | 53,364 | ||||||
PPL Electric Utilities Corp., Sec. First Mortgage Bonds, 6.25%, 05/15/39 | 50,000 | 56,354 | ||||||
Progress Energy Inc., Sr. Unsec. Notes, 6.85%, 04/15/12 | 60,000 | 64,409 | ||||||
Virginia Electric & Power Co., Sr. Unsec. Notes, 5.00%, 06/30/19 | 15,000 | 16,289 | ||||||
207,109 | ||||||||
Environmental & Facilities Services–0.07% | ||||||||
Waste Management Inc., Sr. Unsec. Gtd. Notes, 5.00%, 03/15/14 | 20,000 | 21,630 | ||||||
Food Retail–0.12% | ||||||||
Safeway Inc., Sr. Unsec. Global Notes, 3.95%, 08/15/20 | 40,000 | 37,977 | ||||||
Health Care Equipment–0.10% | ||||||||
Boston Scientific Corp., Sr. Unsec. Notes, 6.00%, 01/15/20 | 30,000 | 31,413 | ||||||
Health Care Services–0.28% | ||||||||
Express Scripts Inc., Sr. Unsec. Gtd. Global Notes, 6.25%, 06/15/14 | 70,000 | 78,250 | ||||||
Medco Health Solutions Inc., Sr. Unsec. Notes, 2.75%, 09/15/15 | 10,000 | 9,945 | ||||||
88,195 | ||||||||
Hotels, Resorts & Cruise Lines–0.31% | ||||||||
Hyatt Hotels Corp., Sr. Unsec. Notes, 5.75%, 08/15/15(c) | 70,000 | 73,617 | ||||||
Wyndham Worldwide Corp., Sr. Unsec. Notes, 7.38%, 03/01/20 | 20,000 | 22,025 | ||||||
95,642 | ||||||||
Industrial Conglomerates–0.06% | ||||||||
NBC Universal, Inc., Sr. Unsec. Notes, | ||||||||
2.10%, 04/01/14(c) | 10,000 | 9,998 | ||||||
5.95%, 04/01/41(c) | 10,000 | 10,045 | ||||||
20,043 | ||||||||
Integrated Telecommunication Services–0.45% | ||||||||
AT&T Inc., Sr. Unsec. Global Notes, 2.50%, 08/15/15 | 20,000 | 19,995 | ||||||
Cellco Partnership/Verizon Wireless Capital LLC, Sr. Unsec. Global Notes, 3.75%, 05/20/11 | 60,000 | 60,662 | ||||||
Windstream Georgia Communications Corp., Sr. Unsec. Notes, 6.50%, 11/15/13 | 59,000 | 59,559 | ||||||
140,216 | ||||||||
Internet Retail–0.10% | ||||||||
Expedia Inc., Sr. Unsec. Gtd. Global Notes, 5.95%, 08/15/20 | 30,000 | 30,203 | ||||||
Investment Banking & Brokerage–0.37% | ||||||||
Goldman Sachs Group Inc. (The), Sr. Global Notes, 3.70%, 08/01/15 | 65,000 | 66,328 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Investment Banking & Brokerage–(continued) | ||||||||
Macquarie Group Ltd. (Australia), Sr. Unsec. Notes, 6.00%, 01/14/20(c) | $ | 50,000 | $ | 50,439 | ||||
116,767 | ||||||||
Life & Health Insurance–0.42% | ||||||||
Aflac Inc., Sr. Unsec. Notes, 6.45%, 08/15/40 | 20,000 | 20,763 | ||||||
Monumental Global Funding II, Sr. Sec. Notes, 5.65%, 07/14/11(c) | 25,000 | 25,463 | ||||||
Prudential Financial Inc., Series D, Sr. Unsec. Medium-Term Notes, 3.88%, 01/14/15 | 50,000 | 51,379 | ||||||
7.38%, 06/15/19 | 30,000 | 35,274 | ||||||
132,879 | ||||||||
Managed Health Care–0.24% | ||||||||
UnitedHealth Group Inc., Sr. Unsec. Notes, 5.25%, 03/15/11 | 45,000 | 45,418 | ||||||
WellPoint Inc, Sr. Unsec. Notes, 4.35%, 08/15/20 | 30,000 | 29,747 | ||||||
75,165 | ||||||||
Mortgage Backed Securities–0.25% | ||||||||
U.S. Bank N.A., Sr. Unsec. Medium-Term Global Notes, 5.92%, 05/25/12 | 74,878 | 77,894 | ||||||
Multi-Line Insurance–0.15% | ||||||||
Liberty Mutual Group Inc., Sr. Unsec. Notes, 5.75%, 03/15/14(c) | 45,000 | 46,599 | ||||||
Office Electronics–0.27% | ||||||||
Xerox Corp., Sr. Unsec. Notes, 6.88%, 08/15/11 | 40,000 | 41,497 | ||||||
4.25%, 02/15/15 | 40,000 | 41,853 | ||||||
83,350 | ||||||||
Office REIT’s–0.15% | ||||||||
Digital Realty Trust L.P., Sr. Unsec. Gtd. Global Notes, 5.88%, 02/01/20 | 45,000 | 46,015 | ||||||
Oil & Gas Exploration & Production–0.13% | ||||||||
Petrobras International Finance Co. (Cayman Islands), Sr. Unsec. Gtd. Global Notes, 6.88%, 01/20/40 | 15,000 | 15,786 | ||||||
Petroleos Mexicanos (Mexico), Sr. Unsec. Gtd. Global Notes, 5.50%, 01/21/21 | 25,000 | 25,408 | ||||||
41,194 | ||||||||
Oil & Gas Refining & Marketing–0.13% | ||||||||
Premcor Refining Group Inc. (The), Sr. Unsec. Gtd. Global Notes, 6.75%, 02/01/11 | 40,000 | 40,182 | ||||||
Oil & Gas Storage & Transportation–0.49% | ||||||||
Enterprise Products Operating LLC, Sr. Unsec. Gtd. Notes, 5.20%, 09/01/20 | 25,000 | 25,942 | ||||||
6.45%, 09/01/40 | 25,000 | 27,099 | ||||||
Spectra Energy Capital LLC, Sr. Unsec. Gtd. Notes, 5.65%, 03/01/20 | 50,000 | 53,429 | ||||||
Transcontinental Gas Pipe Line Co. LLC, Series B, Sr. Unsec. Global Notes, 7.00%, 08/15/11 | 45,000 | 46,685 | ||||||
153,155 | ||||||||
Other Diversified Financial Services–1.62% | ||||||||
Citigroup Inc., Sr. Unsec. Global Notes, 6.01%, 01/15/15 | 65,000 | 71,485 | ||||||
Sr. Unsec. Notes, 4.75%, 05/19/15 | 75,000 | 78,941 | ||||||
Countrywide Home Loans Inc., Series L, Sr. Unsec. Gtd. Medium-Term Global Notes, 4.00%, 03/22/11 | 15,000 | 15,112 | ||||||
ERAC USA Finance LLC, Sr. Unsec. Gtd. Notes, 2.75%, 07/01/13(c) | 20,000 | 20,346 | ||||||
General Electric Capital Corp., Sr. Unsec. Global Notes, 5.90%, 05/13/14 | 75,000 | 82,913 | ||||||
JPMorgan Chase & Co., Sr. Unsec. Global Notes, 4.75%, 05/01/13 | 65,000 | 69,620 | ||||||
Unsec. Sub. Global Notes, 5.13%, 09/15/14 | 70,000 | 74,638 | ||||||
Merrill Lynch & Co., Inc., Sr. Unsec. Medium-Term Notes, 6.88%, 04/25/18 | 85,000 | 92,973 | ||||||
Twin Reefs Pass-Through Trust, Sec. Floating Rate Pass Through Ctfs., 1.39% (Acquired 10/07/04; Cost $90,000)(c)(d)(e)(f) | 90,000 | 0 | ||||||
506,028 | ||||||||
Packaged Foods & Meats–0.01% | ||||||||
Kraft Foods Inc., Sr. Unsec. Global Notes, 5.63%, 11/01/11 | 4,000 | 4,163 | ||||||
Paper Packaging–0.14% | ||||||||
Bemis Co. Inc., Sr. Unsec. Notes, 5.65%, 08/01/14 | 40,000 | 43,639 | ||||||
Paper Products–0.09% | ||||||||
International Paper Co., Sr. Unsec. Global Bonds, 7.50%, 08/15/21 | 25,000 | 29,496 | ||||||
Property & Casualty Insurance–0.12% | ||||||||
CNA Financial Corp., Sr. Unsec. Notes, 7.35%, 11/15/19 | 25,000 | 27,446 | ||||||
Travelers Cos., Inc. (The), Sr. Unsec. Notes, 5.35%, 11/01/40 | 10,000 | 9,826 | ||||||
37,272 | ||||||||
Publishing–0.05% | ||||||||
Reed Elsevier Capital Inc., Sr. Unsec. Gtd. Global Notes, 6.75%, 08/01/11 | 14,000 | 14,501 | ||||||
Railroads–0.09% | ||||||||
CSX Corp., Sr. Unsec. Notes, 5.50%, 04/15/41 | 30,000 | 29,485 | ||||||
Regional Banks–0.13% | ||||||||
PNC Funding Corp., Sr. Unsec. Gtd. Global Notes, 3.63%, 02/08/15 | 40,000 | 41,296 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Specialized Finance–0.16% | ||||||||
NASDAQ OMX Group Inc. (The), Sr. Unsec. Notes, 5.55%, 01/15/20 | $ | 50,000 | $ | 50,302 | ||||
Specialized REIT’s–0.17% | ||||||||
Healthcare Realty Trust Inc., Sr. Unsec. Notes, 6.50%, 01/17/17 | 50,000 | 53,981 | ||||||
Specialty Properties–0.08% | ||||||||
Health Care REIT Inc., Sr. Unsec. Notes, 4.95%, 01/15/21 | 25,000 | 24,157 | ||||||
Steel–0.35% | ||||||||
ArcelorMittal (Luxembourg), Sr. Unsec. Global Bonds, 9.00%, 02/15/15 | 15,000 | 17,863 | ||||||
Sr. Unsec. Global Notes, 3.75%, 08/05/15 | 20,000 | 20,172 | ||||||
7.00%, 10/15/39 | 40,000 | 41,439 | ||||||
Vale Overseas Ltd., Sr. Unsec. Gtd. Global Notes, 4.63%, 09/15/20 | 20,000 | 19,924 | ||||||
6.88%, 11/10/39 | 10,000 | 10,909 | ||||||
110,307 | ||||||||
Technology Distributors–0.16% | ||||||||
Avnet Inc., Sr. Unsec. Notes, 5.88%, 06/15/20 | 50,000 | 50,250 | ||||||
Tobacco–0.12% | ||||||||
Altria Group Inc., Sr. Unsec. Gtd. Global Notes, 4.13%, 09/11/15 | 35,000 | 36,662 | ||||||
Trading Companies & Distributors–0.07% | ||||||||
GATX Corp., Sr. Unsec. Notes, 4.75%, 10/01/12 | 20,000 | 20,986 | ||||||
Wireless Telecommunication Services–0.17% | ||||||||
American Tower Corp., Sr. Unsec. Global Notes, 4.63%, 04/01/15 | 30,000 | 31,386 | ||||||
Vodafone Group PLC (United Kingdom), Sr. Unsec. Global Notes, 5.50%, 06/15/11 | 20,000 | 20,441 | ||||||
51,827 | ||||||||
Total Bonds & Notes (Cost $3,343,077) | 3,397,366 | |||||||
U.S. Treasury Securities–8.10% | ||||||||
U.S. Treasury Bills–0.06% | ||||||||
0.19%, 01/20/11(g)(h) | 20,000 | 19,998 | ||||||
U.S. Treasury Notes–6.92% | ||||||||
0.75%, 05/31/12 | 800,000 | 803,688 | ||||||
1.50%, 12/31/13 | 85,000 | 86,209 | ||||||
2.13%, 05/31/15 | 680,000 | 690,412 | ||||||
2.63%, 11/15/20 | 600,000 | 565,875 | ||||||
3.88%, 08/15/40 | 20,000 | 18,419 | ||||||
2,164,603 | ||||||||
U.S. Treasury Bonds–1.12% | ||||||||
5.38%, 02/15/31 | 195,000 | 227,510 | ||||||
4.50%, 08/15/39 | 40,000 | 41,063 | ||||||
4.38%, 05/15/40 | 80,000 | 80,375 | ||||||
348,948 | ||||||||
Total U.S. Treasury Securities (Cost $2,550,614) | 2,533,549 | |||||||
U.S. Government Sponsored Mortgage-Backed Securities–2.53% | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC)–0.27% | ||||||||
Pass Through Ctfs., 7.00%, 06/01/15 to 06/01/32 | 58,571 | 66,521 | ||||||
7.50%, 12/01/30 to 05/01/31 | 10,912 | 12,528 | ||||||
6.50%, 08/01/32 | 3,316 | 3,729 | ||||||
5.50%, 02/01/37 | 749 | 799 | ||||||
83,577 | ||||||||
Federal National Mortgage Association (FNMA)–1.17% | ||||||||
Pass Through Ctfs., 7.50%, 11/01/15 to 03/01/31 | 62,802 | 73,328 | ||||||
7.00%, 02/01/16 to 09/01/32 | 15,489 | 17,321 | ||||||
6.50%, 07/01/16 to 10/01/35 | 51,598 | 58,242 | ||||||
6.00%, 01/01/17 to 03/01/37 | 187,634 | 204,553 | ||||||
5.50%, 03/01/21 | 735 | 792 | ||||||
8.00%, 08/01/21 to 12/01/23 | 11,065 | 12,750 | ||||||
366,986 | ||||||||
Government National Mortgage Association (GNMA)–1.09% | ||||||||
Pass Through Ctfs., 7.50%, 06/15/23 to 10/15/31 | 27,187 | 31,488 | ||||||
8.50%, 11/15/24 | 27,730 | 33,110 | ||||||
8.00%, 08/15/25 | 5,813 | 6,862 | ||||||
6.50%, 03/15/29 to 01/15/37 | 235,178 | 269,868 | ||||||
341,328 | ||||||||
Total U.S. Government Sponsored Mortgage-Backed Securities (Cost $723,123) | 791,891 | |||||||
U.S. Government Sponsored Agency Securities–0.43% | ||||||||
Federal National Mortgage Association (FNMA)–0.43% | ||||||||
Unsec. Global Notes, 2.63%, 11/20/14 (Cost $129,316) | 130,000 | 134,759 | ||||||
Asset-Backed Securities–0.22% | ||||||||
Countrywide Asset-Backed Ctfs., Series 2007-4, Class A1B, Pass Through Ctfs., 5.81%, 09/25/37 | 35,066 | 34,504 | ||||||
Option One Mortgage Securities Corp., Series 2007-4A, Floating Rate Notes, 0.36%, 04/25/12 (Acquired 5/11/07; Cost $47,228)(c)(e) | 47,228 | 34,198 | ||||||
Total Asset-Backed Securities (Cost $81,593) | 68,702 | |||||||
Shares | Value | |||||||
Money Market Funds–8.31% | ||||||||
Liquid Assets Portfolio–Institutional Class(i) | 1,300,171 | $ | 1,300,171 | |||||
Premier Portfolio–Institutional Class(i) | 1,300,171 | 1,300,171 | ||||||
Total Money Market Funds (Cost $2,600,342) | 2,600,342 | |||||||
TOTAL INVESTMENTS–100.06% (Cost $27,665,735) | 31,297,564 | |||||||
OTHER ASSETS LESS LIABILITIES–(0.06)% | (19,180 | ) | ||||||
NET ASSETS–100.00% | $ | 31,278,384 | ||||||
ADR | – American Depositary Receipt | |
Ctfs. | – Certificates | |
Gtd. | – Guaranteed | |
REIT | – Real Estate Investment Trust | |
Sec. | – Secured | |
Sr. | – Senior | |
Sub. | – Subordinated | |
Unsec. | – Unsecured |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at December 31, 2010 was $417,363, which represented 1.33% of the Fund’s Net Assets. | |
(d) | Perpetual bond with no specified maturity date. | |
(e) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on December 31, 2010. | |
(f) | Defaulted security. Currently, the issuer is partially or fully in default with respect to interest payments. The value of this security at December 31, 2010 represented 0.00% of the Fund’s Net Assets. | |
(g) | All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. See Note 1L and Note 4. | |
(h) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. | |
(i) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $25,065,393) | $ | 28,697,222 | ||
Investments in affiliated money market funds, at value and cost | 2,600,342 | |||
Total investments, at value (Cost $27,665,735) | 31,297,564 | |||
Foreign currencies, at value (Cost $25) | 27 | |||
Receivable for: | ||||
Variation margin | 3,031 | |||
Fund shares sold | 24,815 | |||
Dividends and interest | 89,656 | |||
Investment for trustee deferred compensation and retirement plans | 31,210 | |||
Other assets | 20 | |||
Total assets | 31,446,323 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 42,424 | |||
Accrued fees to affiliates | 45,916 | |||
Accrued other operating expenses | 39,634 | |||
Trustee deferred compensation and retirement plans | 39,965 | |||
Total liabilities | 167,939 | |||
Net assets applicable to shares outstanding | $ | 31,278,384 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 37,003,019 | ||
Undistributed net investment income | 415,151 | |||
Undistributed net realized gain (loss) | (9,762,035 | ) | ||
Unrealized appreciation | 3,622,249 | |||
$ | 31,278,384 | |||
Net Assets: | ||||
Series I | $ | 28,768,738 | ||
Series II | $ | 2,509,646 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 3,125,787 | |||
Series II | 273,660 | |||
Series I: | ||||
Net asset value per share | $ | 9.20 | ||
Series II: | ||||
Net asset value per share | $ | 9.17 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $7,848) | $ | 369,094 | ||
Dividends from affiliated money market funds | 2,084 | |||
Interest | 358,589 | |||
Total investment income | 729,767 | |||
Expenses: | ||||
Advisory fees | 238,363 | |||
Administrative services fees | 111,885 | |||
Custodian fees | 18,197 | |||
Distribution fees — Series II | 6,542 | |||
Transfer agent fees | 9,483 | |||
Trustees’ and officers’ fees and benefits | 16,802 | |||
Professional services fees | 41,223 | |||
Other | 17,348 | |||
Total expenses | 459,843 | |||
Less: Fees waived | (167,421 | ) | ||
Net expenses | 292,422 | |||
Net investment income | 437,345 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain (loss) from: | ||||
Investment securities (includes net gains from securities sold to affiliates of $258,919) | 9,754 | |||
Foreign currencies | 14,720 | |||
Futures contracts | (16,845 | ) | ||
7,629 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | 1,942,112 | |||
Foreign currencies | 67 | |||
Futures contracts | (16,642 | ) | ||
1,925,537 | ||||
Net realized and unrealized gain | 1,933,166 | |||
Net increase in net assets resulting from operations | $ | 2,370,511 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 437,345 | $ | 632,897 | ||||
Net realized gain (loss) | 7,629 | (5,065,105 | ) | |||||
Change in net unrealized appreciation | 1,925,537 | 13,494,233 | ||||||
Net increase in net assets resulting from operations | 2,370,511 | 9,062,025 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (564,110 | ) | (1,432,717 | ) | ||||
Series II | (42,169 | ) | (137,986 | ) | ||||
Total distributions from net investment income | (606,279 | ) | (1,570,703 | ) | ||||
Share transactions–net: | ||||||||
Series I | (4,089,731 | ) | (3,151,421 | ) | ||||
Series II | (832,085 | ) | (329,105 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (4,921,816 | ) | (3,480,526 | ) | ||||
Net increase (decrease) in net assets | (3,157,584 | ) | 4,010,796 | |||||
Net assets: | ||||||||
Beginning of year | 34,435,968 | 30,425,172 | ||||||
End of year (includes undistributed net investment income of $415,151 and $565,392, respectively) | $ | 31,278,384 | $ | 34,435,968 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an |
independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. |
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Dollar Roll and Forward Commitment Transactions — The Fund may engage in dollar roll and forward commitment transactions with respect to mortgage-backed securities issued by GNMA, FNMA and FHLMC. These transactions are often conducted on a to be announced (“TBA”) basis. In a TBA mortgage-backed transaction, the seller does not specify the particular securities to be delivered. Rather, a Fund agrees to accept any security that meets specified terms, such as an agreed upon issuer, coupon rate and terms of the underlying mortgages. TBA mortgage-backed transactions generally settle once a month on a specific date. | |
In a dollar roll transaction, the Fund sells a mortgage-backed security held in the Fund to a financial institution such as a bank or broker-dealer, and simultaneously agrees to purchase a substantially similar security (same type, coupon and maturity) from the institution at an agreed upon price and future date. The mortgage-backed securities to be purchased will bear the same coupon as those sold, but generally will be collateralized by different pools of mortgages with different prepayment histories. Based on the typical structure of dollar roll transactions by the Fund, the dollar roll transactions are accounted for as financing transactions in which the Fund receives compensation as either a “fee” or a “drop”. “Fee” income which is agreed upon amongst the parties at the commencement of the dollar roll and the “drop” which is the difference between the selling price and the repurchase price of the mortgage-backed securities are amortized to income. During the period between the sale and purchase settlement dates, the Fund will not be entitled to receive interest and principal payments on securities purchased and not yet settled. Proceeds of the sale may be invested in short-term instruments, and the income from these investments, together with any additional fee income received on the sale, could generate income for the Fund exceeding the yield on the security sold. Dollar roll transactions are considered borrowings under the 1940 Act. | ||
Forward commitment transactions involve commitments by the Fund to acquire or sell TBA mortgage-backed securities from/to a financial institution, such as a bank or broker-dealer at a specified future date and amount. The TBA mortgage-backed security is marked to market until settlement and the unrealized appreciation or depreciation is recorded in the statement of operations. | ||
At the time the Fund enters into the dollar roll or forward commitment transaction, mortgage-backed securities or other liquid assets held by the Fund having a dollar value equal to the purchase price or in an amount sufficient to honor the forward commitment will be segregated. | ||
Dollar roll transactions involve the risk that the market value of the securities retained by the Fund may decline below the price of the securities that the Fund has sold but is obligated to purchase under the agreement. In the event that the buyer of securities in a dollar roll transaction files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to purchase the securities. The return earned by the Fund with the proceeds of the dollar roll transaction may not exceed the return on the securities sold. | ||
Forward commitment transactions involve the risk that a counter-party to the transaction may fail to complete the transaction. If this occurs, the Fund may lose the opportunity to purchase or sell the security at the agreed upon price. Settlement dates of forward commitment transactions may be a month or more after entering into these transactions and as a result the market values of the securities may vary from the purchase or sale prices. Therefore, forward commitment transactions may increase the Fund’s overall interest rate exposure. | ||
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
K. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and |
reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. | ||
L. | Futures Contracts — The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal counterparty risk since the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. | |
M. | Collateral — To the extent the Fund has pledged or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day. |
Average Net Assets | Rate | |||
First $150 million | 0 | .75% | ||
Over $150 million | 0 | .50% | ||
Average Net Assets | Rate | |||
First $250 million | 0 | .62% | ||
Next $250 million | 0 | .605% | ||
Next $500 million | 0 | .59% | ||
Next $1.5 billion | 0 | .575% | ||
Next $2.5 billion | 0 | .56% | ||
Next $2.5 billion | 0 | .545% | ||
Next $2.5 billion | 0 | .53% | ||
Over $10 billion | 0 | .515% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 24,161,263 | $ | 210,034 | $ | — | $ | 24,371,297 | ||||||||
U.S. Treasury Securities | — | 2,533,549 | — | 2,533,549 | ||||||||||||
U.S. Government Sponsored Securities | — | 926,650 | — | 926,650 | ||||||||||||
Corporate Debt Securities | — | 3,397,366 | 0 | 3,397,366 | ||||||||||||
Asset Backed Securities | — | 34,504 | 34,198 | 68,702 | ||||||||||||
$ | 24,161,263 | $ | 7,102,103 | $ | 34,198 | $ | 31,297,564 | |||||||||
Futures* | (9,581 | ) | — | — | (9,581 | ) | ||||||||||
Total Investments | $ | 24,151,682 | $ | 7,102,103 | $ | 34,198 | $ | 31,287,983 | ||||||||
* | Unrealized appreciation (depreciation). |
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Interest rate risk | ||||||||
Futures contracts(a) | $ | 17,058 | $ | (26,639 | ) | |||
(a) | Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s variation margin receivable (payable) is reported within the Statement of Assets & Liabilities. |
Location of Gain (Loss) on | ||||
Statement of Operations | ||||
Futures* | ||||
Realized Gain (loss) | ||||
Interest rate risk | $ | (16,845 | ) | |
Change in Unrealized Appreciation (Depreciation) | ||||
Interest rate risk | (16,642 | ) | ||
Total | $ | (33,487 | ) | |
* | The average value of futures outstanding during the period was $1,995,245. |
Open Futures Contracts at Period-End | ||||||||||||||||
Unrealized | ||||||||||||||||
Number of | Month/ | Appreciation | ||||||||||||||
Contract | Contracts | Commitment | Value | (Depreciation) | ||||||||||||
U.S. Treasury 5 Year Notes | 7 | March-2011/Long | $ | 824,031 | $ | (12,429 | ) | |||||||||
U.S. Treasury 30 Year Bonds | 3 | March-2011/Long | 366,375 | (14,210 | ) | |||||||||||
Subtotal | $ | 1,190,406 | $ | (26,639 | ) | |||||||||||
U.S. Treasury 2 Year Notes | 1 | March-2011/Short | (218,906 | ) | $ | 389 | ||||||||||
U.S. Treasury 10 Year Notes | 5 | March-2011/Short | (602,188 | ) | 16,669 | |||||||||||
Subtotal | $ | (821,094 | ) | $ | 17,058 | |||||||||||
Total | $ | (9,581 | ) | |||||||||||||
2010 | 2009 | |||||||
Ordinary Income | $ | 606,279 | $ | 1,570,703 | ||||
2010 | ||||
Undistributed ordinary income | $ | 452,302 | ||
Net unrealized appreciation — investments | 3,354,164 | |||
Temporary book/tax differences | (37,151 | ) | ||
Post-October deferrals | (36,110 | ) | ||
Capital loss carryforward | (9,457,840 | ) | ||
Shares of beneficial interest | 37,003,019 | |||
Total net assets | $ | 31,278,384 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 3,766,236 | ||
December 31, 2017 | 5,167,583 | |||
December 31, 2018 | 524,021 | |||
Total capital loss carryforward | $ | 9,457,840 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 3,642,740 | ||
Aggregate unrealized (depreciation) of investment securities | (288,576 | ) | ||
Net unrealized appreciation of investment securities | $ | 3,354,164 | ||
Cost of investments for tax purposes is $27,943,400. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 94,546 | $ | 831,052 | 349,171 | $ | 2,595,538 | ||||||||||
Series II | 19,448 | 169,361 | 32,625 | 248,311 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 65,824 | 564,110 | 168,555 | 1,432,717 | ||||||||||||
Series II | 4,938 | 42,169 | 16,291 | 137,986 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (629,541 | ) | (5,484,893 | ) | (972,587 | ) | (7,179,676 | ) | ||||||||
Series II | (118,335 | ) | (1,043,615 | ) | (98,463 | ) | (715,402 | ) | ||||||||
Net increase (decrease) in share activity | (563,120 | ) | $ | (4,921,816 | ) | (504,408 | ) | $ | (3,480,526 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 78% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | |||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 8.69 | $ | 0.12 | $ | 0.57 | $ | 0.69 | $ | (0.18 | ) | $ | 9.20 | 8.06 | % | $ | 28,769 | 0.90 | %(d) | 1.43 | %(d) | 1.40 | %(d) | 96 | % | |||||||||||||||||||||||
Year ended 12/31/09 | 6.81 | 0.15 | 2.14 | 2.29 | (0.41 | ) | 8.69 | 33.84 | 31,253 | 0.90 | 1.50 | 2.06 | 57 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 11.81 | 0.31 | (4.84 | ) | (4.53 | ) | (0.47 | ) | 6.81 | (38.32 | ) | 27,596 | 0.91 | 1.35 | 3.11 | 50 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 11.92 | 0.28 | (0.01 | ) | 0.27 | (0.38 | ) | 11.81 | 2.20 | 59,000 | 0.91 | 1.18 | 2.31 | 47 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 10.99 | 0.25 | 0.91 | 1.16 | (0.23 | ) | 11.92 | 10.55 | 84,212 | 0.91 | 1.15 | 2.16 | 44 | |||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 8.66 | 0.10 | 0.56 | 0.66 | (0.15 | ) | 9.17 | 7.77 | 2,510 | 1.15 | (d) | 1.68 | (d) | 1.15 | (d) | 96 | ||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 6.78 | 0.13 | 2.13 | 2.26 | (0.38 | ) | 8.66 | 33.54 | 3,183 | 1.15 | 1.75 | 1.81 | 57 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 11.73 | 0.28 | (4.79 | ) | (4.51 | ) | (0.44 | ) | 6.78 | (38.46 | ) | 2,829 | 1.16 | 1.60 | 2.86 | 50 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 11.84 | 0.25 | (0.01 | ) | 0.24 | (0.35 | ) | 11.73 | 1.94 | 5,295 | 1.16 | 1.43 | 2.06 | 47 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 10.91 | 0.22 | 0.91 | 1.13 | (0.20 | ) | 11.84 | 10.36 | 5,878 | 1.16 | 1.40 | 1.91 | 44 | |||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $29,165 and $2,617 for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,160.80 | $ | 4.90 | $ | 1,020.67 | $ | 4.58 | 0.90 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,159.40 | 6.26 | 1,019.41 | 5.85 | 1.15 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 42.59% | |||
U.S. Treasury Obligations* | 4.34% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 7.35 | % | ||
Series II Shares | 6.94 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
Russell 1000 Value Index▼ (Style-Specific Index) | 15.51 | |||
Lipper VUF Large-Cap Value Funds Index▼ (Peer Group Index) | 13.75 | |||
▼ | Lipper Inc. |
n | If the security is statistically cheap on the basis of its primary valuation criteria, which depends on the cyclical or growth nature of its business. | |
n | If rigorous fundamental analysis shows that the company is undervalued and possesses potential financial strength and improved quality of management for future growth. |
n | When we believe the target price has been realized, and if we no longer consider the company undervalued. | |
n | If we determine that a better value opportunity can be found elsewhere. | |
n | If our research shows that a company is experiencing deteriorating fundamentals beyond what we feel to be a tolerable level and the trend is likely to be a long term issue. |
Financials | 30.5 | % | ||
Consumer Discretionary | 20.3 | |||
Energy | 12.7 | |||
Consumer Staples | 9.2 | |||
Information Technology | 9.2 | |||
Industrials | 7.1 | |||
Health Care | 5.2 | |||
Telecommunication Services | 1.5 | |||
Materials | 1.2 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | 3.1 |
1. | Omnicom Group Inc. | 5.0 | % | |||||
2. | Chubb Corp. | 4.6 | ||||||
3. | JPMorgan Chase & Co. | 4.2 | ||||||
4. | Royal Dutch Shell PLC-ADR | 3.7 | ||||||
5. | Time Warner Cable Inc. | 3.6 | ||||||
6. | Molson Coors Brewing Co.-Class B | 3.6 | ||||||
7. | Chevron Corp. | 3.2 | ||||||
8. | Hewlett-Packard Co. | 3.1 | ||||||
9. | Wal-Mart Stores, Inc. | 3.1 | ||||||
10. | Comcast Corp.-Class A | 3.0 |
Total Net Assets | $313.8 million | |||
Total Number of Holdings* | 44 |
* Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. Basic Value Fund. He joined Invesco in 2010. Mr. Leder earned a B.A. from The University of Texas and an M.B.A. from Columbia University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Basic Value Fund. He joined Invesco in 2010. Mr. Armstrong earned a B.S. in psychology and finance from the University of Illinois and an M.B.A. in finance from Columbia University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Basic Value Fund. He joined Invesco in 2010. Mr. Holt earned a B.A. from the University of Iowa and an M.B.A. from the University of Chicago.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Basic Value Fund. He joined Invesco in 1992. Mr. Seinsheimer earned a B.B.A. from Southern Methodist University and an M.B.A. from The University of Texas at Austin.
Portfolio specialist, is manager of Invesco V.I. Basic Value Fund. He joined Invesco in 2010. Mr. Warwick earned a B.B.A. from Stephen F. Austin State University and an M.B.A. from the University of Houston.
Series I Shares | ||||||||
Inception (9/10/01) | 1.07 | % | ||||||
5 Years | -2.50 | |||||||
1 Year | 7.35 | |||||||
Series II Shares | ||||||||
Inception | (9/10/01) | 0.83 | % | |||||
5 Years | -2.75 | |||||||
1 Year | 6.94 |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–96.94% | ||||||||
Advertising–4.96% | ||||||||
Omnicom Group Inc. | 339,615 | $ | 15,554,367 | |||||
Aerospace & Defense–2.42% | ||||||||
Honeywell International Inc. | 142,549 | 7,577,905 | ||||||
Apparel Retail–1.22% | ||||||||
TJX Cos., Inc. (The) | 86,083 | 3,821,224 | ||||||
Asset Management & Custody Banks–2.09% | ||||||||
Bank of New York Mellon Corp. | 216,964 | 6,552,313 | ||||||
Brewers–3.64% | ||||||||
Molson Coors Brewing Co.–Class B | 227,579 | 11,422,190 | ||||||
Cable & Satellite–6.67% | ||||||||
Comcast Corp.–Class A | 431,546 | 9,481,066 | ||||||
Time Warner Cable Inc. | 173,398 | 11,449,470 | ||||||
20,930,536 | ||||||||
Casinos & Gaming–1.55% | ||||||||
International Game Technology | 275,303 | 4,870,110 | ||||||
Computer Hardware–4.40% | ||||||||
Dell Inc.(b) | 297,376 | 4,029,445 | ||||||
Hewlett-Packard Co. | 232,420 | 9,784,882 | ||||||
13,814,327 | ||||||||
Data Processing & Outsourced Services–1.45% | ||||||||
Western Union Co. | 245,052 | 4,550,616 | ||||||
Department Stores–2.30% | ||||||||
Macy’s, Inc. | 285,829 | 7,231,474 | ||||||
Diversified Banks–4.65% | ||||||||
Comerica Inc. | 13,382 | 565,256 | ||||||
US Bancorp | 191,034 | 5,152,187 | ||||||
Wells Fargo & Co. | 286,305 | 8,872,592 | ||||||
14,590,035 | ||||||||
General Merchandise Stores–1.54% | ||||||||
Target Corp. | 80,562 | 4,844,193 | ||||||
Household Products–2.49% | ||||||||
Procter & Gamble Co. (The) | 121,283 | 7,802,135 | ||||||
Hypermarkets & Super Centers–3.11% | ||||||||
Wal-Mart Stores, Inc. | 181,166 | 9,770,282 | ||||||
Industrial Conglomerates–2.87% | ||||||||
General Electric Co. | 254,979 | 4,663,566 | ||||||
Tyco International Ltd. | 104,684 | 4,338,105 | ||||||
9,001,671 | ||||||||
Industrial Machinery–1.80% | ||||||||
Illinois Tool Works Inc. | 105,741 | 5,646,569 | ||||||
Integrated Oil & Gas–11.04% | ||||||||
Chevron Corp. | 108,572 | 9,907,195 | ||||||
Exxon Mobil Corp. | 89,017 | 6,508,923 | ||||||
Petroleo Brasileiro S.A.–ADR (Brazil) | 173,739 | 6,574,284 | ||||||
Royal Dutch Shell PLC–ADR (United Kingdom) | 174,677 | 11,664,930 | ||||||
34,655,332 | ||||||||
Investment Banking & Brokerage–3.11% | ||||||||
Goldman Sachs Group, Inc. (The) | 28,486 | 4,790,206 | ||||||
Morgan Stanley | 182,596 | 4,968,437 | ||||||
9,758,643 | ||||||||
IT Consulting & Other Services–1.58% | ||||||||
Accenture PLC–Class A (Ireland) | 102,399 | 4,965,328 | ||||||
Life & Health Insurance–3.24% | ||||||||
MetLife, Inc. | 125,798 | 5,590,463 | ||||||
Torchmark Corp. | 76,596 | 4,575,845 | ||||||
10,166,308 | ||||||||
Managed Health Care–1.49% | ||||||||
UnitedHealth Group Inc. | 129,202 | 4,665,484 | ||||||
Movies & Entertainment–2.05% | ||||||||
Time Warner Inc. | 199,485 | 6,417,433 | ||||||
Oil & Gas Drilling–1.64% | ||||||||
Noble Corp.(b) | 144,031 | 5,151,989 | ||||||
Other Diversified Financial Services–6.76% | ||||||||
Bank of America Corp. | 614,393 | 8,196,002 | ||||||
JPMorgan Chase & Co. | 307,123 | 13,028,158 | ||||||
21,224,160 | ||||||||
Pharmaceuticals–3.76% | ||||||||
Bristol-Myers Squibb Co. | 206,284 | 5,462,400 | ||||||
Pfizer Inc. | 361,639 | 6,332,299 | ||||||
11,794,699 | ||||||||
Property & Casualty Insurance–10.67% | ||||||||
Allied World Assurance Co. Holdings, Ltd. | 80,516 | 4,785,871 | ||||||
Aspen Insurance Holdings Ltd. | 202,630 | 5,799,271 | ||||||
Shares | Value | |||||||
Property & Casualty Insurance–(continued) | ||||||||
Chubb Corp. (The) | 241,937 | $ | 14,429,123 | |||||
Travelers Cos., Inc. (The) | 152,160 | 8,476,833 | ||||||
33,491,098 | ||||||||
Semiconductors–1.72% | ||||||||
Intel Corp. | 257,348 | 5,412,028 | ||||||
Steel–1.22% | ||||||||
POSCO–ADR (South Korea) | 35,652 | 3,839,364 | ||||||
Wireless Telecommunication Services–1.50% | ||||||||
Vodafone Group PLC–ADR (United Kingdom) | 178,096 | 4,707,077 | ||||||
Total Common Stocks & Other Equity Interests (Cost $255,005,075) | 304,228,890 | |||||||
Money Market Funds–3.02% | ||||||||
Liquid Assets Portfolio–Institutional Class(c) | 4,732,799 | 4,732,799 | ||||||
Premier Portfolio–Institutional Class(c) | 4,732,799 | 4,732,799 | ||||||
Total Money Market Funds (Cost $9,465,598) | 9,465,598 | |||||||
TOTAL INVESTMENTS–99.96% (Cost $264,470,673) | 313,694,488 | |||||||
OTHER ASSETS LESS LIABILITIES–0.04% | 118,608 | |||||||
NET ASSETS–100.00% | $ | 313,813,096 | ||||||
ADR | – American Depositary Receipt |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $255,005,075) | $ | 304,228,890 | ||
Investments in affiliated money market funds, at value and cost | 9,465,598 | |||
Total investments, at value (Cost $264,470,673) | 313,694,488 | |||
Receivable for: | ||||
Investments sold | 501,857 | |||
Fund shares sold | 27,850 | |||
Dividends | 458,935 | |||
Investment for trustee deferred compensation and retirement plans | 24,068 | |||
Total assets | 314,707,198 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 310,496 | |||
Accrued fees to affiliates | 457,304 | |||
Accrued other operating expenses | 43,352 | |||
Trustee deferred compensation and retirement plans | 82,950 | |||
Total liabilities | 894,102 | |||
Net assets applicable to shares outstanding | $ | 313,813,096 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 346,274,947 | ||
Undistributed net investment income | 1,919,672 | |||
Undistributed net realized gain (loss) | (83,605,338 | ) | ||
Unrealized appreciation | 49,223,815 | |||
$ | 313,813,096 | |||
Net Assets: | ||||
Series I | $ | 181,514,836 | ||
Series II | $ | 132,298,260 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 28,448,910 | |||
Series II | 20,861,466 | |||
Series I: | ||||
Net asset value per share | $ | 6.38 | ||
Series II: | ||||
Net asset value per share | $ | 6.34 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $124,214) | $ | 5,346,216 | ||
Dividends from affiliated money market funds | 10,504 | |||
Total investment income | 5,356,720 | |||
Expenses: | ||||
Advisory fees | 2,237,405 | |||
Administrative services fees | 861,228 | |||
Custodian fees | 25,327 | |||
Distribution fees — Series II | 323,976 | |||
Transfer agent fees | 39,639 | |||
Trustees’ and officers’ fees and benefits | 25,300 | |||
Other | 58,630 | |||
Total expenses | 3,571,505 | |||
Less: Fees waived and expense offset arrangement(s) | (12,121 | ) | ||
Net expenses | 3,559,384 | |||
Net investment income | 1,797,336 | |||
Realized and unrealized gain from: | ||||
Net realized gain from: | ||||
Investment securities (includes net gains (losses) from securities sold to affiliates of $(391,829)) | 1,761,304 | |||
Foreign currencies | 211,281 | |||
1,972,585 | ||||
Change in net unrealized appreciation of investment securities | 17,975,887 | |||
Net realized and unrealized gain | 19,948,472 | |||
Net increase in net assets resulting from operations | $ | 21,745,808 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 1,797,336 | $ | 1,541,745 | ||||
Net realized gain (loss) | 1,972,585 | (33,121,862 | ) | |||||
Change in net unrealized appreciation | 17,975,887 | 158,453,793 | ||||||
Net increase in net assets resulting from operations | 21,745,808 | 126,873,676 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (1,104,262 | ) | (3,201,037 | ) | ||||
Series II | (467,104 | ) | (1,368,809 | ) | ||||
Total distributions from net investment income | (1,571,366 | ) | (4,569,846 | ) | ||||
Share transactions–net: | ||||||||
Series I | (56,488,740 | ) | (1,497,408 | ) | ||||
Series II | (10,025,853 | ) | (45,220,456 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (66,514,593 | ) | (46,717,864 | ) | ||||
Net increase (decrease) in net assets | (46,340,151 | ) | 75,585,966 | |||||
Net assets: | ||||||||
Beginning of year | 360,153,247 | 284,567,281 | ||||||
End of year (includes undistributed net investment income of $1,919,672 and $1,482,421, respectively) | $ | 313,813,096 | $ | 360,153,247 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as |
institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the |
financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | ||
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
J. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $250 million | 0 | .695% | ||
Next $250 million | 0 | .67% | ||
Next $500 million | 0 | .645% | ||
Next $1.5 billion | 0 | .62% | ||
Next $2.5 billion | 0 | .595% | ||
Next $2.5 billion | 0 | .57% | ||
Next $2.5 billion | 0 | .545% | ||
Over $10 billion | 0 | .52% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 313,694,488 | $ | — | $ | — | $ | 313,694,488 | ||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 1,571,366 | $ | 4,569,846 | ||||
2010 | ||||
Undistributed ordinary income | $ | 2,000,450 | ||
Net unrealized appreciation — investments | 46,447,867 | |||
Temporary book/tax differences | (80,778 | ) | ||
Capital loss carryforward | (80,829,390 | ) | ||
Shares of beneficial interest | 346,274,947 | |||
Total net assets | $ | 313,813,096 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 40,544,207 | ||
December 31, 2017 | 32,409,899 | |||
December 31, 2018 | 7,875,284 | |||
Total capital loss carryforward | $ | 80,829,390 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 48,395,390 | ||
Aggregate unrealized (depreciation) of investment securities | (1,947,523 | ) | ||
Net unrealized appreciation of investment securities | $ | 46,447,867 | ||
Cost of investments for tax purposes is $267,246,621. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 1,839,415 | $ | 11,111,452 | 7,249,578 | $ | 36,341,584 | ||||||||||
Series II | 4,402,680 | 25,876,503 | 6,780,957 | 32,543,999 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 188,763 | 1,104,262 | 550,953 | 3,201,037 | ||||||||||||
Series II | 80,258 | 467,104 | 236,818 | 1,368,809 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (11,391,121 | ) | (68,704,454 | ) | (8,478,204 | ) | (41,040,029 | ) | ||||||||
Series II | (6,127,464 | ) | (36,369,460 | ) | (15,711,336 | ) | (79,133,264 | ) | ||||||||
Net increase (decrease) in share activity | (11,007,469 | ) | $ | (66,514,593 | ) | (9,371,234 | ) | $ | (46,717,864 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 61% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | (losses) on | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | securities (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 5.98 | $ | 0.04 | $ | 0.40 | $ | 0.44 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 6.38 | 7.35 | % | $ | 181,515 | 1.00 | %(d) | 1.00 | %(d) | 0.65 | %(d) | 86 | % | ||||||||||||||||||||||||||
Year ended 12/31/09 | 4.10 | 0.03 | 1.94 | 1.97 | (0.09 | ) | — | (0.09 | ) | 5.98 | 48.00 | 226,282 | 0.98 | 0.99 | 0.59 | 23 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 12.73 | 0.10 | (6.68 | ) | (6.58 | ) | (0.09 | ) | (1.96 | ) | (2.05 | ) | 4.10 | (51.77 | ) | 157,693 | 1.03 | 1.03 | 0.99 | 58 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.35 | 0.07 | 0.17 | 0.24 | (0.08 | ) | (0.78 | ) | (0.86 | ) | 12.73 | 1.62 | 399,974 | 0.96 | 0.99 | 0.52 | 25 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 12.37 | 0.07 | 1.54 | 1.61 | (0.05 | ) | (0.58 | ) | (0.63 | ) | 13.35 | 13.12 | 489,352 | 0.97 | 1.02 | 0.54 | 15 | |||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 5.95 | 0.02 | 0.39 | 0.41 | (0.02 | ) | — | (0.02 | ) | 6.34 | 6.94 | 132,298 | 1.25 | (d) | 1.25 | (d) | 0.40 | (d) | 86 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 4.07 | 0.02 | 1.92 | 1.94 | (0.06 | ) | — | (0.06 | ) | 5.95 | 47.74 | 133,872 | 1.23 | 1.24 | 0.34 | 23 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 12.62 | 0.07 | (6.61 | ) | (6.54 | ) | (0.05 | ) | (1.96 | ) | (2.01 | ) | 4.07 | (51.90 | ) | 126,874 | 1.28 | 1.28 | 0.74 | 58 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.24 | 0.04 | 0.16 | 0.20 | (0.04 | ) | (0.78 | ) | (0.82 | ) | 12.62 | 1.36 | 303,628 | 1.21 | 1.24 | 0.27 | 25 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 12.26 | 0.04 | 1.54 | 1.58 | (0.02 | ) | (0.58 | ) | (0.60 | ) | 13.24 | 12.94 | 339,457 | 1.22 | 1.27 | 0.29 | 15 | |||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $195,022 and $129,590 for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,204.40 | $ | 5.67 | $ | 1,020.06 | $ | 5.19 | 1.02 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,202.90 | 7.05 | 1,018.80 | 6.46 | 1.27 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 100% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 15.49 | % | ||
Series II Shares | 15.21 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
Russell 1000 Growth Index▼ (Style-Specific Index) | 16.71 | |||
Lipper VUF Multi-Cap Growth Funds Category Average▼ (Peer Group) | 19.45 | |||
▼ | Lipper Inc. |
Information Technology | 28.6 | % | ||
Consumer Discretionary | 16.7 | |||
Industrials | 15.8 | |||
Health Care | 11.2 | |||
Energy | 9.5 | |||
Consumer Staples | 7.8 | |||
Financials | 6.4 | |||
Materials | 1.3 | |||
Money Market Funds Plus Other Assets | ||||
Less Liabilities | 2.7 |
1. | Systems Software | 7.0 | % | |||||
2. | Computer Hardware | 5.5 | ||||||
3. | Integrated Oil & Gas | 4.8 | ||||||
4. | Data Processing & Outsourced | |||||||
Services | 4.2 | |||||||
5. | Oil & Gas Equipment & Services | 4.0 | ||||||
6. | Industrial Machinery | 3.6 | ||||||
7. | Hypermarkets & Super Centers | 3.1 | ||||||
8. | Biotechnology | 3.0 | ||||||
9. | Soft Drinks | 2.9 | ||||||
10. | Aerospace & Defense | 2.8 |
1. | Apple Inc. | 4.6 | % | |||||
2. | Check Point Software | |||||||
Technologies Ltd. | 4.1 | |||||||
3. | Occidental Petroleum Corp. | 3.6 | ||||||
4. | Kohl’s Corp. | 2.6 | ||||||
5. | MasterCard, Inc. | 2.5 | ||||||
6. | Amazon.com, Inc. | 2.3 | ||||||
7. | Microsoft Corp. | 2.3 | ||||||
8. | Comcast Corp. | 2.2 | ||||||
9. | Cooper Industries PLC | 2.1 | ||||||
10. | Ingersoll-Rand PLC | 2.0 |
Total Net Assets | $683.7 million | |||
Total Number of Holdings* | 93 |
* Excluding money market fund holdings.
n | Deteriorating fundamental business prospects. | |
n | Declining quantitative rank. | |
n | Negative changes to the investment thesis. | |
n | Finding a more attractive opportunity. |
1 | U.S. Federal Reserve | |
2 | Bureau of Economic Analysis | |
3 | U.S. Bureau of Labor Statistics |
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. Capital Appreciation Fund. Mr. Lloyd joined Invesco in 2000. He earned a B.B.A. from the University of Notre Dame and an M.B.A. from the University of Chicago.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Capital Appreciation Fund. Mr. Amerman joined Invesco in 1996. He earned a B.B.A. from Stephen F. Austin State University and an M.B.A. with an emphasis in finance from the University of St. Thomas.
Series I Shares | ||||||||
Inception (5/5/93) | 6.10 | % | ||||||
10 | Years | -1.78 | ||||||
5 | Years | -0.86 | ||||||
1 | Year | 15.49 | ||||||
Series II Shares | ||||||||
10 | Years | -2.03 | % | |||||
5 | Years | -1.11 | ||||||
1 | Year | 15.21 |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–97.25% | ||||||||
Aerospace & Defense–2.80% | ||||||||
Goodrich Corp. | 56,818 | $ | 5,003,961 | |||||
Honeywell International Inc. | 67,525 | 3,589,629 | ||||||
Rockwell Collins, Inc. | 81,122 | 4,726,168 | ||||||
United Technologies Corp. | 73,603 | 5,794,028 | ||||||
19,113,786 | ||||||||
Air Freight & Logistics–0.35% | ||||||||
Expeditors International of Washington, Inc. | 43,302 | 2,364,289 | ||||||
Airlines–1.82% | ||||||||
Delta Air Lines, Inc.(b) | 518,976 | 6,539,098 | ||||||
United Continental Holdings Inc.(b) | 248,287 | 5,914,196 | ||||||
12,453,294 | ||||||||
Apparel Retail–0.46% | ||||||||
Men’s Wearhouse, Inc. (The) | 126,009 | 3,147,705 | ||||||
Apparel, Accessories & Luxury Goods–1.20% | ||||||||
Coach, Inc. | 147,879 | 8,179,187 | ||||||
Asset Management & Custody Banks–0.41% | ||||||||
Ameriprise Financial, Inc. | 48,716 | 2,803,606 | ||||||
Auto Parts & Equipment–1.71% | ||||||||
Autoliv, Inc. (Sweden) | 79,318 | 6,261,363 | ||||||
Johnson Controls, Inc. | 142,156 | 5,430,359 | ||||||
11,691,722 | ||||||||
Automobile Manufacturers–0.36% | ||||||||
Toyota Motor Corp. (Japan) | 62,600 | 2,463,926 | ||||||
Biotechnology–2.97% | ||||||||
Amgen Inc.(b) | 143,324 | 7,868,488 | ||||||
Gilead Sciences, Inc.(b) | 225,347 | 8,166,575 | ||||||
Human Genome Sciences, Inc.(b) | 177,980 | 4,251,942 | ||||||
20,287,005 | ||||||||
Broadcasting–1.24% | ||||||||
Scripps Networks Interactive Inc.–Class A | 163,602 | 8,466,403 | ||||||
Cable & Satellite–2.17% | ||||||||
Comcast Corp.–Class A | 676,690 | 14,866,879 | ||||||
Communications Equipment–2.18% | ||||||||
Cisco Systems, Inc.(b) | 340,020 | 6,878,605 | ||||||
JDS Uniphase Corp.(b) | 308,623 | 4,468,861 | ||||||
QUALCOMM, Inc. | 72,051 | 3,565,804 | ||||||
14,913,270 | ||||||||
Computer Hardware–4.60% | ||||||||
Apple Inc.(b) | 97,426 | 31,425,731 | ||||||
Computer Storage & Peripherals–1.00% | ||||||||
EMC Corp.(b) | 299,806 | 6,865,557 | ||||||
Construction & Engineering–0.57% | ||||||||
Fluor Corp. | 59,186 | 3,921,664 | ||||||
Construction, Farm Machinery & Heavy Trucks–1.20% | ||||||||
Komatsu Ltd. (Japan) | 105,500 | 3,191,106 | ||||||
Navistar International Corp.(b) | 86,250 | 4,994,737 | ||||||
8,185,843 | ||||||||
Consumer Finance–0.45% | ||||||||
American Express Co. | 72,142 | 3,096,335 | ||||||
Data Processing & Outsourced Services–4.22% | ||||||||
MasterCard, Inc.–Class A | 76,326 | 17,105,420 | ||||||
Visa Inc.–Class A | 166,681 | 11,731,009 | ||||||
28,836,429 | ||||||||
Department Stores–2.57% | ||||||||
Kohl’s Corp.(b) | 322,822 | 17,542,147 | ||||||
Diversified Banks–0.63% | ||||||||
Banco Bradesco S.A.–ADR (Brazil) | 213,799 | 4,337,982 | ||||||
Electrical Components & Equipment–2.06% | ||||||||
Cooper Industries PLC (Ireland) | 242,209 | 14,118,363 | ||||||
Electronic Components–0.87% | ||||||||
Corning Inc. | 308,068 | 5,951,874 | ||||||
Electronic Manufacturing Services–1.54% | ||||||||
Flextronics International Ltd. (Singapore)(b) | 793,514 | 6,229,085 | ||||||
Tyco Electronics Ltd. (Switzerland) | 120,914 | 4,280,355 | ||||||
10,509,440 | ||||||||
Fertilizers & Agricultural Chemicals–0.68% | ||||||||
Monsanto Co. | 66,449 | 4,627,508 | ||||||
General Merchandise Stores–1.06% | ||||||||
Dollar Tree, Inc.(b) | 128,907 | 7,229,105 | ||||||
Health Care Distributors–0.82% | ||||||||
Cardinal Health, Inc. | 146,467 | 5,611,151 | ||||||
Health Care Equipment–1.16% | ||||||||
Hospira, Inc.(b) | 90,627 | 5,047,017 | ||||||
Thoratec Corp.(b) | 102,596 | 2,905,519 | ||||||
7,952,536 | ||||||||
Shares | Value | |||||||
Health Care Services–1.55% | ||||||||
Medco Health Solutions, Inc.(b) | 173,533 | $ | 10,632,367 | |||||
Home Improvement Retail–1.01% | ||||||||
Lowe’s Cos., Inc. | 275,242 | 6,903,069 | ||||||
Homefurnishing Retail–0.91% | ||||||||
Bed Bath & Beyond Inc.(b) | 126,624 | 6,223,570 | ||||||
Hotels, Resorts & Cruise Lines–0.94% | ||||||||
Carnival Corp.(c) | 138,945 | 6,406,754 | ||||||
Household Products–0.99% | ||||||||
Procter & Gamble Co. (The) | 105,240 | 6,770,089 | ||||||
Hypermarkets & Super Centers–3.11% | ||||||||
Costco Wholesale Corp. | 177,613 | 12,825,435 | ||||||
Wal-Mart Stores, Inc. | 156,136 | 8,420,414 | ||||||
21,245,849 | ||||||||
Industrial Gases–0.59% | ||||||||
Praxair, Inc. | 42,564 | 4,063,585 | ||||||
Industrial Machinery–3.62% | ||||||||
Illinois Tool Works Inc. | 104,717 | 5,591,888 | ||||||
Ingersoll-Rand PLC (Ireland) | 295,646 | 13,921,970 | ||||||
Kennametal Inc. | 132,111 | 5,213,100 | ||||||
24,726,958 | ||||||||
Integrated Oil & Gas–4.77% | ||||||||
Exxon Mobil Corp. | 107,707 | 7,875,536 | ||||||
Occidental Petroleum Corp. | 252,343 | 24,754,848 | ||||||
32,630,384 | ||||||||
Internet Retail–2.29% | ||||||||
Amazon.com, Inc.(b) | 86,963 | 15,653,340 | ||||||
Internet Software & Services–2.30% | ||||||||
Google Inc.–Class A(b) | 18,027 | 10,707,497 | ||||||
VeriSign, Inc. | 153,864 | 5,026,737 | ||||||
15,734,234 | ||||||||
Investment Banking & Brokerage–2.15% | ||||||||
Goldman Sachs Group, Inc. (The) | 42,001 | 7,062,888 | ||||||
Jefferies Group, Inc. | 288,108 | 7,672,316 | ||||||
14,735,204 | ||||||||
IT Consulting & Other Services–2.09% | ||||||||
Accenture PLC–Class A (Ireland) | 47,420 | 2,299,396 | ||||||
International Business Machines Corp. | 39,649 | 5,818,887 | ||||||
Teradata Corp.(b) | 150,106 | 6,178,363 | ||||||
14,296,646 | ||||||||
Life Sciences Tools & Services–0.52% | ||||||||
Life Technologies Corp.(b) | 63,762 | 3,538,791 | ||||||
Managed Health Care–1.52% | ||||||||
UnitedHealth Group, Inc. | 287,446 | 10,379,675 | ||||||
Oil & Gas Equipment & Services–4.05% | ||||||||
Baker Hughes Inc. | 62,836 | 3,592,334 | ||||||
Cameron International Corp.(b) | 143,910 | 7,300,554 | ||||||
Halliburton Co. | 86,450 | 3,529,754 | ||||||
Schlumberger Ltd. | 158,528 | 13,237,088 | ||||||
27,659,730 | ||||||||
Oil & Gas Exploration & Production–0.70% | �� | |||||||
Apache Corp. | 40,199 | 4,792,927 | ||||||
Other Diversified Financial Services–1.22% | ||||||||
JPMorgan Chase & Co. | 196,465 | 8,334,045 | ||||||
Packaged Foods & Meats–0.74% | ||||||||
Green Mountain Coffee Roasters, Inc.(b) | 154,648 | 5,081,733 | ||||||
Pharmaceuticals–2.67% | ||||||||
Abbott Laboratories | 178,022 | 8,529,034 | ||||||
Pfizer Inc. | 371,198 | 6,499,677 | ||||||
Shire PLC (United Kingdom) | 132,961 | 3,202,637 | ||||||
18,231,348 | ||||||||
Railroads–1.23% | ||||||||
Union Pacific Corp. | 90,421 | 8,378,410 | ||||||
Regional Banks–0.50% | ||||||||
PNC Financial Services Group, Inc. | 56,486 | 3,429,830 | ||||||
Restaurants–0.00% | ||||||||
Krispy Kreme Doughnuts Inc.–Wts., expiring 03/02/12(b)(d) | 1,194 | 370 | ||||||
Semiconductor Equipment–0.44% | ||||||||
ASML Holding N.V. (Netherlands) | 76,919 | 2,981,491 | ||||||
Semiconductors–2.09% | ||||||||
Cree, Inc.(b) | 120,647 | 7,949,431 | ||||||
PMC-Sierra, Inc.(b) | 411,256 | 3,532,689 | ||||||
Xilinx, Inc. | 97,214 | 2,817,262 | ||||||
14,299,382 | ||||||||
Soft Drinks–2.93% | ||||||||
Coca-Cola Co. (The) | 112,615 | 7,406,689 | ||||||
Hansen Natural Corp.(b) | 13,258 | 693,128 | ||||||
PepsiCo, Inc. | 183,140 | 11,964,536 | ||||||
20,064,353 | ||||||||
Specialized Consumer Services–0.33% | ||||||||
Coinstar, Inc.(b) | 40,429 | 2,281,813 | ||||||
Shares | Value | |||||||
Specialized Finance–1.03% | ||||||||
CME Group, Inc. | 7,643 | $ | 2,459,135 | |||||
IntercontinentalExchange Inc.(b) | 38,231 | 4,555,224 | ||||||
7,014,359 | ||||||||
Specialty Stores–0.45% | ||||||||
Dick’s Sporting Goods, Inc.(b) | 81,274 | 3,047,775 | ||||||
Systems Software–7.04% | ||||||||
Check Point Software Technologies Ltd. (Israel)(b) | 614,824 | 28,441,758 | ||||||
Microsoft Corp. | 558,081 | 15,581,622 | ||||||
Oracle Corp. | 131,890 | 4,128,157 | ||||||
48,151,537 | ||||||||
Technology Distributors–0.25% | ||||||||
Avnet, Inc.(b) | 52,400 | 1,730,772 | ||||||
Trading Companies & Distributors–1.35% | ||||||||
W.W. Grainger, Inc. | 66,751 | 9,218,981 | ||||||
Trucking–0.77% | ||||||||
J.B. Hunt Transport Services, Inc. | 129,034 | 5,265,878 | ||||||
Total Common Stocks & Other Equity Interests (Cost $504,691,284) | 664,867,986 | |||||||
Money Market Funds–2.96% | ||||||||
Liquid Assets Portfolio–Institutional Class(e) | 10,125,559 | 10,125,559 | ||||||
Premier Portfolio–Institutional Class(e) | 10,125,559 | 10,125,559 | ||||||
Total Money Market Funds (Cost $20,251,118) | 20,251,118 | |||||||
TOTAL INVESTMENTS (excluding investments purchased with cash collateral from securities on loan)–100.21% (Cost $524,942,402) | 685,119,104 | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds–0.29% | ||||||||
Liquid Assets Portfolio–Institutional Class (Cost $2,000,700)(e)(f) | 2,000,700 | 2,000,700 | ||||||
TOTAL INVESTMENTS–100.50% (Cost $526,943,102) | 687,119,804 | |||||||
OTHER ASSETS LESS LIABILITIES–(0.50)% | (3,422,774 | ) | ||||||
NET ASSETS–100.00% | $ | 683,697,030 | ||||||
ADR | – American Depositary Receipt | |
Wts. | – Warrants |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | Each unit represents one common share with paired trust share. | |
(d) | Non-income producing security acquired through a corporate action. | |
(e) | The money market fund and the Fund are affiliated by having the same investment adviser. | |
(f) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 1I. |
Assets: | ||||
Investments, at value (Cost $504,691,284) | $ | 664,867,986 | ||
Investments in affiliated money market funds, at value and cost | 22,251,818 | |||
Total investments, at value (Cost $526,943,102) | 687,119,804 | |||
Cash | 5,478 | |||
Receivables for: | ||||
Fund shares sold | 43,886 | |||
Dividends | 552,390 | |||
Investment for trustee deferred compensation and retirement plans | 139,326 | |||
Other assets | 388 | |||
Total assets | 687,861,272 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 345,031 | |||
Fund shares reacquired | 595,812 | |||
Collateral upon return of securities loaned | 2,000,700 | |||
Accrued fees to affiliates | 876,131 | |||
Accrued other operating expenses | 57,196 | |||
Trustee deferred compensation and retirement plans | 289,372 | |||
Total liabilities | 4,164,242 | |||
Net assets applicable to shares outstanding | $ | 683,697,030 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 811,755,287 | ||
Undistributed net investment income | 379,618 | |||
Undistributed net realized gain (loss) | (288,614,576 | ) | ||
Unrealized appreciation | 160,176,701 | |||
$ | 683,697,030 | |||
Net Assets: | ||||
Series I | $ | 498,492,889 | ||
Series II | $ | 185,204,141 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 21,397,218 | |||
Series II | 8,079,968 | |||
Series I: | ||||
Net asset value per share | $ | 23.30 | ||
Series II: | ||||
Net asset value per share | $ | 22.92 | ||
* | At December 31, 2010, securities with an aggregate value of $1,961,427 were on loan to brokers. |
Investment income: | ||||
Dividends (net of foreign withholding taxes of $4,192) | $ | 7,130,077 | ||
Dividends from affiliated money market funds (includes securities lending income of $16,450) | 52,197 | |||
Total investment income | 7,182,274 | |||
Expenses: | ||||
Advisory fees | 4,094,480 | |||
Administrative services fees | 1,695,726 | |||
Custodian fees | 38,718 | |||
Distribution fees: | ||||
Series II | 451,268 | |||
Transfer agent fees | 83,006 | |||
Trustees’ and officers’ fees and benefits | 34,319 | |||
Other | 90,544 | |||
Total expenses | 6,488,061 | |||
Less: Fees waived, expenses reimbursed and expense offset arrangement(s) | (41,171 | ) | ||
Net expenses | 6,446,890 | |||
Net investment income | 735,384 | |||
Realized | ||||
Net realized gain (loss) from: | ||||
Investment securities (includes net gains (losses) from securities sold to affiliates of ($431,879)) | 45,432,536 | |||
Foreign currencies | (39,646 | ) | ||
45,392,890 | ||||
Change in net unrealized appreciation of: | ||||
Investment securities | 47,561,475 | |||
Foreign currencies | — | |||
47,561,475 | ||||
Net realized and unrealized gain | 92,954,365 | |||
Net increase in net assets resulting from operations | $ | 93,689,749 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 735,384 | $ | 4,829,676 | ||||
Net realized gain (loss) | 45,392,890 | (94,066,494 | ) | |||||
Change in net unrealized appreciation | 47,561,475 | 214,294,752 | ||||||
Net increase in net assets resulting from operations | 93,689,749 | 125,057,934 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (3,537,619 | ) | (2,958,538 | ) | ||||
Series II | (915,129 | ) | (485,149 | ) | ||||
Total distributions from net investment income | (4,452,748 | ) | (3,443,687 | ) | ||||
Share transactions–net: | ||||||||
Series I | (78,894,363 | ) | (68,162,037 | ) | ||||
Series II | (32,232,888 | ) | (16,738,294 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (111,127,251 | ) | (84,900,331 | ) | ||||
Net increase (decrease) in net assets | (21,890,250 | ) | 36,713,916 | |||||
Net assets: | ||||||||
Beginning of year | 705,587,280 | 668,873,364 | ||||||
End of year (includes undistributed net investment income of $379,619 and $4,136,629, respectively) | $ | 683,697,030 | $ | 705,587,280 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as |
institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the |
financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | ||
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
K. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $250 million | 0 | .65% | ||
Over $250 million | 0 | .60% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 678,471,750 | $ | 8,648,054 | $ | — | $ | 687,119,804 | ||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 4,452,748 | $ | 3,443,686 | ||||
2010 | ||||
Undistributed ordinary income | $ | 656,404 | ||
Net unrealized appreciation — investments | 156,378,867 | |||
Net unrealized appreciation (depreciation) — other investments | (125,976 | ) | ||
Temporary book/tax differences | (276,785 | ) | ||
Capital loss carryforward | (284,690,766 | ) | ||
Shares of beneficial interest | 811,755,286 | |||
Total net assets | $ | 683,697,030 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2011 | $ | 56,312,952 | ||
December 31, 2017 | 228,377,814 | |||
Total capital loss carryforward | $ | 284,690,766 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 159,564,695 | ||
Aggregate unrealized (depreciation) of investment securities | (3,185,828 | ) | ||
Net unrealized appreciation of investment securities | $ | 156,378,867 | ||
Cost of investments for tax purposes is $530,740,937. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 587,627 | $ | 12,238,362 | 1,264,061 | $ | 22,171,261 | ||||||||||
Series II | 512,761 | 10,258,765 | 874,710 | 15,048,701 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 170,899 | 3,537,619 | 149,045 | 2,958,538 | ||||||||||||
Series II | 44,903 | 915,129 | 24,828 | 485,149 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (4,572,413 | ) | (94,670,344 | ) | (5,328,522 | ) | (93,291,836 | ) | ||||||||
Series II | (2,127,908 | ) | (43,406,782 | ) | (1,893,167 | ) | (32,272,144 | ) | ||||||||
Net increase (decrease) in share activity | (5,384,131 | ) | $ | (111,127,251 | ) | (4,909,045 | ) | $ | (84,900,331 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 51% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||
(losses) on | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||
Net asset | Net | securities | Dividends | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||
value, | investment | (both | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | income (loss) | |||||||||||||||||||||||||||||||||||||||
beginning | income | realized and | investment | investment | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||
of period | (loss) | unrealized) | operations | income | of period | Return(a) | (000s omitted) | absorbed | absorbed | net assets | turnover(b) | |||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 20.33 | $ | 0.04 | (c) | $ | 3.09 | $ | 3.13 | $ | (0.16 | ) | $ | 23.30 | 15.49 | % | $ | 498,493 | 0.90 | %(d) | 0.91 | %(d) | 0.19 | %(d) | 56 | % | ||||||||||||||||||||||
Year ended 12/31/09 | 16.89 | 0.14 | (c) | 3.42 | 3.56 | (0.12 | ) | 20.33 | 21.08 | 512,540 | 0.90 | (d) | 0.91 | (d) | 0.79 | (d) | 85 | |||||||||||||||||||||||||||||||
Year ended 12/31/08 | 29.37 | 0.09 | (c) | (12.57 | ) | (12.48 | ) | — | 16.89 | (42.49 | ) | 492,079 | 0.91 | 0.91 | 0.37 | 103 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 26.22 | 0.01 | 3.14 | 3.15 | — | 29.37 | 12.01 | 1,086,677 | 0.88 | 0.88 | 0.03 | 71 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 24.67 | 0.01 | 1.55 | 1.56 | (0.01 | ) | 26.22 | 6.34 | 1,204,559 | 0.91 | 0.91 | 0.06 | 120 | |||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 20.00 | (0.01 | )(c) | 3.04 | 3.03 | (0.11 | ) | 22.92 | 15.21 | 185,204 | 1.15 | (d) | 1.16 | (d) | (0.06 | )(d) | 56 | |||||||||||||||||||||||||||||||
Year ended 12/31/09 | 16.61 | 0.09 | (c) | 3.35 | 3.44 | (0.05 | ) | 20.00 | 20.72 | 193,047 | 1.15 | (d) | 1.16 | (d) | 0.54 | (d) | 85 | |||||||||||||||||||||||||||||||
Year ended 12/31/08 | 28.95 | 0.03 | (c) | (12.37 | ) | (12.34 | ) | — | 16.61 | (42.63 | ) | 176,794 | 1.16 | 1.16 | 0.12 | 103 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 25.91 | (0.07 | ) | 3.11 | 3.04 | — | 28.95 | 11.73 | 349,294 | 1.13 | 1.13 | (0.22 | ) | 71 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 24.43 | (0.05 | ) | 1.53 | 1.48 | — | 25.91 | 6.06 | 371,316 | 1.16 | 1.16 | (0.19 | ) | 120 | ||||||||||||||||||||||||||||||||||
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(b) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(c) | Calculated using average shares outstanding. | |
(d) | Ratios are based on average daily net assets (000’s) of $481,073 and $180,507 for Series I and Series II shares, respectively |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
ACTUAL | (5% annual return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,263.70 | $ | 5.14 | $ | 1,020.67 | $ | 4.58 | 0.90 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,261.80 | 6.56 | 1,019.41 | 5.85 | 1.15 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 100% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 18.78 | % | ||
Series II Shares | 18.47 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
Russell Midcap Growth Index▼ (Style-Specific Index) | 26.38 | |||
Lipper VUF Mid-Cap Growth Funds Index▼ (Peer Group Index) | 27.62 |
▼ | Lipper Inc. |
Information Technology | 22.6 | % | ||
Industrials | 20.8 | |||
Consumer Discretionary | 19.0 | |||
Health Care | 11.7 | |||
Energy | 8.3 | |||
Financials | 6.4 | |||
Materials | 4.6 | |||
Consumer Staples | 2.3 | |||
Telecommunication Services | 1.6 | |||
Utilities | 0.9 | |||
Money Market Funds Plus Other Assets | ||||
Less Liabilities | 1.8 |
Total Net Assets | $175.7 million | |||
Total Number of Holdings* | 97 |
*Excluding money market fund holdings.
1. | Concho Resources Inc. | 1.8 | % | |||||
2. | Marriott International Inc. | 1.8 | ||||||
3. | AGCO Corp. | 1.6 | ||||||
4. | Albemarle Corp. | 1.6 | ||||||
5. | Affiliated Managers Group, Inc. | 1.6 | ||||||
6. | Universal Health Services, Inc. | 1.5 | ||||||
7. | Coach, Inc. | 1.5 | ||||||
8. | Rovi Corp. | 1.5 | ||||||
9. | Borg Warner, Inc. | 1.5 | ||||||
10. | Discover Financial Services | 1.5 |
1. | Oil & Gas Exploration & Production | 5.4 | % | |||||
2. | Semiconductors | 4.3 | ||||||
3. | Hotels, Resorts & Cruise Lines | 3.8 | ||||||
4. | Industrial Machinery | 3.5 | ||||||
5. | Specialty Chemicals | 2.9 | ||||||
6. | Department Stores | 2.8 | ||||||
7. | Systems Software | 2.7 | ||||||
8. | Application Software | 2.6 | ||||||
9. | Construction, Farm Machinery & Heavy Trucks | 2.6 | ||||||
10. | IT Consulting & Other Services | 2.6 |
n | There is a change in fundamentals, market capitalization or deterioration in the timeliness profile. | |
n | The price target set at purchase has been reached. | |
n | The investment thesis is no longer valid. | |
n | Insider selling indicates potential issues. |
1 | U.S. Federal Reserve | |
2 | Bureau of Economic Analysis | |
3 | U.S. Bureau of Labor Statistics |
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. Capital Development Fund. Mr. Rasplicka joined Invesco in 1998. He began his investment career in 1982. Mr. Rasplicka earned a B.S. in business administration from the University of Colorado and an M.B.A. from the University of Chicago.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Capital Development Fund. Mr. Lium joined Invesco in 2001. He earned a B.B.A. from Texas A&M University and an M.B.A. from The University of Texas at Austin.
Series I Shares | ||||||||
Inception (5/1/98) | 5.06 | % | ||||||
10 | Years | 3.66 | ||||||
5 | Years | 2.96 | ||||||
1 | Year | 18.78 | ||||||
Series II Shares | ||||||||
10 | Years | 3.41 | % | |||||
5 | Years | 2.71 | ||||||
1 | Year | 18.47 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least April 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–98.17% | ||||||||
Aerospace & Defense–1.23% | ||||||||
Goodrich Corp. | 24,594 | $ | 2,165,994 | |||||
Air Freight & Logistics–2.01% | ||||||||
C.H. Robinson Worldwide, Inc. | 23,795 | 1,908,121 | ||||||
UTI Worldwide, Inc. | 76,321 | 1,618,005 | ||||||
3,526,126 | ||||||||
Apparel, Accessories & Luxury Goods–1.53% | ||||||||
Coach, Inc. | 48,587 | 2,687,347 | ||||||
Application Software–2.60% | ||||||||
Autodesk, Inc.(b) | 44,233 | 1,689,701 | ||||||
Citrix Systems, Inc.(b) | 17,714 | 1,211,815 | ||||||
TIBCO Software Inc.(b) | 84,474 | 1,664,982 | ||||||
4,566,498 | ||||||||
Asset Management & Custody Banks–1.54% | ||||||||
Affiliated Managers Group, Inc.(b) | 27,255 | 2,704,241 | ||||||
Auto Parts & Equipment–2.03% | ||||||||
BorgWarner, Inc.(b) | 37,077 | 2,682,892 | ||||||
Gentex Corp. | 29,745 | 879,262 | ||||||
3,562,154 | ||||||||
Automotive Retail–1.13% | ||||||||
O’Reilly Automotive, Inc.(b) | 32,869 | 1,985,945 | ||||||
Biotechnology–1.77% | ||||||||
Human Genome Sciences, Inc.(b) | 58,085 | 1,387,651 | ||||||
United Therapeutics Corp.(b) | 27,368 | 1,730,205 | ||||||
3,117,856 | ||||||||
Broadcasting–1.05% | ||||||||
Discovery Communications, Inc.–Class A(b) | 44,243 | 1,844,933 | ||||||
Casinos & Gaming–2.25% | ||||||||
Las Vegas Sands Corp.(b) | 33,061 | 1,519,153 | ||||||
MGM Resorts International(b) | 163,754 | 2,431,747 | ||||||
3,950,900 | ||||||||
Coal & Consumable Fuels–1.06% | ||||||||
Alpha Natural Resources, Inc.(b) | 30,904 | 1,855,167 | ||||||
Communications Equipment–1.08% | ||||||||
Finisar Corp.(b) | 52,471 | 1,557,864 | ||||||
Lantronix Inc.–Wts., expiring 02/09/11(c) | 576 | 0 | ||||||
Sycamore Networks, Inc. | 16,669 | 343,215 | ||||||
1,901,079 | ||||||||
Computer Storage & Peripherals–1.05% | ||||||||
NetApp, Inc.(b) | 33,692 | 1,851,712 | ||||||
Construction & Engineering–0.68% | ||||||||
Foster Wheeler AG (Switzerland)(b) | 34,740 | 1,199,225 | ||||||
Construction, Farm Machinery & Heavy Trucks–2.58% | ||||||||
AGCO Corp.(b) | 54,740 | 2,773,129 | ||||||
Navistar International Corp.(b) | 30,340 | 1,756,989 | ||||||
4,530,118 | ||||||||
Consumer Finance–1.49% | ||||||||
Discover Financial Services | 141,584 | 2,623,552 | ||||||
Data Processing & Outsourced Services–1.43% | ||||||||
Alliance Data Systems Corp.(b)(d) | 35,350 | 2,510,910 | ||||||
Department Stores–2.79% | ||||||||
Macy’s, Inc. | 98,566 | 2,493,720 | ||||||
Nordstrom, Inc. | 56,935 | 2,412,905 | ||||||
4,906,625 | ||||||||
Education Services–1.03% | ||||||||
Capella Education Co.(b) | 27,312 | 1,818,433 | ||||||
Electrical Components & Equipment–1.05% | ||||||||
Regal-Beloit Corp. | 27,563 | 1,840,106 | ||||||
Electronic Components–1.33% | ||||||||
Amphenol Corp.–Class A | 44,373 | 2,342,007 | ||||||
Environmental & Facilities Services–1.02% | ||||||||
Republic Services, Inc. | 60,248 | 1,799,005 | ||||||
Health Care Equipment–2.37% | ||||||||
American Medical Systems Holdings, Inc.(b) | 72,370 | 1,364,898 | ||||||
CareFusion Corp.(b) | 72,656 | 1,867,259 | ||||||
NuVasive, Inc.(b)(d) | 36,549 | 937,482 | ||||||
4,169,639 | ||||||||
Health Care Facilities–2.09% | ||||||||
Brookdale Senior Living Inc.(b) | 45,377 | 971,521 | ||||||
Universal Health Services, Inc.–Class B | 62,073 | 2,695,210 | ||||||
3,666,731 | ||||||||
Health Care Services–0.94% | ||||||||
DaVita, Inc.(b) | 11,775 | 818,245 | ||||||
Fresenius Medical Care AG & Co. KGaA–ADR (Germany) | 14,422 | 832,005 | ||||||
1,650,250 | ||||||||
Shares | Value | |||||||
Hotels, Resorts & Cruise Lines–3.77% | ||||||||
Ctrip.com International, Ltd.–ADR (China)(b) | 40,862 | $ | 1,652,868 | |||||
Marriott International Inc.–Class A | 74,321 | 3,087,294 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 31,027 | 1,885,821 | ||||||
6,625,983 | ||||||||
Household Products–1.08% | ||||||||
Church & Dwight Co., Inc. | 27,609 | 1,905,573 | ||||||
Human Resource & Employment Services–2.03% | ||||||||
Manpower Inc. | 27,462 | 1,723,515 | ||||||
Robert Half International, Inc. | 60,048 | 1,837,469 | ||||||
3,560,984 | ||||||||
Independent Power Producers & Energy Traders–0.90% | ||||||||
KGEN Power Corp. (Acquired 01/12/07; Cost $2,219,196)(b)(e) | 158,514 | 1,585,140 | ||||||
Industrial Machinery–3.49% | ||||||||
Flowserve Corp. | 20,178 | 2,405,621 | ||||||
Gardner Denver Inc. | 23,559 | 1,621,330 | ||||||
Kennametal Inc. | 53,334 | 2,104,560 | ||||||
6,131,511 | ||||||||
Internet Software & Services–2.11% | ||||||||
Akamai Technologies, Inc.(b) | 19,522 | 918,510 | ||||||
MercadoLibre Inc.(b) | 16,486 | 1,098,792 | ||||||
VeriSign, Inc. | 51,661 | 1,687,765 | ||||||
3,705,067 | ||||||||
IT Consulting & Other Services–2.57% | ||||||||
Cognizant Technology Solutions Corp.–Class A(b) | 29,529 | 2,164,180 | ||||||
Teradata Corp.(b) | 57,343 | 2,360,238 | ||||||
4,524,418 | ||||||||
Life Sciences Tools & Services–1.90% | ||||||||
Life Technologies Corp.(b) | 31,272 | 1,735,596 | ||||||
Pharmaceutical Product Development, Inc. | 59,185 | 1,606,281 | ||||||
3,341,877 | ||||||||
Managed Health Care–1.50% | ||||||||
Aetna Inc. | 55,485 | 1,692,847 | ||||||
Aveta, Inc.(b)(e) | 157,251 | 943,506 | ||||||
2,636,353 | ||||||||
Metal & Glass Containers–1.42% | ||||||||
Crown Holdings, Inc.(b) | 74,688 | 2,493,085 | ||||||
Oil & Gas Equipment & Services–1.81% | ||||||||
Oil States International, Inc.(b) | 21,533 | 1,380,050 | ||||||
Weatherford International Ltd.(b) | 78,930 | 1,799,604 | ||||||
3,179,654 | ||||||||
Oil & Gas Exploration & Production–5.46% | ||||||||
Concho Resources Inc.(b) | 36,446 | 3,195,221 | ||||||
Continental Resources, Inc.(b) | 36,870 | 2,169,799 | ||||||
Oasis Petroleum Inc.(b) | 62,580 | 1,697,170 | ||||||
Pioneer Natural Resources Co. | 29,153 | 2,531,063 | ||||||
9,593,253 | ||||||||
Packaged Foods & Meats–1.24% | ||||||||
Hershey Co. (The) | 46,160 | 2,176,444 | ||||||
Pharmaceuticals–1.07% | ||||||||
Shire PLC–ADR (United Kingdom) | 25,942 | 1,877,682 | ||||||
Precious Metals & Minerals–0.25% | ||||||||
Stillwater Mining Co.(b) | 20,539 | 438,508 | ||||||
Property & Casualty Insurance–0.82% | ||||||||
Assured Guaranty Ltd. | 81,212 | 1,437,452 | ||||||
Publishing–1.17% | ||||||||
McGraw-Hill Cos., Inc. (The) | 56,541 | 2,058,658 | ||||||
Real Estate Services–1.34% | ||||||||
CB Richard Ellis Group, Inc.–Class A(b) | 115,122 | 2,357,699 | ||||||
Research & Consulting Services–1.49% | ||||||||
IHS Inc.–Class A(b) | 32,507 | 2,613,238 | ||||||
Restaurants–1.16% | ||||||||
Darden Restaurants, Inc. | 43,981 | 2,042,478 | ||||||
Security & Alarm Services–0.94% | ||||||||
Corrections Corp. of America(b) | 66,133 | 1,657,293 | ||||||
Semiconductor Equipment–2.07% | ||||||||
Lam Research Corp.(b) | 34,458 | 1,784,235 | ||||||
Teradyne, Inc.(b) | 132,501 | 1,860,314 | ||||||
3,644,549 | ||||||||
Semiconductors–4.33% | ||||||||
Altera Corp. | 31,260 | 1,112,231 | ||||||
Avago Technologies Ltd. (Singapore)(b) | 77,060 | 2,193,898 | ||||||
Broadcom Corp.–Class A | 23,890 | 1,040,410 | ||||||
Cavium Networks, Inc.(b) | 43,234 | 1,629,057 | ||||||
Marvell Technology Group Ltd.(b) | 88,469 | 1,641,100 | ||||||
7,616,696 | ||||||||
Specialized Finance–1.22% | ||||||||
Moody’s Corp. | 80,654 | 2,140,557 | ||||||
Specialty Chemicals–2.95% | ||||||||
Albemarle Corp. | 49,398 | 2,755,420 | ||||||
Lubrizol Corp. (The) | 7,993 | 854,292 | ||||||
Shares | Value | |||||||
Specialty Chemicals–(continued) | ||||||||
LyondellBasell Industries N.V.–Class A (Netherlands)(b) | 45,655 | $ | 1,570,532 | |||||
5,180,244 | ||||||||
Specialty Stores–1.11% | ||||||||
Ulta Salon, Cosmetics & Fragrance, Inc.(b) | 57,482 | 1,954,388 | ||||||
Systems Software–2.68% | ||||||||
Check Point Software Technologies Ltd. (Israel)(b) | 43,639 | 2,018,740 | ||||||
Rovi Corp.(b) | 43,297 | 2,684,847 | ||||||
4,703,587 | ||||||||
Technology Distributors–1.37% | ||||||||
Avnet, Inc.(b) | 46,306 | 1,529,487 | ||||||
Tech Data Corp.(b) | 20,049 | 882,557 | ||||||
2,412,044 | ||||||||
Trading Companies & Distributors–2.29% | ||||||||
MSC Industrial Direct Co., Inc.–Class A | 27,678 | 1,790,490 | ||||||
W.W. Grainger, Inc. | 6,393 | 882,937 | ||||||
WESCO International, Inc.(b) | 25,566 | 1,349,885 | ||||||
4,023,312 | ||||||||
Trucking–1.94% | ||||||||
J.B. Hunt Transport Services, Inc. | 56,071 | 2,288,258 | ||||||
Swift Transportation Co.(b) | 89,653 | 1,121,559 | ||||||
3,409,817 | ||||||||
Wireless Telecommunication Services–1.56% | ||||||||
American Tower Corp.–Class A(b) | 37,006 | 1,910,990 | ||||||
Millicom International Cellular S.A. (Luxembourg) | 8,640 | 825,984 | ||||||
2,736,974 | ||||||||
Total Common Stocks & Other Equity Interests (Cost $127,213,006) | 172,541,071 | |||||||
Money Market Funds–2.29% | ||||||||
Liquid Assets Portfolio–Institutional Class(f) | 2,012,640 | 2,012,640 | ||||||
Premier Portfolio–Institutional Class(f) | 2,012,640 | 2,012,640 | ||||||
Total Money Market Funds (Cost $4,025,280) | 4,025,280 | |||||||
TOTAL INVESTMENTS (excluding investments purchased with cash collateral from securities on loan)–100.46% (Cost $131,238,286) | 176,566,351 | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds–1.29% | ||||||||
Liquid Assets Portfolio–Institutional Class (Cost $2,263,765)(f)(g) | 2,263,765 | 2,263,765 | ||||||
TOTAL INVESTMENTS–101.75% (Cost $133,502,051) | 178,830,116 | |||||||
OTHER ASSETS LESS LIABILITIES–(1.75%) | (3,083,062 | ) | ||||||
NET ASSETS–100.00% | $ | 175,747,054 | ||||||
ADR | – American Depositary Receipt | |
Wts. | – Warrants |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | Non-income producing security acquired through a corporate action. | |
(d) | All or a portion of this security was out on loan at December 31, 2010. | |
(e) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at December 31, 2010 was $2,528,646, which represented 1.44% of the Fund’s Net Assets. | |
(f) | The money market fund and the Fund are affiliated by having the same investment adviser. | |
(g) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 1I. |
Assets: | ||||
Investments, at value (Cost $127,213,006)* | $ | 172,541,071 | ||
Investments in affiliated money market funds, at value and cost | 6,289,045 | |||
Total investments, at value (Cost $133,502,051) | 178,830,116 | |||
Foreign currencies, at value (Cost $99) | 123 | |||
Receivable for: | ||||
Fund shares sold | 7,795 | |||
Dividends | 60,407 | |||
Investment for trustee deferred compensation and retirement plans | 32,645 | |||
Total assets | 178,931,086 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 441,619 | |||
Fund shares reacquired | 118,772 | |||
Collateral upon return of securities loaned | 2,263,765 | |||
Accrued fees to affiliates | 267,681 | |||
Accrued other operating expenses | 37,388 | |||
Trustee deferred compensation and retirement plans | 54,807 | |||
Total liabilities | 3,184,032 | |||
Net assets applicable to shares outstanding | $ | 175,747,054 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 183,904,337 | ||
Undistributed net investment income (loss) | (51,861 | ) | ||
Undistributed net realized gain (loss) | (53,433,510 | ) | ||
Unrealized appreciation | 45,328,088 | |||
$ | 175,747,054 | |||
Net Assets: | ||||
Series I | $ | 82,664,942 | ||
Series II | $ | 93,082,112 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 6,164,223 | |||
Series II | 7,150,126 | |||
Series I: | ||||
Net asset value per share | $ | 13.41 | ||
Series II: | ||||
Net asset value per share | $ | 13.02 | ||
* | At December 31, 2010, securities with an aggregate value of $2,204,388 were on loan to brokers. |
Investment income: | ||||
Dividends (net of foreign withholding taxes of $5,799) | $ | 1,573,408 | ||
Dividends from affiliated money market funds (includes securities lending income of $13,168) | 24,411 | |||
Total investment income | 1,597,819 | |||
Expenses: | ||||
Advisory fees | 1,278,105 | |||
Administrative services fees | 466,901 | |||
Custodian fees | 13,651 | |||
Distribution fees: | ||||
Series II | 227,652 | |||
Transfer agent fees | 30,430 | |||
Trustees’ and officers’ fees and benefits | 19,993 | |||
Other | 52,772 | |||
Total expenses | 2,089,504 | |||
Less: Fees waived and expense offset arrangement(s) | (21,030 | ) | ||
Net expenses | 2,068,474 | |||
Net investment income (loss) | (470,655 | ) | ||
Realized and unrealized gain from: | ||||
Net realized gain from: | ||||
Investment securities (includes net gains from securities sold to affiliates of $634,076) | 23,138,004 | |||
Foreign currencies | 4,938 | |||
23,142,942 | ||||
Change in net unrealized appreciation of: | ||||
Investment securities | 5,835,960 | |||
Foreign currencies | 23 | |||
5,835,983 | ||||
Net realized and unrealized gain | 28,978,925 | |||
Net increase in net assets resulting from operations | $ | 28,508,270 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income (loss) | $ | (470,655 | ) | $ | (859,030 | ) | ||
Net realized gain (loss) | 23,142,942 | (13,261,728 | ) | |||||
Change in net unrealized appreciation | 5,835,983 | 69,400,458 | ||||||
Net increase in net assets resulting from operations | 28,508,270 | 55,279,700 | ||||||
Share transactions–net: | ||||||||
Series I | (12,617,550 | ) | (5,484,404 | ) | ||||
Series II | (16,250,389 | ) | (16,147,547 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (28,867,939 | ) | (21,631,951 | ) | ||||
Net increase (decrease) in net assets | (359,669 | ) | 33,647,749 | |||||
Net assets: | ||||||||
Beginning of year | 176,106,723 | 142,458,974 | ||||||
End of year (includes undistributed net investment income (loss) of $(51,861) and $(49,367), respectively) | $ | 175,747,054 | $ | 176,106,723 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market |
quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these |
arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | ||
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
K. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $350 million | 0 | .75% | ||
Over $350 million | 0 | .625% | ||
Average Net Assets | Rate | |||
First $250 million | 0 | .745% | ||
Next $250 million | 0 | .73% | ||
Next $500 million | 0 | .715% | ||
Next $1.5 billion | 0 | .70% | ||
Next $2.5 billion | 0 | .685% | ||
Next $2.5 billion | 0 | .67% | ||
Next $2.5 billion | 0 | .655% | ||
Over $10 billion | 0 | .64% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 176,301,470 | $ | 943,506 | $ | 1,585,140 | $ | 178,830,116 | ||||||||
2010 | ||||
Net unrealized appreciation — investments | $ | 45,129,547 | ||
Net unrealized appreciation — other investments | 23 | |||
Temporary book/tax differences | (51,861 | ) | ||
Capital loss carryforward | (53,234,992 | ) | ||
Shares of beneficial interest | 183,904,337 | |||
Total net assets | $ | 175,747,054 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 26,776,236 | ||
December 31, 2017 | 26,458,756 | |||
Total capital loss carryforward | $ | 53,234,992 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 48,087,242 | ||
Aggregate unrealized (depreciation) of investment securities | (2,957,695 | ) | ||
Net unrealized appreciation of investment securities | $ | 45,129,547 | ||
Cost of investments for tax purposes is $133,700,569. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 985,705 | $ | 11,570,756 | 2,458,503 | $ | 21,351,970 | ||||||||||
Series II | 838,860 | 9,669,323 | 1,455,369 | 12,521,899 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (2,070,684 | ) | (24,188,306 | ) | (3,021,088 | ) | (26,836,374 | ) | ||||||||
Series II | (2,263,580 | ) | (25,919,712 | ) | (3,276,615 | ) | (28,669,446 | ) | ||||||||
Net increase (decrease) in share activity | (2,509,699 | ) | $ | (28,867,939 | ) | (2,383,831 | ) | $ | (21,631,951 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 72% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||
Net asset | Net | on securities | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||
value, | investment | (both | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | income (loss) | |||||||||||||||||||||||||||||||||||||||
beginning | income | realized and | investment | realized | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||
of period | (loss) | unrealized) | operations | gains | of period | Return(a) | (000s omitted) | absorbed | absorbed | net assets | turnover(b) | |||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 11.29 | $ | (0.02 | )(c) | $ | 2.14 | $ | 2.12 | $ | — | $ | 13.41 | 18.78 | % | $ | 82,665 | 1.08 | %(d) | 1.09 | %(d) | (0.14 | )%(d) | 79 | % | |||||||||||||||||||||||
Year ended 12/31/09 | 7.93 | (0.04 | )(c) | 3.40 | 3.36 | — | 11.29 | 42.37 | 81,866 | 1.10 | 1.11 | (0.41 | ) | 102 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 18.85 | (0.05 | )(c) | (8.88 | ) | (8.93 | ) | (1.99 | ) | 7.93 | (47.03 | ) | 61,986 | 1.10 | 1.11 | (0.38 | ) | 99 | ||||||||||||||||||||||||||||||
Year ended 12/31/07 | 18.43 | (0.10 | )(c) | 2.14 | 2.04 | (1.62 | ) | 18.85 | 10.84 | 149,776 | 1.05 | 1.06 | (0.47 | ) | 109 | |||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 16.09 | (0.07 | ) | 2.73 | 2.66 | (0.32 | ) | 18.43 | 16.52 | 148,668 | 1.08 | 1.09 | (0.48 | ) | 119 | |||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 10.99 | (0.04 | )(c) | 2.07 | 2.03 | — | 13.02 | 18.47 | 93,082 | 1.33 | (d) | 1.34 | (d) | (0.39 | )(d) | 79 | ||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 7.74 | (0.06 | )(c) | 3.31 | 3.25 | — | 10.99 | 41.99 | 94,241 | 1.35 | 1.36 | (0.66 | ) | 102 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 18.53 | (0.09 | )(c) | (8.71 | ) | (8.80 | ) | (1.99 | ) | 7.74 | (47.13 | ) | 80,473 | 1.35 | 1.36 | (0.63 | ) | 99 | ||||||||||||||||||||||||||||||
Year ended 12/31/07 | 18.19 | (0.15 | )(c) | 2.11 | 1.96 | (1.62 | ) | 18.53 | 10.55 | 190,815 | 1.30 | 1.31 | (0.72 | ) | 109 | |||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 15.92 | (0.10 | ) | 2.69 | 2.59 | (0.32 | ) | 18.19 | 16.26 | 128,990 | 1.33 | 1.34 | (0.73 | ) | 119 | |||||||||||||||||||||||||||||||||
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(b) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(c) | Calculated using average shares outstanding. | |
(d) | Ratios are based on average daily net assets (000’s) of $79,353 and $91,061 for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,268.70 | $ | 6.23 | $ | 1,019.71 | $ | 5.55 | 1.09 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,267.80 | 7.66 | 1,018.45 | 6.82 | 1.34 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 9.56 | % | ||
Series II Shares | 9.25 | |||
The S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
Russell 1000 Index▼ (Style-Specific Index) | 16.10 | |||
Lipper VUF Large-Cap Core Funds Index▼ (Peer Group Index) | 13.43 | |||
▼ | Liper Inc. |
Information Technology | 18.0 | % | ||
Health Care | 15.3 | |||
Financials | 13.4 | |||
Industrials | 13.4 | |||
Energy | 11.9 | |||
Consumer Staples | 8.8 | |||
Consumer Discretionary | 5.4 | |||
Telecommunication Services | 2.3 | |||
Utilities | 2.2 | |||
Materials | 1.8 | |||
Money Market Funds Plus Other Assets | ||||
Less Liabilities | 7.5 |
1. | Symantec Corp. | 2.9 | % | |||||
2. | CVS Caremark Corp. | 2.9 | ||||||
3. | Progressive Corp. (The) | 2.9 | ||||||
4. | Baker Hughes Inc. | 2.6 | ||||||
5. | American Express Co. | 2.6 | ||||||
6. | QUALCOMM, Inc. | 2.5 | ||||||
7. | Kroger Co. (The) | 2.5 | ||||||
8. | ITT Corp. | 2.4 | ||||||
9. | Berkshire Hathaway, Inc.- Class A | 2.4 | ||||||
10. | Microsoft Corp. | 2.4 |
1. | Communications Equipment | 6.6 | % | |||||
2. | Pharmaceuticals | 5.4 | ||||||
3. | Systems Software | 5.4 | ||||||
4. | Aerospace & Defense | 5.3 | ||||||
5. | Property & Casualty Insurance | 5.3 |
Total Net Assets | $1.4 billion | |||
Total Number of Holdings* | 71 |
*Excluding money market fund holdings.
Ronald Sloan
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. Core Equity Fund. Mr. Sloan has worked in the investment industry since 1971 and joined Invesco in 1998. Mr. Sloan attended the University of Missouri, where he earned both a B.S. in business administration and an M.B.A.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Core Equity Fund. Mr. Dann joined Invesco in 2004. He serves on the board of directors of the National Association of Petroleum Investment Analysts and is a member of the CFA Society of San Francisco. He earned an A.B. from Princeton University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Core Equity Fund. He began his investment career in 1988 and joined Invesco in 2004. He earned a B.A. from the University of California-Santa Barbara and is a member of the CFA Society of San Francisco.
Series I Shares | ||||||||
Inception (5/2/94) | 7.63 | % | ||||||
10 | Years | 1.43 | ||||||
5 | Years | 4.38 | ||||||
1 | Year | 9.56 | ||||||
Series II Shares | ||||||||
10 | Years | 1.18 | % | |||||
5 | Years | 4.12 | ||||||
1 | Year | 9.25 |
§ | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
§ | Unless otherwise noted, all data provided by Invesco. | |
§ | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
| ||||||||
Common Stocks & Other Equity Interests–92.52% | ||||||||
Aerospace & Defense–5.33% | ||||||||
ITT Corp. | 632,365 | $ | 32,952,540 | |||||
Lockheed Martin Corp. | 121,864 | 8,519,512 | ||||||
Northrop Grumman Corp. | 384,234 | 24,890,679 | ||||||
United Technologies Corp. | 91,102 | 7,171,549 | ||||||
73,534,280 | ||||||||
Agricultural Products–0.96% | ||||||||
Archer-Daniels-Midland Co. | 441,202 | 13,271,356 | ||||||
Air Freight & Logistics–0.67% | ||||||||
United Parcel Service, Inc.–Class B | 126,674 | 9,193,999 | ||||||
Application Software–0.66% | ||||||||
Adobe Systems Inc.(b) | 297,097 | 9,144,646 | ||||||
Asset Management & Custody Banks–3.41% | ||||||||
Legg Mason, Inc. | 760,314 | 27,576,589 | ||||||
Northern Trust Corp. | 350,584 | 19,425,859 | ||||||
47,002,448 | ||||||||
Automobile Manufacturers–0.65% | ||||||||
General Motors Co.(b) | 244,981 | 9,030,000 | ||||||
Biotechnology–1.63% | ||||||||
Genzyme Corp.(b) | 86,103 | 6,130,534 | ||||||
Gilead Sciences, Inc.(b) | 452,592 | 16,401,934 | ||||||
22,532,468 | ||||||||
Cable & Satellite–1.17% | ||||||||
Comcast Corp.–Class A | 736,998 | 16,191,846 | ||||||
Communications Equipment–6.58% | ||||||||
Cisco Systems, Inc.(b) | 484,648 | 9,804,429 | ||||||
Motorola Solutions, Inc.(b) | 2,983,934 | 27,064,281 | ||||||
Nokia Oyj–ADR (Finland) | 1,850,989 | 19,102,207 | ||||||
QUALCOMM, Inc. | 704,369 | 34,859,222 | ||||||
90,830,139 | ||||||||
Construction Materials–0.26% | ||||||||
CRH PLC (Ireland) | 174,084 | 3,607,900 | ||||||
Consumer Finance–2.55% | ||||||||
American Express Co. | 820,584 | 35,219,465 | ||||||
Data Processing & Outsourced Services–0.94% | ||||||||
Automatic Data Processing, Inc. | 281,587 | 13,031,846 | ||||||
Department Stores–1.16% | ||||||||
Macy’s, Inc. | 632,904 | 16,012,471 | ||||||
Diversified Banks–0.73% | ||||||||
U.S. Bancorp. | 374,728 | 10,106,414 | ||||||
Drug Retail–3.57% | ||||||||
CVS Caremark Corp. | 1,155,594 | 40,180,003 | ||||||
Walgreen Co. | 235,235 | 9,164,756 | ||||||
49,344,759 | ||||||||
Electric Utilities–2.25% | ||||||||
Edison International | 232,263 | 8,965,352 | ||||||
Exelon Corp. | 531,365 | 22,126,038 | ||||||
31,091,390 | ||||||||
Electrical Components & Equipment–0.51% | ||||||||
Emerson Electric Co. | 122,623 | 7,010,357 | ||||||
Electronic Manufacturing Services–1.47% | ||||||||
Tyco Electronics Ltd. (Switzerland) | 571,169 | 20,219,383 | ||||||
Environmental & Facilities Services–1.30% | ||||||||
Waste Management, Inc. | 487,966 | 17,991,306 | ||||||
Food Retail–2.52% | ||||||||
Kroger Co. (The) | 1,557,128 | 34,817,382 | ||||||
Health Care Equipment–4.95% | ||||||||
Baxter International Inc. | 315,000 | 15,945,300 | ||||||
Boston Scientific Corp.(b) | 3,576,722 | 27,075,786 | ||||||
Covidien PLC (Ireland) | 555,488 | 25,363,582 | ||||||
68,384,668 | ||||||||
Heavy Electrical Equipment–0.50% | ||||||||
ABB Ltd.–ADR (Switzerland)(b) | 306,024 | 6,870,239 | ||||||
Home Improvement Retail–1.98% | ||||||||
Lowe’s Cos., Inc. | 1,091,085 | 27,364,412 | ||||||
Hypermarkets & Super Centers–0.74% | ||||||||
Wal-Mart Stores, Inc. | 189,844 | 10,238,287 | ||||||
Industrial Conglomerates–2.72% | ||||||||
General Electric Co. | 500,773 | 9,159,138 | ||||||
Koninklijke (Royal) Philips Electronics N.V. (Netherlands) | 137,868 | 4,225,149 | ||||||
Tyco International Ltd. | 581,701 | 24,105,689 | ||||||
37,489,976 | ||||||||
Industrial Gases–1.50% | ||||||||
Air Products & Chemicals, Inc. | 227,681 | 20,707,587 | ||||||
Industrial Machinery–0.84% | ||||||||
Illinois Tool Works Inc. | 216,147 | 11,542,250 | ||||||
Insurance Brokers–1.05% | ||||||||
Marsh & McLennan Cos., Inc. | 529,649 | 14,480,604 | ||||||
Shares | Value | |||||||
Integrated Oil & Gas–1.06% | ||||||||
ConocoPhillips | 112,425 | $ | 7,656,142 | |||||
Exxon Mobil Corp. | 94,817 | 6,933,019 | ||||||
14,589,161 | ||||||||
Investment Banking & Brokerage–0.45% | ||||||||
Charles Schwab Corp. (The) | 366,600 | 6,272,526 | ||||||
Life Sciences Tools & Services–3.02% | ||||||||
Agilent Technologies, Inc.(b) | 471,727 | 19,543,650 | ||||||
Thermo Fisher Scientific, Inc.(b) | 399,814 | 22,133,703 | ||||||
41,677,353 | ||||||||
Managed Health Care–1.67% | ||||||||
WellPoint Inc.(b) | 406,398 | 23,107,790 | ||||||
Oil & Gas Equipment & Services–4.26% | ||||||||
Baker Hughes Inc. | 630,462 | 36,043,513 | ||||||
Schlumberger Ltd. | 193,772 | 16,179,962 | ||||||
Tenaris S.A.–ADR (Argentina)(c) | 135,638 | 6,643,549 | ||||||
58,867,024 | ||||||||
Oil & Gas Exploration & Production–3.26% | ||||||||
Apache Corp. | 252,203 | 30,070,164 | ||||||
Devon Energy Corp. | 134,651 | 10,571,450 | ||||||
Southwestern Energy Co.(b) | 116,882 | 4,374,893 | ||||||
45,016,507 | ||||||||
Oil & Gas Refining & Marketing–1.31% | ||||||||
Valero Energy Corp. | 783,303 | 18,109,965 | ||||||
Oil & Gas Storage & Transportation–2.00% | ||||||||
Williams Cos., Inc. (The) | 1,118,698 | 27,654,215 | ||||||
Packaged Foods & Meats–0.98% | ||||||||
Kraft Foods, Inc.–Class A | 427,241 | 13,462,364 | ||||||
Pharmaceuticals–5.40% | ||||||||
Johnson & Johnson | 178,835 | 11,060,945 | ||||||
Pfizer, Inc. | 1,188,808 | 20,816,028 | ||||||
Roche Holding AG (Switzerland) | 194,381 | 28,515,041 | ||||||
Teva Pharmaceutical Industries Ltd.–ADR (Israel) | 271,370 | 14,146,518 | ||||||
74,538,532 | ||||||||
Property & Casualty Insurance–5.26% | ||||||||
Berkshire Hathaway, Inc.–Class A(b) | 272 | 32,762,400 | ||||||
Progressive Corp. (The) | 2,005,996 | 39,859,140 | ||||||
72,621,540 | ||||||||
Railroads–1.57% | ||||||||
Union Pacific Corp. | 233,511 | 21,637,129 | ||||||
Semiconductors–1.61% | ||||||||
Intel Corp. | 307,264 | 6,461,762 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 6,485,823 | 15,717,036 | ||||||
22,178,798 | ||||||||
Specialty Stores–0.46% | ||||||||
Staples, Inc. | 280,766 | 6,393,042 | ||||||
Systems Software–5.35% | ||||||||
CA, Inc. | 35,319 | 863,196 | ||||||
Microsoft Corp. | 1,165,405 | 32,538,108 | ||||||
Symantec Corp.(b) | 2,419,219 | 40,497,726 | ||||||
73,899,030 | ||||||||
Wireless Telecommunication Services–2.26% | ||||||||
Vodafone Group PLC (United Kingdom) | 11,954,877 | 31,141,018 | ||||||
Total Common Stocks & Other Equity Interests (Cost $1,114,238,001) | 1,277,427,872 | |||||||
Money Market Funds–7.53% | ||||||||
Liquid Assets Portfolio–Institutional Class(d) | 51,997,004 | 51,997,004 | ||||||
Premier Portfolio–Institutional Class(d) | 51,997,004 | 51,997,004 | ||||||
Total Money Market Funds (Cost $103,994,008) | 103,994,008 | |||||||
TOTAL INVESTMENTS (excluding investments purchased with cash collateral from securities on loan)–100.05% (Cost $1,218,232,009) | 1,381,421,880 | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds–0.37% | ||||||||
Liquid Assets Portfolio–Institutional Class (Cost $5,111,832)(d)(e) | 5,111,832 | 5,111,832 | ||||||
TOTAL INVESTMENTS–100.42% (Cost $1,223,343,841) | 1,386,533,712 | |||||||
OTHER ASSETS LESS LIABILITIES–(0.42)% | (5,850,928 | ) | ||||||
NET ASSETS–100.00% | $ | 1,380,682,784 | ||||||
ADR | – American Depositary Receipt |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | All or a portion of this security was out on loan at December 31, 2010. | |
(d) | The money market fund and the Fund are affiliated by having the same investment adviser. | |
(e) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 1J. |
Assets: | ||||
Investments, at value (Cost $1,114,238,001)* | $ | 1,277,427,872 | ||
Investments in affiliated money market funds, at value and cost | 109,105,840 | |||
Total investments, at value (Cost $1,223,343,841) | 1,386,533,712 | |||
Foreign currencies, at value (Cost $486,709) | 533,359 | |||
Receivables for: | ||||
Fund shares sold | 107,830 | |||
Dividends | 1,900,585 | |||
Investment for trustee deferred compensation and retirement plans | 139,964 | |||
Other assets | 1,044 | |||
Total assets | 1,389,216,494 | |||
Liabilities: | ||||
Payables for: | ||||
Fund shares reacquired | 1,213,103 | |||
Foreign currency contracts outstanding | 50,646 | |||
Collateral upon return of securities loaned | 5,111,832 | |||
Accrued fees to affiliates | 1,643,577 | |||
Accrued other operating expenses | 94,086 | |||
Trustee deferred compensation and retirement plans | 420,466 | |||
Total liabilities | 8,533,710 | |||
Net assets applicable to shares outstanding | $ | 1,380,682,784 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 1,423,990,339 | ||
Undistributed net investment income | 11,218,757 | |||
Undistributed net realized gain (loss) | (217,724,078 | ) | ||
Unrealized appreciation | 163,197,766 | |||
$ | 1,380,682,784 | |||
Net Assets: | ||||
Series I | $ | 1,345,657,656 | ||
Series II | $ | 35,025,128 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 49,784,286 | |||
Series II | 1,305,691 | |||
Series I: | ||||
Net asset value per share | $ | 27.03 | ||
Series II: | ||||
Net asset value per share | $ | 26.82 | ||
* | At December 31, 2010, securities with an aggregate value of $4,982,637 were on loan to brokers. |
Investment income: | ||||
Dividends (net of foreign withholding taxes of $524,618) | $ | 23,788,219 | ||
Dividends from affiliated money market funds (includes securities lending income of $130,819) | 391,853 | |||
Total investment income | 24,180,072 | |||
Expenses: | ||||
Advisory fees | 8,455,331 | |||
Administrative services fees | 3,630,908 | |||
Custodian fees | 84,029 | |||
Distribution fees — Series II | 86,917 | |||
Transfer agent fees | 81,026 | |||
Trustees’ and officers’ fees and benefits | 55,187 | |||
Other | 102,110 | |||
Total expenses | 12,495,508 | |||
Less: Fees waived | (325,026 | ) | ||
Net expenses | 12,170,482 | |||
Net investment income | 12,009,590 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain (loss) from: | ||||
Investment securities (includes net gains (losses) from securities sold to affiliates of $(2,573,609)) | 43,992,550 | |||
Foreign currencies | (382,715 | ) | ||
Foreign currency contracts | 1,564,960 | |||
45,174,795 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | 66,185,831 | |||
Foreign currencies | 2,917 | |||
Foreign currency contracts | (729,917 | ) | ||
65,458,831 | ||||
Net realized and unrealized gain | 110,633,626 | |||
Net increase in net assets resulting from operations | $ | 122,643,216 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 12,009,590 | $ | 12,984,133 | ||||
Net realized gain(loss) | 45,174,795 | (118,861,783 | ) | |||||
Change in net unrealized appreciation | 65,458,831 | 445,880,351 | ||||||
Net increase in net assets resulting from operations | 122,643,216 | 340,002,701 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (12,902,647 | ) | (23,923,292 | ) | ||||
Series II | (280,002 | ) | (459,176 | ) | ||||
Total distributions from net investment income | (13,182,649 | ) | (24,382,468 | ) | ||||
Share transactions–net: | ||||||||
Series I | (217,887,519 | ) | (182,712,672 | ) | ||||
Series II | (1,987,933 | ) | 4,143,838 | |||||
Net increase (decrease) in net assets resulting from share transactions | (219,875,452 | ) | (178,568,834 | ) | ||||
Net increase (decrease) in net assets | (110,414,885 | ) | 137,051,399 | |||||
Net assets: | ||||||||
Beginning of year | 1,491,097,669 | 1,354,046,270 | ||||||
End of year (includes undistributed net investment income of $11,218,757 and $12,774,531, respectively) | $ | 1,380,682,784 | $ | 1,491,097,669 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as |
institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the |
financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | ||
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
K. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $250 million | 0 | .65% | ||
Over $250 million | 0 | .60% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 1,355,392,694 | $ | 31,141,018 | $ | — | $ | 1,386,533,712 | ||||||||
Foreign Currency Contracts* | — | (50,646 | ) | — | (50,646 | ) | ||||||||||
Total Investments | $ | 1,355,392,694 | $ | 31,090,372 | $ | — | $ | 1,386,483,066 | ||||||||
* | Unrealized appreciation (depreciation). |
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Currency risk(a) | ||||||||
Foreign Currency Contracts(a) | $ | — | $ | (50,646 | ) | |||
(a) | Values are disclosed on the Statement of Assets and Liabilities under the foreign currency contracts outstanding. |
Location of Gain (Loss) on | ||||
Statement of Operations | ||||
Foreign Currency Contracts* | ||||
Realized Gain | ||||
Currency Risk | $ | 1,564,960 | ||
Change in Unrealized Appreciation (Depreciation) | ||||
Currency Risk | (729,917 | ) | ||
Total | $ | 835,043 | ||
* | The average value of foreign currency contracts outstanding during the period was $13,598,708. |
Open Foreign Currency Contracts | ||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||
Settlement | Contract to | Appreciation | ||||||||||||||||||||
Date | Counterparty | Deliver | Receive | Value | (Depreciation) | |||||||||||||||||
03/03/11 | Citibank Capital | GPB | 9,900,000 | USD | 15,384,402 | $ | 15,435,048 | $ | (50,646 | ) | ||||||||||||
Currency Abbreviations: | ||
GBP | – British Pound Sterling | |
USD | – U.S. Dollar |
2010 | 2009 | |||||||
Ordinary income | $ | 13,182,649 | $ | 24,382,468 | ||||
2010 | ||||
Undistributed ordinary income | $ | 11,625,655 | ||
Net unrealized appreciation — investments | 155,702,721 | |||
Net unrealized appreciation — other investments | 58,541 | |||
Temporary book/tax differences | (406,899 | ) | ||
Capital loss carryforward | (210,287,573 | ) | ||
Shares of beneficial interest | 1,423,990,339 | |||
Total net assets | $ | 1,380,682,784 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2011 | $ | 21,217,854 | ||
December 31, 2017 | 189,069,719 | |||
Total capital loss carryforward | $ | 210,287,573 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. To the extent that unrealized gains as of May 1, 2006, the date of the reorganization of AIM V.I. Core Stock Fund and AIM V.I. Premier Equity Fund, into the Fund, are realized on securities held in each Fund at such date, the capital loss carryforward may be further limited for up to five years from the date of the reorganization. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 198,527,191 | ||
Aggregate unrealized (depreciation) of investment securities | (42,824,470 | ) | ||
Net unrealized appreciation of investment securities | $ | 155,702,721 | ||
Cost of investments for tax purposes is $1,230,830,991. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 1,698,343 | $ | 42,098,514 | 3,599,291 | $ | 75,638,826 | ||||||||||
Series II | 351,173 | 8,756,793 | 497,105 | 10,793,298 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 519,430 | 12,902,647 | 975,664 | 23,923,292 | ||||||||||||
Series II | 11,350 | 280,003 | 18,850 | 459,176 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (10,899,313 | ) | (272,888,680 | ) | (13,469,940 | ) | (282,274,790 | ) | ||||||||
Series II | (441,967 | ) | (11,024,729 | ) | (348,530 | ) | (7,108,636 | ) | ||||||||
Net increase (decrease) in share activity | (8,760,984 | ) | $ | (219,875,452 | ) | (8,727,560 | ) | $ | (178,568,834 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 55% of the outstanding shares of the Fund. IDI has an agreement with these entities to sell Fund shares. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as securities brokerage, distribution, third party record keeping and account servicing. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | (losses) on | Dividends | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | securities (both | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | income (loss) | |||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | ||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | ||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 24.92 | $ | 0.22 | $ | 2.14 | $ | 2.36 | $ | (0.25 | ) | $ | (0.25 | ) | $ | 27.03 | 9.56 | % | $ | 1,345,658 | 0.87 | %(d) | 0.89 | %(d) | 0.87 | %(d) | 47 | % | ||||||||||||||||||||||||
Year ended 12/31/09 | 19.75 | 0.19 | 5.39 | 5.58 | (0.41 | ) | (0.41 | ) | 24.92 | 28.30 | 1,456,822 | 0.88 | 0.90 | 0.96 | 21 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 29.11 | 0.33 | (9.11 | ) | (8.78 | ) | (0.58 | ) | (0.58 | ) | 19.75 | (30.14 | ) | 1,330,161 | 0.89 | 0.90 | 1.26 | 36 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 27.22 | 0.42 | 1.80 | 2.22 | (0.33 | ) | (0.33 | ) | 29.11 | 8.12 | 2,298,007 | 0.87 | 0.88 | 1.44 | 45 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 23.45 | 0.34 | 3.58 | 3.92 | (0.15 | ) | (0.15 | ) | 27.22 | 16.70 | 2,699,252 | 0.89 | 0.89 | 1.35 | 45 | |||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 24.75 | 0.15 | 2.12 | 2.27 | (0.20 | ) | (0.20 | ) | 26.82 | 9.25 | 35,025 | 1.12 | (d) | 1.14 | (d) | 0.62 | (d) | 47 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 19.62 | 0.14 | 5.34 | 5.48 | (0.35 | ) | (0.35 | ) | 24.75 | 27.98 | 34,275 | 1.13 | 1.15 | 0.71 | 21 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 28.88 | 0.26 | (9.02 | ) | (8.76 | ) | (0.50 | ) | (0.50 | ) | 19.62 | (30.32 | ) | 23,885 | 1.14 | 1.15 | 1.01 | 36 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 27.02 | 0.34 | 1.80 | 2.14 | (0.28 | ) | (0.28 | ) | 28.88 | 7.88 | 34,772 | 1.12 | 1.13 | 1.19 | 45 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 23.33 | 0.28 | 3.55 | 3.83 | (0.14 | ) | (0.14 | ) | 27.02 | 16.42 | 39,729 | 1.14 | 1.14 | 1.10 | 45 | |||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $1,353,622 and $34,767 for Series I and Series II shares, respectively. |
and Shareholders of Invesco V.I. Core Equity Fund:
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,180.30 | $ | 4.84 | $ | 1,020.77 | $ | 4.48 | 0.88 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,178.70 | 6.21 | 1,019.51 | 5.75 | 1.13 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 100% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 10.05 | % | ||
Series II Shares | 9.70 | |||
Barclays Capital U.S. Aggregate Index▼(Broad Market Index) | 6.54 | |||
Barclays Capital U.S. Credit Index▼(Style-Specific Index) | 8.47 | |||
Lipper VUF Corporate Debt BBB-Rated Funds Index▼(Peer Group Index) | 7.69 | |||
▼Lipper Inc. |
n | A conscious decision to alter the Fund’s macro risk exposure (such as duration, yield curve positioning, sector exposure). | |
n | The need to limit or reduce exposure to a particular sector or issuer. | |
n | Degradation of an issuer’s credit quality. | |
n | Realignment of a valuation target. | |
n | Presentation of a better relative value opportunity. |
Investment Banking & Brokerage | 8.5 | % | ||
Other Diversified Financial Services | 8.5 | |||
Diversified Banks | 6.0 | |||
Other Industries, Each with Less | ||||
Than 3.0% of Total Net Assets | 74.5 | |||
Money Market Funds Plus | ||||
Other Assets Less Liabilities | 2.5 |
1. | Citigroup Inc. | 3.6 | % | |||||
2. | Prudential Financial Inc. | 2.0 | ||||||
3. | Bank of America Corp. | 1.9 | ||||||
4. | Goldman Sachs Group Inc. (The) | 1.8 | ||||||
5. | U.S. Treasury Bonds | 1.7 | ||||||
6. | Hutchison Whampoa International Ltd. | 1.7 | ||||||
7. | DIRECTV Holdings LLC/DIRECTV | 1.7 | ||||||
8. | COX Communications Inc. | 1.6 | ||||||
9. | Morgan Stanley | 1.6 | ||||||
10. | Jeffries Group Inc. | 1.5 |
Total Net Assets | $23.5 million | |||
Total Number of Holdings* | 346 |
*Excluding money market fund holdings.
1 | Bureau of Economic Analysis | |
2 | U.S. Federal Reserve | |
3 | Barclays Capital |
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Diversified Income Fund. She joined Invesco in 1996. Ms. Brien earned a B.B.A. from The University of Texas at Austin. She is a director, and a past president, of the CFA Society of Houston.
Portfolio manager, is manager of Invesco V.I. Diversified Income Fund. He joined Invesco in 2002. Mr. Burge earned a B.S. in economics from Texas A&M University and an M.B.A. in finance and accounting from Rice University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Diversified Income Fund. He joined Invesco in 1999. Mr. Craddock earned a B.S. in mechanical engineering from Clemson University and an M.B.A. from Georgia Tech’s Dupree School of Management with a concentration in finance.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Diversified Income Fund. Mr. Ehret joined Invesco in 2001. He graduated cum laude with a B.S. in economics from the University of Minnesota. He also earned an M.S. in real estate appraisal and investment analysis from the University of Wisconsin-Madison.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Diversified Income Fund. He joined Invesco in 1992. Mr. Hughes earned a B.B.A. in finance and economics from Baylor University.
Series I Shares | ||||||||
Inception (5/5/93) | 4.07 | % | ||||||
10 | Years | 3.20 | ||||||
5 | Years | 1.83 | ||||||
1 | Year | 10.05 | ||||||
Series II Shares | ||||||||
10 | Years | 2.94 | % | |||||
5 | Years | 1.58 | ||||||
1 | Year | 9.70 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least April 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Principal | ||||||||
Amount | Value | |||||||
Bonds & Notes–88.29% | ||||||||
Advertising–0.11% | ||||||||
Lamar Media Corp., Sr. Gtd. Sub. Global Notes, 7.88%, 04/15/18 | $ | 25,000 | $ | 26,594 | ||||
Aerospace & Defense–0.40% | ||||||||
BE Aerospace, Inc., Sr. Unsec. Notes, 8.50%, 07/01/18 | 25,000 | 27,359 | ||||||
Bombardier Inc. (Canada), Sr. Notes, 7.50%, 03/15/18(b) | 10,000 | 10,788 | ||||||
7.75%, 03/15/20(b) | 15,000 | 16,350 | ||||||
Raytheon Co., Sr. Unsec. Notes, 1.63%, 10/15/15 | 30,000 | 28,829 | ||||||
Triumph Group, Inc., Sr. Unsec. Gtd. Sub. Global Notes, 8.00%, 11/15/17 | 10,000 | 10,575 | ||||||
93,901 | ||||||||
Agricultural Products–0.13% | ||||||||
Corn Products International, Inc., Sr. Unsec. Notes, 6.63%, 04/15/37 | 30,000 | 31,378 | ||||||
Airlines–2.37% | ||||||||
American Airlines–Series 2009-1A, Sec. Pass Through Ctfs., 10.38%, 07/02/19 | 44,381 | 52,980 | ||||||
Continental Airlines Inc., Series 2009-1, Class A, Sec. Pass Through Ctfs., 9.00%, 07/08/16 | 201,511 | 230,731 | ||||||
Series 2009-1, Class B, Sec. Global Pass Through Ctfs., 9.25%, 05/10/17 | 14,248 | 15,459 | ||||||
Delta Air Lines, Inc., Sr. Sec. Notes, 9.50%, 09/15/14(b) | 9,000 | 9,832 | ||||||
Series 2002-1, Class C, Sec. Pass Through Ctfs., 7.78%, 01/02/12 | 6,025 | 6,070 | ||||||
Series 2009-1, Class A, Sr. Sec. Pass Through Ctfs., 7.75%, 12/17/19 | 43,929 | 49,036 | ||||||
Series 2010-1, Class A, Sec. Pass Through Ctfs., 6.20%, 07/02/18 | 40,000 | 42,950 | ||||||
Series 2010-2, Class A, Sec. Pass Through Ctfs., 4.95%, 05/23/19 | 60,000 | 60,375 | ||||||
UAL Corp., Series 2009-1, Sr. Sec. Gtd. Global Pass Through Ctfs., 10.40%, 11/01/16 | 47,215 | 54,888 | ||||||
Series 2009-2A, Sec. Gtd. Global Pass Through Ctfs., 9.75%, 01/15/17 | 28,552 | 33,120 | ||||||
555,441 | ||||||||
Aluminum–0.11% | ||||||||
Century Aluminum Co., Sr. Sec. Notes, 8.00%, 05/15/14 | 25,000 | 26,453 | ||||||
Apparel Retail–0.24% | ||||||||
Limited Brands Inc., Sr. Unsec. Gtd. Global Notes, 8.50%, 06/15/19 | 50,000 | 57,500 | ||||||
Apparel, Accessories & Luxury Goods–0.07% | ||||||||
Hanesbrands Inc., Sr. Unsec. Gtd. Notes, 6.38%, 12/15/20(b) | 5,000 | 4,825 | ||||||
Phillips-Van Heusen Corp., Sr. Unsec. Notes, 7.38%, 05/15/20 | 10,000 | 10,625 | ||||||
15,450 | ||||||||
Auto Parts & Equipment–0.14% | ||||||||
Allison Transmission Inc., Sr. Unsec. Gtd. Notes, 11.00%, 11/01/15(b) | 15,000 | 16,388 | ||||||
Tenneco Inc., Sr. Gtd. Notes, 6.88%, 12/15/20(b) | 15,000 | 15,300 | ||||||
31,688 | ||||||||
Automotive Retail–1.43% | ||||||||
Advance Auto Parts, Inc., Sr. Unsec. Gtd. Notes, 5.75%, 05/01/20 | 100,000 | 103,875 | ||||||
AutoZone Inc., Sr. Unsec. Notes, 5.75%, 01/15/15 | 210,000 | 231,399 | ||||||
335,274 | ||||||||
Brewers–0.41% | ||||||||
Anheuser-Busch InBev Worldwide Inc., Sr. Unsec. Gtd. Global Notes, 4.13%, 01/15/15 | 90,000 | 95,069 | ||||||
Broadcasting–1.86% | ||||||||
Allbritton Communications Co., Sr. Unsec. Global Notes, 8.00%, 05/15/18 | 25,000 | 25,375 | ||||||
COX Communications Inc., Sr. Unsec. Bonds, 8.38%, 03/01/39(b) | 75,000 | 96,920 | ||||||
Sr. Unsec. Global Notes, 5.45%, 12/15/14 | 95,000 | 104,520 | ||||||
Sr. Unsec. Notes, 9.38%, 01/15/19(b) | 140,000 | 182,940 | ||||||
Nielsen Finance LLC/Co., Sr. Unsec. Gtd. Sub. Disc. Global Notes, 12.50%, 08/01/16(c) | 25,000 | 26,375 | ||||||
436,130 | ||||||||
Building Products–0.54% | ||||||||
Building Materials Corp. of America, Sr. Gtd. Notes, 7.50%, 03/15/20(b) | 25,000 | 25,688 | ||||||
Gibraltar Industries Inc.–Series B, Sr. Unsec. Gtd. Sub. Global Notes, 8.00%, 12/01/15 | 15,000 | 15,206 | ||||||
Ply Gem Industries Inc., Sr. Sec. Gtd. First & Second Lien Global Notes, 11.75%, 06/15/13 | 45,000 | 48,262 | ||||||
Roofing Supply Group LLC/Roofing Supply Finance Inc., Sr. Sec. Notes, 8.63%, 12/01/17(b) | 20,000 | 20,850 | ||||||
USG Corp., Sr. Unsec. Gtd. Notes, 9.75%, 08/01/14(b) | 15,000 | 15,938 | ||||||
125,944 | ||||||||
Cable & Satellite–2.49% | ||||||||
Cablevision Systems Corp., Sr. Unsec. Global Notes, 8.63%, 09/15/17 | 25,000 | 27,469 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Sr. Unsec. Gtd. Global Notes, 7.63%, 05/15/16 | 350,000 | 389,375 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Cable & Satellite–(continued) | ||||||||
Hughes Network Systems LLC/HNS Finance Corp., Sr. Unsec. Gtd. Global Notes, 9.50%, 04/15/14 | $ | 20,000 | $ | 20,725 | ||||
Sirius XM Radio Inc., Sr. Unsec. Gtd. Notes, 8.75%, 04/01/15(b) | 15,000 | 16,256 | ||||||
Time Warner Cable Inc., Sr. Unsec. Gtd. Notes, 5.00%, 02/01/20 | 60,000 | 61,866 | ||||||
5.88%, 11/15/40 | 70,000 | 69,583 | ||||||
585,274 | ||||||||
Casinos & Gaming–0.61% | ||||||||
Great Canadian Gaming Corp. (Canada), Sr. Unsec. Gtd. Sub. Notes, 7.25%, 02/15/15(b) | 25,000 | 25,750 | ||||||
MGM Resorts International, Sr. Sec. Global Notes, 11.13%, 11/15/17 | 15,000 | 17,362 | ||||||
Sr. Unsec. Gtd. Global Notes, 6.63%, 07/15/15 | 15,000 | 13,838 | ||||||
Pinnacle Entertainment Inc., Sr. Unsec. Gtd. Global Notes, 8.63%, 08/01/17 | 30,000 | 32,775 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Sr. Sec. Gtd. First Mortgage Global Notes, 7.88%, 11/01/17 | 50,000 | 54,000 | ||||||
143,725 | ||||||||
Coal & Consumable Fuels–0.14% | ||||||||
CONSOL Energy Inc., Sr. Unsec. Gtd. Notes, 8.00%, 04/01/17(b) | 15,000 | 16,087 | ||||||
8.25%, 04/01/20(b) | 15,000 | 16,275 | ||||||
32,362 | ||||||||
Computer & Electronics Retail–0.04% | ||||||||
Rent-A-Center Inc./TX, Sr. Unsec. Notes, 6.63%, 11/15/20(b) | 10,000 | 10,025 | ||||||
Computer Storage & Peripherals–0.04% | ||||||||
Seagate HDD Cayman (Cayman Islands), Sr. Unsec. Gtd. Notes, 7.75%, 12/15/18(b) | 10,000 | 10,213 | ||||||
Construction Materials–0.92% | ||||||||
CRH America Inc., Sr. Unsec. Gtd. Notes, 4.13%, 01/15/16 | 80,000 | 79,376 | ||||||
Holcim U.S. Finance Sarl & Cie SCS (Switzerland), Sr. Unsec. Gtd. Notes, 6.00%, 12/30/19(b) | 110,000 | 114,778 | ||||||
Texas Industries Inc., Sr. Unsec. Gtd. Notes, 9.25%, 08/15/20(b) | 20,000 | 21,350 | ||||||
215,504 | ||||||||
Construction, Farm Machinery & Heavy Trucks–0.46% | ||||||||
Case New Holland Inc., Sr. Unsec. Gtd. Global Notes, 7.75%, 09/01/13 | 20,000 | 21,600 | ||||||
CNH America LLC, Sr. Unsec. Gtd. Notes, 7.25%, 01/15/16 | 25,000 | 27,125 | ||||||
Manitowoc Co. Inc. (The), Sr. Unsec. Gtd. Notes, 8.50%, 11/01/20 | 5,000 | 5,356 | ||||||
Navistar International Corp., Sr. Unsec. Gtd. Notes, 8.25%, 11/01/21 | 25,000 | 27,062 | ||||||
Titan International Inc., Sr. Sec. Gtd. Notes, 7.88%, 10/01/17(b) | 25,000 | 26,563 | ||||||
107,706 | ||||||||
Consumer Finance–1.12% | ||||||||
Ally Financial Inc., Sr. Unsec. Gtd. Global Notes, 8.00%, 03/15/20 | 25,000 | 27,500 | ||||||
8.00%, 11/01/31 | 50,000 | 53,500 | ||||||
Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 8.00%, 12/15/16 | 65,000 | 72,800 | ||||||
National Money Mart Co. (Canada), Sr. Unsec. Gtd. Global Notes, 10.38%, 12/15/16 | 25,000 | 27,250 | ||||||
SLM Corp., Sr. Unsec. Medium-Term Notes, 8.00%, 03/25/20 | 45,000 | 45,885 | ||||||
Series A, Sr. Unsec. Gtd. Medium-Term Notes, 5.00%, 10/01/13 | 35,000 | 35,332 | ||||||
262,267 | ||||||||
Data Processing & Outsourced Services–0.11% | ||||||||
SunGard Data Systems Inc., Sr. Unsec. Gtd. Sub. Global Notes, 10.25%, 08/15/15 | 25,000 | 26,313 | ||||||
Department Stores–0.10% | ||||||||
Sears Holdings Corp., Sr. Sec. Notes, 6.63%, 10/15/18(b) | 25,000 | 23,625 | ||||||
Diversified Banks–5.95% | ||||||||
Bank of Nova Scotia (Canada), Sr. Unsec. Global Notes, 2.38%, 12/17/13 | 70,000 | 71,960 | ||||||
Barclays Bank PLC (United Kingdom), Sr. Unsec. Global Notes, 6.75%, 05/22/19 | 155,000 | 175,591 | ||||||
Credit Suisse AG (Switzerland), Sub. Global Medium-Term Notes, 5.40%, 01/14/20 | 115,000 | 117,675 | ||||||
HSBC Bank PLC (United Kingdom), Sr. Notes, 4.13%, 08/12/20(b) | 235,000 | 230,189 | ||||||
ING Bank N.V. (Netherlands), Unsec. Sub. Notes, 5.13%, 05/01/15(b) | 100,000 | 104,712 | ||||||
Lloyds TSB Bank PLC (United Kingdom), Sr. Unsec. Gtd. Medium-Term Notes, 4.38%, 01/12/15(b) | 145,000 | 144,614 | ||||||
Royal Bank of Scotland PLC (The) (United Kingdom), Sr. Unsec. Gtd. Global Notes, 4.88%, 03/16/15 | 130,000 | 132,432 | ||||||
Series 2, Sr. Unsec. Gtd. Global Notes, 3.40%, 08/23/13 | 75,000 | 75,854 | ||||||
Societe Generale (France), Sr. Unsec. Notes, 2.50%, 01/15/14(b) | 130,000 | 130,020 | ||||||
Standard Chartered PLC (United Kingdom), Sr. Unsec. Notes, 5.50%, 11/18/14(b) | 55,000 | 59,339 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Diversified Banks–(continued) | ||||||||
VTB Bank Via VTB Capital S.A. (Luxembourg), Sr. Unsec. Gtd. Notes, 6.55%, 10/13/20(b) | $ | 100,000 | $ | 98,757 | ||||
Wachovia Corp.–Series G, Sr. Unsec. Medium-Term Notes, 5.50%, 05/01/13 | 50,000 | 54,440 | ||||||
1,395,583 | ||||||||
Diversified Capital Markets–0.46% | ||||||||
UBS AG (Switzerland), Sr. Unsec. Medium-Term Notes, 5.75%, 04/25/18 | 100,000 | 109,009 | ||||||
Diversified Metals & Mining–0.47% | ||||||||
Freeport-McMoRan Copper & Gold Inc., Sr. Unsec. Bonds, 8.38%, 04/01/17 | 35,000 | 38,664 | ||||||
Rio Tinto Finance USA Ltd. (Australia), Sr. Unsec. Gtd. Global Notes, 8.95%, 05/01/14 | 60,000 | 72,587 | ||||||
111,251 | ||||||||
Drug Retail–0.74% | ||||||||
CVS Pass Through Trust, Sr. Unsec. Gtd. Notes, 5.77%, 01/10/33(b) | 175,000 | 174,083 | ||||||
Electric Utilities–2.80% | ||||||||
Carolina Power & Light Co., Sec. First Mortgage Bonds, 5.30%, 01/15/19 | 40,000 | 44,514 | ||||||
DCP Midstream LLC, Notes, 9.70%, 12/01/13(b) | 100,000 | 118,889 | ||||||
Sr. Unsec. Notes, 9.75%, 03/15/19(b) | 55,000 | 69,763 | ||||||
Enel Finance International S.A. (Luxembourg), Sr. Unsec. Gtd. Notes, 3.88%, 10/07/14(b) | 100,000 | 102,029 | ||||||
LSP Energy L.P./LSP Batesville Funding Corp.–Series D, Sr. Sec. Bonds, 8.16%, 07/15/25 | 25,000 | 18,125 | ||||||
Ohio Power Co.–Series M, Sr. Unsec. Notes, 5.38%, 10/01/21 | 180,000 | 192,112 | ||||||
PPL Electric Utilities Corp., Sec. First Mortgage Bonds, 6.25%, 05/15/39 | 45,000 | 50,718 | ||||||
Virginia Electric & Power Co., Sr. Unsec. Notes, 5.00%, 06/30/19 | 55,000 | 59,726 | ||||||
655,876 | ||||||||
Electrical Components & Equipment–0.14% | ||||||||
Belden Inc., Sr. Gtd. Sub. Global Notes, 9.25%, 06/15/19 | 25,000 | 27,500 | ||||||
Polypore International Inc., Sr. Unsec. Gtd. Notes, 7.50%, 11/15/17(b) | 5,000 | 5,150 | ||||||
32,650 | ||||||||
Electronic Manufacturing Services–0.14% | ||||||||
Jabil Circuit, Inc., Sr. Unsec. Notes, 7.75%, 07/15/16 | 15,000 | 16,875 | ||||||
5.63%, 12/15/20 | 15,000 | 14,813 | ||||||
31,688 | ||||||||
Environmental & Facilities Services–0.30% | ||||||||
Waste Management, Inc., Sr. Unsec. Gtd. Notes, 5.00%, 03/15/14 | 65,000 | 70,297 | ||||||
Food Retail–0.72% | ||||||||
Kroger Co. (The), Sr. Unsec. Gtd. Notes, 5.40%, 07/15/40 | 25,000 | 23,945 | ||||||
Safeway, Inc., Sr. Unsec. Global Notes, 3.95%, 08/15/20 | 105,000 | 99,689 | ||||||
WM Wrigley Jr. Co., Sr. Sec. Gtd. Floating Rate Notes, 1.68%, 06/28/11(b)(d) | 45,000 | 45,070 | ||||||
168,704 | ||||||||
Gas Utilities–0.09% | ||||||||
Ferrellgas L.P./Ferrellgas Finance Corp., Sr. Unsec. Notes, 6.50%, 05/01/21(b) | 10,000 | 9,775 | ||||||
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., Sr. Unsec. Notes, 7.38%, 03/15/20 | 10,000 | 10,725 | ||||||
20,500 | ||||||||
Gold–0.81% | ||||||||
Gold Fields Orogen Holding BVI Ltd. (Mali), Sr. Unsec. Gtd. Notes, 4.88%, 10/07/20 | 200,000 | 190,743 | ||||||
Health Care Equipment–1.08% | ||||||||
Boston Scientific Corp., Sr. Unsec. Notes, 4.50%, 01/15/15 | 50,000 | 51,034 | ||||||
6.00%, 01/15/20 | 85,000 | 89,004 | ||||||
Hospira Inc., Sr. Unsec. Notes, 5.60%, 09/15/40 | 115,000 | 113,068 | ||||||
253,106 | ||||||||
Health Care Facilities–0.52% | ||||||||
Community Health Systems Inc., Sr. Unsec. Gtd. Global Notes, 8.88%, 07/15/15 | 25,000 | 26,375 | ||||||
HCA, Inc., Sr. Sec. Gtd. Global Notes, 7.88%, 02/15/20 | 50,000 | 53,750 | ||||||
Healthsouth Corp., Sr. Unsec. Gtd. Notes, 7.25%, 10/01/18 | 15,000 | 15,337 | ||||||
7.75%, 09/15/22 | 15,000 | 15,525 | ||||||
Tenet Healthcare Corp., Sr. Unsec. Global Notes, 9.25%, 02/01/15 | 10,000 | 10,700 | ||||||
121,687 | ||||||||
Health Care Services–2.14% | ||||||||
Express Scripts Inc., Sr. Unsec. Gtd. Global Notes, 6.25%, 06/15/14 | 125,000 | 139,733 | ||||||
7.25%, 06/15/19 | 40,000 | 47,358 | ||||||
Laboratory Corp. of America Holdings, Sr. Unsec. Gtd. Notes, 3.13%, 05/15/16 | 145,000 | 142,914 | ||||||
Medco Health Solutions Inc., Sr. Unsec. Notes, 2.75%, 09/15/15 | 35,000 | 34,806 | ||||||
Orlando Lutheran Towers Inc., Putable Bonds, 7.75%, 07/01/11 | 15,000 | 15,126 | ||||||
8.00%, 07/01/17 | 125,000 | 122,949 | ||||||
502,886 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Health Care Technology–0.06% | ||||||||
MedAssets Inc., Sr. Unsec. Gtd. Notes, 8.00%, 11/15/18(b) | $ | 15,000 | $ | 15,150 | ||||
Home Improvement Retail–0.33% | ||||||||
Lowe’s Cos. Inc., Sr. Unsec. Notes, 3.75%, 04/15/21 | 80,000 | 77,534 | ||||||
Hotels, Resorts & Cruise Lines–1.74% | ||||||||
Hyatt Hotels Corp., Sr. Unsec. Notes, 5.75%, 08/15/15(b) | 165,000 | 173,527 | ||||||
Royal Caribbean Cruises Ltd. (Trinidad), Sr. Unsec. Global Notes, 7.50%, 10/15/27 | 25,000 | 24,687 | ||||||
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec. Notes, 7.15%, 12/01/19 | 35,000 | 38,500 | ||||||
Wyndham Worldwide Corp., Sr. Unsec. Notes, 7.38%, 03/01/20 | 155,000 | 170,694 | ||||||
407,408 | ||||||||
Household Products–0.11% | ||||||||
Central Garden and Pet Co., Sr. Gtd. Sub. Notes, 8.25%, 03/01/18 | 25,000 | 25,688 | ||||||
Independent Power Producers & Energy Traders–0.46% | ||||||||
AES Corp. (The), Sr. Unsec. Global Notes, 9.75%, 04/15/16 | 50,000 | 56,250 | ||||||
NRG Energy, Inc., Sr. Unsec. Gtd. Notes, 7.38%, 02/01/16 | 25,000 | 25,625 | ||||||
7.38%, 01/15/17 | 25,000 | 25,625 | ||||||
107,500 | ||||||||
Industrial Conglomerates–1.99% | ||||||||
Hutchison Whampoa International Ltd. (Cayman Islands), Gtd. Notes, 5.75%, 09/11/19(b) | 100,000 | 107,669 | ||||||
Sr. Unsec. Gtd. Notes, 7.63%, 04/09/19(b) | 130,000 | 155,127 | ||||||
Unsec. Gtd. Sub. Variable Rate Notes, 6.00%(b)(d)(e) | 135,000 | 132,975 | ||||||
NBC Universal, Inc., Sr. Unsec. Sub. Notes, 2.10%, 04/01/14(b) | 35,000 | 34,994 | ||||||
5.95%, 04/01/41(b) | 35,000 | 35,155 | ||||||
465,920 | ||||||||
Insurance Brokers–0.54% | ||||||||
Marsh & McLennan Cos. Inc., Sr. Unsec. Notes, 9.25%, 04/15/19 | 100,000 | 125,672 | ||||||
Integrated Telecommunication Services–1.18% | ||||||||
AT&T Inc., Sr. Unsec. Global Notes, 2.50%, 08/15/15 | 60,000 | 59,983 | ||||||
Intelsat Intermediate Holding Co. S.A. (Bermuda), Sr. Unsec. Gtd. Disc. Global Notes, 9.50%, 02/01/15(c) | 35,000 | 36,225 | ||||||
Qwest Communications International Inc., Sr. Unsec. Gtd. Notes, 7.13%, 04/01/18(b) | 25,000 | 25,875 | ||||||
Telemar Norte Leste S.A. (Brazil), Sr. Unsec. Notes, 5.50%, 10/23/20(b) | 161,000 | 155,627 | ||||||
277,710 | ||||||||
Internet Retail–0.79% | ||||||||
Expedia Inc., Sr. Unsec. Gtd. Global Notes, 5.95%, 08/15/20 | 165,000 | 166,119 | ||||||
Travelport LLC, Sr. Unsec. Gtd. Global Notes, 9.88%, 09/01/14 | 20,000 | 19,600 | ||||||
185,719 | ||||||||
Internet Software & Services–0.07% | ||||||||
Equinix Inc., Sr. Unsec. Notes, 8.13%, 03/01/18 | 15,000 | 15,750 | ||||||
Investment Banking & Brokerage–8.47% | ||||||||
Cantor Fitzgerald L.P., Bonds, 7.88%, 10/15/19(b) | 315,000 | 318,460 | ||||||
E*Trade Financial Corp., Sr. Unsec. Global Notes, 7.38%, 09/15/13 | 10,000 | 10,000 | ||||||
Goldman Sachs Group Inc. (The), | ||||||||
Sr. Global Notes, 3.70%, 08/01/15 | 45,000 | 45,919 | ||||||
Sr. Unsec. Global Notes, 5.13%, 01/15/15 | 50,000 | 53,861 | ||||||
Sr. Unsec. Medium-Term Global Notes, 5.38%, 03/15/20 | 175,000 | 183,622 | ||||||
Sr. Unsec. Sub. Global Notes, 6.75%, 10/01/37 | 140,000 | 144,493 | ||||||
Jefferies Group Inc., Sr. Unsec. Notes, 6.45%, 06/08/27 | 375,000 | 360,656 | ||||||
Macquarie Group Ltd. (Australia), Sr. Unsec. Notes, 7.30%, 08/01/14(b) | 110,000 | 119,919 | ||||||
6.00%, 01/14/20(b) | 105,000 | 105,921 | ||||||
Merrill Lynch & Co. Inc.-, Series C, Sr. Unsec. Medium-Term Global Notes, 5.45%, 02/05/13 | 200,000 | 211,353 | ||||||
Morgan Stanley, Sr. Unsec. Medium-Term Global Notes, 6.00%, 05/13/14 | 230,000 | 248,044 | ||||||
Series F, Sr. Unsec. Medium-Term Global Notes, 5.63%, 09/23/19 | 130,000 | 132,343 | ||||||
Schwab Capital Trust I, Jr. Unsec. Gtd. Sub. Variable Rate Notes, 7.50%, 11/15/37(d) | 50,000 | 51,842 | ||||||
1,986,433 | ||||||||
IT Consulting & Other Services–0.41% | ||||||||
SAIC Inc., Sr. Unsec. Gtd. Notes, 4.45%, 12/01/20(b) | 60,000 | 60,097 | ||||||
5.95%, 12/01/40(b) | 35,000 | 35,650 | ||||||
95,747 | ||||||||
Leisure Facilities–0.11% | ||||||||
Universal City Development Partners Ltd./UCDP Finance Inc., Sr. Unsec. Gtd. Global Notes, 8.88%, 11/15/15 | 25,000 | 26,750 | ||||||
Life & Health Insurance–3.04% | ||||||||
Aflac Inc., Sr. Unsec. Notes, 6.45%, 08/15/40 | 60,000 | 62,290 | ||||||
MetLife Inc., Sr. Unsec. Notes, 6.75%, 06/01/16 | 155,000 | 179,572 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Life & Health Insurance–(continued) | ||||||||
Prudential Financial Inc., Jr. Unsec. Sub. Variable Rate Global Notes, 8.88%, 06/15/38(d) | $ | 130,000 | $ | 151,069 | ||||
Series D, Sr. Unsec. Medium-Term Notes, 2.75%, 01/14/13 | 105,000 | 106,884 | ||||||
3.88%, 01/14/15 | 105,000 | 107,895 | ||||||
7.38%, 06/15/19 | 90,000 | 105,823 | ||||||
713,533 | ||||||||
Life Sciences Tools & Services–0.66% | ||||||||
Life Technologies Corp., Sr. Notes, 6.00%, 03/01/20 | 120,000 | 128,652 | ||||||
Patheon Inc. (Canada), Sr. Sec. Notes, 8.63%, 04/15/17(b) | 25,000 | 25,062 | ||||||
153,714 | ||||||||
Managed Health Care–0.24% | ||||||||
UnitedHealth Group Inc., Sr. Unsec. Notes, 3.88%, 10/15/20 | 60,000 | 57,387 | ||||||
Metal & Glass Containers–0.02% | ||||||||
Ball Corp., Sr. Unsec. Gtd. Notes, 5.75%, 05/15/21 | 5,000 | 4,875 | ||||||
Mortgage Backed Securities–0.48% | ||||||||
U.S. Bank N.A., Sr. Unsec. Medium-Term Global Notes, 5.92%, 05/25/12 | 108,158 | 112,513 | ||||||
Movies & Entertainment–0.62% | ||||||||
AMC Entertainment Inc., Sr. Unsec. Gtd. Global Notes, 8.75%, 06/01/19 | 35,000 | 37,450 | ||||||
Cinemark USA Inc., Sr. Unsec. Gtd. Global Notes, 8.63%, 06/15/19 | 25,000 | 27,188 | ||||||
NAI Entertainment Holdings LLC, Sr. Sec. Notes, 8.25%, 12/15/17(b) | 15,000 | 15,825 | ||||||
Time Warner Cable Inc., Sr. Unsec. Global Notes, 6.75%, 07/01/18 | 55,000 | 64,042 | ||||||
144,505 | ||||||||
Multi-Line Insurance–1.67% | ||||||||
American Financial Group Inc., Sr. Unsec. Notes, 9.88%, 06/15/19 | 180,000 | 216,862 | ||||||
American International Group Inc., Sr. Unsec. Global Notes, 3.65%, 01/15/14 | 60,000 | 60,690 | ||||||
Hartford Financial Services Group Inc. (The), Jr. Unsec. Sub. Variable Rate Deb., 8.13%, 06/15/38(d) | 10,000 | 10,731 | ||||||
Liberty Mutual Group Inc., Sr. Unsec. Notes, 5.75%, 03/15/14(b) | 100,000 | 103,555 | ||||||
391,838 | ||||||||
Multi-Utilities–0.28% | ||||||||
Pacific Gas & Electric Co., Sr. Unsec. Notes, 5.40%, 01/15/40 | 65,000 | 65,769 | ||||||
Office REIT’s–0.81% | ||||||||
Digital Realty Trust L.P., Sr. Unsec. Gtd. Global Notes, 5.88%, 02/01/20 | 185,000 | 189,172 | ||||||
Office Services & Supplies–0.10% | ||||||||
IKON Office Solutions, Inc., Sr. Unsec. Notes, 6.75%, 12/01/25 | 25,000 | 24,125 | ||||||
Oil & Gas Drilling–0.48% | ||||||||
Precision Drilling Corp. (Canada), Sr. Unsec. Gtd. Notes, 6.63%, 11/15/20(b) | 5,000 | 5,112 | ||||||
Transocean Inc. (Cayman Islands), Sr. Unsec. Global Notes, 4.95%, 11/15/15 | 100,000 | 103,274 | ||||||
Trinidad Drilling Ltd. (Canada), Sr. Unsec. Notes, 7.88%, 01/15/19(b) | 5,000 | 5,153 | ||||||
113,539 | ||||||||
Oil & Gas Equipment & Services–0.11% | ||||||||
Bristow Group, Inc., Sr. Unsec. Gtd. Global Notes, 7.50%, 09/15/17 | 10,000 | 10,500 | ||||||
Calfrac Holdings L.P., Sr. Unsec. Notes, 7.50%, 12/01/20(b) | 5,000 | 5,034 | ||||||
Key Energy Services Inc., Sr. Unsec. Gtd. Global Notes, 8.38%, 12/01/14 | 10,000 | 10,600 | ||||||
26,134 | ||||||||
Oil & Gas Exploration & Production–2.62% | ||||||||
Anadarko Petroleum Corp., Sr. Unsec. Global Notes, 5.75%, 06/15/14 | 95,000 | 101,690 | ||||||
Sr. Unsec. Notes, 7.63%, 03/15/14 | 15,000 | 16,826 | ||||||
6.38%, 09/15/17 | 25,000 | 27,224 | ||||||
Chesapeake Energy Corp., Sr. Unsec. Gtd. Notes, 6.63%, 08/15/20 | 10,000 | 9,838 | ||||||
Cimarex Energy Co., Sr. Unsec. Gtd. Notes, 7.13%, 05/01/17 | 50,000 | 52,062 | ||||||
Concho Resources Inc., Sr. Notes, 7.00%, 01/15/21 | 5,000 | 5,150 | ||||||
Continental Resources Inc., Sr. Unsec. Gtd. Global Notes, 8.25%, 10/01/19 | 15,000 | 16,462 | ||||||
Encore Acquisition Co., Sr. Gtd. Sub. Notes, 9.50%, 05/01/16 | 10,000 | 11,138 | ||||||
EOG Resources Inc., Sr. Unsec. Notes, 4.10%, 02/01/21 | 110,000 | 108,834 | ||||||
McMoRan Exploration Co., Sr. Unsec. Gtd. Notes, 11.88%, 11/15/14 | 35,000 | 38,806 | ||||||
Pemex Project Funding Master Trust, Sr. Unsec. Gtd. Global Bonds, 6.63%, 06/15/35(b) | 65,000 | 66,179 | ||||||
Petrobras International Finance Co. (Cayman Islands), Sr. Unsec. Gtd. Global Notes, 6.88%, 01/20/40 | 45,000 | 47,358 | ||||||
Petrohawk Energy Corp., Sr. Unsec. Gtd. Global Notes, 7.88%, 06/01/15 | 15,000 | 15,656 | ||||||
Petroleos Mexicanos (Mexico), Sr. Unsec. Global Notes, 5.50%, 01/21/21 | 65,000 | 66,060 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Oil & Gas Exploration & Production–(continued) | ||||||||
Plains Exploration & Production Co., Sr. Unsec. Gtd. Notes, 8.63%, 10/15/19 | $ | 15,000 | $ | 16,463 | ||||
Range Resources Corp., Sr. Unsec. Gtd. Sub. Notes, 7.50%, 10/01/17 | 15,000 | 15,863 | ||||||
615,609 | ||||||||
Oil & Gas Refining & Marketing–0.84% | ||||||||
Petronas Capital Ltd. (Malaysia), Unsec. Gtd. Unsub. Notes, 5.25%, 08/12/19(b) | 100,000 | 107,398 | ||||||
Tesoro Corp., Sr. Unsec. Gtd. Global Bonds, 6.50%, 06/01/17 | 5,000 | 5,031 | ||||||
Sr. Unsec. Gtd. Global Notes, 6.63%, 11/01/15 | 10,000 | 10,188 | ||||||
United Refining Co.–Series 2, Sr. Unsec. Gtd. Global Notes, 10.50%, 08/15/12 | 75,000 | 73,781 | ||||||
196,398 | ||||||||
Oil & Gas Storage & Transportation–3.04% | ||||||||
Copano Energy LLC/Copano Energy Finance Corp., Sr. Unsec. Gtd. Global Notes, 8.13%, 03/01/16 | 20,000 | 20,800 | ||||||
Enterprise Products Operating LLC, Sr. Unsec. Gtd. Notes, 5.20%, 09/01/20 | 70,000 | 72,636 | ||||||
6.45%, 09/01/40 | 70,000 | 75,878 | ||||||
Genesis Energy L.P./Genesis Energy Finance Corp., Sr. Unsec. Gtd. Notes, 7.88%, 12/15/18(b) | 5,000 | 4,975 | ||||||
Inergy L.P./Inergy Finance Corp., Sr. Unsec. Gtd. Global Notes, 8.25%, 03/01/16 | 25,000 | 26,187 | ||||||
Overseas Shipholding Group, Inc., Sr. Unsec. Notes, 8.13%, 03/30/18 | 25,000 | 25,187 | ||||||
Regency Energy Partners L.P./Regency Energy Finance Corp., Sr. Unsec. Gtd. Notes, 6.88%, 12/01/18 | 15,000 | 15,263 | ||||||
Spectra Energy Capital LLC, Sr. Unsec. Gtd. Notes, 5.65%, 03/01/20 | 155,000 | 165,629 | ||||||
Williams Partners L.P., Sr. Unsec. Global Notes, 3.80%, 02/15/15 | 210,000 | 217,339 | ||||||
6.30%, 04/15/40 | 85,000 | 89,235 | ||||||
713,129 | ||||||||
Other Diversified Financial Services–8.52% | ||||||||
Bank of America Corp., Sr. Unsec. Global Notes, | ||||||||
4.50%, 04/01/15 | 240,000 | 245,266 | ||||||
3.70%, 09/01/15 | 25,000 | 24,856 | ||||||
6.50%, 08/01/16 | 130,000 | 141,331 | ||||||
Sr. Unsec. Notes, 5.88%, 01/05/21 | 35,000 | 36,272 | ||||||
Citigroup Inc., Sr. Unsec. Global Notes, 6.01%, 01/15/15 | 250,000 | 274,943 | ||||||
Sr. Unsec. Notes, 6.38%, 08/12/14 | 505,000 | 559,718 | ||||||
Countrywide Financial Corp., Sr. Unsec. Gtd. Medium-Term Global Notes, 5.80%, 06/07/12 | 10,000 | 10,544 | ||||||
ERAC USA Finance LLC, Sr. Unsec. Gtd. Notes, 5.80%, 10/15/12(b) | 105,000 | 112,492 | ||||||
5.25%, 10/01/20(b) | 30,000 | 30,528 | ||||||
Football Trust V, Sec. Pass Through Ctfs., 5.35%, 10/05/20(b) | 100,000 | 104,600 | ||||||
General Electric Capital Corp.–Series A, Sr. Unsec. Medium-Term Global Notes, 6.88%, 01/10/39 | 200,000 | 232,031 | ||||||
International Lease Finance Corp., Sr. Unsec. Notes, 8.63%, 09/15/15(b) | 10,000 | 10,775 | ||||||
8.75%, 03/15/17(b) | 15,000 | 16,163 | ||||||
8.25%, 12/15/20 | 15,000 | 15,563 | ||||||
JPMorgan Chase & Co., Sr. Unsec. Global Notes, 4.75%, 05/01/13 | 15,000 | 16,066 | ||||||
JPMorgan Chase Capital XXVII–Series AA, Jr. Unsec. Gtd. Sub. Notes, 7.00%, 11/01/39 | 160,000 | 166,594 | ||||||
Twin Reefs Pass-Through Trust, Sec. Floating Rate Pass Through Ctfs., 1.39%, (Acquired 12/07/04-04/03/06; Cost $130,332)(b)(d)(e)(f) | 130,000 | — | ||||||
1,997,742 | ||||||||
Packaged Foods & Meats–0.78% | ||||||||
Del Monte Corp., Sr. Unsec. Gtd. Sub. Global Notes, 7.50%, 10/15/19 | 10,000 | 11,725 | ||||||
Dole Food Co. Inc., Sr. Sec. Notes, 8.00%, 10/01/16(b) | 25,000 | 26,500 | ||||||
Kraft Foods Inc., Sr. Unsec. Global Notes, 2.63%, 05/08/13 | 70,000 | 71,968 | ||||||
4.13%, 02/09/16 | 15,000 | 15,747 | ||||||
6.50%, 02/09/40 | 50,000 | 55,948 | ||||||
181,888 | ||||||||
Paper Packaging–0.04% | ||||||||
Cascades Inc. (Canada), Sr. Unsec. Gtd. Global Notes, 7.88%, 01/15/20 | 10,000 | 10,300 | ||||||
Paper Products–0.71% | ||||||||
International Paper Co., Sr. Unsec. Global Notes, 7.50%, 08/15/21 | 110,000 | 129,784 | ||||||
Mercer International Inc., Sr. Unsec. Notes, 9.50%, 12/01/17(b) | 5,000 | 5,175 | ||||||
Neenah Paper, Inc., Sr. Unsec. Gtd. Global Notes, 7.38%, 11/15/14 | 15,000 | 15,300 | ||||||
P.H. Glatfelter Co., Sr. Unsec. Gtd. Global Notes, 7.13%, 05/01/16 | 15,000 | 15,530 | ||||||
165,789 | ||||||||
Pharmaceuticals–0.13% | ||||||||
Mylan Inc., Sr. Gtd. Notes, 6.00%, 11/15/18(b) | 5,000 | 4,938 | ||||||
Valeant Pharmaceuticals International (Canada), Sr. Unsec. Gtd. Notes, 6.75%, 10/01/17(b) | 10,000 | 9,975 | ||||||
7.00%, 10/01/20(b) | 15,000 | 14,850 | ||||||
29,763 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Property & Casualty Insurance–1.06% | ||||||||
CNA Financial Corp., Sr. Unsec. Notes, 7.35%, 11/15/19 | $ | 160,000 | $ | 175,656 | ||||
W.R. Berkley Corp., Sr. Unsec. Notes, 5.38%, 09/15/20 | 75,000 | 73,987 | ||||||
249,643 | ||||||||
Publishing–0.16% | ||||||||
Gannett Co. Inc., Sr. Unsec. Gtd. Global Notes, 9.38%, 11/15/17 | 25,000 | 27,875 | ||||||
Reed Elsevier Capital Inc., Sr. Unsec. Gtd. Global Notes, 6.75%, 08/01/11 | 9,000 | 9,322 | ||||||
37,197 | ||||||||
Railroads–1.23% | ||||||||
Canadian Pacific Railway Co. (Canada), Sr. Unsec. Yankee Bonds, 4.45%, 03/15/23 | 20,000 | 19,344 | ||||||
CSX Corp., Sr. Unsec. Notes, 5.50%, 04/15/41 | 100,000 | 98,282 | ||||||
Kansas City Southern de Mexico S.A. de C.V. (Mexico), Sr. Unsec. Global Notes, 8.00%, 02/01/18 | 35,000 | 37,765 | ||||||
Union Pacific Corp., Sr. Unsec. Notes, 4.00%, 02/01/21 | 135,000 | 132,468 | ||||||
287,859 | ||||||||
Regional Banks–1.61% | ||||||||
PNC Funding Corp., Sr. Unsec. Gtd. Global Notes, 3.63%, 02/08/15 | 110,000 | 113,563 | ||||||
PNC Preferred Funding Trust III, Jr. Sub. Variable Rate Notes, 8.70%(b)(d)(e) | 200,000 | 212,250 | ||||||
Regions Financial Corp., Unsec. Sub. Notes, 7.38%, 12/10/37 | 30,000 | 28,200 | ||||||
Zions Bancorp., Unsec. Sub. Notes, 5.50%, 11/16/15 | 25,000 | 24,375 | ||||||
378,388 | ||||||||
Restaurants–0.91% | ||||||||
Yum! Brands, Inc., Sr. Unsec. Notes, 5.30%, 09/15/19 | 200,000 | 214,140 | ||||||
Semiconductor Equipment–0.11% | ||||||||
Amkor Technology Inc., Sr. Unsec. Global Notes, 7.38%, 05/01/18 | 25,000 | 26,063 | ||||||
Semiconductors–0.18% | ||||||||
Freescale Semiconductor Inc., Sr. Sec. Gtd. Notes, 9.25%, 04/15/18(b) | 25,000 | 27,625 | ||||||
NXP B.V./NXP Funding LLC (Netherlands), Sr. Sec. Gtd. Global Notes, 7.88%, 10/15/14 | 15,000 | 15,694 | ||||||
43,319 | ||||||||
Sovereign Debt–1.69% | ||||||||
Brazilian Government International Bond (Brazil), Sr. Unsec. Global Notes, 5.88%, 01/15/19 | 120,000 | 133,575 | ||||||
Mexico Government International Bond (Mexico)–Series A, Sr. Unsec. Medium-Term Global Notes, 6.05%, 01/11/40 | 60,000 | 61,350 | ||||||
Russian Foreign Bond (Russia), Sr. Unsec. Euro Bonds, 3.63%, 04/29/15(b) | 100,000 | 100,187 | ||||||
5.00%, 04/29/20(b) | 100,000 | 100,500 | ||||||
395,612 | ||||||||
Specialized Finance–2.38% | ||||||||
CIT Group Inc., Sr. Sec. Bonds, 7.00%, 05/01/14 | 25,000 | 25,250 | ||||||
Moody’s Corp., Sr. Unsec. Notes, 5.50%, 09/01/20 | 115,000 | 113,671 | ||||||
NASDAQ OMX Group Inc. (The), Sr. Unsec. Notes, 4.00%, 01/15/15 | 350,000 | 357,314 | ||||||
National Rural Utilities Cooperative Finance Corp., Sr. Sec. Notes, 2.63%, 09/16/12 | 60,000 | 61,683 | ||||||
557,918 | ||||||||
Specialized REIT’s–2.24% | ||||||||
Entertainment Properties Trust, Sr. Unsec. Gtd. Notes, 7.75%, 07/15/20(b) | 245,000 | 259,978 | ||||||
Health Care REIT Inc., Sr. Unsec. Notes, 4.95%, 01/15/21 | 70,000 | 67,639 | ||||||
Healthcare Realty Trust Inc., Sr. Unsec. Notes, 6.50%, 01/17/17 | 140,000 | 151,147 | ||||||
Omega Healthcare Investors Inc., Sr. Unsec. Gtd. Notes, 6.75%, 10/15/22(b) | 5,000 | 4,963 | ||||||
Plum Creek Timberlands L.P., Sr. Unsec. Gtd. Notes, 4.70%, 03/15/21 | 45,000 | 42,903 | ||||||
526,630 | ||||||||
Specialty Chemicals–0.09% | ||||||||
Nalco Co., Sr. Notes, 6.63%, 01/15/19(b) | 5,000 | 5,125 | ||||||
PolyOne Corp., Sr. Unsec. Notes, 7.38%, 09/15/20 | 15,000 | 15,600 | ||||||
20,725 | ||||||||
Specialty Stores–0.78% | ||||||||
Staples Inc., Sr. Unsec. Gtd. Global Notes, 9.75%, 01/15/14 | 25,000 | 30,225 | ||||||
Sr. Unsec. Gtd. Notes, 7.75%, 04/01/11 | 150,000 | 152,573 | ||||||
182,798 | ||||||||
Steel–1.72% | ||||||||
AK Steel Corp., Sr. Unsec. Gtd. Notes, 7.63%, 05/15/20 | 5,000 | 5,050 | ||||||
ArcelorMittal (Luxembourg), Sr. Unsec. Global Bonds, 9.00%, 02/15/15 | 55,000 | 65,499 | ||||||
Sr. Unsec. Global Notes, 7.00%, 10/15/39 | 195,000 | 202,018 | ||||||
FMG Resources Ltd. (Australia), Sr. Notes, 6.38%, 02/01/16(b) | 5,000 | 5,014 | ||||||
Vale Overseas Ltd., Sr. Unsec. Gtd. Global Notes, 4.63%, 09/15/20 | 55,000 | 54,790 | ||||||
Sub. Global Notes, 6.88%, 11/10/39 | 65,000 | 70,907 | ||||||
403,278 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Systems Software–0.30% | ||||||||
Allen Systems Group Inc., Sr. Sec. Notes, 10.50%, 11/15/16(b) | $ | 20,000 | $ | 20,500 | ||||
Symantec Corp., Sr. Unsec. Notes, 4.20%, 09/15/20 | 55,000 | 50,831 | ||||||
71,331 | ||||||||
Technology Distributors–0.28% | ||||||||
Avnet Inc., Sr. Unsec. Notes, 5.88%, 06/15/20 | 65,000 | 65,325 | ||||||
Tires & Rubber–0.06% | ||||||||
Cooper Tire & Rubber Co., Sr. Unsec. Notes, 7.63%, 03/15/27 | 15,000 | 14,100 | ||||||
Trading Companies & Distributors–0.17% | ||||||||
Avis Budget Car Rental LLC/Avis Budget Finance Inc., Sr. Unsec. Gtd. Notes, 8.25%, 01/15/19(b) | 5,000 | 5,062 | ||||||
H&E Equipment Services Inc., Sr. Unsec. Gtd. Global Notes, 8.38%, 07/15/16(b) | 25,000 | 25,625 | ||||||
Hertz Corp. (The), Sr. Unsec. Gtd. Notes, 7.38%, 01/15/21(b) | 10,000 | 10,250 | ||||||
40,937 | ||||||||
Wireless Telecommunication Services–1.67% | ||||||||
American Tower Corp., Sr. Unsec. Global Notes, 4.63%, 04/01/15 | 90,000 | 94,159 | ||||||
Clearwire Communications LLC/Clearwire Finance Inc., Sr. Sec. Gtd. Notes, 12.00%, 12/01/15(b) | 25,000 | 27,125 | ||||||
Cricket Communications, Inc., Sr. Unsec. Gtd. Notes, 7.75%, 10/15/20(b) | 15,000 | 14,400 | ||||||
Crown Castle Towers LLC, Sr. Sec. Gtd. Notes, 4.88%, 08/15/20(b) | 120,000 | 115,500 | ||||||
MetroPCS Wireless Inc., Sr. Unsec. Gtd. Notes, 7.88%, 09/01/18 | 5,000 | 5,178 | ||||||
SBA Telecommunications Inc., Sr. Unsec. Gtd. Global Notes, 8.25%, 08/15/19 | 25,000 | 27,375 | ||||||
Sprint Capital Corp., Sr. Unsec. Gtd. Global Notes, 6.90%, 05/01/19 | 10,000 | 9,987 | ||||||
6.88%, 11/15/28 | 35,000 | 30,669 | ||||||
Sprint Nextel Corp., Sr. Unsec. Notes, 8.38%, 08/15/17 | 10,000 | 10,675 | ||||||
Wind Acquisition Finance S.A. (Luxembourg), Sr. Sec. Gtd. Sub. Notes, 11.75%, 07/15/17(b) | 50,000 | 56,250 | ||||||
391,318 | ||||||||
Total Bonds & Notes (Cost $19,690,340) | 20,713,183 | |||||||
Municipal Obligations–2.95% | ||||||||
Alameda (County of) Joint Powers Authority (Build America Bonds); Series 2010 A, Lease RB, 7.05%, 12/01/44 | 55,000 | 54,616 | ||||||
Florida (State of) Development Finance Corp. (Palm Bay Academy Inc.); Series 2006 B, Taxable RB, 7.50%, 05/15/17 | 65,000 | 54,996 | ||||||
Georgia (State of) Municipal Electric Authority (Plant Vogtle Units 3 & 4 Project J); Series 2010 A, Taxable Build America RB, 6.64%, 04/01/57 | 110,000 | 108,382 | ||||||
Kentucky (State of) Asset / Liability Commission; Series 2010, Taxable General Fund RB, 3.17%, 04/01/18 | 90,000 | 87,962 | ||||||
New Jersey (State of) Transportation Trust Fund Authority (Build America Bonds); Series 2010 C, Taxable RB, 5.75%, 12/15/28 | 105,000 | 102,971 | ||||||
New York (City of) Transitional Finance Authority (Build America Bonds); Series 2010, Taxable RB, 5.57%, 11/01/38 | 55,000 | 54,626 | ||||||
Ohio (State of) American Municipal Power Inc., Series 2010, Combined Hydroelectric RB, 8.08%, 02/15/50 | 110,000 | 118,766 | ||||||
Texas (State of) Transportation Commission (Build America Bonds); Series 2010 B, Taxable First Tier RB, 5.18%, 04/01/30 | 110,000 | 110,231 | ||||||
Total Municipal Obligations (Cost $699,523) | 692,550 | |||||||
Asset-Backed Securities–2.60% | ||||||||
Capital One Multi-Asset Execution Trust–Series 2006-C1, Class C, Floating Rate Pass Through Ctfs., 0.55%, 03/17/14(d) | 100,000 | 99,470 | ||||||
Countrywide Asset-Backed Ctfs.–Series 2007-4, Class A1B, Pass Through Ctfs., 5.81%, 09/25/37 | 61,882 | 60,890 | ||||||
Credit Suisse Mortgage Capital Ctfs.–Series 2009-2R, Class 1A11, Floating Rate Pass Through Ctfs., 2.88%, 09/26/34(b)(d) | 121,011 | 114,632 | ||||||
TIAA Seasoned Commercial Mortgage Trust–Series 2007-C4, Class A2, Variable Rate Pass Through Ctfs., 5.77%, 08/15/39(d) | 45,000 | 47,342 | ||||||
Wachovia Bank Commercial Mortgage Trust–Series 2005-C21, Class AJ, Variable Rate Pass Through Ctfs., 5.20%, 10/15/44(d) | 110,000 | 105,386 | ||||||
Wells Fargo Mortgage Backed Securities Trust–Series 2004-Z, Class 2A1, Floating Rate Pass Through Ctfs., 2.76%, 12/25/34(d) | 189,618 | 181,965 | ||||||
Total Asset-Backed Securities (Cost $582,858) | 609,685 | |||||||
U.S. Treasury Securities–1.94% | ||||||||
U.S. Treasury Bills–0.21% | ||||||||
0.19%, 01/20/11(g)(h) | 50,000 | 49,995 | ||||||
U.S. Treasury Bonds–1.73% | ||||||||
4.25%, 05/15/39 | 100,000 | 98,469 | ||||||
4.50%, 08/15/39 | 300,000 | 307,969 | ||||||
406,438 | ||||||||
Total U.S. Treasury Securities (Cost $467,678) | 456,433 | |||||||
Principal | ||||||||
Amount | Value | |||||||
U.S. Government Sponsored Mortgage-Backed Securities–1.71% | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC)–0.83% | ||||||||
Pass Through Ctfs., 6.50%, 05/01/16 to 08/01/32 | $ | 9,974 | $ | 11,147 | ||||
6.00%, 05/01/17 to 12/01/31 | 62,741 | 68,829 | ||||||
5.50%, 09/01/17 | 34,697 | 37,256 | ||||||
7.00%, 08/01/21 | 67,079 | 76,442 | ||||||
193,674 | ||||||||
Federal National Mortgage Association (FNMA)–0.74% | ||||||||
Pass Through Ctfs., | ||||||||
7.00%, 02/01/16 to 09/01/32 | 23,135 | 26,190 | ||||||
6.50%, 05/01/16 to 10/01/35 | 16,489 | 18,431 | ||||||
5.00%, 11/01/18 | 35,122 | 37,614 | ||||||
7.50%, 04/01/29 to 10/01/29 | 73,407 | 84,189 | ||||||
8.00%, 04/01/32 | 5,966 | 6,910 | ||||||
173,334 | ||||||||
Government National Mortgage Association (GNMA)–0.14% | ||||||||
Pass Through Ctfs., 7.50%, 06/15/23 | 10,950 | 12,635 | ||||||
8.50%, 11/15/24 | 6,054 | 7,229 | ||||||
7.00%, 07/15/31 to 08/15/31 | 2,352 | 2,700 | ||||||
6.50%, 11/15/31 to 03/15/32 | 5,188 | 5,891 | ||||||
6.00%, 11/15/32 | 4,817 | 5,319 | ||||||
33,774 | ||||||||
Total U.S. Government Sponsored Mortgage-Backed Securities (Cost $365,477) | 400,782 | |||||||
Shares | ||||||||
Common Stocks & Other Equity Interests–0.01% | ||||||||
Broadcasting–0.01% | ||||||||
Adelphia Communications Corp.,(i) | 900 | 900 | ||||||
Adelphia Recovery Trust, Series ACC-1(i) | 87,412 | 874 | ||||||
Total Common Stocks & Other Equity Interests (Cost $22,181) | 1,774 | |||||||
Money Market Funds–1.45% | ||||||||
Liquid Assets Portfolio–Institutional Class(j) | 169,848 | 169,848 | ||||||
Premier Portfolio–Institutional Class(j) | 169,848 | 169,848 | ||||||
Total Money Market Funds (Cost $339,696) | 339,696 | |||||||
TOTAL INVESTMENTS–98.95% (Cost $22,167,753) | 23,214,103 | |||||||
OTHER ASSETS LESS LIABILITIES–1.05% | 246,578 | |||||||
NET ASSETS–100.00% | $ | 23,460,681 | ||||||
Ctfs. | – Certificates | |
Deb. | – Debentures | |
Disc. | – Discounted | |
Gtd. | – Guaranteed | |
Jr. | – Junior | |
RB | – Revenue Bonds | |
REIT | – Real Estate Investment Trust | |
Sec. | – Secured | |
Sr. | – Senior | |
Sub. | – Subordinated | |
Unsec. | – Unsecured | |
Unsub. | – Unsubordinated |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at December 31, 2010 was $5,244,552 which represented 22.35% of the Fund’s Net Assets. | |
(c) | Step coupon bond issued at discount. The interest rate represents the coupon rate at which the bond will accrue at a specified future date. | |
(d) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on December 31, 2010. | |
(e) | Perpetual bond with no specified maturity date. | |
(f) | Defaulted security. Currently, the issuer is partially or fully in default with respect to interest payments. The value of this security at December 31, 2010 represented less than 1% of the Fund’s Net Assets. | |
(g) | All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. See Note 1K and Note 4. | |
(h) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. | |
(i) | Non-income producing security acquired as part of the Adelphia Communications bankruptcy reorganization. | |
(j) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $21,828,057) | $ | 22,874,407 | ||
Investments in affiliated money market funds, at value and cost | 339,696 | |||
Total investments, at value (Cost $22,167,753) | 23,214,103 | |||
Receivable for: | ||||
Variation margin | 15,984 | |||
Fund shares sold | 662 | |||
Dividends and interest | 331,860 | |||
Investment for trustee deferred compensation and retirement plans | 41,567 | |||
Other assets | 368 | |||
Total assets | 23,604,544 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 10,150 | |||
Fund shares reacquired | 19,478 | |||
Accrued fees to affiliates | 26,980 | |||
Accrued other operating expenses | 38,131 | |||
Trustee deferred compensation and retirement plans | 49,124 | |||
Total liabilities | 143,863 | |||
Net assets applicable to shares outstanding | $ | 23,460,681 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 31,365,680 | ||
Undistributed net investment income | 1,168,966 | |||
Undistributed net realized gain (loss) | (10,126,505 | ) | ||
Unrealized appreciation | 1,052,540 | |||
$ | 23,460,681 | |||
Net assets: | ||||
Series I | $ | 23,228,978 | ||
Series II | $ | 231,703 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 3,805,546 | |||
Series II | 38,163 | |||
Series I: | ||||
Net asset value per share | $ | 6.10 | ||
Series II: | ||||
Net asset value per share | $ | 6.07 | ||
Investment income: | ||||
Interest | $ | 1,407,284 | ||
Dividends from affiliated money market funds | 454 | |||
Total investment income | 1,407,738 | |||
Expenses: | ||||
Advisory fees | 146,059 | |||
Administrative services fees | 91,894 | |||
Custodian fees | 10,636 | |||
Distribution fees — Series II | 656 | |||
Transfer agent fees | 8,480 | |||
Trustees’ and officers’ fees and benefits | 16,298 | |||
Professional services fees | 42,039 | |||
Other | 15,861 | |||
Total expenses | 331,923 | |||
Less: Fees waived, expenses reimbursed and expense offset arrangement(s) | (149,208 | ) | ||
Net expenses | 182,715 | |||
Net investment income | 1,225,023 | |||
Realized and unrealized gain from: | ||||
Net realized gain from: | ||||
Investment securities | 727,825 | |||
Futures contracts | 86,988 | |||
814,813 | ||||
Change in net unrealized appreciation of: | ||||
Investment securities | 247,170 | |||
Futures contracts | 48,990 | |||
296,160 | ||||
Net realized and unrealized gain | 1,110,973 | |||
Net increase in net assets resulting from operations | $ | 2,335,996 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 1,225,023 | $ | 1,404,443 | ||||
Net realized gain (loss) | 814,813 | (7,052,675 | ) | |||||
Change in net unrealized appreciation | 296,160 | 8,107,358 | ||||||
Net increase in net assets resulting from operations | 2,335,996 | 2,459,126 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (1,390,866 | ) | (2,398,080 | ) | ||||
Series II | (12,740 | ) | (27,960 | ) | ||||
Total distributions from net investment income | (1,403,606 | ) | (2,426,040 | ) | ||||
Share transactions–net: | ||||||||
Series I | (1,990,553 | ) | 201,049 | |||||
Series II | (71,022 | ) | (122,516 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (2,061,575 | ) | 78,533 | |||||
Net increase (decrease) in net assets | (1,129,185 | ) | 111,619 | |||||
Net assets: | ||||||||
Beginning of year | 24,589,866 | 24,478,247 | ||||||
End of year (includes undistributed net investment income of $1,168,966 and $1,356,293, respectively) | $ | 23,460,681 | $ | 24,589,866 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an |
independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. |
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Lower-Rated Securities — The Fund may invest in lower-quality debt securities, i.e., “junk bonds”. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. | |
J. | Dollar Roll and Forward Commitment Transactions — The Fund may engage in dollar roll and forward commitment transactions with respect to mortgage-backed securities issued by GNMA, FNMA and FHLMC. These transactions are often conducted on a to be announced (“TBA”) basis. In a TBA mortgage-backed transaction, the seller does not specify the particular securities to be delivered. Rather, a Fund agrees to accept any security that meets specified terms, such as an agreed upon issuer, coupon rate and terms of the underlying mortgages. TBA mortgage-backed transactions generally settle once a month on a specific date. | |
In a dollar roll transaction, the Fund sells a mortgage-backed security held in the Fund to a financial institution such as a bank or broker-dealer, and simultaneously agrees to purchase a substantially similar security (same type, coupon and maturity) from the institution at an agreed upon price and future date. The mortgage-backed securities to be purchased will bear the same coupon as those sold, but generally will be collateralized by different pools of mortgages with different prepayment histories. Based on the typical structure of dollar roll transactions by the Fund, the dollar roll transactions are accounted for as financing transactions in which the Fund receives compensation as either a “fee” or a “drop”. “Fee” income which is agreed upon amongst the parties at the commencement of the dollar roll and the “drop” which is the difference between the selling price and the repurchase price of the mortgage-backed securities are amortized to income. During the period between the sale and purchase settlement dates, the Fund will not be entitled to receive interest and principal payments on securities purchased and not yet settled. Proceeds of the sale may be invested in short-term instruments, and the income from these investments, together with any additional fee income received on the sale, could generate income for the Fund exceeding the yield on the security sold. Dollar roll transactions are considered borrowings under the 1940 Act. | ||
Forward commitment transactions involve commitments by the Fund to acquire or sell TBA mortgage-backed securities from/to a financial institution, such as a bank or broker-dealer at a specified future date and amount. The TBA mortgage-backed security is marked to market until settlement and the unrealized appreciation or depreciation is recorded in the statement of operations. | ||
At the time the Fund enters into the dollar roll or forward commitment transaction, mortgage-backed securities or other liquid assets held by the Fund having a dollar value equal to the purchase price or in an amount sufficient to honor the forward commitment will be segregated. | ||
Dollar roll transactions involve the risk that the market value of the securities retained by the Fund may decline below the price of the securities that the Fund has sold but is obligated to purchase under the agreement. In the event that the buyer of securities in a dollar roll transaction files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to purchase the securities. The return earned by the Fund with the proceeds of the dollar roll transaction may not exceed the return on the securities sold. | ||
Forward commitment transactions involve the risk that a counter-party to the transaction may fail to complete the transaction. If this occurs, the Fund may lose the opportunity to purchase or sell the security at the agreed upon price. Settlement dates of forward commitment transactions may be a month or more after entering into these transactions and as a result the market values of the securities may vary from the purchase or sale prices. Therefore, forward commitment transactions may increase the Fund’s overall interest rate exposure. | ||
K. | Futures Contracts — The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal counterparty risk since the |
exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. | ||
L. | Collateral — To the extent the Fund has pledged or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day. |
Average Net Assets | Rate | |||
First $250 million | 0 | .60% | ||
Over $250 million | 0 | .55% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 340,570 | $ | — | $ | 900 | $ | 341,470 | ||||||||
U.S. Treasury Securities | — | 456,433 | — | 456,433 | ||||||||||||
U.S. Government Sponsored Securities | — | 400,782 | — | 400,782 | ||||||||||||
Corporate Debt Securities | — | 20,713,183 | — | 20,713,183 | ||||||||||||
Asset Backed Securities | — | 609,685 | — | 609,685 | ||||||||||||
Municipal Obligations | — | 692,550 | — | 692,550 | ||||||||||||
$ | 340,570 | $ | 22,872,633 | $ | 900 | $ | 23,214,103 | |||||||||
Futures* | 6,190 | — | — | 6,190 | ||||||||||||
Total Investments | $ | 346,760 | $ | 22,872,633 | $ | 900 | $ | 23,220,293 | ||||||||
* | Unrealized appreciation. |
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Interest rate risk | ||||||||
Futures contracts(a) | $ | 96,680 | $ | (90,490 | ) | |||
(a) | Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s variation margin receivable (payable) is reported within the Statement of Assets & Liabilities. |
Location of Gain (Loss) on | ||||
Statement of Operations | ||||
Futures* | ||||
Realized Gain | ||||
Interest rate risk | $ | 86,988 | ||
Change in Unrealized Appreciation | ||||
Interest rate risk | 48,990 | |||
Total | $ | 135,978 | ||
* | The average value of futures outstanding during the period was $8,821,113. |
Open Futures Contracts | ||||||||||||||||
Unrealized | ||||||||||||||||
Number of | Month/ | Appreciation | ||||||||||||||
Contract | Contracts | Commitment | Value | (Depreciation) | ||||||||||||
U.S. Treasury 5 Year Notes | 34 | March-2011/Long | $ | 4,002,438 | $ | (60,370 | ) | |||||||||
U.S. Treasury Ultra Bond | 8 | March-2011/Long | 1,016,750 | (11,173 | ) | |||||||||||
U.S. Treasury 30 Year Bonds | 4 | March-2011/Long | 488,500 | (18,946 | ) | |||||||||||
Subtotal | $ | 5,507,688 | $ | (90,489 | ) | |||||||||||
U.S. Treasury 10 Year Notes | 29 | March-2011/Short | (3,492,688 | ) | 96,679 | |||||||||||
Total | $ | 2,015,000 | $ | 6,190 | ||||||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 1,403,606 | $ | 2,426,040 | ||||
2010 | ||||
Undistributed ordinary income | $ | 1,214,340 | ||
Net unrealized appreciation — investments | 1,046,350 | |||
Temporary book/tax differences | (45,374 | ) | ||
Capital loss carryforward | (10,120,315 | ) | ||
Shares of beneficial interest | 31,365,680 | |||
Total net assets | $ | 23,460,681 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2014 | $ | 341,883 | ||
December 31, 2015 | 221,396 | |||
December 31, 2016 | 2,197,944 | |||
December 31, 2017 | 7,359,092 | |||
Total capital loss carryforward | $ | 10,120,315 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 1,310,167 | ||
Aggregate unrealized (depreciation) of investment securities | (263,817 | ) | ||
Net unrealized appreciation of investment securities | $ | 1,046,350 | ||
Investments have the same cost for tax and financial statement purposes. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 297,335 | $ | 1,831,971 | 503,808 | $ | 3,031,480 | ||||||||||
Series II | 68 | 406 | 961 | 5,848 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 227,266 | 1,390,866 | 406,455 | 2,398,080 | ||||||||||||
Series II | 2,092 | 12,740 | 4,771 | 27,960 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (848,553 | ) | (5,213,390 | ) | (882,462 | ) | (5,228,511 | ) | ||||||||
Series II | (13,673 | ) | (84,168 | ) | (26,192 | ) | (156,324 | ) | ||||||||
Net increase (decrease) in share activity | (335,465 | ) | $ | (2,061,575 | ) | 7,341 | $ | 78,533 | ||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 82% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | |||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 5.88 | $ | 0.31 | $ | 0.28 | $ | 0.59 | $ | (0.37 | ) | $ | 6.10 | 10.05 | % | $ | 23,229 | 0.75 | %(d) | 1.36 | %(d) | 5.03 | %(d) | 87 | % | |||||||||||||||||||||||
Year ended 12/31/09 | 5.87 | 0.35 | 0.29 | 0.64 | (0.63 | ) | 5.88 | 10.89 | 24,299 | 0.74 | 1.48 | 5.91 | 200 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 7.80 | 0.50 | (1.74 | ) | (1.24 | ) | (0.69 | ) | 5.87 | (15.59 | ) | 24,070 | 0.75 | 1.31 | 6.83 | 35 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 8.28 | 0.51 | (0.37 | ) | 0.14 | (0.62 | ) | 7.80 | 1.72 | 38,336 | 0.75 | 1.17 | 6.04 | 67 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 8.43 | 0.46 | (0.08 | ) | 0.38 | (0.53 | ) | 8.28 | 4.48 | 46,743 | 0.75 | 1.10 | 5.47 | 78 | ||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 5.85 | 0.29 | 0.28 | 0.57 | (0.35 | ) | 6.07 | 9.70 | 232 | 1.00 | (d) | 1.61 | (d) | 4.78 | (d) | 87 | ||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 5.83 | 0.34 | 0.29 | 0.63 | (0.61 | ) | 5.85 | 10.70 | 291 | 0.99 | 1.73 | 5.66 | 200 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 7.74 | 0.48 | (1.72 | ) | (1.24 | ) | (0.67 | ) | 5.83 | (15.78 | ) | 409 | 1.00 | 1.56 | 6.58 | 35 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 8.21 | 0.48 | (0.36 | ) | 0.12 | (0.59 | ) | 7.74 | 1.51 | 606 | 1.00 | 1.42 | 5.79 | 67 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 8.36 | 0.44 | (0.09 | ) | 0.35 | (0.50 | ) | 8.21 | 4.17 | 713 | 1.00 | 1.35 | 5.22 | 78 | ||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized less than one year, if applicable, and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s omitted) of $24,081 and $262 for Series I and Series II, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,043.70 | $ | 3.86 | $ | 1,021.42 | $ | 3.82 | 0.75 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,041.80 | 5.15 | 1,020.16 | 5.09 | 1.00 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 2.43% | |||
U.S. Treasury Obligations* | 3.67% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 23.82 | % | ||
Series II Shares | 23.61 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
Russell Midcap Growth Index▼ (Style-Specific Index) | 26.38 | |||
Lipper VUF Mid-Cap Growth Funds Index▼ (Peer Group) | 27.62 | |||
▼ | Lipper Inc. |
n | There is a change in fundamentals, market capitalization or deterioration in the timeliness profile. | |
n | The price target set at purchase has been reached. | |
n | The investment thesis is no longer valid. | |
n | Insider selling indicates potential issues. |
Information Technology | 22.4 | % | ||
Consumer Discretionary | 19.9 | |||
Industrials | 18.6 | |||
Health Care | 12.2 | |||
Energy | 8.7 | |||
Financials | 6.8 | |||
Materials | 5.7 | |||
Consumer Staples | 1.9 | |||
Telecommunication Services | 1.5 | |||
Utilities | 0.8 | |||
Money Market Funds Plus | ||||
Other Assets Less Liabilities | 1.5 |
1. | AGCO Corp. | 1.9 | % | |||||
2. | Pioneer Natural Resources Co. | 1.8 | ||||||
3. | Affiliated Managers Group, Inc. | 1.7 | ||||||
4. | Concho Resources Inc. | 1.7 | ||||||
5. | Nordstrom, Inc. | 1.6 | ||||||
6. | Crown Holdings, Inc. | 1.6 | ||||||
7. | Avago Technologies Ltd. | 1.6 | ||||||
8. | MGM Resorts International | 1.6 | ||||||
9. | Albemarle Corp. | 1.6 | ||||||
10. | Universal Health Services, Inc.- Class B | 1.6 |
Total Net Assets | $53.5 million | |||
Total Number of Holdings* | 92 |
*Excluding money market fund holdings.
1 | U.S. Federal Reserve | |
2 | Bureau of Economic Analysis | |
3 | Bureau of Labor Statistics |
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. Dynamics Fund. He began his investment career in 1982 and joined Invesco in 1998. Mr. Rasplicka is a magna cum laude graduate of the University of Colorado at Boulder with a B.S. in business administration. He earned an M.B.A. from the University of Chicago. He is also a Charted Investment Counselor.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Dynamics Fund. He joined Invesco in 2003. Mr. Lium earned a B.B.A. from Texas A&M University and an M.B.A. from the University of Texas at Austin.
Series I Shares | ||||||||
Inception (8/22/97) | 4.46 | % | ||||||
10 | Years | -0.33 | ||||||
5 | Years | 3.59 | ||||||
1 | Year | 23.82 | ||||||
Series II Shares | ||||||||
10 | Years | -0.55 | % | |||||
5 | Years | 3.39 | ||||||
1 | Year | 23.61 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least April 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–98.53% | ||||||||
Aerospace & Defense–1.27% | ||||||||
BE Aerospace, Inc.(b) | 18,349 | $ | 679,464 | |||||
Air Freight & Logistics–1.40% | ||||||||
UTi Worldwide, Inc. | 35,356 | 749,547 | ||||||
Apparel Retail–1.13% | ||||||||
Rue21, Inc.(b) | 20,633 | 604,753 | ||||||
Apparel, Accessories & Luxury Goods–1.53% | ||||||||
Coach, Inc. | 14,778 | 817,371 | ||||||
Application Software–2.55% | ||||||||
Autodesk, Inc.(b) | 12,652 | 483,307 | ||||||
Citrix Systems, Inc.(b) | 5,441 | 372,219 | ||||||
TIBCO Software Inc.(b) | 25,716 | 506,862 | ||||||
1,362,388 | ||||||||
Asset Management & Custody Banks–1.69% | ||||||||
Affiliated Managers Group, Inc.(b) | 9,131 | 905,978 | ||||||
Auto Parts & Equipment–1.89% | ||||||||
BorgWarner, Inc.(b) | 10,269 | 743,065 | ||||||
Gentex Corp. | 9,047 | 267,429 | ||||||
1,010,494 | ||||||||
Automotive Retail–1.21% | ||||||||
O’Reilly Automotive, Inc.(b) | 10,763 | 650,300 | ||||||
Biotechnology–1.63% | ||||||||
Human Genome Sciences, Inc.(b) | 14,770 | 352,855 | ||||||
United Therapeutics Corp.(b) | 8,204 | 518,657 | ||||||
871,512 | ||||||||
Broadcasting–1.04% | ||||||||
Discovery Communications, Inc.–Class A(b) | 13,340 | 556,278 | ||||||
Casinos & Gaming–2.45% | ||||||||
Las Vegas Sands Corp.(b) | 10,152 | 466,484 | ||||||
MGM Resorts International(b) | 56,873 | 844,564 | ||||||
1,311,048 | ||||||||
Coal & Consumable Fuels–1.10% | ||||||||
Arch Coal, Inc. | 16,779 | 588,272 | ||||||
Communications Equipment–0.89% | ||||||||
Finisar Corp.(b) | 16,093 | 477,801 | ||||||
Computer Storage & Peripherals–1.05% | ||||||||
NetApp, Inc.(b) | 10,239 | 562,735 | ||||||
Construction & Engineering–0.81% | ||||||||
Foster Wheeler AG (Switzerland)(b) | 12,525 | 432,363 | ||||||
Construction, Farm Machinery & Heavy Trucks–2.95% | ||||||||
AGCO Corp.(b) | 20,564 | 1,041,772 | ||||||
Navistar International Corp.(b) | 9,278 | 537,289 | ||||||
1,579,061 | ||||||||
Consumer Finance–1.49% | ||||||||
Discover Financial Services | 42,964 | 796,123 | ||||||
Data Processing & Outsourced Services–1.52% | ||||||||
Alliance Data Systems Corp.(b)(c) | 11,442 | 812,725 | ||||||
Department Stores–3.08% | ||||||||
Macy’s, Inc. | 30,862 | 780,809 | ||||||
Nordstrom, Inc. | 20,482 | 868,027 | ||||||
1,648,836 | ||||||||
Education Services–0.80% | ||||||||
Grand Canyon Education, Inc.(b) | 21,941 | 429,824 | ||||||
Electronic Components–1.25% | ||||||||
Amphenol Corp.–Class A | 12,729 | 671,837 | ||||||
Environmental & Facilities Services–1.05% | ||||||||
Republic Services, Inc. | 18,824 | 562,085 | ||||||
Health Care Equipment–2.36% | ||||||||
American Medical Systems Holdings, Inc.(b) | 22,891 | 431,724 | ||||||
CareFusion Corp.(b) | 21,202 | 544,892 | ||||||
NuVasive, Inc.(b) | 11,223 | 287,870 | ||||||
1,264,486 | ||||||||
Health Care Facilities–2.18% | ||||||||
Brookdale Senior Living Inc.(b) | 15,554 | 333,011 | ||||||
Universal Health Services, Inc.–Class B | 19,246 | 835,661 | ||||||
1,168,672 | ||||||||
Health Care Services–0.94% | ||||||||
Fresenius Medical Care AG & Co. KGaA (Germany) | 8,666 | 500,919 | ||||||
Hotels, Resorts & Cruise Lines–3.36% | ||||||||
Ctrip.com International, Ltd.–ADR (China)(b) | 10,370 | 419,467 | ||||||
Marriott International Inc.–Class A | 15,361 | 638,096 | ||||||
Orient-Express Hotels Ltd.–Class A (Bermuda)(b) | 57,174 | 742,690 | ||||||
1,800,253 | ||||||||
Household Products–0.59% | ||||||||
Church & Dwight Co., Inc. | 4,554 | 314,317 | ||||||
Shares | Value | |||||||
Human Resource & Employment Services–2.03% | ||||||||
Manpower Inc. | 8,333 | $ | 522,979 | |||||
Robert Half International, Inc. | 18,447 | 564,478 | ||||||
1,087,457 | ||||||||
Independent Power Producers & Energy Traders–0.82% | ||||||||
KGEN Power Corp. (Acquired 01/12/07, Cost $613,032)(b)(d) | 43,788 | 437,880 | ||||||
Industrial Machinery–3.31% | ||||||||
Flowserve Corp. | 5,555 | 662,267 | ||||||
Gardner Denver Inc. | 7,103 | 488,829 | ||||||
Kennametal Inc. | 15,681 | 618,772 | ||||||
1,769,868 | ||||||||
Internet Software & Services–2.13% | ||||||||
Akamai Technologies, Inc.(b) | 6,251 | 294,110 | ||||||
MercadoLibre Inc.(b) | 5,003 | 333,450 | ||||||
VeriSign, Inc. | 15,626 | 510,501 | ||||||
1,138,061 | ||||||||
IT Consulting & Other Services–2.46% | ||||||||
Cognizant Technology Solutions Corp.–Class A(b) | 8,941 | 655,286 | ||||||
Teradata Corp.(b) | 16,047 | 660,494 | ||||||
1,315,780 | ||||||||
Life Sciences Tools & Services–2.03% | ||||||||
Life Technologies Corp.(b) | 10,148 | 563,214 | ||||||
Pharmaceutical Product Development, Inc. | 19,232 | 521,957 | ||||||
1,085,171 | ||||||||
Managed Health Care–1.89% | ||||||||
Aetna Inc. | 17,502 | 533,986 | ||||||
Aveta, Inc.(b)(d) | 80,000 | 480,000 | ||||||
1,013,986 | ||||||||
Metal & Glass Containers–1.62% | ||||||||
Crown Holdings, Inc.(b) | 25,929 | 865,510 | ||||||
Oil & Gas Equipment & Services–1.84% | ||||||||
Oil States International, Inc.(b) | 6,565 | 420,751 | ||||||
Weatherford International Ltd.(b) | 24,769 | 564,733 | ||||||
985,484 | ||||||||
Oil & Gas Exploration & Production–5.73% | ||||||||
Concho Resources Inc.(b) | 10,311 | 903,966 | ||||||
Continental Resources, Inc.(b) | 10,779 | 634,344 | ||||||
Oasis Petroleum Inc.(b) | 20,428 | 554,007 | ||||||
Pioneer Natural Resources Co. | 11,238 | 975,683 | ||||||
3,068,000 | ||||||||
Packaged Foods & Meats–1.34% | ||||||||
Hershey Co. (The) | 15,222 | 717,717 | ||||||
Pharmaceuticals–1.19% | ||||||||
Shire PLC (United Kingdom) | 26,432 | 636,669 | ||||||
Precious Metals & Minerals–0.25% | ||||||||
Stillwater Mining Co.(b) | 6,229 | 132,989 | ||||||
Property & Casualty Insurance–0.82% | ||||||||
Assured Guaranty Ltd. | 24,657 | 436,429 | ||||||
Publishing–1.14% | ||||||||
McGraw-Hill Cos., Inc. (The) | 16,777 | 610,851 | ||||||
Real Estate Services–1.56% | ||||||||
Jones Lang LaSalle Inc. | 9,945 | 834,584 | ||||||
Research & Consulting Services–1.48% | ||||||||
IHS Inc.–Class A(b) | 9,861 | 792,726 | ||||||
Restaurants–1.06% | ||||||||
Texas Roadhouse, Inc.(b) | 32,960 | 565,923 | ||||||
Security & Alarm Services–0.92% | ||||||||
Corrections Corp. of America(b) | 19,700 | 493,682 | ||||||
Semiconductor Equipment–2.08% | ||||||||
Lam Research Corp.(b) | 10,498 | 543,586 | ||||||
Teradyne, Inc.(b) | 40,391 | 567,090 | ||||||
1,110,676 | ||||||||
Semiconductors–4.57% | ||||||||
Altera Corp. | 8,586 | 305,490 | ||||||
Avago Technologies Ltd. (Singapore) | 30,037 | 855,154 | ||||||
Broadcom Corp.–Class A | 6,524 | 284,120 | ||||||
Cavium Networks, Inc.(b) | 13,069 | 492,440 | ||||||
Marvell Technology Group Ltd.(b) | 27,455 | 509,290 | ||||||
2,446,494 | ||||||||
Specialized Finance–1.24% | ||||||||
Moody’s Corp. | 25,007 | 663,686 | ||||||
Specialty Chemicals–3.79% | ||||||||
Albemarle Corp. | 15,079 | 841,107 | ||||||
Lubrizol Corp. (The) | 6,993 | 747,412 | ||||||
LyondellBasell Industries N.V.–Class A (Netherlands)(b) | 12,721 | 437,602 | ||||||
2,026,121 | ||||||||
Specialty Stores–1.17% | ||||||||
Ulta Salon, Cosmetics & Fragrance, Inc.(b) | 18,476 | 628,184 | ||||||
Shares | Value | |||||||
Systems Software–2.56% | ||||||||
Check Point Software Technologies Ltd. (Israel)(b) | 12,713 | $ | 588,103 | |||||
Rovi Corp.(b) | 12,604 | 781,574 | ||||||
1,369,677 | ||||||||
Technology Distributors–1.39% | ||||||||
Avnet, Inc.(b) | 14,239 | 470,314 | ||||||
Tech Data Corp.(b) | 6,164 | 271,339 | ||||||
741,653 | ||||||||
Trading Companies & Distributors–1.58% | ||||||||
Fastenal Co. | 4,894 | 293,200 | ||||||
WESCO International, Inc.(b) | 10,430 | 550,704 | ||||||
843,904 | ||||||||
Trucking–1.85% | ||||||||
J.B. Hunt Transport Services, Inc. | 15,909 | 649,246 | ||||||
Swift Transportation Co.(b) | 27,291 | 341,411 | ||||||
990,657 | ||||||||
Wireless Telecommunication Services–1.47% | ||||||||
Crown Castle International Corp.(b) | 12,649 | 554,406 | ||||||
Millicom International Cellular S.A. (Luxembourg)(b) | 2,413 | 230,683 | ||||||
785,089 | ||||||||
Total Common Stocks & Other Equity Interests (Cost $43,524,717) | 52,724,350 | |||||||
Money Market Funds–1.89% | ||||||||
Liquid Assets Portfolio–Institutional Class(e) | 506,744 | 506,744 | ||||||
Premier Portfolio–Institutional Class(e) | 506,744 | 506,744 | ||||||
Total Money Market Funds (Cost $1,013,488) | 1,013,488 | |||||||
TOTAL INVESTMENTS (excluding investments purchased with cash collateral from securities on loan)–100.42% (Cost $44,538,205) | 53,737,838 | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds–1.17% | ||||||||
Liquid Assets Portfolio–Institutional Class (Cost $624,268)(e)(f) | 624,268 | 624,268 | ||||||
TOTAL INVESTMENTS–101.59% (Cost $45,162,473) | $ | 54,362,106 | ||||||
OTHER ASSETS LESS LIABILITIES–(1.59)% | (851,822 | ) | ||||||
NET ASSETS–100.00% | $ | 53,510,284 | ||||||
ADR | – American Depositary Receipt |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | All or a portion of this security was out on loan at December 31, 2010. | |
(d) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at December 31, 2010 was $917,880, which represented 1.72% of the Fund’s Net Assets. | |
(e) | The money market fund and the Fund are affiliated by having the same investment adviser. | |
(f) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 1I. |
Assets: | ||||
Investments, at value (Cost $43,524,717)* | $ | 52,724,350 | ||
Investments in affiliated money market funds, at value and cost | 1,637,756 | |||
Total investments, at value (Cost $45,162,473) | 54,362,106 | |||
Receivables for: | ||||
Fund shares sold | 36,135 | |||
Dividends | 15,121 | |||
Investment for trustee deferred compensation and retirement plans | 14,451 | |||
Total assets | 54,427,813 | |||
Liabilities: | ||||
Payables for: | ||||
Investments purchased | 133,933 | |||
Fund shares reacquired | 41,872 | |||
Collateral upon return of securities loaned | 624,268 | |||
Accrued fees to affiliates | 63,121 | |||
Accrued other operating expenses | 29,676 | |||
Trustee deferred compensation and retirement plans | 24,659 | |||
Total liabilities | 917,529 | |||
Net assets applicable to shares outstanding | $ | 53,510,284 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 70,433,490 | ||
Undistributed net investment income (loss) | (24,395 | ) | ||
Undistributed net realized gain (loss) | (26,098,444 | ) | ||
Unrealized appreciation | 9,199,633 | |||
$ | 53,510,284 | |||
Net Assets: | ||||
Series I | $ | 53,501,440 | ||
Series II | $ | 8,844 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 3,035,091 | |||
Series II | 509 | |||
Series I: | ||||
Net asset value per share | $ | 17.63 | ||
Series II: | ||||
Net asset value per share | $ | 17.38 | ||
* | At December 31, 2010, securities with an aggregate value of $609,508 were on loan to brokers. |
Investment income: | ||||
Dividends (net of foreign withholding taxes of $1,895) | $ | 451,517 | ||
Dividends from affiliated money market funds (includes securities lending income of $3,938) | 5,854 | |||
Total investment income | 457,371 | |||
Expenses: | ||||
Advisory fees | 371,120 | |||
Administrative services fees | 174,305 | |||
Custodian fees | 11,091 | |||
Distribution fees — Series II | 19 | |||
Transfer agent fees | 16,741 | |||
Trustees’ and officers’ fees and benefits | 17,232 | |||
Professional services fees | 32,495 | |||
Other | 12,817 | |||
Total expenses | 635,820 | |||
Less: Fees waived | (2,228 | ) | ||
Net expenses | 633,592 | |||
Net investment income (loss) | (176,221 | ) | ||
Realized and unrealized gain (loss) from: | ||||
Net realized gain (loss) from: | ||||
Investment securities (includes net gains from securities sold to affiliates of $300,066) | 6,733,097 | |||
Foreign currencies | (6,119 | ) | ||
6,726,978 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | 3,592,647 | |||
Foreign currencies | (55 | ) | ||
3,592,592 | ||||
Net realized and unrealized gain | 10,319,570 | |||
Net increase in net assets resulting from operations | $ | 10,143,349 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income (loss) | $ | (176,221 | ) | $ | (307,133 | ) | ||
Net realized gain (loss) | 6,726,978 | (5,129,510 | ) | |||||
Change in net unrealized appreciation | 3,592,592 | 21,019,261 | ||||||
Net increase in net assets resulting from operations | 10,143,349 | 15,582,618 | ||||||
Share transactions–net: | ||||||||
Series I | (7,168,365 | ) | (6,716,157 | ) | ||||
Series II | — | — | ||||||
Net increase (decrease) in net assets resulting from share transactions | (7,168,365 | ) | (6,716,157 | ) | ||||
Net increase in net assets | 2,974,984 | 8,866,461 | ||||||
Net assets: | ||||||||
Beginning of year | 50,535,300 | 41,668,839 | ||||||
End of year (includes undistributed net investment income (loss) of $(24,395) and $(20,836), respectively) | $ | 53,510,284 | $ | 50,535,300 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. |
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
K. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $250 million | 0 | .745% | ||
Next $250 million | 0 | .73% | ||
Next $500 million | 0 | .715% | ||
Next $1.5 billion | 0 | .70% | ||
Next $2.5 billion | 0 | .685% | ||
Next $2.5 billion | 0 | .67% | ||
Next $2.5 billion | 0 | .655% | ||
Over $10 billion | 0 | .64% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 52,807,557 | $ | 1,116,669 | $ | 437,880 | $ | 54,362,106 | ||||||||
2010 | ||||
Net unrealized appreciation — investments | $ | 9,144,651 | ||
Temporary book/tax differences | (22,673 | ) | ||
Post-October deferrals | (1,722 | ) | ||
Capital loss carryforward | (26,043,462 | ) | ||
Shares of beneficial interest | 70,433,490 | |||
Total net assets | $ | 53,510,284 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 15,509,594 | ||
December 31, 2017 | 10,533,868 | |||
Total capital loss carryforward | $ | 26,043,462 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 10,557,674 | ||
Aggregate unrealized (depreciation) of investment securities | (1,413,023 | ) | ||
Net unrealized appreciation of investment securities | $ | 9,144,651 | ||
Cost of investments for tax purposes is $45,217,455. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 1,039,355 | $ | 16,227,294 | 838,528 | $ | 9,769,860 | ||||||||||
Series II | — | — | — | — | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (1,555,102 | ) | (23,395,659 | ) | (1,457,783 | ) | (16,486,017 | ) | ||||||||
Series II | — | — | — | — | ||||||||||||
Net increase (decrease) in share activity | (515,747 | ) | $ | (7,168,365 | ) | (619,255 | ) | $ | (6,716,157 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 71% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||
Net asset | Net | on securities | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||
value, | investment | (both | Total from | Net asset | Net assets, | with fee waivers | fee waivers | income (loss) | ||||||||||||||||||||||||||||||||||||
beginning | income | realized and | investment | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | ||||||||||||||||||||||||||||||||||
of period | (loss) | unrealized) | operations | of period | Return(a) | (000s omitted) | absorbed | absorbed | net assets | turnover(b) | ||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 14.23 | $ | (0.05 | )(c) | $ | 3.45 | $ | 3.40 | $ | 17.63 | 23.89 | % | $ | 53,501 | 1.28 | %(d) | 1.28 | %(d) | (0.36 | )%(d) | 93 | % | |||||||||||||||||||||
Year ended 12/31/09 | 9.99 | (0.08 | )(c) | 4.32 | 4.24 | 14.23 | 42.44 | 50,528 | 1.30 | 1.33 | (0.70 | ) | 97 | |||||||||||||||||||||||||||||||
Year ended 12/31/08 | 19.24 | (0.10 | )(c) | (9.15 | ) | (9.25 | ) | 9.99 | (48.08 | ) | 41,664 | 1.22 | 1.22 | (0.62 | ) | 106 | ||||||||||||||||||||||||||||
Year ended 12/31/07 | 17.15 | (0.11 | )(c) | 2.20 | 2.09 | 19.24 | 12.19 | 122,184 | 1.11 | 1.11 | (0.58 | ) | 115 | |||||||||||||||||||||||||||||||
Year ended 12/31/06 | 14.77 | (0.09 | ) | 2.47 | 2.38 | 17.15 | 16.11 | 120,792 | 1.12 | 1.13 | (0.51 | ) | 142 | |||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 14.06 | (0.08 | )(c) | 3.40 | 3.32 | 17.38 | 23.61 | 9 | 1.45 | (d) | 1.53 | (d) | (0.53 | )(d) | 93 | |||||||||||||||||||||||||||||
Year ended 12/31/09 | 9.88 | (0.09 | )(c) | 4.27 | 4.18 | 14.06 | 42.31 | 7 | 1.45 | 1.58 | (0.85 | ) | 97 | |||||||||||||||||||||||||||||||
Year ended 12/31/08 | 19.06 | (0.12 | )(c) | (9.06 | ) | (9.18 | ) | 9.88 | (48.16 | ) | 5 | 1.45 | 1.47 | (0.85 | ) | 106 | ||||||||||||||||||||||||||||
Year ended 12/31/07 | 17.04 | (0.15 | )(c) | 2.17 | 2.02 | 19.06 | 11.85 | 10 | 1.36 | 1.36 | (0.83 | ) | 115 | |||||||||||||||||||||||||||||||
Year ended 12/31/06 | 14.71 | (0.12 | ) | 2.45 | 2.33 | 17.04 | 15.84 | 14 | 1.37 | 1.38 | (0.76 | ) | 142 | |||||||||||||||||||||||||||||||
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable, and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(b) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(c) | Calculated using average shares outstanding. | |
(d) | Ratios are based on average daily net assets (000’s omitted) of $49,807 and $8 for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,299.40 | $ | 7.42 | $ | 1,018.75 | $ | 6.52 | 1.28 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,298.00 | 8.42 | 1,017.87 | 7.40 | 1.45 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 10.31 | % | ||
Series II Shares | 10.10 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
S&P 500 Financials Index▼ (Style-Specific Index) | 12.13 | |||
Lipper VUF Financial Services Funds Category Average▼ (Peer Group) | 12.34 | |||
▼ | Lipper Inc. |
Financials | 84.9 | % | ||
Information Technology | 6.0 | |||
Consumer Discretionary | 1.3 | |||
Money Market Funds Plus | ||||
Other Assets Less Liabilities | 7.8 |
1. | Capital One Financial Corp. | 6.7 | % | |||||
2. | State Street Corp. | 6.1 | ||||||
3. | Legg Mason, Inc. | 5.1 | ||||||
4. | Fifth Third Bancorp | 4.9 | ||||||
5. | SunTrust Banks, Inc. | 4.7 | ||||||
6. | Zions Bancorp | 4.7 | ||||||
7. | Federated Investors, Inc. | 4.0 | ||||||
8. | XL Group PLC | 3.8 | ||||||
9. | American Express Co. | 3.8 | ||||||
10. | Bank of America Corp. | 3.6 |
Total Net Assets | $64.3 million | |||
Total Number of Holdings* | 36 |
*Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Financial Services Fund. Ms. Walsh joined Invesco in 1991. She began her investment career in 1987. Ms. Walsh earned a B.S. in finance from the University of Maryland and an M.B.A. from Loyola University Maryland.
Series I Shares | ||||||||
Inception (9/20/99) | -1.76 | % | ||||||
10 | Years | -5.13 | ||||||
5 | Years | -12.38 | ||||||
1 | Year | 10.31 | ||||||
Series II Shares | ||||||||
10 | Years | -5.34 | % | |||||
5 | Years | -12.56 | ||||||
1 | Year | 10.10 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least April 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks–92.17% | ||||||||
Asset Management & Custody Banks–15.22% | ||||||||
Federated Investors, Inc.–Class B | 97,409 | $ | 2,549,194 | |||||
Legg Mason, Inc. | 90,809 | 3,293,642 | ||||||
State Street Corp. | 84,898 | 3,934,173 | ||||||
9,777,009 | ||||||||
Consumer Finance–13.32% | ||||||||
American Express Co. | 56,254 | 2,414,422 | ||||||
Capital One Financial Corp. | 101,326 | 4,312,434 | ||||||
Green Dot Corp.–Class A(b) | 5,388 | 305,715 | ||||||
SLM Corp.(b) | 121,162 | 1,525,430 | ||||||
8,558,001 | ||||||||
Data Processing & Outsourced Services–5.98% | ||||||||
Alliance Data Systems Corp.(b) | 14,509 | 1,030,574 | ||||||
Automatic Data Processing, Inc. | 40,441 | 1,871,610 | ||||||
Heartland Payment Systems, Inc. | 61,017 | 940,882 | ||||||
3,843,066 | ||||||||
Diversified Banks–4.35% | ||||||||
Societe Generale (France) | 27,977 | 1,507,468 | ||||||
US Bancorp | 47,825 | 1,289,840 | ||||||
2,797,308 | ||||||||
Diversified Capital Markets–3.15% | ||||||||
UBS AG (Switzerland)(b) | 122,692 | 2,020,737 | ||||||
Insurance Brokers–2.12% | ||||||||
Marsh & McLennan Cos., Inc. | 49,751 | 1,360,192 | ||||||
Investment Banking & Brokerage–8.09% | ||||||||
Charles Schwab Corp. (The) | 91,331 | 1,562,673 | ||||||
FBR Capital Markets Corp.(b) | 164,081 | 626,790 | ||||||
Lazard Ltd.–Class A | 29,300 | 1,157,057 | ||||||
Morgan Stanley(b) | 68,140 | 1,854,089 | ||||||
5,200,609 | ||||||||
Life & Health Insurance–4.59% | ||||||||
Lincoln National Corp. | 45,292 | 1,259,570 | ||||||
Prudential Financial, Inc. | 6,486 | 380,793 | ||||||
StanCorp Financial Group, Inc. | 29,028 | 1,310,324 | ||||||
2,950,687 | ||||||||
Other Diversified Financial Services–8.26% | ||||||||
Bank of America Corp.(b) | 174,902 | 2,333,193 | ||||||
Citigroup Inc.(b) | 406,230 | 1,921,468 | ||||||
JPMorgan Chase & Co. | 24,843 | 1,053,840 | ||||||
5,308,501 | ||||||||
Property & Casualty Insurance–4.10% | ||||||||
Allstate Corp. (The) | 5,407 | 172,375 | ||||||
XL Group PLC (Ireland) | 112,967 | 2,464,940 | ||||||
2,637,315 | ||||||||
Regional Banks–15.19% | ||||||||
Fifth Third Bancorp | 215,710 | 3,166,623 | ||||||
First Midwest Bancorp, Inc. | 32,764 | 377,441 | ||||||
SunTrust Banks, Inc. | 101,611 | 2,998,541 | ||||||
Wilmington Trust Corp. | 54,704 | 237,415 | ||||||
Zions Bancorp. | 123,073 | 2,982,059 | ||||||
9,762,079 | ||||||||
Reinsurance–1.79% | ||||||||
Transatlantic Holdings, Inc. | 22,261 | 1,149,113 | ||||||
Specialized Consumer Services–1.30% | ||||||||
H&R Block, Inc. | 70,318 | 837,487 | ||||||
Specialized Finance–1.37% | ||||||||
Moody’s Corp. | 33,064 | 877,519 | ||||||
Thrifts & Mortgage Finance–3.34% | ||||||||
Capitol Federal Financial Inc. | 11,148 | 132,773 | ||||||
Hudson City Bancorp, Inc. | 157,827 | 2,010,716 | ||||||
2,143,489 | ||||||||
Total Common Stocks (Cost $54,991,348) | 59,223,112 | |||||||
Money Market Funds–7.29% | ||||||||
Liquid Assets Portfolio–Institutional Class(c) | 2,341,660 | 2,341,660 | ||||||
Premier Portfolio–Institutional Class(c) | 2,341,660 | 2,341,660 | ||||||
Total Money Market Funds (Cost $4,683,320) | 4,683,320 | |||||||
TOTAL INVESTMENTS–99.46% (Cost $59,674,668) | 63,906,432 | |||||||
OTHER ASSETS LESS LIABILITIES–0.54% | 344,235 | |||||||
NET ASSETS–100.00% | $ | 64,250,667 | ||||||
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $54,991,348) | $ | 59,223,112 | ||
Investments in affiliated money market funds, at value and cost | 4,683,320 | |||
Total investments, at value (Cost $59,674,668) | 63,906,432 | |||
Receivable for: | ||||
Fund shares sold | 725,795 | |||
Dividends | 37,444 | |||
Investment for trustee deferred compensation and retirement plans | 14,794 | |||
Other assets | 76 | |||
Total assets | 64,684,541 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 215,572 | |||
Fund shares reacquired | 76,200 | |||
Accrued fees to affiliates | 83,905 | |||
Accrued other operating expenses | 30,751 | |||
Trustee deferred compensation and retirement plans | 27,446 | |||
Total liabilities | 433,874 | |||
Net assets applicable to shares outstanding | $ | 64,250,667 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 108,807,012 | ||
Undistributed net investment income (loss) | (26,973 | ) | ||
Undistributed net realized gain (loss) | (48,761,136 | ) | ||
Unrealized appreciation | 4,231,764 | |||
$ | 64,250,667 | |||
Net Assets: | ||||
Series I | $ | 54,081,090 | ||
Series II | $ | 10,169,577 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 9,622,864 | |||
Series II | 1,830,133 | |||
Series I: | ||||
Net asset value per share | $ | 5.62 | ||
Series II: | ||||
Net asset value per share | $ | 5.56 | ||
Investment income: | ||||
Dividends | $ | 774,518 | ||
Dividends from affiliated money market funds | 2,842 | |||
Total investment income | 777,360 | |||
Expenses: | ||||
Advisory fees | 482,119 | |||
Administrative services fees | 209,326 | |||
Custodian fees | 8,197 | |||
Distribution fees — Series II | 21,866 | |||
Transfer agent fees | 19,694 | |||
Trustees’ and officers’ fees and benefits | 17,774 | |||
Other | 44,902 | |||
Total expenses | 803,878 | |||
Less: Fees waived and expenses reimbursed | (5,483 | ) | ||
Net expenses | 798,395 | |||
Net investment income (loss) | (21,035 | ) | ||
Realized and unrealized gain (loss) from: | ||||
Net realized gain (loss) from: | ||||
Investment securities (includes net gains (losses) from securities sold to affiliates of $(387,452)) | (15,075,948 | ) | ||
Foreign currencies | (4,218 | ) | ||
(15,080,166 | ) | |||
Change in net unrealized appreciation of investment securities | 20,369,027 | |||
Net realized and unrealized gain | 5,288,861 | |||
Net increase in net assets resulting from operations | $ | 5,267,826 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income (loss) | $ | (21,035 | ) | $ | 83,899 | |||
Net realized gain (loss) | (15,080,166 | ) | (7,426,734 | ) | ||||
Change in net unrealized appreciation | 20,369,027 | 22,907,979 | ||||||
Net increase in net assets resulting from operations | 5,267,826 | 15,565,144 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (56,868 | ) | (1,643,368 | ) | ||||
Series II | — | (217,704 | ) | |||||
Total distributions from net investment income | (56,868 | ) | (1,861,072 | ) | ||||
Share transactions–net: | ||||||||
Series I | (7,924,005 | ) | 6,150,080 | |||||
Series II | 1,482,843 | 2,336,966 | ||||||
Net increase (decrease) in net assets resulting from share transactions | (6,441,162 | ) | 8,487,046 | |||||
Net increase (decrease) in net assets | (1,230,204 | ) | 22,191,118 | |||||
Net assets: | ||||||||
Beginning of year | 65,480,871 | 43,289,753 | ||||||
End of year (includes undistributed net investment income (loss) of $(26,973) and $57,948, respectively) | $ | 64,250,667 | $ | 65,480,871 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as |
institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the |
financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | ||
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Other Risks — The Fund’s investments are concentrated in a comparatively narrow segment of the economy, which may make the Fund more volatile. | |
The financial services sector is subject to extensive government regulation, which may change frequently. In addition, the profitability of businesses in the financial service sector depends on the availability and cost of money and may fluctuate significantly in response to changes in government regulation, interest rates and general economic conditions. Businesses in the financial sector often operate with substantial financial leverage. | ||
J. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. | |
K. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. |
Average Net Assets | Rate | |||
First $250 million | 0 | .75% | ||
Next $250 million | 0 | .74% | ||
Next $500 million | 0 | .73% | ||
Next $1.5 billion | 0 | .72% | ||
Next $2.5 billion | 0 | .71% | ||
Next $2.5 billion | 0 | .70% | ||
Next $2.5 billion | 0 | .69% | ||
Over $10 billion | 0 | .68% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 62,398,964 | $ | 1,507,468 | $ | — | $ | 63,906,432 | ||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 56,868 | $ | 1,861,072 | ||||
2010 | ||||
Net unrealized appreciation — investments | $ | 1,160,864 | ||
Temporary book/tax differences | (25,317 | ) | ||
Post-October deferrals | (804,658 | ) | ||
Capital loss carryforward | (44,887,234 | ) | ||
Shares of beneficial interest | 108,807,012 | |||
Total net assets | $ | 64,250,667 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 22,458,450 | ||
December 31, 2017 | 7,806,568 | |||
December 31, 2018 | 14,622,216 | |||
Total capital loss carryforward | $ | 44,887,234 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 5,762,678 | ||
Aggregate unrealized (depreciation) of investment securities | (4,601,814 | ) | ||
Net unrealized appreciation of investment securities | $ | 1,160,864 | ||
Cost of investments for tax purposes is $62,745,568. |
Summary of Share Activity | ||||||||||||||||
Year ended | Year ended | |||||||||||||||
December 31, 2010(a) | December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 3,799,790 | $ | 20,823,469 | 6,175,150 | $ | 25,003,515 | ||||||||||
Series II | 854,275 | 4,505,738 | 825,270 | 3,236,356 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 10,978 | 56,868 | 324,776 | 1,643,368 | ||||||||||||
Series II | — | — | 43,454 | 217,704 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (5,477,337 | ) | (28,804,342 | ) | (4,778,335 | ) | (20,496,803 | ) | ||||||||
Series II | (580,137 | ) | (3,022,895 | ) | (260,764 | ) | (1,117,094 | ) | ||||||||
Net increase (decrease) in share activity | (1,392,431 | ) | $ | (6,441,162 | ) | 2,329,551 | $ | 8,487,046 | ||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 75% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratio of | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | to average | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | net assets | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | Net | on securities | Dividends | Distributions | net assets | without | investment | |||||||||||||||||||||||||||||||||||||||||||||||||
value, | investment | (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income (loss) | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | income | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | (loss)(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 5.10 | $ | — | $ | 0.53 | $ | 0.53 | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | $ | 5.62 | 10.31 | % | $ | 54,081 | 1.21 | %(d) | 1.22 | %(d) | 0.00 | (d) | 35 | % | ||||||||||||||||||||||||||
Year ended 12/31/09 | �� | 4.12 | 0.01 | 1.12 | 1.13 | (0.15 | ) | — | (0.15 | ) | 5.10 | 27.43 | 57,620 | 1.27 | 1.28 | 0.18 | 22 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 12.26 | 0.24 | (7.46 | ) | (7.22 | ) | (0.24 | ) | (0.68 | ) | (0.92 | ) | 4.12 | (59.44 | ) | 39,421 | 1.22 | 1.23 | 2.71 | 47 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 17.41 | 0.27 | (4.04 | ) | (3.77 | ) | (0.29 | ) | (1.09 | ) | (1.38 | ) | 12.26 | (22.22 | ) | 85,144 | 1.11 | 1.11 | 1.61 | 9 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 15.26 | 0.23 | 2.28 | 2.51 | (0.26 | ) | (0.10 | ) | (0.36 | ) | 17.41 | 16.52 | 146,092 | 1.12 | 1.12 | 1.44 | 14 | |||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 5.05 | (0.01 | ) | 0.52 | 0.51 | — | — | — | 5.56 | 10.10 | 10,170 | 1.44 | (d) | 1.47 | (d) | (0.23 | )(d) | 35 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 4.08 | — | 1.11 | 1.11 | (0.14 | ) | — | (0.14 | ) | 5.05 | 27.30 | 7,861 | 1.44 | 1.53 | 0.01 | 22 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 12.17 | 0.21 | (7.39 | ) | (7.18 | ) | (0.23 | ) | (0.68 | ) | (0.91 | ) | 4.08 | (59.56 | ) | 3,869 | 1.44 | 1.48 | 2.49 | 47 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 17.33 | 0.22 | (4.00 | ) | (3.78 | ) | (0.29 | ) | (1.09 | ) | (1.38 | ) | 12.17 | (22.39 | ) | 3,688 | 1.36 | 1.36 | 1.36 | 9 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 15.23 | 0.20 | 2.26 | 2.46 | (0.26 | ) | (0.10 | ) | (0.36 | ) | 17.33 | 16.22 | 1,664 | 1.37 | 1.37 | 1.19 | 14 | |||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s omitted) of $55,536 and $8,746 for Series I and Series II, shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,157.60 | $ | 6.74 | $ | 1,018.95 | $ | 6.31 | 1.24 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,158.30 | 7.89 | 1,017.90 | 7.38 | 1.45 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 100.00% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 5.29 | % | ||
Series II Shares | 5.00 | |||
MSCI World Index▼ (Broad Market Index) | 11.76 | |||
MSCI World Health Care Index▼ (Style-Specific Index) | 2.41 | |||
Lipper VUF Health/Biotechnology Funds Category Average▼ (Peer Group) | 9.19 | |||
▼Lipper Inc. |
n | A stock’s price reaches its valuation target. | |
n | A company’s fundamentals deteriorate. | |
n | A company no longer meets our investment criteria. |
United States | 76.1 | % | ||
Switzerland | 6.1 | |||
Germany | 4.2 | |||
United Kingdom | 2.6 | |||
Ireland | 2.2 | |||
Countries each less than 2.0% of portfolio | 5.3 | |||
Money Market Funds Plus Other Assets Less Liabilities | 3.5 |
1. | CVS Caremark Corp. | 4.8 | % | |||||
2. | Thermo Fisher Scientific, Inc. | 4.3 | ||||||
3. | Roche Holding AG | 4.1 | ||||||
4. | Gilead Sciences, Inc. | 3.8 | ||||||
5. | Abbott Laboratories | 3.4 | ||||||
6. | Life Technologies Corp. | 2.8 | ||||||
7. | Express Scripts, Inc. | 2.7 | ||||||
8. | Johnson & Johnson | 2.7 | ||||||
9. | WellPoint Inc. | 2.7 | ||||||
10. | Aetna, Inc. | 2.6 |
1. | Pharmaceuticals | 21.9 | % | |||||
2. | Biotechnology | 20.7 | ||||||
3. | Managed Health Care | 12.5 | ||||||
4. | Life Sciences Tools & Services | 9.7 | ||||||
5. | Health Care Equipment | 9.1 |
Total Net Assets | $150.5 million | |||
Total Number of Holdings* | 58 |
*Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. Global Health Care Fund. Mr. Tanner joined Invesco in 2005. He began his investment career in 1993. Mr. Tanner earned a B.S. in business administration and an M.B.A. from the Haas School of Business at the University of California (Berkeley).
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Health Care Fund. Mr. Dillard joined Invesco in 2000. He earned a B.S. in corporate finance from the University of Alabama and an M.B.A. from the Owen School of Business at Vanderbilt University.
Series I Shares | ||||||||
Inception (5/21/97) | 6.62 | % | ||||||
10 | Years | 1.04 | ||||||
5 | Years | 2.47 | ||||||
1 | Year | 5.29 | ||||||
Series II Shares | ||||||||
10 | Years | 0.78 | % | |||||
5 | Years | 2.20 | ||||||
1 | Year | 5.00 |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–96.48% | ||||||||
Biotechnology–20.67% | ||||||||
Amgen Inc.(b) | 66,900 | $ | 3,672,810 | |||||
Biogen Idec Inc.(b) | 34,464 | 2,310,811 | ||||||
BioMarin Pharmaceutical, Inc.(b) | 124,174 | 3,344,006 | ||||||
Celgene Corp.(b) | 40,563 | 2,398,896 | ||||||
Genzyme Corp.(b) | 52,623 | 3,746,758 | ||||||
Gilead Sciences, Inc.(b) | 156,290 | 5,663,949 | ||||||
Human Genome Sciences, Inc.(b) | 57,275 | 1,368,300 | ||||||
Incyte Corp.(b) | 99,747 | 1,651,810 | ||||||
Pharmasset, Inc.(b) | 25,916 | 1,125,013 | ||||||
Savient Pharmaceuticals Inc.(b) | 66,076 | 736,087 | ||||||
United Therapeutics Corp.(b) | 57,061 | 3,607,396 | ||||||
Vertex Pharmaceuticals Inc.(b) | 42,420 | 1,485,973 | ||||||
31,111,809 | ||||||||
Drug Retail–5.63% | ||||||||
CVS Caremark Corp. | 208,709 | 7,256,812 | ||||||
Drogasil S.A. (Brazil) | 148,860 | 1,209,661 | ||||||
8,466,473 | ||||||||
Health Care Distributors–1.96% | ||||||||
McKesson Corp. | 41,892 | 2,948,359 | ||||||
Health Care Equipment–9.14% | ||||||||
Baxter International Inc. | 69,269 | 3,506,397 | ||||||
CareFusion Corp.(b) | 61,075 | 1,569,628 | ||||||
Covidien PLC (Ireland) | 73,440 | 3,353,270 | ||||||
Hologic, Inc.(b) | 104,356 | 1,963,980 | ||||||
Wright Medical Group, Inc.(b) | 67,893 | 1,054,378 | ||||||
Zimmer Holdings, Inc.(b) | 43,003 | 2,308,401 | ||||||
13,756,054 | ||||||||
Health Care Facilities–3.77% | ||||||||
Assisted Living Concepts Inc.–Class A(b) | 31,460 | 1,023,394 | ||||||
Rhoen-Klinikum AG (Germany) | 133,140 | 2,932,014 | ||||||
Universal Health Services, Inc.–Class B | 39,598 | 1,719,345 | ||||||
5,674,753 | ||||||||
Health Care Services–8.28% | ||||||||
DaVita, Inc.(b) | 51,863 | 3,603,960 | ||||||
Express Scripts, Inc.(b) | 75,836 | 4,098,936 | ||||||
Medco Health Solutions, Inc.(b) | 39,089 | 2,394,983 | ||||||
Quest Diagnostics Inc. | 43,855 | 2,366,854 | ||||||
12,464,733 | ||||||||
Health Care Supplies–0.97% | ||||||||
Alcon, Inc. | 8,960 | 1,464,064 | ||||||
Health Care Technology–1.99% | ||||||||
Allscripts Healthcare Solutions, Inc.(b) | 62,810 | 1,210,349 | ||||||
Cerner Corp.(b) | 18,848 | 1,785,659 | ||||||
2,996,008 | ||||||||
Life Sciences Tools & Services–9.70% | ||||||||
Gerresheimer AG (Germany)(b) | 39,045 | 1,722,311 | ||||||
Life Technologies Corp.(b) | 76,098 | 4,223,439 | ||||||
Pharmaceutical Product Development, Inc. | 78,722 | 2,136,515 | ||||||
Thermo Fisher Scientific, Inc.(b) | 117,612 | 6,511,001 | ||||||
14,593,266 | ||||||||
Managed Health Care–12.48% | ||||||||
Aetna, Inc. | 125,839 | 3,839,348 | ||||||
AMERIGROUP Corp.(b) | 37,537 | 1,648,625 | ||||||
Amil Participacoes S.A. (Brazil)(d) | 142,900 | 1,531,102 | ||||||
Aveta, Inc.(d) | 122,652 | 735,912 | ||||||
Centene Corp.(b) | 33,226 | 841,947 | ||||||
CIGNA Corp. | 40,036 | 1,467,720 | ||||||
Health Net, Inc.(b) | 89,937 | 2,454,380 | ||||||
UnitedHealth Group Inc. | 63,271 | 2,284,716 | ||||||
WellPoint Inc.(b) | 69,819 | 3,969,908 | ||||||
18,773,658 | ||||||||
Pharmaceuticals–21.89% | ||||||||
Abbott Laboratories | 105,877 | 5,072,567 | ||||||
Allergan, Inc. | 21,547 | 1,479,632 | ||||||
Bayer AG (Germany) | 22,993 | 1,700,140 | ||||||
EastPharma Ltd.–GDR (Turkey)(b)(d) | 114,132 | 97,012 | ||||||
Hikma Pharmaceuticals PLC (United Kingdom) | 119,052 | 1,506,934 | ||||||
Hospira, Inc.(b) | 44,422 | 2,473,861 | ||||||
Ipsen S.A. (France) | 32,981 | 1,008,418 | ||||||
Johnson & Johnson | 65,483 | 4,050,124 | ||||||
Nippon Shinyaku Co., Ltd. (Japan) | 115,000 | 1,645,082 | ||||||
Novartis AG–ADR (Switzerland)(c) | 52,410 | 3,089,570 | ||||||
Pharmstandard–GDR (Russia)(b)(d) | 23,450 | 668,325 | ||||||
Roche Holding AG (Switzerland) | 41,608 | 6,103,754 | ||||||
Shire PLC–ADR (United Kingdom) | 32,179 | 2,329,116 | ||||||
Teva Pharmaceutical Industries Ltd.–ADR (Israel) | 33,100 | 1,725,503 | ||||||
32,950,038 | ||||||||
Total Common Stocks & Other Equity Interests (Cost $132,497,381) | 145,199,215 | |||||||
Shares | Value | |||||||
Money Market Funds–3.11% | ||||||||
Liquid Assets Portfolio–Institutional Class(e) | 2,343,226 | $ | 2,343,226 | |||||
Premier Portfolio–Institutional Class(e) | 2,343,226 | 2,343,226 | ||||||
Total Money Market Funds (Cost $4,686,452) | 4,686,452 | |||||||
TOTAL INVESTMENTS (excluding investments purchased with cash collateral from securities on loan)–99.59% (Cost $137,183,833) | 149,885,667 | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds–1.57% | ||||||||
Liquid Assets Portfolio–Institutional Class (Cost $2,366,265)(e)(f) | 2,366,265 | 2,366,265 | ||||||
TOTAL INVESTMENTS–101.16% (Cost $139,550,098) | 152,251,932 | |||||||
OTHER ASSETS LESS LIABILITIES–(1.16)% | (1,747,478 | ) | ||||||
NET ASSETS–100.00% | $ | 150,504,454 | ||||||
ADR | – American Depositary Receipt | |
GDR | – Global Depositary Receipt |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | All or a portion of this security was out on loan at December 31, 2010. | |
(d) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at December 31, 2010 was $3,032,351, which represented 2.01% of the Fund’s Net Assets. | |
(e) | The money market fund and the Fund are affiliated by having the same investment adviser. | |
(f) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 1J. |
Assets: | ||||
Investments, at value (Cost $132,497,381)* | $ | 145,199,215 | ||
Investments in affiliated money market funds, at value and cost | 7,052,717 | |||
Total investments, at value (Cost $139,550,098) | 152,251,932 | |||
Receivable for: | ||||
Fund shares sold | 830,878 | |||
Dividends | 93,094 | |||
Foreign currency contracts outstanding | 22,680 | |||
Investment for trustee deferred compensation and retirement plans | 18,175 | |||
Total assets | 153,216,759 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 46,712 | |||
Collateral upon return of securities loaned | 2,366,265 | |||
Accrued fees to affiliates | 207,995 | |||
Accrued other operating expenses | 46,437 | |||
Trustee deferred compensation and retirement plans | 44,896 | |||
�� | ||||
Total liabilities | 2,712,305 | |||
Net assets applicable to shares outstanding | $ | 150,504,454 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 159,659,787 | ||
Undistributed net investment income (loss) | (41,772 | ) | ||
Undistributed net realized gain (loss) | (21,844,874 | ) | ||
Unrealized appreciation | 12,731,313 | |||
$ | 150,504,454 | |||
Net Assets: | ||||
Series I | $ | 124,441,248 | ||
Series II | $ | 26,063,206 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 7,447,915 | |||
Series II | 1,591,262 | |||
Series I: | ||||
Net asset value per share | $ | 16.71 | ||
Series II: | ||||
Net asset value per share | $ | 16.38 | ||
* | At December 31, 2010, securities with an aggregate value of $2,316,735 were on loan to brokers. |
Investment income: | ||||
Dividends (net of foreign withholding taxes of $89,745) | $ | 1,443,819 | ||
Dividends from affiliated money market funds (includes securities lending income of $11,705) | 20,511 | |||
Total investment income | 1,464,330 | |||
Expenses: | ||||
Advisory fees | 1,176,576 | |||
Administrative services fees | 436,324 | |||
Custodian fees | 20,830 | |||
Distribution fees — Series II | 66,270 | |||
Transfer agent fees | 45,763 | |||
Trustees’ and officers’ fees and benefits | 20,414 | |||
Other | 62,822 | |||
Total expenses | 1,828,999 | |||
Less: Fees waived | (11,733 | ) | ||
Net expenses | 1,817,266 | |||
Net investment income (loss) | (352,936 | ) | ||
Realized and unrealized gain (loss) from: | ||||
Net realized gain from: | ||||
Investment securities | 6,396,960 | |||
Foreign currencies | 15,773 | |||
Foreign currency contracts | 222,937 | |||
6,635,670 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | 859,519 | |||
Foreign currencies | 970 | |||
Foreign currency contracts | (188,257 | ) | ||
672,232 | ||||
Net realized and unrealized gain | 7,307,902 | |||
Net increase in net assets resulting from operations | $ | 6,954,966 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income (loss) | $ | (352,936 | ) | $ | (131,082 | ) | ||
Net realized gain (loss) | 6,635,670 | (14,305,912 | ) | |||||
Change in net unrealized appreciation | 672,232 | 50,968,906 | ||||||
Net increase in net assets resulting from operations | 6,954,966 | 36,531,912 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | — | (447,208 | ) | |||||
Series II | — | (30,590 | ) | |||||
Total distributions from net investment income | — | (477,798 | ) | |||||
Share transactions–net: | ||||||||
Series I | (24,973,014 | ) | (15,173,536 | ) | ||||
Series II | (1,847,042 | ) | 1,039,283 | |||||
Net increase (decrease) in net assets resulting from share transactions | (26,820,056 | ) | (14,134,253 | ) | ||||
Net increase (decrease) in net assets | (19,865,090 | ) | 21,919,861 | |||||
Net assets: | ||||||||
Beginning of year | 170,369,544 | 148,449,683 | ||||||
End of year (includes undistributed net investment income (loss) of $(41,772) and $(39,364), respectively) | $ | 150,504,454 | $ | 170,369,544 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as |
institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the |
financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | ||
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Other Risks — The Fund may invest a large percentage of assets in securities of a limited number of companies, such that each investment may have a greater effect on the Fund’s overall performance, and any change in the value of those securities could significantly affect the value of your investment in the Fund. | |
The Fund has invested in non-publicly traded companies, some of which are in the startup or development stages. These investments are inherently risky, as the market for the technologies or products these companies are developing are typically in the early stages and may never materialize. The Fund could lose its entire investment in these companies. These investments are valued at fair value as determined in good faith in accordance with procedures approved by the Board of Trustees. Investments in privately held venture capital securities are illiquid. | ||
J. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
K. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
L. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $250 million | 0 | .75% | ||
Next $250 million | 0 | .74% | ||
Next $500 million | 0 | .73% | ||
Next $1.5 billion | 0 | .72% | ||
Next $2.5 billion | 0 | .71% | ||
Next $2.5 billion | 0 | .70% | ||
Next $2.5 billion | 0 | .69% | ||
Over $10 billion | 0 | .68% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 150,507,602 | $ | 1,744,330 | $ | — | $ | 152,251,932 | ||||||||
Foreign Currency Contracts* | — | 22,680 | — | 22,680 | ||||||||||||
Total Investments | $ | 150,507,602 | $ | 1,767,010 | $ | — | $ | 152,274,612 | ||||||||
* | Unrealized appreciation. |
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Currency risk | ||||||||
Foreign currency contracts(a) | $ | 118,224 | $ | (95,544 | ) | |||
(a) | Values are disclosed on the Statement of Assets and Liabilities under the Foreign currency contracts. |
Location of Gain (Loss) on | ||||
Statement of Operations | ||||
Foreign Currency | ||||
Contracts* | ||||
Realized Gain | ||||
Currency risk | $ | 222,937 | ||
Change in Unrealized Appreciation (Depreciation) | ||||
Currency risk | (188,257 | ) | ||
Total | $ | 34,680 | ||
* | The average value of foreign currency contracts outstanding during the period was $5,995,777. |
Open Foreign Currency Contracts at Period End | ||||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||||
Settlement | Contract to | Appreciation | ||||||||||||||||||||||
Date | Counterparty | Deliver | Receive | Value | (Depreciation) | |||||||||||||||||||
02/10/11 | CitiBank Capital | CHF | 2,700,000 | USD | 2,797,029 | $ | 2,892,573 | $ | (95,544 | ) | ||||||||||||||
02/10/11 | CitiBank Capital | EUR | 2,300,000 | USD | 3,193,205 | 3,074,981 | 118,224 | |||||||||||||||||
Total foreign currency contracts | $ | 22,680 | ||||||||||||||||||||||
Currency Abbreviations: | ||
CHF | – Swiss Fran | |
EUR | – Euro | |
USD | – U.S. Dollar |
2010 | 2009 | |||||||
Ordinary income | $ | — | $ | 477,798 | ||||
2010 | ||||
Net unrealized appreciation — investments | $ | 12,676,656 | ||
Net unrealized appreciation — other investments | 6,799 | |||
Temporary book/tax differences | (41,772 | ) | ||
Capital loss carryforward | (21,797,016 | ) | ||
Shares of beneficial interest | 159,659,787 | |||
Total net assets | $ | 150,504,454 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 5,840,082 | ||
December 31, 2017 | 15,956,934 | |||
Total capital loss carryforward | $ | 21,797,016 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 22,042,224 | ||
Aggregate unrealized (depreciation) of investment securities | (9,365,568 | ) | ||
Net unrealized appreciation of investment securities | $ | 12,676,656 | ||
Cost of investments for tax purposes is $139,575,276. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 1,324,865 | $ | 21,365,905 | 1,972,429 | $ | 27,454,826 | ||||||||||
Series II | 218,080 | 3,429,179 | 341,255 | 4,410,301 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | — | — | 28,759 | 447,208 | ||||||||||||
Series II | — | — | 2,002 | 30,590 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (2,928,835 | ) | (46,338,919 | ) | (3,260,825 | ) | (43,075,570 | ) | ||||||||
Series II | (340,143 | ) | (5,276,221 | ) | (252,057 | ) | (3,401,608 | ) | ||||||||
Net increase (decrease) in share activity | (1,726,033 | ) | $ | (26,820,056 | ) | (1,168,437 | ) | $ | (14,134,253 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 59% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | Net | on securities | Dividends | Distributions | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||||||||
value, | investment | (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income (loss) | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | income | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | (loss)(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 15.87 | $ | (0.03 | ) | $ | 0.87 | $ | 0.84 | $ | — | $ | — | $ | — | $ | 16.71 | 5.29 | % | $ | 124,441 | 1.11 | %(d) | 1.12 | %(d) | (0.18 | )%(d) | 16 | % | |||||||||||||||||||||||||||
Year ended 12/31/09 | 12.47 | (0.01 | ) | 3.46 | 3.45 | (0.05 | ) | — | (0.05 | ) | 15.87 | 27.67 | 143,648 | 1.13 | 1.14 | (0.05 | ) | 45 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 24.06 | 0.07 | (e) | (7.16 | ) | (7.09 | ) | — | (4.50 | ) | (4.50 | ) | 12.47 | (28.62 | ) | 128,563 | 1.12 | 1.13 | 0.34 | (e) | 67 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 21.51 | (0.01 | ) | 2.56 | 2.55 | — | — | — | 24.06 | 11.85 | 223,448 | 1.06 | 1.07 | (0.06 | ) | 66 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 20.44 | (0.04 | ) | 1.11 | 1.07 | — | — | — | 21.51 | 5.24 | 235,509 | 1.10 | 1.10 | (0.19 | ) | 79 | ||||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 15.60 | (0.07 | ) | 0.85 | 0.78 | — | — | — | 16.38 | 5.00 | 26,063 | 1.36 | (d) | 1.37 | (d) | (0.43 | )(d) | 16 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 12.26 | (0.04 | ) | 3.40 | 3.36 | (0.02 | ) | — | (0.02 | ) | 15.60 | 27.39 | 26,722 | 1.38 | 1.39 | (0.30 | ) | 45 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 23.82 | 0.02 | (e) | (7.08 | ) | (7.06 | ) | — | (4.50 | ) | (4.50 | ) | 12.26 | (28.78 | ) | 19,886 | 1.37 | 1.38 | 0.09 | (e) | 67 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 21.36 | (0.07 | ) | 2.53 | 2.46 | — | — | — | 23.82 | 11.52 | 20,817 | 1.31 | 1.32 | (0.31 | ) | 66 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 20.34 | (0.09 | ) | 1.11 | 1.02 | — | — | — | 21.36 | 5.01 | 97,646 | 1.35 | 1.35 | (0.44 | ) | 79 | ||||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s omitted) of $130,369 and $26,508 for Series I and Series II shares, respectively. | |
(e) | Net investment income (loss) per share and the ratio of net investment income (loss) to average net assets include a special cash dividend received of $5.23 per share owned of All-scripts-Misys Healthcare Solutions, Inc. on October 13, 2008. Net investment income (loss) per share and the ratio of net investment income (loss) to average net assets excluding the special dividend are $0.02 and 0.08% and $(0.03) and (0.17)% for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
ACTUAL | (5% annual return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,139.10 | $ | 6.04 | $ | 1,019.56 | $ | 5.70 | 1.12 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,137.50 | 7.38 | 1,018.30 | 6.97 | 1.37 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 11.80 | % | ||
Series II Shares | 11.46 | |||
MSCI World Index▼ (Broad Market Index) | 11.76 | |||
Custom V.I. Global Multi-Asset Fund Index§ (Style-Specific Index) | 10.20 | |||
Lipper VUF Global Flexible Portfolio Funds Category Average▼ (Peer Group) | 9.45 | |||
Lipper VUF Global Core Funds Index▼ (Former Peer Group Index)* | 13.12 | |||
▼Lipper Inc.;§Invesco, Lipper Inc. | ||
*During the reporting period, the Fund has elected to use the Lipper VUF Global Flexible Portfolio Funds Category Average as its peer group rather than the Lipper VUF Global Core Funds Index because we believe it more closely reflects the performance of the securities in which the Fund invests. Because this is the first reporting period since we adopted the new index, SEC guidelines require that we compare performance to both the old and new indexes. |
n | An analysis of markets to determine the distinctive characteristics of each market relative to its comparison universe. |
n | The generation of hypotheses about how various economic events will interact with these characteristics and affect relative performance. | |
n | Confirmation or revision of hypothesis through empirical research. |
n | To address valuation, IGAA determines if competing investment alternatives are cheap or expensive relative to their underlying fundamentals. Valuation focuses on the longer term, secular influences on each asset and suggests that there is a mean reverting, long-term or equilibrium relationship between prices and fundamentals. | |
n | Shorter-term factors, which are largely proxies for the economic environment and investor positioning, reconcile the |
short-run behavior of asset prices with their long-run behavior and recognizes that these misvaluations may not correct instantaneously. |
Investment Grade Fixed Income | 22.57 | % | ||
Domestic Equity Large Cap | 11.86 | |||
Emerging Markets Fixed Income | 9.63 | |||
Foreign Equity Small-Mid Cap | 9.05 | |||
Japanese Equity | 9.34 | |||
European Equity | 8.37 | |||
Asia ex-Japan Equity | 7.45 | |||
Domestic Equity Small-Mid Cap | 8.32 | |||
High Yield Fixed Income | 5.87 | |||
Emerging Markets Equity | 6.38 | |||
Money Market Funds Plus | ||||
Other Assets Less Liabilities | 1.16 |
Total Net Assets | $67.2 million | |||
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Multi-Asset Fund. Mr. Ahnrud joined Invesco in 2000. He began his investment career in 1985. Mr. Ahnrud earned a B.S. in finance and investments from Babson College and an M.B.A. from the Fuqua School of Business at Duke University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Multi-Asset Fund. Mr. Devine joined Invesco in 2003. He began his investment career in 1996. Mr. Devine earned a B.A. in economics from Wake Forest University and an M.B.A. from the University of Georgia.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Multi-Asset Fund. Mr. Hixon joined Invesco in 1997. He began his investment career in 1992. Mr. Hixon earned a B.B.A. in finance from Georgia Southern University and an M.B.A. in finance from Georgia State University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Multi-Asset Fund. Mr. Ulrich joined Invesco in 2000. He began his investment career in 1987. Mr. Ulrich graduated from the KV Zurich Business School in Zurich, Switzerland.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Multi-Asset Fund. Mr. Wolle joined Invesco in 1999. He began his investment career in 1991. Mr. Wolle earned a B.S. in finance from Virginia Polytechnic Institute and State University and an M.B.A. from the Fuqua School of Business at Duke University.
Series I Shares | ||||||||
Inception (10/24/08) | 23.31 | % | ||||||
1 Year | 11.80 | |||||||
Series II Shares | ||||||||
Inception (10/24/08) | 22.92 | % | ||||||
1 Year | 11.46 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least April 30, 2012. See current prospectus for more information. | |
2 | The expense ratio includes acquired fund fees and expenses of the underlying funds in which the Fund invests of 0.64%. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Change in | ||||||||||||||||||||||||||||||||||||
% of | Unrealized | |||||||||||||||||||||||||||||||||||
Net | Value | Purchases | Proceeds | Appreciation | Realized | Dividend | Shares | Value | ||||||||||||||||||||||||||||
Assets | 12/31/09 | at Cost | from Sales | (Depreciation) | Gain (Loss) | Income | 12/31/10 | 12/31/10 | ||||||||||||||||||||||||||||
Domestic Equity ETFs–29.23% | ||||||||||||||||||||||||||||||||||||
iShares MSCI EAFE Small Cap Index Fund(b) | 9.05 | % | $ | — | $ | 8,069,418 | $ | (2,366,648 | ) | $ | 627,581 | $ | (248,523 | ) | $ | 155,658 | 144,085 | $ | 6,081,828 | |||||||||||||||||
PowerShares FTSE RAFI US 1000 Portfolio | 11.86 | % | 5,362,923 | 5,730,477 | (3,999,066 | ) | 1,008,479 | (132,456 | ) | 93,809 | 142,455 | 7,970,357 | ||||||||||||||||||||||||
PowerShares FTSE RAFI US 1500 Small-Mid Portfolio | 8.32 | % | 3,507,833 | 3,891,499 | (2,857,456 | ) | 774,965 | 274,241 | 34,379 | 86,670 | 5,591,082 | |||||||||||||||||||||||||
Total Domestic Equity ETFs | 8,870,756 | 17,691,394 | (9,223,170 | ) | 2,411,025 | (106,738 | ) | 283,846 | 373,210 | 19,643,267 | ||||||||||||||||||||||||||
Fixed-Income ETFs–38.07% | ||||||||||||||||||||||||||||||||||||
iShares Barclays 20+ Year Treasury Bond Fund(b) | 22.57 | % | — | 30,762,363 | (16,031,013 | ) | 126,317 | 304,124 | 392,774 | 161,090 | 15,161,791 | |||||||||||||||||||||||||
PowerShares 1-30 Laddered Treasury Portfolio | — | % | 10,598,640 | 3,867,178 | (14,559,010 | ) | 340,565 | (247,373 | ) | 166,375 | — | — | ||||||||||||||||||||||||
PowerShares Emerging Markets Sovereign Debt Portfolio | 9.63 | % | 4,617,101 | 4,272,268 | (2,629,656 | ) | 240,227 | (28,198 | ) | 359,331 | 242,660 | 6,471,742 | ||||||||||||||||||||||||
PowerShares Fundamental High Yield Corporate Bond Portfolio | 5.87 | % | 3,273,858 | 2,139,561 | (1,463,368 | ) | 33,680 | (42,686 | ) | 283,950 | 216,660 | 3,941,045 | ||||||||||||||||||||||||
Total Fixed-Income ETFs | 18,489,599 | 41,041,370 | (34,683,047 | ) | 740,789 | (14,133 | ) | 1,202,430 | 620,410 | 25,574,578 | ||||||||||||||||||||||||||
Foreign Equity ETFs–31.54% | ||||||||||||||||||||||||||||||||||||
iShares MSCI Japan Index Fund(b) | 9.34 | % | 3,690,486 | 4,737,421 | (2,658,633 | ) | 642,066 | (135,417 | ) | 65,796 | 575,245 | 6,275,923 | ||||||||||||||||||||||||
iShares MSCI Pacific ex-Japan Index Fund(b) | 7.45 | % | — | 7,044,159 | (2,328,003 | ) | 494,162 | (207,183 | ) | 147,345 | 106,495 | 5,003,135 | ||||||||||||||||||||||||
PowerShares FTSE RAFI Asia Pacific ex-Japan Portfolio | — | % | 3,590,795 | 1,149,328 | (4,838,534 | ) | (605,007 | ) | 703,418 | 12,566 | — | — | ||||||||||||||||||||||||
PowerShares FTSE RAFI Developed Markets ex-US Small-Mid Portfolio | — | % | 4,108,289 | 1,488,183 | (5,797,381 | ) | (457,065 | ) | 657,974 | 4,562 | — | — | ||||||||||||||||||||||||
PowerShares FTSE RAFI Emerging Markets Portfolio | 6.38 | % | 3,262,704 | 3,001,988 | (2,265,240 | ) | 406,226 | (118,722 | ) | 41,554 | 166,290 | 4,286,956 | ||||||||||||||||||||||||
PowerShares FTSE RAFI Europe Portfolio | — | % | 3,618,122 | 2,089,801 | (5,406,507 | ) | (508,290 | ) | 206,874 | 1,709 | — | — | ||||||||||||||||||||||||
Vanguard European ETF(b) | 8.37 | % | — | 7,160,149 | (1,655,734 | ) | 250,234 | (133,598 | ) | 248,402 | 114,505 | 5,621,051 | ||||||||||||||||||||||||
Total Foreign Equity ETFs | 18,270,396 | 26,671,029 | (24,950,032 | ) | 222,326 | 973,346 | 521,934 | 962,535 | 21,187,065 | |||||||||||||||||||||||||||
Money Market Fund–0.86% | ||||||||||||||||||||||||||||||||||||
Liquid Assets Portfolio–Institutional Class | 0.43 | % | 1,183,493 | 14,140,278 | (15,034,564 | ) | — | — | 734 | 289,207 | 289,207 | |||||||||||||||||||||||||
Premier Portfolio–Institutional Class | 0.43 | % | 1,183,493 | 14,140,278 | (15,034,564 | ) | — | — | 343 | 289,207 | 289,207 | |||||||||||||||||||||||||
Total Money Market Funds | 2,366,986 | 28,280,556 | (30,069,128 | ) | — | — | 1,077 | 578,414 | 578,414 | |||||||||||||||||||||||||||
TOTAL INVESTMENTS IN AFFILIATED MUTUAL FUNDS (Cost $59,942,837) | 99.70 | % | $ | 47,997,737 | $ | 113,684,349 | $ | (98,925,377 | ) | $ | 3,374,140 | $ | 852,475 | $ | 2,009,287 | $ | 66,983,324 | |||||||||||||||||||
OTHER ASSETS LESS LIABILITIES | 0.30 | % | 200,921 | |||||||||||||||||||||||||||||||||
NET ASSETS | 100.00 | % | $ | 67,184,245 | ||||||||||||||||||||||||||||||||
ETF | – Exchange-Traded Fund |
(a) | Unless otherwise indicated, each exchange-traded fund or mutual fund and the Fund are affiliated by either having the same investment adviser or an investment adviser under common control with the Fund’s investment adviser. | |
(b) | Non-affiliate of the Fund or its investment adviser. |
Assets: | ||||
Investments — non affiliates at value (Cost $35,969,000) | $ | 38,143,727 | ||
Investments — affiliates, at value (Cost $23,973,837) | 28,839,597 | |||
Total investments, at value (Cost $59,942,837) | 66,983,324 | |||
Cash | 949,044 | |||
Receivable for: | ||||
Fund shares sold | 40,343 | |||
Dividends from affiliates | 51,701 | |||
Investment for trustee deferred compensation and retirement plans | 4,871 | |||
Total assets | 68,029,283 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased — non affiliates | 350,140 | |||
Investments purchased — affiliates | 334,249 | |||
Fund shares reacquired | 736 | |||
Accrued fees to affiliates | 126,975 | |||
Accrued other operating expenses | 27,516 | |||
Trustee deferred compensation and retirement plans | 5,422 | |||
Total liabilities | 845,038 | |||
Net assets applicable to shares outstanding | $ | 67,184,245 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 57,685,808 | ||
Undistributed net investment income | 1,797,587 | |||
Undistributed net realized gain | 660,363 | |||
Unrealized appreciation | 7,040,487 | |||
$ | 67,184,245 | |||
Net Assets: | ||||
Series I | $ | 1,822,089 | ||
Series II | $ | 65,362,156 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 119,511 | |||
Series II | 4,307,980 | |||
Series I: | ||||
Net asset value per share | $ | 15.25 | ||
Series II: | ||||
Net asset value per share | $ | 15.17 | ||
Investment income: | ||||
Dividends — non affiliates | $ | 1,009,976 | ||
Dividends — affiliates | 999,311 | |||
Total investment income | 2,009,287 | |||
Expenses: | ||||
Advisory fees | 378,815 | |||
Administrative services fees | 192,391 | |||
�� | ||||
Custodian fees | 7,840 | |||
Distribution fees — Series II | 138,368 | |||
Transfer agent fees | 3,288 | |||
Trustees’ and officers’ fees and benefits | 17,351 | |||
Other | 42,320 | |||
Total expenses | 780,373 | |||
Less: Fees waived and expenses reimbursed | (572,568 | ) | ||
Net expenses | 207,805 | |||
Net investment income | 1,801,482 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain (loss) from: | ||||
Investment securities — non affiliates | (420,597 | ) | ||
Investment securities — affiliates | 1,273,072 | |||
852,475 | ||||
Change in net unrealized appreciation of: | ||||
Investment securities — non affiliates | 2,140,360 | |||
Investment securities — affiliates | 1,233,780 | |||
3,374,140 | ||||
Net realized and unrealized gain | 4,226,615 | |||
Net increase in net assets resulting from operations | $ | 6,028,097 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 1,801,482 | $ | 656,894 | ||||
Net realized gain (loss) | 852,475 | (107,864 | ) | |||||
Change in net unrealized appreciation | 3,374,140 | 3,623,261 | ||||||
Net increase in net assets resulting from operations | 6,028,097 | 4,172,291 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (6,186 | ) | (10,312 | ) | ||||
Series II | (208,969 | ) | (452,703 | ) | ||||
Total distributions from net investment income | (215,155 | ) | (463,015 | ) | ||||
Distributions to shareholders from net realized gains: | ||||||||
Series I | — | (1,782 | ) | |||||
Series II | — | (84,532 | ) | |||||
Total distributions from net realized gains | — | (86,314 | ) | |||||
Share transactions–net: | ||||||||
Series I | 765,046 | 690,765 | ||||||
Series II | 13,745,662 | 42,009,701 | ||||||
Net increase in net assets resulting from share transactions | 14,510,708 | 42,700,466 | ||||||
Net increase in net assets | 20,323,650 | 46,323,428 | ||||||
Net assets: | ||||||||
Beginning of year | 46,860,595 | 537,167 | ||||||
End of year (includes undistributed net investment income of $1,797,587 and $211,260, respectively) | $ | 67,184,245 | $ | 46,860,595 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, |
maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Distributions from income from underlying funds, if any, are recorded as dividend income on ex-dividend date. Distributions from net realized capital gains from underlying funds, if any, are recorded as realized gains on the ex-dividend date. Interest income is recorded on the accrual basis from settlement date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
D. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
E. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
F. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
G. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. |
Average Net Assets | Rate | |||
First $250 million | 0 | .67% | ||
Next $250 million | 0 | .655% | ||
Next $500 million | 0 | .64% | ||
Next $1.5 billion | 0 | .625% | ||
Next $2.5 billion | 0 | .61% | ||
Next $2.5 billion | 0 | .595% | ||
Next $2.5 billion | 0 | .58% | ||
Over $10 billion | 0 | .565% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 66,983,324 | $ | — | $ | — | $ | 66,983,324 | ||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 215,155 | $ | 549,329 | ||||
2010 | ||||
Undistributed ordinary income | $ | 1,820,342 | ||
Undistributed long-term gain | 1,179,944 | |||
Net unrealized appreciation — investments | 6,503,134 | |||
Temporary book/tax differences | (4,983 | ) | ||
Shares of beneficial interest | 57,685,808 | |||
Total net assets | $ | 67,184,245 | ||
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 6,503,134 | ||
Aggregate unrealized (depreciation) of investment securities | — | |||
Net unrealized appreciation of investment securities | $ | 6,503,134 | ||
Cost of investments for tax purposes is $60,480,190. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 79,955 | $ | 1,122,636 | 56,401 | $ | 738,272 | ||||||||||
Series II | 1,992,979 | 28,209,893 | 3,459,519 | 43,759,281 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 425 | 6,186 | 880 | 12,094 | ||||||||||||
Series II | 14,431 | 208,969 | 39,214 | 537,235 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (26,493 | ) | (363,776 | ) | (4,381 | ) | (59,601 | ) | ||||||||
Series II | (1,065,700 | ) | (14,673,200 | ) | (168,256 | ) | (2,286,815 | ) | ||||||||
Net increase in share activity | 995,597 | $ | 14,510,708 | 3,383,377 | $ | 42,700,466 | ||||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 93% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | �� | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed(c) | absorbed | net assets | turnover(d) | ||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 13.69 | $ | 0.49 | $ | 1.13 | $ | 1.62 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 15.25 | 11.88 | % | $ | 1,822 | 0.13 | %(e) | 1.14 | %(e) | 3.42 | %(e) | 124 | % | ||||||||||||||||||||||||||
Year ended 12/31/09 | 11.09 | 0.53 | 2.27 | 2.80 | (0.17 | ) | (0.03 | ) | (0.20 | ) | 13.69 | 25.19 | 899 | 0.22 | 1.78 | 4.03 | 32 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08(f) | 10.00 | 0.11 | 1.17 | 1.28 | (0.19 | ) | — | (0.19 | ) | 11.09 | 12.88 | 141 | 0.17 | (g) | 79.26 | (g) | 5.72 | (g) | 6 | |||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 13.65 | 0.45 | 1.12 | 1.57 | (0.05 | ) | — | (0.05 | ) | 15.17 | 11.54 | 65,362 | 0.38 | (e) | 1.39 | (e) | 3.17 | (e) | 124 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 11.07 | 0.49 | 2.27 | 2.76 | (0.15 | ) | (0.03 | ) | (0.18 | ) | 13.65 | 24.95 | 45,962 | 0.47 | 2.03 | 3.78 | 32 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08(f) | 10.00 | 0.11 | 1.15 | 1.26 | (0.19 | ) | — | (0.19 | ) | 11.07 | 12.66 | 396 | 0.42 | (g) | 79.51 | (g) | 5.47 | (g) | 6 | |||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Estimated acquired fund fees from underlying fund is 0.64%. | |
(d) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(e) | Ratios are based on average daily net assets (000’s omitted) of $1,193 and $55,347 for Series I and Series II shares, respectively. | |
(f) | Commencement date of October 24, 2008. | |
(g) | Annualized. |
and Shareholders of Invesco V.I. Global Multi-Asset Fund:
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,132.90 | $ | 0.54 | $ | 1,024.70 | $ | 0.51 | 0.10 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,131.20 | 1.88 | 1,023.44 | 1.79 | 0.35 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 7.08% | |||
U.S. Treasury Obligations* | 8.28% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 17.51 | % | ||
Series II Shares | 17.24 | |||
MSCI World Index▼ (Broad Market Index) | 11.76 | |||
FTSE EPRA/NAREIT Developed Real Estate Index■ (Style-Specific Index) | 20.40 | |||
Lipper VUF Real Estate Funds Category Average▼ (Peer Group) | 23.62 |
▼Lipper Inc.; ■Invesco, Bloomberg L.P. |
n | Quality underlying properties. | |
n | Solid management teams and flexible balance sheets. | |
n | Attractive valuations relative to peer investment alternatives. |
n | Relative valuation falls below desired levels. | |
n | Risk/return relationships change significantly. | |
n | Company fundamentals (property type, geography or management) change. | |
n | A more attractive investment opportunity is identified. |
United States | 39.8 | % | ||
Hong Kong | 15.3 | |||
Japan | 12.0 | |||
Australia | 8.7 | |||
United Kingdom | 5.5 | |||
Singapore | 4.3 | |||
France | 3.9 | |||
Canada | 2.7 | |||
Netherlands | 2.1 | |||
Countries Each Less | ||||
Than 2.0% of Portfolio | 4.3 | |||
Other Assets Less Liabilities | 1.4 |
1. | Sun Hung Kai Properties Ltd. | 4.7 | % | |||||
2. | Simon Property Group, Inc. | 4.3 | ||||||
3. | Mitsubishi Estate Co. Ltd. | 3.0 | ||||||
4. | Mitsui Fudosan Co., Ltd. | 2.9 | ||||||
5. | Host Hotels & Resorts, Inc. | 2.2 | ||||||
6. | Westfield Group | 2.2 | ||||||
7. | Hongkong Land Holdings Ltd. | 2.0 | ||||||
8. | Unibail-Rodamco S.E. | 2.0 | ||||||
9. | Kimco Realty Corp. | 2.0 | ||||||
10. | Vornado Realty Trust | 1.9 |
Total Net Assets | $165.5 million | |||
Total Number of Holdings | 115 |
Portfolio manager, is lead manager of Invesco V.I. Global Real Estate Fund. He is head of real estate securities for Invesco Real Estate, where he oversees all phases of the unit, including securities research and administration. Mr. Rodriguez began his investment career in 1983 and joined Invesco in 1990. He earned his B.B.A. in economics and finance and his M.B.A. in finance from Baylor University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Real Estate Fund. He joined Invesco in 1998. Mr. Blackburn earned a B.S. in accounting from Louisiana State University and an M.B.A. from Southern Methodist University. He is a Certified Public Accountant.
Portfolio manager, is manager of Invesco V.I. Global Real Estate Fund. Mr. Cowen has worked in the real estate industry since 1997 and joined Invesco in 2001. He earned a Master of Town and Country Planning degree from the University of Manchester and a Master of Philosophy degree in land economy from Cambridge University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Real Estate Fund. He joined Invesco in 1998. Mr. Curbo earned a B.B.A. in finance from The University of Texas at Dallas.
Portfolio manager, is manager of Invesco V.I. Global Real Estate Fund. He joined Invesco in 1989. Mr. Trowbridge earned his B.A. in finance from Indiana University.
Portfolio manager, is manager of Invesco V.I. Global Real Estate Fund. He joined Invesco in 2005. Mr. Turner earned a B.B.A. in finance from The University of Texas at Arlington and an M.B.A. specializing in investments from Southern Methodist University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Real Estate Fund. She joined Invesco in 1996. She earned a B.S. in international finance from the People’s University of China and a Ph.D. in finance from The University of Texas at Dallas.
Series I Shares | ||||||||
Inception (3/31/98) | 8.59 | % | ||||||
10 | Years | 10.17 | ||||||
5 | Years | 2.88 | ||||||
1 | Year | 17.51 | ||||||
Series II Shares | ||||||||
10 | Years | 9.91 | % | |||||
5 | Years | 2.64 | ||||||
1 | Year | 17.24 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least April 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–98.62% | ||||||||
Australia–8.72% | ||||||||
CFS Retail Property Trust | 1,120,743 | $ | 2,015,706 | |||||
Charter Hall Retail REIT | 128,802 | 386,091 | ||||||
Dexus Property Group | 1,316,697 | 1,069,698 | ||||||
Goodman Group | 3,690,269 | 2,451,206 | ||||||
ING Office Fund | 1,426,940 | 809,295 | ||||||
Stockland | 855,829 | 3,148,458 | ||||||
Westfield Group | 367,060 | 3,593,445 | ||||||
Westfield Retail Trust(a) | 367,060 | 964,003 | ||||||
14,437,902 | ||||||||
Austria–0.34% | ||||||||
Conwert Immobilien Invest S.E. | 39,207 | 563,817 | ||||||
Brazil–0.25% | ||||||||
BR Properties S.A.(b) | 8,800 | 96,195 | ||||||
Multiplan Empreendimentos Imobiliarios S.A. | 14,500 | 322,067 | ||||||
418,262 | ||||||||
Canada–2.70% | ||||||||
Chartwell Senior Housing REIT | 94,100 | 771,822 | ||||||
Cominar REIT | 35,400 | 739,378 | ||||||
Morguard REIT | 33,200 | 489,694 | ||||||
Primaris Retail REIT | 60,600 | 1,187,330 | ||||||
RioCan REIT | 58,000 | 1,279,455 | ||||||
4,467,679 | ||||||||
China–1.67% | ||||||||
Agile Property Holdings Ltd. | 916,000 | 1,348,168 | ||||||
KWG Property Holding Ltd. | 642,500 | 488,605 | ||||||
Shimao Property Holdings Ltd. | 609,500 | 920,586 | ||||||
2,757,359 | ||||||||
Finland–0.45% | ||||||||
Sponda Oyj | 144,658 | 750,478 | ||||||
France–3.88% | ||||||||
Fonciere des Regions | 8,553 | 828,746 | ||||||
Klepierre | 27,379 | 989,390 | ||||||
Mercialys | 14,490 | 544,788 | ||||||
Societe Immobiliere de Location pour I’Industrie et le Commerce | 6,343 | 785,955 | ||||||
Unibail-Rodamco S.E.(a) | 16,515 | 3,273,582 | ||||||
6,422,461 | ||||||||
Hong Kong–15.34% | ||||||||
China Overseas Land & Investment Ltd. | 1,096,301 | 2,028,202 | ||||||
Hang Lung Properties Ltd. | 459,000 | 2,146,543 | ||||||
Henderson Land Development Co. Ltd. | 86,000 | 586,404 | ||||||
Hongkong Land Holdings Ltd. | 458,000 | 3,322,679 | ||||||
Hysan Development Co. Ltd. | 273,000 | 1,285,483 | ||||||
Kerry Properties Ltd. | 246,900 | 1,286,467 | ||||||
Link REIT (The) | 531,000 | 1,649,811 | ||||||
New World Development Co., Ltd. | 392,000 | 734,657 | ||||||
Sino Land Co. Ltd. | 964,000 | 1,803,283 | ||||||
Sun Hung Kai Properties Ltd. | 470,000 | 7,790,790 | ||||||
Wharf (Holdings) Ltd. (The) | 357,000 | 2,746,578 | ||||||
25,380,897 | ||||||||
Italy–0.22% | ||||||||
Beni Stabili S.p.A. | 440,998 | 373,254 | ||||||
Japan–11.96% | ||||||||
Advance Resident Investment | 331 | 740,808 | ||||||
AEON Mall Co., Ltd. | 26,200 | 703,139 | ||||||
Japan Prime Realty Investment Corp. | 281 | 864,828 | ||||||
Japan Real Estate Investment Corp. | 169 | 1,751,791 | ||||||
Japan Retail Fund Investment Corp. | 320 | 613,369 | ||||||
Kenedix Realty Investment Corp. | 173 | 812,502 | ||||||
Mitsubishi Estate Co. Ltd. | 265,000 | 4,913,086 | ||||||
Mitsui Fudosan Co., Ltd. | 239,000 | 4,763,523 | ||||||
Nippon Building Fund Inc. | 123 | 1,261,344 | ||||||
NTT Urban Development Corp. | 656 | 646,067 | ||||||
ORIX JREIT Inc. | 54 | 351,003 | ||||||
Sumitomo Realty & Development Co., Ltd. | 99,000 | 2,363,179 | ||||||
19,784,639 | ||||||||
Malta–0.00% | ||||||||
BGP Holdings PLC(a) | 3,053,090 | 0 | ||||||
Netherlands–2.15% | ||||||||
Corio N.V. | 27,967 | 1,797,751 | ||||||
Eurocommercial Properties N.V. | 13,600 | 626,992 | ||||||
Wereldhave N.V. | 11,590 | 1,133,193 | ||||||
3,557,936 | ||||||||
Singapore–4.34% | ||||||||
CapitaCommercial Trust | 589,000 | 689,418 | ||||||
Capitaland Ltd. | 796,000 | 2,310,815 | ||||||
CapitaMall Trust | 629,550 | 956,912 | ||||||
Global Logistic Properties Ltd.(a) | 423,000 | 712,199 | ||||||
Keppel Land Ltd. | 396,000 | 1,481,643 | ||||||
Suntec REIT | 879,000 | 1,027,750 | ||||||
7,178,737 | ||||||||
Shares | Value | |||||||
Sweden–0.65% | ||||||||
Castellum A.B. | 77,809 | $ | 1,067,544 | |||||
Switzerland–0.70% | ||||||||
Swiss Prime Site AG(a) | 15,465 | 1,155,031 | ||||||
United Kingdom–5.47% | ||||||||
Big Yellow Group PLC | 113,384 | 619,705 | ||||||
British Land Co. PLC | 197,369 | 1,616,388 | ||||||
Derwent London PLC | 44,387 | 1,080,756 | ||||||
Great Portland Estates PLC | 66,722 | 375,495 | ||||||
Hammerson PLC | 183,340 | 1,194,117 | ||||||
Hansteen Holdings PLC | 270,365 | 343,698 | ||||||
Land Securities Group PLC | 199,593 | 2,100,510 | ||||||
Segro PLC | 147,333 | 658,176 | ||||||
Shaftesbury PLC | 87,262 | 609,778 | ||||||
Unite Group PLC(a) | 148,489 | 449,561 | ||||||
9,048,184 | ||||||||
United States–39.78% | ||||||||
Acadia Realty Trust | 40,341 | 735,820 | ||||||
Alexandria Real Estate Equities, Inc. | 20,100 | 1,472,526 | ||||||
AvalonBay Communities, Inc. | 11,642 | 1,310,307 | ||||||
BioMed Realty Trust, Inc. | 57,160 | 1,066,034 | ||||||
Boston Properties, Inc. | 21,400 | 1,842,540 | ||||||
Brookfield Properties Corp. | 77,299 | 1,361,045 | ||||||
Camden Property Trust | 47,082 | 2,541,486 | ||||||
CBL & Associates Properties, Inc. | 47,294 | 827,645 | ||||||
Corporate Office Properties Trust | 14,416 | 503,839 | ||||||
DCT Industrial Trust Inc. | 67,600 | 358,956 | ||||||
Developers Diversified Realty Corp. | 16,986 | 239,333 | ||||||
DiamondRock Hospitality Co.(a) | 69,700 | 836,400 | ||||||
Digital Realty Trust, Inc. | 44,441 | 2,290,489 | ||||||
Duke Realty Corp. | 8,398 | 104,639 | ||||||
Equity Residential | 36,177 | 1,879,395 | ||||||
Essex Property Trust, Inc. | 20,100 | 2,295,822 | ||||||
Health Care REIT, Inc. | 61,167 | 2,913,996 | ||||||
Hersha Hospitality Trust | 58,800 | 388,080 | ||||||
Highwoods Properties, Inc. | 43,000 | 1,369,550 | ||||||
Home Properties, Inc. | 18,100 | 1,004,369 | ||||||
Host Hotels & Resorts Inc. | 207,559 | 3,709,079 | ||||||
Kilroy Realty Corp. | 21,600 | 787,752 | ||||||
Kimco Realty Corp. | 179,000 | 3,229,160 | ||||||
LaSalle Hotel Properties | 24,300 | 641,520 | ||||||
Liberty Property Trust | 54,086 | 1,726,425 | ||||||
Macerich Co. (The) | 50,751 | 2,404,075 | ||||||
Marriott International Inc.–Class A | 16,914 | 702,608 | ||||||
Mid-America Apartment Communities, Inc. | 10,400 | 660,296 | ||||||
National Retail Properties Inc. | 38,800 | 1,028,200 | ||||||
Nationwide Health Properties, Inc. | 42,271 | 1,537,819 | ||||||
OMEGA Healthcare Investors, Inc. | 13,872 | 311,288 | ||||||
Piedmont Office Realty Trust Inc.–Class A(a) | 37,000 | 745,180 | ||||||
ProLogis | 218,314 | 3,152,454 | ||||||
Regency Centers Corp. | 56,500 | 2,386,560 | ||||||
Retail Opportunity Investments Corp. | 30,176 | 299,044 | ||||||
Senior Housing Properties Trust | 75,288 | 1,651,819 | ||||||
Simon Property Group, Inc. | 70,903 | 7,054,139 | ||||||
SL Green Realty Corp. | 24,008 | 1,620,780 | ||||||
Sovran Self Storage, Inc. | 17,500 | 644,175 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 9,015 | 547,932 | ||||||
UDR, Inc. | 51,900 | 1,220,688 | ||||||
Ventas, Inc. | 5,700 | 299,136 | ||||||
Vornado Realty Trust | 38,326 | 3,193,706 | ||||||
Washington Real Estate Investment Trust | 30,200 | 935,898 | ||||||
65,832,004 | ||||||||
TOTAL INVESTMENTS–98.62% (Cost $128,962,081) | 163,196,184 | |||||||
OTHER ASSETS LESS LIABILITIES–1.38% | 2,279,912 | |||||||
NET ASSETS–100.00% | $ | 165,476,096 | ||||||
REIT | – Real Estate Investment Trust |
(a) | Non-income producing security. | |
(b) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The value of this security at December 31, 2010 represented 0.06% of the Fund’s Net Assets. |
Assets: | ||||
Investments, at value (Cost $128,962,081) | $ | 163,196,184 | ||
Foreign currencies, at value (Cost $1,605,123) | 1,596,853 | |||
Receivable for: | ||||
Investments sold | 309,989 | |||
Fund shares sold | 279,162 | |||
Dividends | 642,051 | |||
Investment for trustee deferred compensation and retirement plans | 12,946 | |||
Total assets | 166,037,185 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 171,212 | |||
Fund shares reacquired | 66,961 | |||
Amount due custodian | 23,457 | |||
Accrued fees to affiliates | 203,416 | |||
Accrued other operating expenses | 72,016 | |||
Trustee deferred compensation and retirement plans | 24,027 | |||
Total liabilities | 561,089 | |||
Net assets applicable to shares outstanding | $ | 165,476,096 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 173,949,870 | ||
Undistributed net investment income | 1,843,563 | |||
Undistributed net realized gain (loss) | (44,547,019 | ) | ||
Unrealized appreciation | 34,229,682 | |||
$ | 165,476,096 | |||
Net Assets: | ||||
Series I | $ | 131,461,601 | ||
Series II | $ | 34,014,495 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 9,679,895 | |||
Series II | 2,554,774 | |||
Series I: | ||||
Net asset value per share | $ | 13.58 | ||
Series II: | ||||
Net asset value per share | $ | 13.31 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $215,755) | $ | 5,791,996 | ||
Dividends from affiliated money market funds | 1,836 | |||
Total investment income | 5,793,832 | |||
Expenses: | ||||
Advisory fees | 1,082,146 | |||
Administrative services fees | 395,792 | |||
Custodian fees | 134,970 | |||
Distribution fees — Series II | 45,421 | |||
Transfer agent fees | 30,763 | |||
Trustees’ and officers’ fees and benefits | 19,463 | |||
Other | 70,518 | |||
Total expenses | 1,779,073 | |||
Less: Fees waived | (2,721 | ) | ||
Net expenses | 1,776,352 | |||
Net investment income | 4,017,480 | |||
Realized and unrealized gain from: | ||||
Net realized gain (loss) from: | ||||
Investment securities | 7,226,400 | |||
Foreign currencies | (96,356 | ) | ||
7,130,044 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | 11,165,660 | |||
Foreign currencies | (4,820 | ) | ||
11,160,840 | ||||
Net realized and unrealized gain | 18,290,884 | |||
Net increase in net assets resulting from operations | $ | 22,308,364 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 4,017,480 | $ | 2,709,902 | ||||
Net realized gain (loss) | 7,130,044 | (20,336,177 | ) | |||||
Change in net unrealized appreciation | 11,160,840 | 50,498,502 | ||||||
Net increase in net assets resulting from operations | 22,308,364 | 32,872,227 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (6,161,371 | ) | — | |||||
Series II | (1,036,283 | ) | — | |||||
Total distributions from net investment income | (7,197,654 | ) | — | |||||
Share transactions–net: | ||||||||
Series I | (9,517,933 | ) | 15,146,597 | |||||
Series II | 19,873,135 | 5,205,429 | ||||||
Net increase in net assets resulting from share transactions | 10,355,202 | 20,352,026 | ||||||
Net increase in net assets | 25,465,912 | 53,224,253 | ||||||
Net assets: | ||||||||
Beginning of year | 140,010,184 | 86,785,931 | ||||||
End of year (includes undistributed net investment income of $1,843,563 and $3,301,174, respectively) | $ | 165,476,096 | $ | 140,010,184 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as |
institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
The Fund recharacterizes distributions received from REIT investments based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be based on available information which may include the previous year’s allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. The Fund records as dividend income the amount recharacterized as ordinary income and as realized gain the amount recharacterized as capital gain in the Statement of Operations, and the amount recharacterized as return of capital as a reduction to the cost of investments in the Statement of Assets and Liabilities. These recharacterizations are reflected in the accompanying financial statements. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to |
federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | ||
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Other Risks — The Fund’s investments are concentrated in a comparatively narrow segment of the economy. Consequently, the Fund may tend to be more volatile than other mutual funds, and the value of the Fund’s investments may tend to rise and fall more rapidly. | |
The Fund concentrates its assets in the real estate industry, an investment in the fund will be closely linked to the performance of the real estate markets. Property values may fall due to increasing vacancies or declining rents resulting from economic, legal, cultural or technological developments. | ||
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
K. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $250 million | 0 | .75% | ||
Next $250 million | 0 | .74% | ||
Next $500 million | 0 | .73% | ||
Next $1.5 billion | 0 | .72% | ||
Next $2.5 billion | 0 | .71% | ||
Next $2.5 billion | 0 | .70% | ||
Next $2.5 billion | 0 | .69% | ||
Over $10 billion | 0 | .68% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Australia | $ | 14,051,811 | $ | 386,091 | $ | — | $ | 14,437,902 | ||||||||
Austria | 563,817 | — | — | 563,817 | ||||||||||||
Brazil | 418,262 | — | — | 418,262 | ||||||||||||
Canada | 4,467,679 | — | — | 4,467,679 | ||||||||||||
China | 2,268,754 | 488,605 | — | 2,757,359 | ||||||||||||
Finland | 750,478 | — | — | 750,478 | ||||||||||||
France | 785,955 | 5,636,506 | — | 6,422,461 | ||||||||||||
Hong Kong | 13,532,771 | 11,848,126 | — | 25,380,897 | ||||||||||||
Italy | 373,254 | — | — | 373,254 | ||||||||||||
Japan | 19,784,639 | — | — | 19,784,639 | ||||||||||||
Malta | — | — | 0 | 0 | ||||||||||||
Netherlands | — | 3,557,936 | — | 3,557,936 | ||||||||||||
Singapore | 4,178,504 | 3,000,233 | 7,178,737 | |||||||||||||
Sweden | — | 1,067,544 | — | 1,067,544 | ||||||||||||
Switzerland | 1,155,031 | — | — | 1,155,031 | ||||||||||||
United Kingdom | 4,137,169 | 4,911,015 | — | 9,048,184 | ||||||||||||
United States | 65,832,004 | — | — | 65,832,004 | ||||||||||||
$ | 132,300,128 | $ | 30,896,056 | $ | 0 | $ | 163,196,184 | |||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 7,197,654 | $ | — | ||||
2010 | ||||
Undistributed ordinary income | $ | 7,672,227 | ||
Net unrealized appreciation — investments | 21,403,412 | |||
Net unrealized appreciation (depreciation) — other investments | (4,422 | ) | ||
Temporary book/tax differences | (22,756 | ) | ||
Post-October deferrals | (29,456 | ) | ||
Capital loss carryforward | (37,492,779 | ) | ||
Shares of beneficial interest | 173,949,870 | |||
Total net assets | $ | 165,476,096 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 14,871,434 | ||
December 31, 2017 | 22,621,345 | |||
Total capital loss carryforward | $ | 37,492,779 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 22,411,762 | ||
Aggregate unrealized (depreciation) of investment securities | (1,008,350 | ) | ||
Net unrealized appreciation of investment securities | $ | 21,403,412 | ||
Cost of investments for tax purposes is $141,792,772. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 3,250,045 | $ | 40,832,439 | 4,597,449 | $ | 43,715,169 | ||||||||||
Series II | 1,654,806 | 20,893,454 | 617,087 | 6,098,786 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 477,626 | 6,161,371 | — | — | ||||||||||||
Series II | 81,855 | 1,036,283 | — | — | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (4,611,903 | ) | (56,511,743 | ) | (2,977,162 | ) | (28,568,572 | ) | ||||||||
Series II | (169,623 | ) | (2,056,602 | ) | (91,409 | ) | (893,357 | ) | ||||||||
Net increase in share activity | 682,806 | $ | 10,355,202 | 2,145,965 | $ | 20,352,026 | ||||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 47% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 12.14 | $ | 0.35 | $ | 1.74 | $ | 2.09 | $ | (0.65 | ) | $ | — | $ | (0.65 | ) | $ | 13.58 | 17.51 | % | $ | 131,462 | 1.20 | %(d) | 1.20 | %(d) | 2.82 | %(d) | 87 | % | ||||||||||||||||||||||||||
Year ended 12/31/09 | 9.23 | 0.26 | 2.65 | 2.91 | — | — | — | 12.14 | 31.53 | 128,224 | 1.26 | 1.26 | 2.59 | 72 | ||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 21.88 | 0.44 | (10.35 | ) | (9.91 | ) | (1.08 | ) | (1.66 | ) | (2.74 | ) | 9.23 | (44.65 | ) | 82,582 | 1.17 | 1.17 | 2.51 | 62 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 28.74 | 0.38 | (1.52 | ) | (1.14 | ) | (1.69 | ) | (4.03 | ) | (5.72 | ) | 21.88 | (5.54 | ) | 143,773 | 1.13 | 1.22 | 1.31 | 57 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 21.06 | 0.33 | 8.61 | 8.94 | (0.28 | ) | (0.98 | ) | (1.26 | ) | 28.74 | 42.60 | 192,617 | 1.15 | 1.30 | 1.32 | 84 | |||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 11.93 | 0.32 | 1.70 | 2.02 | (0.64 | ) | — | (0.64 | ) | 13.31 | 17.24 | 34,014 | 1.45 | (d) | 1.45 | (d) | 2.57 | (d) | 87 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 9.10 | 0.24 | 2.59 | 2.83 | — | — | — | 11.93 | 31.10 | 11,786 | 1.45 | 1.51 | 2.40 | 72 | ||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 21.66 | 0.36 | (10.19 | ) | (9.83 | ) | (1.07 | ) | (1.66 | ) | (2.73 | ) | 9.10 | (44.72 | ) | 4,203 | 1.42 | 1.42 | 2.26 | 62 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 28.57 | 0.29 | (1.49 | ) | (1.20 | ) | (1.68 | ) | (4.03 | ) | (5.71 | ) | 21.66 | (5.76 | ) | 2,646 | 1.38 | 1.47 | 1.06 | 57 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 20.98 | 0.27 | 8.58 | 8.85 | (0.28 | ) | (0.98 | ) | (1.26 | ) | 28.57 | 42.30 | 311 | 1.40 | 1.55 | 1.07 | 84 | |||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $126,118 and $18,169 Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,250.30 | $ | 6.86 | $ | 1,019.11 | $ | 6.16 | 1.21 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,248.80 | 8.28 | 1,017.85 | 7.43 | 1.46 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 0.00% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 5.40 | % | ||
Series II Shares | 5.10 | |||
Barclays Capital U.S. Aggregate Index▼ (Broad Market Index) | 6.54 | |||
Barclays Capital U.S. Government Index▼ (Style-Specific Index) | 5.52 | |||
Lipper VUF General U.S. Government Funds Index▼ (Peer Group Index) | 6.07 | |||
▼ | Lipper Inc. |
n | A conscious decision to alter the Fund’s macro risk exposure (such as duration, yield curve positioning, sector exposure). | |
n | The need to limit or reduce exposure to a particular sector or issuer. | |
n | Degradation of an issuer’s credit quality. | |
n | Realignment of a valuation target. | |
n | Presentation of a better relative value opportunity. |
U.S. Government Sponsored | ||||
Mortgage-Backed Securities | 70.2 | % | ||
U.S. Government Sponsored | ||||
Agency Securities | 21.2 | |||
U.S. Treasury Securities | 8.6 | |||
U.S. Dollar Denominated Bonds & Notes | 0.4 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | (0.4 | ) |
1. | Federal National | |||||||
Mortgage Association | 18.6 | % | ||||||
2. | Freddie Mac REMICs | 16.9 | ||||||
3. | Ginnie Mae REMICs | 11.6 | ||||||
4. | Federal Home Loan Bank | 10.0 | ||||||
5. | Federal Agriculture Mortgage Corp. | 9.3 | ||||||
6. | U.S. Treasury Notes | 7.8 | ||||||
7. | Federal Home Loan Mortgage Corp. | 7.1 | ||||||
8. | Fannie Mae REMICs | 5.3 | ||||||
9. | Government National | |||||||
Mortgage Association | 4.8 | |||||||
10. | Federal Farm Credit Bank | 4.6 |
Total Net Assets | $1.1 billion | |||
Total Number of Holdings* | 818 |
*Excluding money market fund holdings.
1 | Bureau of Economic Analysis | |
2 | U.S. Federal Reserve | |
3 | Barclays Capital |
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Government Securities Fund. He joined Invesco in 1998. Mr. Dudley earned a B.B.A. and an M.B.A. from Baylor University. He is a member of the CFA Institute.
Chartered Financial Analyst, senior portfolio manager, is manager of Invesco V.I. Government Securities Fund. He joined Invesco in 1987. Mr. Schneider earned a B.A. in economics and an M.B.A., both from Bellarmine College.
Series I Shares | ||||||||
Inception (5/5/93) | 5.06 | % | ||||||
10 | Years | 4.82 | ||||||
5 | Years | 5.44 | ||||||
1 | Year | 5.40 | ||||||
Series II Shares | ||||||||
10 | Years | 4.55 | % | |||||
5 | Years | 5.17 | ||||||
1 | Year | 5.10 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least April 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Principal | ||||||||
Amount | Value | |||||||
U.S. Government Sponsored Agency Mortgage-Backed Securities–70.23% | ||||||||
Collateralized Mortgage Obligations–41.96% | ||||||||
Fannie Mae Grantor Trust, 5.34%, 04/25/12 | $ | 4,500,000 | $ | 4,764,387 | ||||
Fannie Mae REMICs, 4.00%, 09/25/16 to 02/25/40 | 8,814,570 | 9,184,159 | ||||||
4.50%, 11/25/16 to 10/25/22 | 13,990,343 | 14,648,507 | ||||||
5.00%, 02/25/17 to 05/25/30 | 12,025,943 | 12,315,476 | ||||||
5.50%, 01/25/26 to 03/25/28 | 2,181,134 | 2,197,201 | ||||||
3.50%, 12/25/31 | 4,453,161 | 4,656,581 | ||||||
4.25%, 06/25/33 | 783,010 | 798,475 | ||||||
6.00%, 10/25/33 | 1,781,119 | 1,794,306 | ||||||
0.56%, 05/25/36(a) | 12,079,349 | 12,103,517 | ||||||
Fannie Mae Whole Loans, 5.50%, 07/25/34 | 1,555,689 | 1,560,308 | ||||||
Federal Home Loan Bank, 4.55%, 04/27/12 | 1,213,763 | 1,266,945 | ||||||
5.27%, 12/28/12 | 14,065,573 | 14,904,525 | ||||||
5.46%, 11/27/15 | 40,540,143 | 44,094,970 | ||||||
Freddie Mac REMICs, 6.75%, 06/15/11 | 6,380 | 6,426 | ||||||
5.25%, 08/15/11 to 08/15/32 | 12,482,755 | 13,133,339 | ||||||
5.38%, 08/15/11 to 09/15/11 | 3,452,915 | 3,514,856 | ||||||
3.88%, 12/15/12 | 430,945 | 437,930 | ||||||
4.50%, 12/15/15 to 04/15/30 | 18,019,196 | 18,498,441 | ||||||
6.00%, 09/15/16 to 09/15/29 | 11,410,198 | 11,594,768 | ||||||
3.50%, 10/15/16 to 12/15/27 | 5,568,450 | 5,710,674 | ||||||
4.00%, 11/15/16 to 02/15/30 | 31,515,026 | 33,029,585 | ||||||
5.00%, 05/15/18 to 03/15/31 | 14,209,186 | 14,583,169 | ||||||
3.75%, 10/15/18 | 7,092,075 | 7,385,698 | ||||||
4.75%, 05/15/23 | 4,419,274 | 4,567,664 | ||||||
5.50%, 01/15/27 to 09/15/30 | 16,516,933 | 16,899,780 | ||||||
0.66%, 04/15/28 | 5,674,016 | 5,709,935 | ||||||
0.56%, 03/15/36(a) | 12,371,937 | 12,400,374 | ||||||
0.61%, 11/15/36(a) | 15,255,783 | 15,264,940 | ||||||
0.66%, 06/15/37(a) | 14,455,985 | 14,506,812 | ||||||
1.12%, 11/15/39(a) | 7,564,515 | 7,678,963 | ||||||
Ginnie Mae REMICs, 3.13%, 04/16/16 | 2,896,514 | 2,920,336 | ||||||
2.17%, 02/16/24 | 21,772,657 | 21,917,676 | ||||||
5.00%, 09/16/27 to 02/20/30 | 7,827,594 | 7,986,643 | ||||||
4.21%, 01/16/28 | 4,606,622 | 4,693,870 | ||||||
4.50%, 01/20/31 to 08/20/35 | 52,863,317 | 55,521,155 | ||||||
5.50%, 04/16/31 | 3,815,756 | 3,905,239 | ||||||
5.77%, 08/20/34(a) | 3,656,659 | 4,006,375 | ||||||
4.00%, 03/20/36 to 02/20/38 | 25,286,914 | 26,601,263 | ||||||
La Hipotecaria S.A., Series 2010-1 GA, Class A, Floating Rate Pass Through Ctfs. 3.75%, 09/08/39(a)(b) | 22,996,617 | 23,341,566 | ||||||
460,106,834 | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC)–6.10% | ||||||||
Pass Through Ctfs., 7.00%, 05/01/11 to 12/01/37 | 15,280,466 | 17,471,791 | ||||||
6.50%, 10/01/12 to 12/01/35 | 6,680,421 | 7,417,178 | ||||||
6.00%, 09/01/13 to 02/01/34 | 4,292,012 | 4,695,785 | ||||||
8.00%, 07/01/15 to 09/01/36 | 12,988,521 | 15,273,706 | ||||||
7.50%, 03/01/16 to 08/01/36 | 5,039,249 | 5,717,643 | ||||||
5.00%, 07/01/18 | 1,859,467 | 1,978,125 | ||||||
10.50%, 08/01/19 | 5,025 | 5,713 | ||||||
4.50%, 09/01/20 | 9,288,976 | 9,791,742 | ||||||
8.50%, 09/01/20 to 08/01/31 | 923,917 | 1,089,405 | ||||||
10.00%, 03/01/21 | 70,968 | 81,095 | ||||||
9.00%, 06/01/21 to 06/01/22 | 573,548 | 649,351 | ||||||
7.05%, 05/20/27 | 347,541 | 393,552 | ||||||
6.03%, 10/20/30 | 2,107,683 | 2,355,276 | ||||||
66,920,362 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Federal National Mortgage Association (FNMA)–17.41% | ||||||||
Pass Through Ctfs., 7.00%, 07/01/11 to 06/01/36 | $ | 22,806,847 | $ | 25,428,797 | ||||
7.50%, 08/01/11 to 07/01/37 | 16,033,480 | 18,432,304 | ||||||
8.00%, 06/01/12 to 11/01/37 | 13,853,001 | 15,945,731 | ||||||
8.50%, 06/01/12 to 08/01/37 | 5,398,104 | 6,281,684 | ||||||
6.50%, 05/01/13 to 11/01/37 | 14,394,943 | 15,875,599 | ||||||
10.00%, 09/01/13 | 12,563 | 12,748 | ||||||
6.00%, 09/01/17 to 03/01/37 | 4,686,894 | 5,129,136 | ||||||
5.00%, 11/01/17 to 12/01/33 | 24,654,885 | 26,374,183 | ||||||
4.50%, 09/01/18 to 11/01/21 | 50,106,604 | 53,056,940 | ||||||
5.50%, 03/01/21 | 507 | 545 | ||||||
6.75%, 07/01/24 | 1,167,094 | 1,312,822 | ||||||
6.95%, 10/01/25 to 09/01/26 | 140,343 | 159,315 | ||||||
Pass Through Ctfs., TBA, 4.00%, 01/01/41(c) | 23,000,000 | 22,885,000 | ||||||
190,894,804 | ||||||||
Government National Mortgage Association (GNMA)–4.76% | ||||||||
Pass Through Ctfs., 6.50%, 02/20/12 to 01/15/37 | 14,108,745 | 15,983,896 | ||||||
8.00%, 07/15/12 to 01/15/37 | 4,119,061 | 4,784,001 | ||||||
6.75%, 08/15/13 | 32,095 | 34,134 | ||||||
7.50%, 10/15/14 to 10/15/35 | 7,072,207 | 8,206,354 | ||||||
11.00%, 10/15/15 | 1,872 | 1,890 | ||||||
9.00%, 10/20/16 to 12/20/16 | 91,690 | 102,808 | ||||||
7.00%, 04/15/17 to 01/15/37 | 6,095,851 | 6,947,516 | ||||||
10.50%, 09/15/17 to 11/15/19 | 3,493 | 3,807 | ||||||
8.50%, 12/15/17 to 01/15/37 | 891,390 | 1,004,804 | ||||||
10.00%, 06/15/19 | 33,375 | 37,184 | ||||||
6.00%, 09/15/20 to 08/15/33 | 2,842,556 | 3,157,634 | ||||||
6.95%, 08/20/25 to 08/20/27 | 915,099 | 1,040,707 | ||||||
6.25%, 06/15/27 | 135,553 | 151,818 | ||||||
6.38%, 10/20/27 to 09/20/28 | 754,942 | 851,776 | ||||||
6.10%, 12/20/33 | 8,537,431 | 9,842,501 | ||||||
52,150,830 | ||||||||
Total U.S. Government Sponsored Agency Mortgage-Backed Securities (Cost $751,761,404) | 770,072,830 | |||||||
U.S. Government Sponsored Agency Securities–21.21% | ||||||||
Federal Agricultural Mortgage Corp.–9.31% | ||||||||
Notes, 2.11%, 03/15/12 | 70,000,000 | 70,884,126 | ||||||
Unsec. Notes, 2.20%, 11/09/11 | 25,000,000 | 25,266,953 | ||||||
1.25%, 12/06/13 | 6,000,000 | 5,951,719 | ||||||
102,102,798 | ||||||||
Federal Farm Credit Bank (FFCB)–4.63% | ||||||||
Bonds, 3.00%, 09/22/14 | 12,500,000 | 13,155,345 | ||||||
1.50%, 11/16/15 | 11,000,000 | 10,627,362 | ||||||
5.59%, 10/04/21 | 10,075,000 | 10,443,674 | ||||||
5.75%, 01/18/22 | 2,775,000 | 2,881,680 | ||||||
Global Bonds, 1.38%, 06/25/13 | 10,000,000 | 10,105,110 | ||||||
Medium-Term Notes, 5.75%, 12/07/28 | 3,100,000 | 3,590,065 | ||||||
50,803,236 | ||||||||
Federal Home Loan Bank (FHLB)–4.51% | ||||||||
Unsec. Bonds, 5.45%, 04/15/11 | 7,149,101 | 7,250,214 | ||||||
4.72%, 09/20/12 | 1,117,309 | 1,173,456 | ||||||
Unsec. Global Bonds, 1.63%, 03/20/13 | 23,000,000 | 23,439,543 | ||||||
1.88%, 06/21/13 | 10,000,000 | 10,240,139 | ||||||
Series 1, Unsec. Bonds, 5.77%, 03/23/18 | 6,728,759 | 7,403,586 | ||||||
49,506,938 | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC)–1.04% | ||||||||
Unsec. Global Notes, 0.63%, 12/28/12 | 5,000,000 | 4,994,829 | ||||||
1.75%, 09/10/15 | 6,500,000 | 6,398,009 | ||||||
11,392,838 | ||||||||
Federal National Mortgage Association (FNMA)–1.22% | ||||||||
Unsec. Global Notes, 0.75%, 12/18/13 | 3,000,000 | 2,964,819 | ||||||
2.50%, 05/15/14 | 10,000,000 | 10,368,877 | ||||||
13,333,696 | ||||||||
Tennessee Valley Authority (TVA)–0.50% | ||||||||
Series A, Bonds, 6.79%, 05/23/12 | 5,000,000 | 5,430,684 | ||||||
Total U.S. Government Sponsored Agency Securities (Cost $228,818,913) | 232,570,190 | |||||||
Principal | ||||||||
Amount | Value | |||||||
U.S. Treasury Securities–8.60% | ||||||||
U.S. Treasury Notes–7.78% | ||||||||
0.75%, 09/15/13 | $ | 4,500,000 | $ | 4,485,234 | ||||
2.38%, 02/28/15 | 11,000,000 | 11,333,437 | ||||||
1.25%, 08/31/15 | 3,000,000 | 2,917,031 | ||||||
2.75%, 05/31/17 | 22,000,000 | 22,268,125 | ||||||
2.38%, 07/31/17 | 10,000,000 | 9,865,625 | ||||||
3.13%, 05/15/19(d) | 6,000,000 | 6,060,938 | ||||||
3.50%, 05/15/20 | 12,000,000 | 12,290,625 | ||||||
2.63%, 08/15/20 | 17,000,000 | 16,115,469 | ||||||
85,336,484 | ||||||||
U.S. Treasury Bonds–0.82% | ||||||||
8.75%, 05/15/20 | 3,500,000 | 5,092,500 | ||||||
7.63%, 02/15/25(d) | 550,000 | 779,539 | ||||||
6.88%, 08/15/25(d) | 500,000 | 667,969 | ||||||
4.25%, 05/15/39(d) | 2,500,000 | 2,461,719 | ||||||
9,001,727 | ||||||||
Total U.S. Treasury Securities (Cost $96,674,979) | 94,338,211 | |||||||
Foreign Sovereign Bonds–0.39% | ||||||||
Sovereign Debt–0.39% | ||||||||
Israel Government Agency for International Development (AID) Bond (Israel), Gtd. Bonds, 5.13%, 11/01/24 (Cost $3,829,928) | 3,800,000 | 4,220,009 | ||||||
Shares | ||||||||
Money Market Funds–1.32% | ||||||||
Government & Agency Portfolio–Institutional Class (Cost $14,437,887)(e) | 14,437,887 | 14,437,887 | ||||||
TOTAL INVESTMENTS–101.75% (Cost $1,095,523,111) | 1,115,639,127 | |||||||
OTHER ASSETS LESS LIABILITIES–(1.75)% | (19,159,902 | ) | ||||||
NET ASSETS–100.00% | $ | 1,096,479,225 | ||||||
Ctfs. | – Certificates | |
Gtd. | – Guaranteed | |
REMICs | – Real Estate Mortgage Investment Conduits | |
TBA | – To Be Announced | |
Unsec. | – Unsecured |
(a) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on December 31, 2010. | |
(b) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The value of this security at December 31, 2010 represented 2.13% of the Fund’s Net Assets. | |
(c) | Security purchased on forward commitment basis. This security is subject to dollar roll transactions. See Note 1J. | |
(d) | All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. See Note 1L and Note 4. | |
(e) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $1,081,085,224) | $ | 1,101,201,240 | ||
Investments in affiliated money market funds, at value and cost | 14,437,887 | |||
Total investments, at value (Cost $1,095,523,111) | 1,115,639,127 | |||
Receivables for: | ||||
Variation margin | 1,940,484 | |||
Fund shares sold | 180,525 | |||
Dividends and interest | 4,346,990 | |||
Principal paydowns | 248,161 | |||
Investment for trustee deferred compensation and retirement plans | 53,599 | |||
Other assets | 381 | |||
Total assets | 1,122,409,267 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 23,267,854 | |||
Fund shares reacquired | 911,789 | |||
Accrued fees to affiliates | 1,533,214 | |||
Accrued other operating expenses | 69,025 | |||
Trustee deferred compensation and retirement plans | 148,160 | |||
Total liabilities | 25,930,042 | |||
Net assets applicable to shares outstanding | $ | 1,096,479,225 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 1,080,930,022 | ||
Undistributed net investment income | 37,474,465 | |||
Undistributed net realized gain (loss) | (35,458,737 | ) | ||
Unrealized appreciation | 13,533,475 | |||
$ | 1,096,479,225 | |||
Net Assets: | ||||
Series I | $ | 1,072,405,372 | ||
Series II | $ | 24,073,853 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 89,393,499 | |||
Series II | 2,019,202 | |||
Series I: | ||||
Net asset value per share | $ | 12.00 | ||
Series II: | ||||
Net asset value per share | $ | 11.92 | ||
Investment income: | ||||
Interest | $ | 32,448,445 | ||
Dividends from affiliated money market funds | 14,633 | |||
Total investment income | 32,463,078 | |||
Expenses: | ||||
Advisory fees | 5,517,804 | |||
Administrative services fees | 3,241,798 | |||
Custodian fees | 63,904 | |||
Distribution fees: | ||||
Series II | 42,253 | |||
Transfer agent fees | 17,840 | |||
Trustees’ and officers’ fees and benefits | 48,591 | |||
Other | 121,224 | |||
Total expenses | 9,053,414 | |||
Less: Fees waived and expense offset arrangement(s) | (279,307 | ) | ||
Net expenses | 8,774,107 | |||
Net investment income | 23,688,971 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain from: | ||||
Investment securities (includes net gains from securities sold to affiliates of $50,213) | 3,058,050 | |||
Futures contracts | 29,762,028 | |||
32,820,078 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | (206,441 | ) | ||
Futures contracts | 7,512,664 | |||
7,306,223 | ||||
Net realized and unrealized gain | 40,126,301 | |||
Net increase in net assets resulting from operations | $ | 63,815,272 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 23,688,971 | $ | 46,745,306 | ||||
Net realized gain | 32,820,078 | 6,396,776 | ||||||
Change in net unrealized appreciation (depreciation) | 7,306,223 | (58,197,138 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 63,815,272 | (5,055,056 | ) | |||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (54,918,096 | ) | (60,184,129 | ) | ||||
Series II | (859,253 | ) | (678,455 | ) | ||||
Total distributions from net investment income | (55,777,349 | ) | (60,862,584 | ) | ||||
Distributions to shareholders from net realized gains: | ||||||||
Series I | — | (43,257,923 | ) | |||||
Series II | — | (522,035 | ) | |||||
Total distributions from net realized gains | — | (43,779,958 | ) | |||||
Share transactions–net: | ||||||||
Series I | (128,842,349 | ) | (290,464,747 | ) | ||||
Series II | 9,854,940 | (4,570,136 | ) | |||||
Net increase (decrease) in net assets resulting from share transactions | (118,987,409 | ) | (295,034,883 | ) | ||||
Net increase (decrease) in net assets | (110,949,486 | ) | (404,732,481 | ) | ||||
Net assets: | ||||||||
Beginning of year | 1,207,428,711 | 1,612,161,192 | ||||||
End of year (includes undistributed net investment income of $37,474,465 and $55,633,788, respectively) | $ | 1,096,479,225 | $ | 1,207,428,711 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the |
security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. | |
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Other Risks — The Funds may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so. In this case, if the issuer defaulted, the underlying fund holding securities of such issuer might not be able to recover its investment from the U.S. Government. Many securities purchased by the Fund are not guaranteed by the U.S. Government. | |
J. | Dollar Roll and Forward Commitment Transactions — The Fund may engage in dollar roll and forward commitment transactions with respect to mortgage-backed securities issued by GNMA, FNMA and FHLMC. These transactions are often conducted on a to be announced (“TBA”) basis. In a TBA mortgage-backed transaction, the seller does not specify the particular securities to be delivered. Rather, a Fund agrees to accept any security that meets specified terms, such as an agreed upon issuer, coupon rate and terms of the underlying mortgages. TBA mortgage-backed transactions generally settle once a month on a specific date. | |
In a dollar roll transaction, the Fund sells a mortgage-backed security held in the Fund to a financial institution such as a bank or broker-dealer, and simultaneously agrees to purchase a substantially similar security (same type, coupon and maturity) from the institution at an agreed upon price and future date. The mortgage-backed securities to be purchased will bear the same coupon as those sold, but generally will be collateralized by different pools of mortgages with different prepayment histories. Based on the typical structure of dollar roll transactions by the Fund, the dollar roll transactions are accounted for as financing transactions in which the Fund receives compensation as either a “fee” or a “drop”. “Fee” income which is agreed upon amongst the parties at the commencement of the dollar roll and the “drop” which is the difference between the selling price and the repurchase price of the mortgage-backed securities are amortized to income. During the period between the sale and purchase settlement dates, the Fund will not be entitled to receive interest and principal payments on securities purchased and not yet settled. Proceeds of the sale may be invested in short-term instruments, and the income from these investments, together with any additional fee income received on the sale, could generate income for the Fund exceeding the yield on the security sold. Dollar roll transactions are considered borrowings under the 1940 Act. | ||
Forward commitment transactions involve commitments by the Fund to acquire or sell TBA mortgage-backed securities from/to a financial institution, such as a bank or broker-dealer at a specified future date and amount. The TBA mortgage-backed security is marked to market until settlement and the unrealized appreciation or depreciation is recorded in the statement of operations. | ||
At the time the Fund enters into the dollar roll or forward commitment transaction, mortgage-backed securities or other liquid assets held by the Fund having a dollar value equal to the purchase price or in an amount sufficient to honor the forward commitment will be segregated. | ||
Dollar roll transactions involve the risk that the market value of the securities retained by the Fund may decline below the price of the securities that the Fund has sold but is obligated to purchase under the agreement. In the event that the buyer of securities in a dollar roll transaction files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to purchase the securities. The return earned by the Fund with the proceeds of the dollar roll transaction may not exceed the return on the securities sold. | ||
Forward commitment transactions involve the risk that a counter-party to the transaction may fail to complete the transaction. If this occurs, the Fund may lose the opportunity to purchase or sell the security at the agreed upon price. | ||
Settlement dates of forward commitment transactions may be a month or more after entering into these transactions and as a result the market values of the securities may vary from the purchase or sale prices. Therefore, forward commitment transactions may increase the Fund’s overall interest rate exposure. | ||
K. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
L. | Futures Contracts — The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties to purchase or sell a specified underlying security, currency or commodity (or |
delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal counterparty risk since the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. | ||
M. | Collateral — To the extent the Fund has pledged or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day. |
Average Net Assets | Rate | |||
First $250 million | 0 | .50% | ||
Over $250 million | 0 | .45% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 14,437,887 | $ | — | $ | — | $ | 14,437,887 | ||||||||
U.S. Treasury Securities | — | 94,338,211 | — | 94,338,211 | ||||||||||||
U.S. Government Sponsored Securities | — | 1,002,643,020 | — | 1,002,643,020 | ||||||||||||
Foreign Government Debt Securities | — | 4,220,009 | — | 4,220,009 | ||||||||||||
$ | 14,437,887 | $ | 1,101,201,240 | $ | — | $ | 1,115,639,127 | |||||||||
Futures* | (6,582,541 | ) | — | — | (6,582,541 | ) | ||||||||||
Total Investments | $ | 7,855,346 | $ | 1,101,201,240 | $ | — | $ | 1,109,056,586 | ||||||||
* | Unrealized appreciation (depreciation). |
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Interest rate risk | ||||||||
Futures Contracts(a) | $ | 380,786 | $ | (6,963,327 | ) | |||
(a) | Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s variation margin receivable (payable) is reported within the Statement of Assets & Liabilities. |
Location of Gain on | ||||
Statement of Operations | ||||
Futures* | ||||
Realized Gain | ||||
Interest rate risk | $ | 29,762,028 | ||
Change in Unrealized Appreciation | ||||
Interest rate risk | 7,512,664 | |||
Total | $ | 37,274,692 | ||
* | The average value of futures outstanding during the period was $519,215,200. |
Open Futures Contracts | ||||||||||||||||
Unrealized | ||||||||||||||||
Number of | Month/ | Appreciation | ||||||||||||||
Contract | Contracts | Commitment | Value | (Depreciation) | ||||||||||||
U.S. Treasury 2 Year Notes | 317 | March-2011/Long | $ | 69,393,281 | $ | 47,314 | ||||||||||
U.S. Treasury 5 Year Notes | 507 | March-2011/Long | 59,683,406 | (434,754 | ) | |||||||||||
U.S. Treasury 10 Year Notes | 1,166 | March-2011/Long | 140,430,125 | (4,475,601 | ) | |||||||||||
Ultra U.S. Treasury Bonds | 721 | March-2011/Long | 91,634,594 | (2,001,199 | ) | |||||||||||
Subtotal | $ | 361,141,406 | $ | (6,864,240 | ) | |||||||||||
U.S. Treasury 30 Year Bonds | 82 | March-2011/Short | $ | (10,014,250 | ) | $ | 281,699 | |||||||||
Total | $ | 351,127,156 | $ | (6,582,541 | ) | |||||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 55,777,349 | $ | 60,878,384 | ||||
Long-term capital gain | — | 43,764,158 | ||||||
Total distributions | $ | 55,777,349 | $ | 104,642,542 | ||||
2010 | ||||
Undistributed ordinary income | $ | 37,617,791 | ||
Net unrealized appreciation — investments | 19,984,727 | |||
Temporary book/tax differences | (143,326 | ) | ||
Post-October deferrals | (16,616,541 | ) | ||
Capital loss carryforward | (25,293,448 | ) | ||
Shares of beneficial interest | 1,080,930,022 | |||
Total net assets | $ | 1,096,479,225 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2017 | $ | 25,293,448 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 25,556,085 | ||
Aggregate unrealized (depreciation) of investment securities | (5,571,358 | ) | ||
Net unrealized appreciation of investment securities | $ | 19,984,727 | ||
Cost of investments for tax purposes is $1,095,654,400. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 14,868,780 | $ | 182,569,736 | 13,378,824 | $ | 173,338,232 | ||||||||||
Series II | 1,086,469 | 13,335,480 | 368,564 | 4,730,767 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 4,508,875 | 54,918,094 | 8,534,823 | 103,442,051 | ||||||||||||
Series II | 70,954 | 859,253 | 99,626 | 1,200,490 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (29,794,392 | ) | (366,330,179 | ) | (44,095,427 | ) | (567,245,030 | ) | ||||||||
Series II | (355,134 | ) | (4,339,793 | ) | (821,161 | ) | (10,501,393 | ) | ||||||||
Net increase (decrease) in share activity | (9,614,448 | ) | $ | (118,987,409 | ) | (22,534,751 | ) | $ | (295,034,883 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 94% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | gains | Distributions | of period | Return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 11.95 | $ | 0.24 | $ | 0.41 | $ | 0.65 | $ | (0.60 | ) | $ | — | $ | (0.60 | ) | $ | 12.00 | 5.40 | % | $ | 1,072,405 | 0.73 | %(d) | 0.75 | %(d) | 1.98 | %(d) | 61 | % | ||||||||||||||||||||||||||
Year ended 12/31/09 | 13.05 | 0.45 | (0.43 | ) | 0.02 | (0.65 | ) | (0.47 | ) | (1.12 | ) | 11.95 | (0.01 | ) | 1,192,967 | 0.73 | 0.75 | 3.47 | 55 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 12.06 | 0.50 | 0.96 | 1.46 | (0.47 | ) | — | (0.47 | ) | 13.05 | 12.22 | 1,591,799 | 0.73 | 0.76 | 3.96 | 109 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 11.80 | 0.59 | 0.16 | 0.75 | (0.49 | ) | — | (0.49 | ) | 12.06 | 6.43 | 1,169,985 | 0.73 | 0.76 | 4.93 | 106 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 11.87 | 0.55 | (0.13 | ) | 0.42 | (0.49 | ) | — | (0.49 | ) | 11.80 | 3.55 | 907,403 | 0.71 | 0.77 | 4.62 | 89 | |||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 11.88 | 0.22 | 0.40 | 0.62 | (0.58 | ) | — | (0.58 | ) | 11.92 | 5.10 | 24,074 | 0.98 | (d) | 1.00 | (d) | 1.73 | (d) | 61 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 12.97 | 0.41 | (0.43 | ) | (0.02 | ) | (0.60 | ) | (0.47 | ) | (1.07 | ) | 11.88 | (0.26 | ) | 14,462 | 0.98 | 1.00 | 3.22 | 55 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 11.99 | 0.46 | 0.97 | 1.43 | (0.45 | ) | — | (0.45 | ) | 12.97 | 11.98 | 20,362 | 0.98 | 1.01 | 3.71 | 109 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 11.74 | 0.56 | 0.15 | 0.71 | (0.46 | ) | — | (0.46 | ) | 11.99 | 6.11 | 18,770 | 0.98 | 1.01 | 4.68 | 106 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 11.81 | 0.52 | (0.13 | ) | 0.39 | (0.46 | ) | — | (0.46 | ) | 11.74 | 3.28 | 16,218 | 0.96 | 1.02 | 4.37 | 89 | |||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $1,181,500 and $16,901 for Series I and Series II shares, respectively |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
ACTUAL | (5% annual return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,007.30 | $ | 3.64 | $ | 1,021.58 | $ | 3.67 | 0.72 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,009.80 | 4.91 | 1,020.32 | 4.94 | 0.97 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Qualified Dividend Income* | 0% | |||
Corporate Dividends Received Deduction* | 0% | |||
U.S. Treasury Obligations* | 21.46% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares* | 13.57 | % | ||
Series II Shares* | 13.49 | |||
Barclays Capital U.S. Aggregate Index▼ (Broad Market Index) | 6.54 | |||
Barclays Capital U.S. Corporate High Yield 2% Issuer Cap Index▼ (Style-Specific Index)+ | 14.94 | |||
Barclays Capital U.S. Corporate High Yield Index▼ (Former Style-Specific Index)+ | 15.12 | |||
Lipper VUF High Current Yield Bond Funds Category Average▼ (Peer Group) | 13.61 | |||
▼ | Lipper Inc. | |
* | Performance includes litigation proceeds. Had these proceeds not been received, total return would have been lower. | |
+ | The Fund has elected to use the Barclays Capital U.S. Corporate High Yield 2% Issuer Cap Index as its style-specific benchmark instead of the Barclays Capital U.S. Corporate High Yield Index because it will better align the Fund’s style-specific benchmark with its investment process and restrictions. |
n | Low equity value to debt, high subordination and negative free cash flow coupled with negative news, declining expectations or an increasing risk profile. | |
n | Very low yields. | |
n | Presentation of a better relative value opportunity. |
A | 1.0 | % | ||
BBB | 4.0 | |||
BB | 30.6 | |||
B | 43.7 | |||
CCC | 10.2 | |||
CC | 0.5 | |||
Non-Rated | 6.5 | |||
Cash | 3.5 |
1. | CIT Group Inc. | 1.8 | % | |||||
2. | MGM Resorts International | 1.5 | ||||||
3. | Wind Acquisition Finance S.A. | 1.3 | ||||||
4. | Nielsen Finance LLC/CO. | 1.3 | ||||||
5. | Ally Financial Inc. | 1.3 | ||||||
6. | International Lease Finance Corp. | 1.2 | ||||||
7. | UAL Corp. | 1.2 | ||||||
8. | HCA, Inc. | 1.1 | ||||||
9. | Sprint Nextel Corp. | 1.1 | ||||||
10. | Caesars Entertainment Operating Co. Inc. | 1.0 |
1. | Oil & Gas Exploration & Production | 6.8 | % | |||||
2. | Wireless Telecommunication Services | 5.8 | ||||||
3. | Casinos & Gaming | 5.1 | ||||||
4. | Building Products | 3.7 | ||||||
5. | Airlines | 3.1 |
Total Net Assets | $56.3 million | |||
Total Number of Holdings* | 373 |
† | Source: Standard and Poor’s. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations, including specific securities, money market instruments or other debts. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest); ratings are subject to change without notice. “Non-Rated” indicates the debtor was not rated, and should not be interpreted as indicating low quality. For more information on Standard and Poor’s rating methodology, please visit www.standardandpoors.com and select ‘Understanding Ratings’ under Rating Resources on the homepage. |
* | Excluding money market fund holdings. |
1 | Bureau of Economic Analysis | |
2 | U.S. Federal Reserve |
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. High Yield Fund. Mr. Ehret joined Invesco in 2001. He graduated cum laude with a B.S. in economics from the University of Minnesota. He also earned an M.S. in real estate appraisal and investment analysis from the University of Wisconsin-Madison.
Chartered Financial Analyst, senior portfolio manager, is manager of Invesco V.I. High Yield Fund. He joined Invesco in 1992. Mr. Hughes earned a B.B.A. in finance and economics from Baylor University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. High Yield Fund. He joined Invesco in 2000. Mr. Roberts earned a B.B.A. in finance from the University of Houston.
Series I Shares | |||||||||
Inception (5/1/98) | 3.60 | % | |||||||
10 | Years | 6.58 | |||||||
5 | Years | 7.65 | |||||||
1 | Year | 13.57 | |||||||
Series II Shares | |||||||||
10 | Years | 6.35 | % | ||||||
5 | Years | 7.39 | |||||||
1 | Year | 13.49 | |||||||
Performance includes litigation proceeds. Had these proceeds not been received, total return would have been lower. |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least April 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Principal | ||||||||
Amount | Value | |||||||
U.S. Dollar Denominated Bonds & Notes–83.41% | ||||||||
Advertising–0.20% | ||||||||
Lamar Media Corp., Sr. Gtd. Sub. Global Notes, 7.88%, 04/15/18 | $ | 105,000 | $ | 111,694 | ||||
Aerospace & Defense–1.70% | ||||||||
Alliant Techsystems Inc., Sr. Unsec. Gtd. Sub. Notes, 6.88%, 09/15/20 | 20,000 | 20,650 | ||||||
BE Aerospace, Inc., Sr. Unsec. Notes, 8.50%, 07/01/18 | 180,000 | 196,987 | ||||||
Bombardier Inc. (Canada), Sr. Notes, 7.50%, 03/15/18(b) | 30,000 | 32,363 | ||||||
7.75%, 03/15/20(b) | 120,000 | 130,800 | ||||||
Hexcel Corp., Sr. Unsec. Sub. Global Notes, 6.75%, 02/01/15 | 275,000 | 281,875 | ||||||
Triumph Group, Inc., Sr. Unsec. Gtd. Sub. Global Notes, 8.00%, 11/15/17 | 280,000 | 296,100 | ||||||
958,775 | ||||||||
Airlines–2.86% | ||||||||
American Airlines, Series 1991-A2, Sec. Pass Through Ctfs., 10.18%, 01/02/13 | 55,161 | 55,919 | ||||||
Continental Airlines Inc., | ||||||||
Series 2000-2, Class B, Sec. Sub. Pass Through Ctfs., 8.31%, 04/02/18 | 59,873 | 60,921 | ||||||
Series 2001-1, Class B, Sec. Sub. Pass Through Ctfs., 7.37%, 12/15/15 | 104,683 | 104,945 | ||||||
Series 2007-1, Class C, Sec. Sub. Global Pass Through Ctfs., 7.34%, 04/19/14 | 181,265 | 183,078 | ||||||
Series 2009-1, Class A, Sec. Pass Through Ctfs., 9.00%, 07/08/16 | 57,575 | 65,923 | ||||||
Series 2009-2, Class B, Sec. Global Pass Through Ctfs., 9.25%, 05/10/17 | 132,981 | 144,284 | ||||||
Delta Air Lines, Inc., Sr. Sec. Notes, 9.50%, 09/15/14(b) | 67,000 | 73,198 | ||||||
Series 2002-1, Class C, Sec. Pass Through Ctfs., 7.78%, 01/02/12 | 124,468 | 125,402 | ||||||
Series 2007-1, Class C, Sec. Global Pass Through Ctfs., 8.95%, 08/10/14 | 134,720 | 140,782 | ||||||
UAL Corp., | ||||||||
Series 2007-1, Class B, Sr. Sec. Gtd. Global Pass Through Ctfs., 7.34%, 07/02/19(b) | 121,512 | 116,651 | ||||||
Series 2009-1, Sr. Sec. Gtd. Global Pass Through Ctfs., 10.40%, 11/01/16 | 174,697 | 203,085 | ||||||
Series 2009-2A, Sec. Gtd. Global Pass Through Ctfs., 9.75%, 01/15/17 | 142,759 | 165,600 | ||||||
Series 2009-2, Class B, Sec. Gtd. Pass Through Ctfs., 12.00%, 01/15/16(b) | 150,280 | 169,065 | ||||||
1,608,853 | ||||||||
Alternative Carriers–0.14% | ||||||||
Global Crossing UK Finance PLC (United Kingdom), Sr. Sec. Gtd. Global Notes, 10.75%, 12/15/14 | 75,000 | 78,094 | ||||||
Aluminum–0.81% | ||||||||
Century Aluminum Co., Sr. Sec. Notes, 8.00%, 05/15/14 | 430,630 | 455,660 | ||||||
Apparel Retail–0.33% | ||||||||
Limited Brands Inc., Sr. Unsec. Gtd. Global Notes, 8.50%, 06/15/19 | 140,000 | 161,000 | ||||||
Sr. Unsec. Gtd. Notes, 7.00%, 05/01/20 | 25,000 | 26,563 | ||||||
187,563 | ||||||||
Apparel, Accessories & Luxury Goods–0.98% | ||||||||
Hanesbrands Inc., Sr. Unsec. Gtd. Notes, 6.38%, 12/15/20(b) | 140,000 | 135,100 | ||||||
Phillips-Van Heusen Corp., Sr. Unsec. Notes, 7.38%, 05/15/20 | 90,000 | 95,625 | ||||||
Quiksilver Inc., Sr. Unsec. Gtd. Global Notes, 6.88%, 04/15/15 | 305,000 | 299,662 | ||||||
Visant Corp., Sr. Notes, 10.00%, 10/01/17(b) | 20,000 | 21,300 | ||||||
551,687 | ||||||||
Asset Management & Custody Banks–0.03% | ||||||||
Accellent Inc., Sr. Gtd. Sub. Notes, 10.00%, 11/01/17(b) | 15,000 | 14,175 | ||||||
Auto Parts & Equipment–0.40% | ||||||||
Allison Transmission Inc., Sr. Unsec. Gtd. Notes, 11.00%, 11/01/15(b) | 100,000 | 109,250 | ||||||
Tenneco Inc., Sr. Gtd. Notes, 6.88%, 12/15/20(b) | 40,000 | 40,800 | ||||||
Sr. Notes, 7.75%, 08/15/18(b) | 70,000 | 74,550 | ||||||
224,600 | ||||||||
Automobile Manufacturers–0.87% | ||||||||
Ford Motor Co., Sr. Unsec. Global Notes, 7.45%, 07/16/31 | 185,000 | 199,800 | ||||||
Motors Liquidation Co., Sr. Unsec. Global Notes, 7.20%, 01/15/11(c) | 445,000 | 153,525 | ||||||
Sr. Unsec. Notes, 8.38%, 07/15/33(c) | 375,000 | 136,406 | ||||||
489,731 | ||||||||
Broadcasting–1.56% | ||||||||
Allbritton Communications Co., Sr. Unsec. Global Notes, 8.00%, 05/15/18 | 150,000 | 152,250 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Broadcasting–(continued) | ||||||||
Nielsen Finance LLC/Co., Sr. Global Notes, 11.63%, 02/01/14 | $ | 85,000 | $ | 98,812 | ||||
Sr. Unsec. Gtd. Notes, 7.75%, 10/15/18(b) | 120,000 | 124,800 | ||||||
Sr. Unsec. Gtd. Sub. Disc. Global Notes, 12.50%, 08/01/16(d) | 475,000 | 501,125 | ||||||
876,987 | ||||||||
Building Products–3.69% | ||||||||
Associated Materials LLC, Sr. Sec. Gtd. Notes, 9.13%, 11/01/17(b) | 200,000 | 211,000 | ||||||
Building Materials Corp. of America, Sr. Gtd. Notes, 7.50%, 03/15/20(b) | 130,000 | 133,575 | ||||||
Gibraltar Industries Inc., Series B, Sr. Unsec. Gtd. Sub. Global Notes, 8.00%, 12/01/15 | 200,000 | 202,750 | ||||||
Nortek Inc., Sr. Sec. Gtd. Global Notes, 11.00%, 12/01/13 | 355,955 | 380,872 | ||||||
Sr. Unsec. Gtd. Notes, 10.00%, 12/01/18(b) | 120,000 | 125,700 | ||||||
Ply Gem Industries Inc., | ||||||||
Sr. Sec. Gtd. First & Second Lien Global Notes, | ||||||||
11.75%, 06/15/13 | 335,000 | 359,287 | ||||||
Sr. Unsec. Gtd. Sub. Global Notes, | ||||||||
13.13%, 07/15/14 | 210,000 | 223,650 | ||||||
Roofing Supply Group LLC/Roofing Supply Finance Inc., Sr. Sec. Notes, 8.63%, 12/01/17(b) | 320,000 | 333,600 | ||||||
USG Corp., Sr. Gtd. Notes, 8.38%, 10/15/18(b) | 15,000 | 14,775 | ||||||
Sr. Unsec. Gtd. Notes, 9.75%, 08/01/14(b) | 85,000 | 90,313 | ||||||
2,075,522 | ||||||||
Cable & Satellite–1.18% | ||||||||
Cablevision Systems Corp., Sr. Unsec. Global Notes, 8.63%, 09/15/17 | 135,000 | 148,331 | ||||||
Hughes Network Systems LLC/HNS Finance Corp., Sr. Unsec. Gtd. Global Notes, 9.50%, 04/15/14 | 75,000 | 77,719 | ||||||
9.50%, 04/15/14 | 205,000 | 212,431 | ||||||
Sirius XM Radio Inc., Sr. Unsec. Gtd. Notes, 8.75%, 04/01/15(b) | 155,000 | 167,981 | ||||||
XM Satellite Radio Inc., Sr. Unsec. Gtd. Notes, 7.63%, 11/01/18(b) | 55,000 | 57,063 | ||||||
663,525 | ||||||||
Casinos & Gaming–5.14% | ||||||||
Boyd Gaming Corp., Sr. Notes, 9.13%, 12/01/18(b) | 20,000 | 20,000 | ||||||
Caesars Entertainment Operating Co. Inc., | ||||||||
Sr. Sec. Gtd. Global Notes, | ||||||||
11.25%, 06/01/17 | 175,000 | 197,750 | ||||||
10.00%, 12/15/18 | 50,000 | 45,750 | ||||||
Sr. Sec. Notes, 12.75%, 04/15/18(b) | 120,000 | 123,600 | ||||||
Sr. Unsec. Gtd. Global Bonds, 5.63%, 06/01/15 | 275,000 | 228,937 | ||||||
Great Canadian Gaming Corp. (Canada), Sr. Unsec. Gtd. Sub. Notes, 7.25%, 02/15/15(b) | 150,000 | 154,500 | ||||||
Mandalay Resort Group, Sr. Unsec. Gtd. Sub. Notes, 7.63%, 07/15/13 | 100,000 | 95,000 | ||||||
MGM Resorts International, Sr. Sec. Global Notes, | ||||||||
10.38%, 05/15/14 | 65,000 | 73,288 | ||||||
11.13%, 11/15/17 | 65,000 | 75,238 | ||||||
Sr. Sec. Gtd. Notes, | ||||||||
13.00%, 11/15/13 | 130,000 | 154,050 | ||||||
9.00%, 03/15/20(b) | 50,000 | 55,000 | ||||||
Sr. Unsec. Gtd. Conv. Notes, 4.25%, 04/15/15(b) | 95,000 | 104,500 | ||||||
Sr. Unsec. Gtd. Global Notes, | ||||||||
6.75%, 09/01/12 | 185,000 | 184,537 | ||||||
6.63%, 07/15/15 | 223,000 | 205,717 | ||||||
Sr. Unsec. Gtd. Notes, 5.88%, 02/27/14 | 10,000 | 9,275 | ||||||
Midwest Gaming Borrower LLC/ Midwest Finance Corp., Sr. Sec. Notes, 11.63%, 04/15/16(b) | 45,000 | 46,463 | ||||||
Pinnacle Entertainment Inc., Sr. Unsec. Gtd. Global Notes, 8.63%, 08/01/17 | 175,000 | 191,187 | ||||||
Scientific Games Corp., Sr. Sub. Notes, 8.13%, 09/15/18(b) | 20,000 | 20,250 | ||||||
Scientific Games International Inc., Sr. Unsec. Gtd. Sub. Global Notes, 9.25%, 06/15/19 | 45,000 | 46,688 | ||||||
Seneca Gaming Corp., Sr. Unsec. Gtd. Notes, 8.25%, 12/01/18(b) | 60,000 | 60,300 | ||||||
Snoqualmie Entertainment Authority, Sr. Sec. Floating Rate Notes, 4.43%, 02/01/14(b)(e) | 225,000 | 195,750 | ||||||
Sr. Sec. Notes, 9.13%, 02/01/15(b) | 220,000 | 204,600 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Sec. Gtd. First Mortgage Global Notes, 7.75%, 08/15/20 | 170,000 | 185,300 | ||||||
Sr. Sec. Gtd. First Mortgage Global Notes, | ||||||||
7.88%, 11/01/17 | 130,000 | 140,400 | ||||||
7.88%, 05/01/20 | 70,000 | 75,687 | ||||||
2,893,767 | ||||||||
Coal & Consumable Fuels–0.13% | ||||||||
CONSOL Energy Inc., Sr. Unsec. Gtd. Notes, | ||||||||
8.00%, 04/01/17(b) | 35,000 | 37,538 | ||||||
8.25%, 04/01/20(b) | 35,000 | 37,975 | ||||||
75,513 | ||||||||
Computer & Electronics Retail–0.05% | ||||||||
Rent-A-Center Inc., Sr. Unsec. Notes, 6.63%, 11/15/20(b) | 30,000 | 30,075 | ||||||
Computer Storage & Peripherals–0.26% | ||||||||
Seagate HDD Cayman (Cayman Islands), Sr. Unsec. Gtd. Notes, 7.75%, 12/15/18(b) | 60,000 | 61,275 | ||||||
6.88%, 05/01/20(b) | 90,000 | 86,850 | ||||||
148,125 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Construction & Engineering–1.68% | ||||||||
American Residential Services LLC, Sr. Sec. Notes, 12.00%, 04/15/15(b) | $ | 95,000 | $ | 99,988 | ||||
Dycom Investments Inc., Sr. Unsec. Gtd. Sub. Global Notes, 8.13%, 10/15/15 | 70,000 | 71,575 | ||||||
MasTec, Inc., Sr. Unsec. Gtd. Global Notes, 7.63%, 02/01/17 | 350,000 | 356,125 | ||||||
Tutor Perini Corp., Sr. Unsec. Gtd. Notes, 7.63%, 11/01/18(b) | 415,000 | 420,187 | ||||||
947,875 | ||||||||
Construction Materials–1.45% | ||||||||
Cemex Finance LLC, Sr. Sec. Gtd. Bonds, 9.50%, 12/14/16(b) | 195,000 | 201,924 | ||||||
Cemex S.A.B. de C.V., (Mexico), Unsec. Sub. Conv. Notes, 4.88%, 03/15/15(b) | 100,000 | 109,750 | ||||||
Texas Industries Inc., Sr. Unsec. Gtd. Notes, 9.25%, 08/15/20(b) | 370,000 | 394,975 | ||||||
U.S. Concrete, Inc., Sec. Conv. Notes, 9.50%, 08/31/15(b) | 95,000 | 110,438 | ||||||
817,087 | ||||||||
Construction, Farm Machinery & Heavy Trucks–1.80% | ||||||||
Case New Holland Inc., Sr. Notes, 7.88%, 12/01/17(b) | 260,000 | 287,300 | ||||||
CNH America LLC, Sr. Unsec. Gtd. Notes, 7.25%, 01/15/16 | 60,000 | 65,100 | ||||||
Manitowoc Co. Inc. (The), Sr. Unsec. Gtd. Notes, 8.50%, 11/01/20 | 85,000 | 91,056 | ||||||
Navistar International Corp., Sr. Unsec. Gtd. Notes, 8.25%, 11/01/21 | 260,000 | 281,450 | ||||||
Oshkosh Corp., Sr. Unsec. Gtd. Global Notes, 8.50%, 03/01/20 | 150,000 | 165,375 | ||||||
Terex Corp., Sr. Unsec. Global Notes, 10.88%, 06/01/16 | 45,000 | 51,975 | ||||||
Titan International Inc., Sr. Sec. Gtd. Notes, 7.88%, 10/01/17(b) | 65,000 | 69,063 | ||||||
1,011,319 | ||||||||
Consumer Finance–2.62% | ||||||||
Ally Financial Inc., Sr. Unsec. Gtd. Global Notes, | ||||||||
8.00%, 03/15/20 | 345,000 | 379,500 | ||||||
8.00%, 11/01/31 | 186,000 | 199,020 | ||||||
Sr. Unsec. Gtd. Notes, 7.50%, 09/15/20(b) | 135,000 | 143,775 | ||||||
Capital One Capital VI, Jr. Ltd. Gtd. Sub. Cum. Trust Pfd. Securities, 8.88%, 05/15/40 | 205,000 | 213,969 | ||||||
Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 8.00%, 12/15/16 | 150,000 | 168,000 | ||||||
8.13%, 01/15/20 | 170,000 | 198,050 | ||||||
National Money Mart Co. (Canada), Sr. Unsec. Gtd. Global Notes, 10.38%, 12/15/16 | 160,000 | 174,400 | ||||||
1,476,714 | ||||||||
Data Processing & Outsourced Services–0.31% | ||||||||
SunGard Data Systems Inc., Sr. Unsec. Gtd. Sub. Global Notes, | ||||||||
10.25%, 08/15/15 | 90,000 | 94,725 | ||||||
Sr. Unsec. Notes, | ||||||||
7.38%, 11/15/18(b) | 40,000 | 40,400 | ||||||
7.63%, 11/15/20(b) | 40,000 | 40,700 | ||||||
175,825 | ||||||||
Department Stores–0.44% | ||||||||
Sears Holdings Corp., Sr. Sec. Notes, 6.63%, 10/15/18(b) | 265,000 | 250,425 | ||||||
Distillers & Vintners–0.21% | ||||||||
Constellation Brands Inc., Sr. Unsec. Gtd. Global Notes, 7.25%, 05/15/17 | 110,000 | 116,600 | ||||||
Diversified Metals & Mining–0.38% | ||||||||
Vedanta Resources PLC (United Kingdom), Sr. Unsec. Notes, 9.50%, 07/18/18(b) | 195,000 | 213,216 | ||||||
Diversified Support Services–0.04% | ||||||||
Mobile Mini, Inc., Sr. Unsec. Gtd. Notes, 7.88%, 12/01/20(b) | 20,000 | 20,850 | ||||||
Drug Retail–0.35% | ||||||||
General Nutrition Centers Inc., Sr. Unsec. Gtd. PIK Floating Rate Global Notes, 5.75%, 03/15/14(e) | 200,000 | 198,000 | ||||||
Electric Utilities–0.70% | ||||||||
Elwood Energy LLC, Sr. Sec. Global Notes, 8.16%, 07/05/26 | 122,984 | 120,524 | ||||||
LSP Energy L.P./LSP Batesville Funding Corp., Series C, Sr. Sec. Mortgage Bonds, | ||||||||
7.16%, 01/15/14 | 86,722 | 76,575 | ||||||
Series D, Sr. Sec. Bonds, 8.16%, 07/15/25 | 275,000 | 199,375 | ||||||
396,474 | ||||||||
Electrical Components & Equipment–0.07% | ||||||||
Polypore International Inc., Sr. Unsec. Gtd. Notes, 7.50%, 11/15/17(b) | 40,000 | 41,200 | ||||||
Electronic Manufacturing Services–0.09% | ||||||||
Jabil Circuit, Inc., Sr. Unsec. Notes, 7.75%, 07/15/16 | 35,000 | 39,375 | ||||||
Sanmina-SCI Corp., Sr. Unsec. Gtd. Sub. Global Notes, 6.75%, 03/01/13 | 10,000 | 10,025 | ||||||
49,400 | ||||||||
Environmental & Facilities Services–0.17% | ||||||||
EnergySolutions Inc./LLC, Sr. Unsec. Gtd. Notes, 10.75%, 08/15/18(b) | 85,000 | 93,288 | ||||||
Fertilizers & Agricultural Chemicals–0.21% | ||||||||
CF Industries Inc., Sr. Unsec. Gtd. Notes, 7.13%, 05/01/20 | 110,000 | 120,725 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Food Retail–0.51% | ||||||||
New Albertsons Inc., Sr. Unsec. Bonds, 8.00%, 05/01/31 | $ | 205,000 | $ | 155,031 | ||||
Simmons Foods Inc., Sr. Sec. Notes, 10.50%, 11/01/17(b) | 125,000 | 134,063 | ||||||
289,094 | ||||||||
Forest Products–0.04% | ||||||||
Sino-Forest Corp. (Canada), Gtd. Notes, 6.25%, 10/21/17(b) | 20,000 | 20,082 | ||||||
Gas Utilities–0.49% | ||||||||
Ferrellgas L.P./Ferrellgas Finance Corp., Sr. Unsec. Notes, 6.50%, 05/01/21(b) | 150,000 | 146,625 | ||||||
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., Sr. Unsec. Notes, 7.38%, 03/15/20 | 120,000 | 128,700 | ||||||
275,325 | ||||||||
Health Care Equipment–0.27% | ||||||||
DJO Finance LLC/Corp., Sr. Unsec. Gtd. Global Notes, 10.88%, 11/15/14 | 140,000 | 153,300 | ||||||
Health Care Facilities–2.38% | ||||||||
Community Health Systems Inc., Sr. Unsec. Gtd. Global Notes, 8.88%, 07/15/15 | 250,000 | 263,750 | ||||||
Hanger Orthopedic Group Inc., Sr. Unsec. Gtd. Global Notes, 7.13%, 11/15/18 | 40,000 | 40,100 | ||||||
HCA, Inc., Sr. Sec. Gtd. Global Notes, 7.88%, 02/15/20 | 195,000 | 209,625 | ||||||
Sr. Unsec. Global Notes, 6.38%, 01/15/15 | 245,000 | 241,937 | ||||||
Sr. Unsec. Notes, | ||||||||
5.75%, 03/15/14 | 10,000 | 9,900 | ||||||
7.19%, 11/15/15 | 155,000 | 153,062 | ||||||
Health Management Associates Inc., Sr. Sec. Notes, 6.13%, 04/15/16 | 55,000 | 55,688 | ||||||
Healthsouth Corp., Sr. Unsec. Gtd. Notes, 7.25%, 10/01/18 | 15,000 | 15,338 | ||||||
8.13%, 02/15/20 | 90,000 | 97,200 | ||||||
7.75%, 09/15/22 | 35,000 | 36,225 | ||||||
Tenet Healthcare Corp., Sr. Unsec. Global Notes, 9.25%, 02/01/15 | 205,000 | 219,350 | ||||||
1,342,175 | ||||||||
Health Care Services–0.48% | ||||||||
DaVita Inc., Sr. Unsec. Gtd. Notes, 6.38%, 11/01/18 | 40,000 | 39,900 | ||||||
Universal Hospital Services Inc., Sr. Sec. PIK Global Notes, 8.50%, 06/01/15 | 225,000 | 232,312 | ||||||
272,212 | ||||||||
Health Care Supplies–0.25% | ||||||||
Alere Inc., Sr. Unsec. Gtd. Sub. Notes, 9.00%, 05/15/16 | 135,000 | 139,894 | ||||||
Health Care Technology–0.38% | ||||||||
MedAssets Inc., Sr. Unsec. Gtd. Notes, 8.00%, 11/15/18(b) | 210,000 | 212,100 | ||||||
Homebuilding–0.41% | ||||||||
M/I Homes Inc., Sr. Unsec. Notes, 8.63%, 11/15/18(b) | 60,000 | 60,450 | ||||||
Standard Pacific Corp., Sr. Unsec. Gtd. Notes, 8.38%, 05/15/18(b) | 55,000 | 55,275 | ||||||
TOUSA, Inc., Sr. Unsec. Gtd. Global Notes, 9.00%, 07/01/10(c) | 163,000 | 85,168 | ||||||
9.00%, 07/01/10(c) | 60,000 | 31,350 | ||||||
232,243 | ||||||||
Hotels, Resorts & Cruise Lines–0.81% | ||||||||
Royal Caribbean Cruises Ltd., Sr. Unsec. Global Notes, 6.88%, 12/01/13 | 40,000 | 42,800 | ||||||
7.25%, 03/15/18 | 85,000 | 91,587 | ||||||
7.50%, 10/15/27 | 140,000 | 138,250 | ||||||
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec. Notes, 7.15%, 12/01/19 | 165,000 | 181,500 | ||||||
454,137 | ||||||||
Household Products–0.45% | ||||||||
Central Garden and Pet Co., Sr. Gtd. Sub. Notes, 8.25%, 03/01/18 | 245,000 | 251,737 | ||||||
Housewares & Specialties–0.54% | ||||||||
Jarden Corp., Sr. Unsec. Gtd. Notes, 6.13%, 11/15/22 | 15,000 | 14,381 | ||||||
Yankee Acquisition Corp., Series B, Sr. Gtd. Global Notes, 8.50%, 02/15/15 | 280,000 | 291,200 | ||||||
305,581 | ||||||||
Independent Power Producers & Energy Traders–1.33% | ||||||||
AES Corp. (The), Sr. Unsec. Global Notes, 9.75%, 04/15/16 | 75,000 | 84,375 | ||||||
8.00%, 10/15/17 | 65,000 | 68,738 | ||||||
AES Red Oak LLC, Series A, Sr. Sec. Bonds, 8.54%, 11/30/19 | 226,060 | 230,581 | ||||||
NRG Energy, Inc., Sr. Unsec. Gtd. Notes, 7.38%, 02/01/16 | 120,000 | 123,000 | ||||||
7.38%, 01/15/17 | 235,000 | 240,875 | ||||||
747,569 | ||||||||
Industrial Conglomerates–0.00% | ||||||||
Indalex Holding Corp., Series B, Sr. Sec. Gtd. Global Notes, 11.50%, 02/01/14(c) | 230,000 | 2,013 | ||||||
Industrial Machinery–0.48% | ||||||||
Cleaver-Brooks Inc., Sr. Sec. Notes, 12.25%, 05/01/16(b) | 75,000 | 79,969 | ||||||
Columbus McKinnon Corp., Sr. Unsec. Gtd. Sub. Global Notes, 8.88%, 11/01/13 | 63,000 | 64,260 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Industrial Machinery–(continued) | ||||||||
Mueller Water Products Inc., Sr. Unsec. Gtd. Global Notes, 8.75%, 09/01/20 | $ | 25,000 | $ | 27,875 | ||||
SPX Corp., Sr. Unsec. Gtd. Notes, 6.88%, 09/01/17(b) | 90,000 | 96,075 | ||||||
268,179 | ||||||||
Integrated Telecommunication Services–1.74% | ||||||||
Intelsat Intermediate Holding Co. S.A. (Bermuda), Sr. Unsec. Gtd. Disc. Global Notes, 9.50%, 02/01/15 | 315,000 | 326,025 | ||||||
Intelsat Jackson Holdings S.A. (Luxembourg), Sr. Unsec. Gtd. Global Notes, 11.25%, 06/15/16 | 315,000 | 340,987 | ||||||
Sr. Unsec. Notes, 7.25%, 10/15/20(b) | 115,000 | 116,725 | ||||||
Qwest Communications International Inc., Sr. Unsec. Gtd. Notes, 7.13%, 04/01/18(b) | 190,000 | 196,650 | ||||||
980,387 | ||||||||
Internet Retail–0.81% | ||||||||
Travelport LLC, Sr. Unsec. Gtd. Global Notes, 9.88%, 09/01/14 | 220,000 | 215,600 | ||||||
Sr. Unsec. Gtd. Sub. Global Notes, | ||||||||
11.88%, 09/01/16 | 190,000 | 187,625 | ||||||
Travelport LLC/Inc., Sr. Unsec. Gtd. Global Notes, 9.00%, 03/01/16 | 55,000 | 53,487 | ||||||
456,712 | ||||||||
Internet Software & Services–0.23% | ||||||||
Equinix Inc., Sr. Unsec. Notes, 8.13%, 03/01/18 | 125,000 | 131,250 | ||||||
Investment Banking & Brokerage–0.86% | ||||||||
Cantor Fitzgerald L.P., Bonds, 7.88%, 10/15/19(b) | 220,000 | 222,416 | ||||||
E*Trade Financial Corp., Sr. Unsec. Global Notes, 7.38%, 09/15/13 | 95,000 | 95,000 | ||||||
Sr. Unsec. Notes, 7.88%, 12/01/15 | 165,000 | 164,588 | ||||||
482,004 | ||||||||
Leisure Facilities–0.50% | ||||||||
Universal City Development Partners Ltd./UCDP Finance Inc., Sr. Unsec. Gtd. Global Notes, 8.88%, 11/15/15 | 265,000 | 283,550 | ||||||
Leisure Products–0.05% | ||||||||
Toys R Us-Delaware Inc., Sr. Sec. Gtd. Notes, 7.38%, 09/01/16(b) | 25,000 | 26,063 | ||||||
Life Sciences Tools & Services–0.22% | ||||||||
Patheon Inc. (Canada), Sr. Sec. Notes, 8.63%, 04/15/17(b) | 125,000 | 125,313 | ||||||
Marine–0.12% | ||||||||
Stena A.B. (Sweden), Sr. Unsec. Global Notes, 7.00%, 12/01/16 | 65,000 | 65,081 | ||||||
Metal & Glass Containers–0.11% | ||||||||
Ball Corp., Sr. Unsec. Gtd. Notes, 5.75%, 05/15/21 | 65,000 | 63,375 | ||||||
Movies & Entertainment–1.40% | ||||||||
AMC Entertainment Holdings Inc., Sr. Sub. Notes, 9.75%, 12/01/20(b) | 65,000 | 67,681 | ||||||
AMC Entertainment Inc., Sr. Unsec. Gtd. Global Notes, 8.75%, 06/01/19 | 50,000 | 53,500 | ||||||
Sr. Unsec. Gtd. Sub. Global Notes, | ||||||||
8.00%, 03/01/14 | 275,000 | 279,125 | ||||||
Cinemark USA Inc., Sr. Unsec. Gtd. Global Notes, 8.63%, 06/15/19 | 95,000 | 103,313 | ||||||
NAI Entertainment Holdings LLC, Sr. Sec. Notes, 8.25%, 12/15/17(b) | 270,000 | 284,850 | ||||||
788,469 | ||||||||
Multi-Line Insurance–2.24% | ||||||||
American International Group, Inc., Jr. Sub. Variable Rate Global Deb., | ||||||||
8.18%, 05/15/58(e) | 210,000 | 223,125 | ||||||
Sr. Unsec. Global Notes, 6.40%, 12/15/20 | 40,000 | 41,750 | ||||||
Hartford Financial Services Group Inc. (The), Jr. Unsec. Sub. Variable Rate Deb., | ||||||||
8.13%, 06/15/38(e) | 95,000 | 101,945 | ||||||
Sr. Unsec. Global Notes, 5.95%, 10/15/36 | 90,000 | 84,786 | ||||||
Liberty Mutual Group Inc., Jr. Unsec. Gtd. Sub. Bonds, 7.80%, 03/15/37(b) | 270,000 | 267,975 | ||||||
Sr. Unsec. Bonds, 7.50%, 08/15/36(b) | 95,000 | 93,422 | ||||||
Nationwide Mutual Insurance Co., Sub. Notes, 9.38%, 08/15/39(b) | 385,000 | 450,753 | ||||||
1,263,756 | ||||||||
Multi-Sector Holdings–0.18% | ||||||||
Reynolds Group Issuer Inc./LLC, Sr. Sec. Gtd. Notes, 7.13%, 04/15/19(b) | 100,000 | 103,250 | ||||||
Multi-Utilities–0.01% | ||||||||
CMS Energy Corp., Sr. Unsec. Notes, 6.30%, 02/01/12 | 3,329 | 3,479 | ||||||
Office Services & Supplies–0.46% | ||||||||
IKON Office Solutions, Inc., Sr. Unsec. Notes, 6.75%, 12/01/25 | 230,000 | 221,950 | ||||||
Interface Inc., Sr. Notes, 7.63%, 12/01/18(b) | 35,000 | 36,225 | ||||||
258,175 | ||||||||
Oil & Gas Drilling–0.25% | ||||||||
Precision Drilling Corp. (Canada), Sr. Unsec. Gtd. Notes, 6.63%, 11/15/20(b) | 95,000 | 97,137 | ||||||
Trinidad Drilling Ltd., Sr. Unsec. Notes, 7.88%, 01/15/19(b) | 45,000 | 46,374 | ||||||
143,511 | ||||||||
Oil & Gas Equipment & Services–1.26% | ||||||||
Bristow Group, Inc., Sr. Unsec. Gtd. Global Notes, 7.50%, 09/15/17 | 220,000 | 231,000 | ||||||
Calfrac Holdings L.P., Sr. Unsec. Notes, 7.50%, 12/01/20(b) | 45,000 | 45,309 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Oil & Gas Equipment & Services–(continued) | ||||||||
Compagnie Generale de Geophysique-Veritas (France), Sr. Unsec. Gtd. Global Notes, 7.50%, 05/15/15 | $ | 60,000 | $ | 61,575 | ||||
Complete Production Services, Inc., Sr. Unsec. Gtd. Global Notes, 8.00%, 12/15/16 | 110,000 | 114,400 | ||||||
Key Energy Services Inc., Sr. Unsec. Gtd. Global Notes, 8.38%, 12/01/14 | 245,000 | 259,700 | ||||||
711,984 | ||||||||
Oil & Gas Exploration & Production–6.82% | ||||||||
Berry Petroleum Co., Sr. Unsec. Notes, 6.75%, 11/01/20 | 60,000 | 60,600 | ||||||
Chaparral Energy Inc., Sr. Unsec. Gtd. Global Notes, 8.50%, 12/01/15 | 105,000 | 107,363 | ||||||
8.88%, 02/01/17 | 155,000 | 158,488 | ||||||
Chesapeake Energy Corp., Sr. Unsec. Gtd. Global Notes, 6.88%, 11/15/20 | 230,000 | 233,162 | ||||||
Cimarex Energy Co., Sr. Unsec. Gtd. Notes, 7.13%, 05/01/17 | 160,000 | 166,600 | ||||||
Concho Resources Inc., Sr. Notes, 7.00%, 01/15/21 | 40,000 | 41,200 | ||||||
Continental Resources Inc., Sr. Unsec. Gtd. Global Notes, | ||||||||
8.25%, 10/01/19 | 80,000 | 87,800 | ||||||
7.38%, 10/01/20 | 165,000 | 174,487 | ||||||
Sr. Unsec. Gtd. Notes, 7.13%, 04/01/21(b) | 55,000 | 58,025 | ||||||
Delta Petroleum Corp., Sr. Unsec. Gtd. Global Notes, 7.00%, 04/01/15 | 400,000 | 266,000 | ||||||
Encore Acquisition Co., Sr. Gtd. Sub. Notes, 9.50%, 05/01/16 | 185,000 | 206,044 | ||||||
EXCO Resources Inc., Sr. Unsec. Gtd. Notes, 7.50%, 09/15/18 | 205,000 | 200,900 | ||||||
Forest Oil Corp., Sr. Unsec. Gtd. Global Notes, 7.25%, 06/15/19 | 225,000 | 228,937 | ||||||
Harvest Operations Corp. (Canada), Sr. Unsec. Gtd. Notes, 6.88%, 10/01/17(b) | 130,000 | 134,225 | ||||||
McMoRan Exploration Co., Sr. Unsec. Gtd. Notes, 11.88%, 11/15/14 | 315,000 | 349,256 | ||||||
Newfield Exploration Co., Sr. Unsec. Sub. Global Notes, 7.13%, 05/15/18 | 220,000 | 232,650 | ||||||
Petrohawk Energy Corp., Sr. Unsec. Gtd. Global Notes, 7.88%, 06/01/15 | 325,000 | 339,219 | ||||||
7.25%, 08/15/18 | 75,000 | 76,031 | ||||||
Pioneer Natural Resources Co., Sr. Unsec. Notes, 6.65%, 03/15/17 | 95,000 | 101,445 | ||||||
Plains Exploration & Production Co., Sr. Unsec. Gtd. Notes, 7.75%, 06/15/15 | 90,000 | 94,275 | ||||||
7.63%, 06/01/18 | 160,000 | 169,200 | ||||||
8.63%, 10/15/19 | 100,000 | 109,750 | ||||||
Range Resources Corp., Sr. Unsec. Gtd. Sub. Notes, 7.50%, 05/15/16 | 45,000 | 46,800 | ||||||
7.50%, 10/01/17 | 105,000 | 111,038 | ||||||
Whiting Petroleum Corp., Sr. Unsec. Gtd. Sub. Notes, 6.50%, 10/01/18 | 85,000 | 86,275 | ||||||
3,839,770 | ||||||||
Oil & Gas Refining & Marketing–1.08% | ||||||||
Tesoro Corp., Sr. Unsec. Gtd. Global Bonds, 6.50%, 06/01/17 | 120,000 | 120,750 | ||||||
Sr. Unsec. Gtd. Global Notes, 6.63%, 11/01/15 | 110,000 | 112,062 | ||||||
United Refining Co., Series 2, Sr. Unsec. Gtd. Global Notes, 10.50%, 08/15/12 | 380,000 | 373,825 | ||||||
606,637 | ||||||||
Oil & Gas Storage & Transportation–2.52% | ||||||||
Copano Energy LLC/Copano Energy Finance Corp., Sr. Unsec. Gtd. Global Notes, 8.13%, 03/01/16 | 290,000 | 301,600 | ||||||
Genesis Energy L.P./Genesis Energy Finance Corp., Sr. Unsec. Gtd. Notes, 7.88%, 12/15/18(b) | 65,000 | 64,675 | ||||||
Inergy L.P./Inergy Finance Corp., Sr. Unsec. Gtd. Global Notes, 8.75%, 03/01/15 | 135,000 | 144,281 | ||||||
8.25%, 03/01/16 | 180,000 | 188,550 | ||||||
MarkWest Energy Partners L.P./MarkWest Energy Finance Corp., Sr. Unsec. Gtd. Notes, 6.75%, 11/01/20 | 60,000 | 59,925 | ||||||
Series B, Sr. Unsec. Gtd. Global Notes, | ||||||||
8.75%, 04/15/18 | 215,000 | 233,544 | ||||||
Overseas Shipholding Group, Inc., Sr. Unsec. Notes, 8.13%, 03/30/18 | 180,000 | 181,350 | ||||||
Regency Energy Partners L.P./Regency Energy Finance Corp., Sr. Unsec. Gtd. Notes, 6.88%, 12/01/18 | 130,000 | 132,275 | ||||||
Teekay Corp. (Canada), Sr. Unsec. Global Notes, 8.50%, 01/15/20 | 105,000 | 114,844 | ||||||
1,421,044 | ||||||||
Other Diversified Financial Services–1.18% | ||||||||
International Lease Finance Corp., Sr. Sec. Notes, | ||||||||
6.75%, 09/01/16(b) | 135,000 | 142,678 | ||||||
7.13%, 09/01/18(b) | 135,000 | 144,112 | ||||||
Sr. Unsec. Notes, | ||||||||
8.63%, 09/15/15(b) | 105,000 | 113,138 | ||||||
8.75%, 03/15/17(b) | 120,000 | 129,300 | ||||||
8.25%, 12/15/20 | 70,000 | 72,625 | ||||||
Series R, Sr. Unsec. Medium-Term Notes, | ||||||||
5.65%, 06/01/14 | 60,000 | 59,850 | ||||||
661,703 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Packaged Foods & Meats–0.39% | ||||||||
Chiquita Brands International, Inc., Sr. Unsec. Global Notes, 8.88%, 12/01/15 | $ | 105,000 | $ | 107,494 | ||||
Del Monte Corp., Sr. Unsec. Gtd. Sub. Global Notes, 7.50%, 10/15/19 | 30,000 | 35,175 | ||||||
Dole Food Co. Inc., Sr. Sec. Notes, 8.00%, 10/01/16(b) | 60,000 | 63,600 | ||||||
Smithfield Foods Inc., Series B, Sr. Unsec. Global Notes, 7.75%, 05/15/13 | 10,000 | 10,675 | ||||||
216,944 | ||||||||
Paper Packaging–0.16% | ||||||||
Cascades Inc., Sr. Unsec. Gtd. Global Notes, 7.88%, 01/15/20 | 85,000 | 87,550 | ||||||
Paper Products–1.50% | ||||||||
Clearwater Paper Corp., Sr. Gtd. Notes, 7.13%, 11/01/18(b) | 60,000 | 62,250 | ||||||
Exopack Holding Corp., Sr. Unsec. Gtd. Global Notes, 11.25%, 02/01/14 | 210,000 | 217,875 | ||||||
Mercer International Inc., Sr. Unsec. Notes, 9.50%, 12/01/17(b) | 85,000 | 87,975 | ||||||
Neenah Paper, Inc., Sr. Unsec. Gtd. Global Notes, 7.38%, 11/15/14 | 179,000 | 182,580 | ||||||
P.H. Glatfelter Co., Sr. Unsec. Gtd. Global Notes, 7.13%, 05/01/16 | 10,000 | 10,353 | ||||||
7.13%, 05/01/16 | 90,000 | 93,182 | ||||||
PE Paper Escrow GmbH (Austria), Sr. Sec. Gtd. Notes, 12.00%, 08/01/14(b) | 100,000 | 117,500 | ||||||
Sappi Papier Holding AG (Austria), Unsec. Gtd. Unsub. Notes, 6.75%, 06/15/12(b) | 75,000 | 75,082 | ||||||
846,797 | ||||||||
Personal Products–0.16% | ||||||||
NBTY Inc., Sr. Gtd. Notes, 9.00%, 10/01/18(b) | 55,000 | 58,712 | ||||||
Sabra Health Care L.P./Sabra Capital Corp., Sr. Gtd. Notes, 8.13%, 11/01/18(b) | 30,000 | 31,088 | ||||||
89,800 | ||||||||
Pharmaceuticals–0.46% | ||||||||
Elan Finance PLC/Corp. (Ireland), Sr. Unsec. Gtd. Global Notes, 8.75%, 10/15/16 | 105,000 | 106,837 | ||||||
Endo Pharmaceuticals Holdings Inc., Sr. Unsec. Gtd. Notes, 7.00%, 12/15/20(b) | 30,000 | 30,750 | ||||||
Mylan Inc., Sr. Unsec. Gtd. Notes, 6.00%, 11/15/18(b) | 85,000 | 83,938 | ||||||
Valeant Pharmaceuticals International, Sr. Unsec. Gtd. Notes, 6.75%, 10/01/17(b) | 20,000 | 19,950 | ||||||
7.00%, 10/01/20(b) | 20,000 | 19,800 | ||||||
261,275 | ||||||||
Property & Casualty Insurance–0.61% | ||||||||
Crum & Forster Holdings Corp., Sr. Unsec. Global Notes, 7.75%, 05/01/17 | 210,000 | 220,500 | ||||||
XL Group PLC (Ireland), Series E, Jr. Sub. Variable Rate Global Pfd. Bonds, 6.50%(e)(f) | 140,000 | 121,100 | ||||||
341,600 | ||||||||
Publishing–0.84% | ||||||||
Gannett Co. Inc., Sr. Unsec. Gtd. Global Notes, 8.75%, 11/15/14 | 90,000 | 101,025 | ||||||
9.38%, 11/15/17 | 310,000 | 345,650 | ||||||
MediMedia USA Inc., Sr. Sub. Notes, 11.38%, 11/15/14(b) | 30,000 | 26,025 | ||||||
472,700 | ||||||||
Railroads–0.44% | ||||||||
Kansas City Southern de Mexico S.A. de C.V. (Mexico), Sr. Unsec. Global Notes, 8.00%, 02/01/18 | 230,000 | 248,168 | ||||||
Real Estate Services–0.24% | ||||||||
CB Richard Ellis Services Inc., Sr. Unsec. Gtd. Notes, 6.63%, 10/15/20(b) | 135,000 | 135,506 | ||||||
Regional Banks–1.31% | ||||||||
Regions Financial Corp., Unsec. Sub. Notes, 7.38%, 12/10/37 | 245,000 | 230,300 | ||||||
Susquehanna Capital II, Jr. Ltd. Gtd. Sub. Notes, 11.00%, 03/23/40 | 175,000 | 191,318 | ||||||
Zions Bancorp., Sr. Unsec. Notes, 7.75%, 09/23/14 | 200,000 | 208,300 | ||||||
Unsec. Sub. Notes, 5.50%, 11/16/15 | 110,000 | 107,250 | ||||||
737,168 | ||||||||
Research & Consulting Services–0.14% | ||||||||
FTI Consulting Inc., Sr. Gtd. Notes, 6.75%, 10/01/20(b) | 80,000 | 79,800 | ||||||
Restaurants–0.05% | ||||||||
Dunkin Finance Corp., Sr. Notes, 9.63%, 12/01/18(b) | 25,000 | 25,500 | ||||||
Semiconductor Equipment–0.25% | ||||||||
Amkor Technology Inc., Sr. Unsec. Global Notes, 7.38%, 05/01/18 | 135,000 | 140,738 | ||||||
Semiconductors–1.50% | ||||||||
Advanced Micro Devices Inc., Sr. Unsec. Notes, 7.75%, 08/01/20(b) | 45,000 | 46,800 | ||||||
Freescale Semiconductor Inc., Sr. Sec. Gtd. Notes, 9.25%, 04/15/18(b) | 55,000 | 60,775 | ||||||
Sr. Unsec. Gtd. Global Notes, 8.88%, 12/15/14 | 230,000 | 241,500 | ||||||
Sr. Unsec. Gtd. Notes, 10.75%, 08/01/20(b) | 250,000 | 274,375 | ||||||
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec. Gtd. Global Notes, 7.88%, 10/15/14 | 209,000 | 218,666 | ||||||
842,116 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Specialized Finance–1.78% | ||||||||
CIT Group Inc., Sr. Sec. Bonds, 7.00%, 05/01/14 | $ | 430,000 | $ | 434,300 | ||||
7.00%, 05/01/17 | 565,000 | 567,825 | ||||||
1,002,125 | ||||||||
Specialized REIT’s–0.41% | ||||||||
Host Hotels & Resorts Inc., Sr. Gtd. Notes, 6.00%, 11/01/20(b) | 130,000 | 128,050 | ||||||
Host Hotels & Resorts L.P., Sr. Unsec. Gtd. Global Notes, 7.13%, 11/01/13 | 3,898 | 3,976 | ||||||
Omega Healthcare Investors Inc., Sr. Unsec. Gtd. Notes, 6.75%, 10/15/22(b) | 100,000 | 99,250 | ||||||
231,276 | ||||||||
Specialty Chemicals–1.21% | ||||||||
Ferro Corp., Sr. Unsec. Notes, 7.88%, 08/15/18 | 165,000 | 174,487 | ||||||
Huntsman International LLC, Sr. Unsec. Gtd. Sub. Global Notes, 7.38%, 01/01/15 | 84,000 | 86,310 | ||||||
Nalco Co., Sr. Notes, 6.63%, 01/15/19(b) | 40,000 | 41,000 | ||||||
NewMarket Corp., Sr. Unsec. Gtd. Global Notes, 7.13%, 12/15/16 | 150,000 | 153,375 | ||||||
PolyOne Corp., Sr. Unsec. Notes, 7.38%, 09/15/20 | 215,000 | 223,600 | ||||||
678,772 | ||||||||
Specialty Stores–0.08% | ||||||||
Michaels Stores Inc., Sr. Notes, 7.75%, 11/01/18(b) | 45,000 | 44,888 | ||||||
Steel–1.19% | ||||||||
AK Steel Corp., Sr. Unsec. Gtd. Notes, 7.63%, 05/15/20 | 175,000 | 176,750 | ||||||
FMG Resources Ltd. (Australia), Sr. Notes, 6.38%, 02/01/16(b) | 110,000 | 110,318 | ||||||
Metals USA, Inc., Sr. Sec. Gtd. Global Notes, 11.13%, 12/01/15 | 195,000 | 205,969 | ||||||
Steel Dynamics Inc., Sr. Unsec. Gtd. Global Notes, 7.75%, 04/15/16 | 50,000 | 53,000 | ||||||
United States Steel Corp., Sr. Unsec. Notes, 7.00%, 02/01/18 | 90,000 | 90,900 | ||||||
7.38%, 04/01/20 | 30,000 | 30,600 | ||||||
667,537 | ||||||||
Systems Software–0.65% | ||||||||
Allen Systems Group Inc., Sr. Sec. Notes, 10.50%, 11/15/16(b) | 355,000 | 363,875 | ||||||
Tires & Rubber–0.60% | ||||||||
Cooper Tire & Rubber Co., Sr. Unsec. Notes, 8.00%, 12/15/19 | 185,000 | 189,625 | ||||||
7.63%, 03/15/27 | 155,000 | 145,700 | ||||||
335,325 | ||||||||
Trading Companies & Distributors–1.98% | ||||||||
Ashtead Capital Inc., Sr. Sec. Gtd. Notes, 9.00%, 08/15/16(b) | 250,000 | 261,875 | ||||||
Avis Budget Car Rental LLC/Avis Budget Finance Inc., Sr. Unsec. Gtd. Notes, 8.25%, 01/15/19(b) | 265,000 | 268,312 | ||||||
H&E Equipment Services Inc., Sr. Unsec. Gtd. Global Notes, 8.38%, 07/15/16 | 305,000 | 312,625 | ||||||
Hertz Corp. (The), Sr. Unsec. Gtd. Notes, | ||||||||
7.50%, 10/15/18(b) | 110,000 | 115,225 | ||||||
7.38%, 01/15/21(b) | 65,000 | 66,625 | ||||||
Sr. Unsec. Gtd. Global Notes, 8.88%, 01/01/14 | 6,569 | 6,717 | ||||||
Sunstate Equipment Co., LLC, Sr. Unsec. Notes, 10.50%, 04/01/13 (Acquired 01/13/10-01/21/10; Cost $79,300)(b) | 90,000 | 83,475 | ||||||
1,114,854 | ||||||||
Wireless Telecommunication Services–5.75% | ||||||||
Clearwire Communications LLC/Clearwire Finance Inc., Sr. Sec. Gtd. Notes, 12.00%, 12/01/15(b) | 385,000 | 417,725 | ||||||
Sr. Unsec. Gtd. Conv. Putable Notes, | ||||||||
8.25%, 12/01/17(b) | 60,000 | 61,200 | ||||||
Cricket Communications, Inc., Sr. Sec. Gtd. Global Notes, 7.75%, 05/15/16 | 110,000 | 114,813 | ||||||
Sr. Unsec. Gtd. Global Notes, 10.00%, 07/15/15 | 70,000 | 75,600 | ||||||
Sr. Unsec. Gtd. Notes, 7.75%, 10/15/20(b) | 180,000 | 172,800 | ||||||
Digicel Group Ltd. (Bermuda), Sr. Unsec. Notes, 8.88%, 01/15/15(b) | 145,000 | 147,356 | ||||||
Digicel Ltd. (Bermuda), Sr. Notes, 8.25%, 09/01/17(b) | 155,000 | 161,587 | ||||||
Sr. Unsec. Notes, 12.00%, 04/01/14(b) | 110,000 | 128,700 | ||||||
MetroPCS Wireless Inc., Sr. Unsec. Gtd. Notes, 7.88%, 09/01/18 | 125,000 | 129,453 | ||||||
6.63%, 11/15/20 | 90,000 | 85,950 | ||||||
SBA Telecommunications Inc., Sr. Unsec. Gtd. Global Notes, 8.25%, 08/15/19 | 155,000 | 169,725 | ||||||
Sprint Capital Corp., Sr. Unsec. Gtd. Global Notes, 6.90%, 05/01/19 | 150,000 | 149,813 | ||||||
6.88%, 11/15/28 | 230,000 | 201,537 | ||||||
Sprint Nextel Corp., Sr. Unsec. Notes, 8.38%, 08/15/17 | 560,000 | 597,800 | ||||||
Wind Acquisition Finance S.A. (Luxembourg), Sr. Sec. Gtd. Notes, 7.25%, 02/15/18(b) | 200,000 | 204,000 | ||||||
Sr. Sec. Gtd. Sub. Notes, 11.75%, 07/15/17(b) | 375,000 | 421,875 | ||||||
3,239,934 | ||||||||
Total U.S. Dollar Denominated Bonds & Notes (Cost $43,994,186) | 46,958,746 | |||||||
Principal | ||||||||
Amount | Value | |||||||
Non-U.S. Dollar Denominated Bonds & Notes–8.31%(g) | ||||||||
Canada–0.18% | ||||||||
Gateway Casinos & Entertainment Ltd., Sr. Sec. Gtd. Notes, 8.88%, 11/15/17(b) | CAD | 95,000 | $ | 98,472 | ||||
Croatia–0.33% | ||||||||
Agrokor, Sr. Unsec. Gtd. Medium-Term Euro Notes, 10.00%, 12/07/16 | EUR | 130,000 | 186,860 | |||||
Czech Republic–0.16% | ||||||||
CET 21 spol sro, Sr. Sec. Notes, 9.00%, 11/01/17(b) | EUR | 65,000 | 89,953 | |||||
Germany–0.26% | ||||||||
Hapag-Lloyd AG, Sr. Gtd. Notes, 9.00%, 10/15/15(b) | EUR | 100,000 | 143,404 | |||||
Ireland–0.85% | ||||||||
Ardagh Packaging Finance PLC, Sr. Gtd. Notes, 9.25%, 10/15/20(b) | EUR | 200,000 | 275,442 | |||||
Bord Gais Eireann, Sr. Unsec. Medium-Term Euro Notes, 5.75%, 06/16/14 | EUR | 160,000 | 202,798 | |||||
478,240 | ||||||||
Luxembourg–2.46% | ||||||||
Boardriders S.A., Sr. Notes, 8.88%, 12/15/17(b) | EUR | 100,000 | 140,396 | |||||
Calcipar S.A., REGS, Sr. Unsec. Gtd. Floating Rate Euro Notes, 2.09%, 07/01/14(b)(e) | EUR | 185,000 | 228,811 | |||||
Cirsa Funding Luxembourg S.A., Sr. Unsec. Gtd. Notes, 8.75%, 05/15/18(b) | EUR | 50,000 | 68,861 | |||||
Codere Finance Luxembourg S.A., Sr. Sec. Gtd. Notes, 8.25%, 06/15/15(b) | EUR | 100,000 | 133,710 | |||||
ConvaTec Healthcare S.A., | ||||||||
REGS, Sr. Sec. Euro Notes, 7.38%, 12/15/17(b) | EUR | 100,000 | 136,050 | |||||
Sr. Unsec. Euro Notes, 10.88%, 12/15/18(b) | EUR | 100,000 | 134,552 | |||||
Hellas Telecommunications Luxembourg V, REGS, Sr. Sec. Gtd. Floating Rate Euro Bonds, 4.84%, 10/15/12(b)(c)(e) | EUR | 465,902 | 140,165 | |||||
TMD Friction Finance S.A., REGS, Sr. Sec. Gtd. Euro Notes, 10.75%, 05/15/17(b) | EUR | 195,000 | 267,227 | |||||
Wind Acquisition Finance S.A., Sr. Sec. Gtd. Notes, 7.38%, 02/15/18(b) | EUR | 100,000 | 134,713 | |||||
1,384,485 | ||||||||
Netherlands–1.71% | ||||||||
Boats Investments B.V., Sec. PIK Medium-Term Euro Notes, 11.00%, 03/31/17 | EUR | 73,050 | 84,978 | |||||
Carlson Wagonlit B.V., Sr. Gtd. Floating Rate Notes, 6.80%, 05/01/15(b)(e) | EUR | 240,000 | 309,672 | |||||
EN Germany Holdings B.V., REGS, Sr. Sec. Gtd. Euro Notes, 10.75%, 11/15/15(b) | EUR | 100,000 | 137,592 | |||||
Polish Television Holding B.V., REGS, Sr. Sec. Medium-Term Euro Notes, 11.25%, 05/15/17(b) | EUR | 60,000 | 83,383 | |||||
Ziggo Bond Co. B.V., Sr. Sec. Gtd. Notes, 8.00%, 05/15/18(b) | EUR | 250,000 | 345,975 | |||||
961,600 | ||||||||
Spain–0.11% | ||||||||
Inaer Aviation Finance Ltd., Sr. Sec. Bonds, 9.50%, 08/01/17(b) | EUR | 50,000 | 64,181 | |||||
Sweden–0.13% | ||||||||
TVN Finance Corp. II A.B., REGS, Sr. Unsec. Gtd. Euro Notes, 10.75%, 11/15/17(b) | EUR | 50,000 | 73,875 | |||||
United Kingdom–1.88% | ||||||||
Avis Finance Co. PLC, Sr. Unsec. Gtd. Floating Rate Euro Bonds, 3.67%, 07/31/13(e) | EUR | 110,000 | 142,669 | |||||
EC Finance PLC, Sr. Sec. Gtd. Bonds, 9.75%, 08/01/17(b) | EUR | 50,000 | 72,538 | |||||
Infinis PLC, Sr. Notes, 9.13%, 12/15/14(b) | GBP | 80,000 | 132,271 | |||||
ITV PLC, Series 2005-1, Unsec. Gtd. Unsub. Medium-Term | ||||||||
Euro Notes, 5.38%, 10/19/15 | GBP | 50,000 | 76,040 | |||||
Series 2006-1 Tranche 1, Unsec. Gtd. Unsub. | ||||||||
Medium-Term Euro Notes, 7.38%, 01/05/17 | GBP | 50,000 | 79,940 | |||||
Kerling PLC, Sr. Sec. Gtd. Notes, 10.63%, 02/01/17(b) | EUR | 80,000 | 116,060 | |||||
Pipe Holdings PLC, REGS, Sr. Sec. Euro Bonds, 9.50%, 11/01/15(b) | GBP | 100,000 | 159,489 | |||||
R&R Ice Cream Ltd., Sr. Sec. Notes, 8.38%, 11/15/17(b) | EUR | 200,000 | 280,798 | |||||
1,059,805 | ||||||||
United States–0.24% | ||||||||
Hertz Corp. (The), Sr. Unsec. Gtd. Global Notes, 7.88%, 01/01/14 | EUR | 100,000 | 135,716 | |||||
Total Non-U.S. Dollar Denominated Bonds & Notes (Cost $4,748,706) | 4,676,591 | |||||||
Shares | ||||||||
Preferred Stocks–1.10% | ||||||||
Automobile Manufacturers–0.24% | ||||||||
General Motors Co., Series B, $2.38 Conv. Pfd. | 2,560 | 138,522 | ||||||
Diversified Banks–0.57% | ||||||||
Ally Financial, Inc., Series G, 7.00%–Pfd.(b) | 340 | 321,353 | ||||||
Other Diversified Financial Services–0.29% | ||||||||
Citigroup Capital XIII, 7.88% Variable Rate Pfd.(e) | 6,035 | 162,109 | ||||||
Total Preferred Stocks (Cost $470,970) | 621,984 | |||||||
Shares | Value | |||||||
Common Stocks & Other Equity Interests–0.73% | ||||||||
Broadcasting–0.03% | ||||||||
Adelphia Communications Corp.(h) | — | $ | 3,280 | |||||
Adelphia Recovery Trust, Series ACC-1(h) | 318,570 | 3,186 | ||||||
Adelphia Recovery Trust, Series ARAHOVA(h) | 109,170 | 10,917 | ||||||
17,383 | ||||||||
Building Products–0.02% | ||||||||
Nortek, Inc.(i) | 215 | 7,740 | ||||||
Construction Materials–0.28% | ||||||||
U.S. Concrete, Inc.(i) | 20,786 | 159,221 | ||||||
Integrated Telecommunication Services–0.39% | ||||||||
Hawaiian Telcom Holdco Inc.–Wts., expiring 10/28/15(i) | 1,527 | 6,108 | ||||||
Wind Hellas Telecommunications S.A.–Class B (Luxembourg)(i) | 158,069 | 211,354 | ||||||
217,462 | ||||||||
Publishing–0.00% | ||||||||
Reader’s Digest Association Inc. (The), Wts., expiring 02/19/14(i) | 669 | — | ||||||
Semiconductors–0.01% | ||||||||
MagnaChip Semiconductor LLC | 10,979 | 7,114 | ||||||
Total Common Stocks & Other Equity Interests (Cost $1,226,810) | 408,920 | |||||||
Principal | ||||||||
Amount | Value | |||||||
Bundled Security–0.30% | ||||||||
Investment Banking & Brokerage–0.30% | ||||||||
Targeted Return Index Securities Trust, Series HY 2006-1, Sec. Variable Rate Bonds, 7.12%, 05/01/16 (Acquired 08/15/08; Cost $160,650) (Cost $162,949)(b)(e) | $ | 170,000 | $ | 170,092 | ||||
Senior Secured Floating Rate Interest Loans–0.11% | ||||||||
Airlines–0.11% | ||||||||
Evergreen International Aviation, Inc., Sr. Gtd. Floating Rate First Lien Term Loans, 9.00%, 10/31/11 (Cost $63,442)(e) | 63,442 | 63,026 | ||||||
Shares | ||||||||
Money Market Funds–3.26% | ||||||||
Liquid Assets Portfolio–Institutional Class(j) | 917,684 | 917,684 | ||||||
Premier Portfolio–Institutional Class(j) | 917,684 | 917,684 | ||||||
Total Money Market Funds (Cost $1,835,368) | 1,835,368 | |||||||
TOTAL INVESTMENTS–97.22% (Cost $52,502,431) | 54,734,727 | |||||||
OTHER ASSETS LESS LIABILITIES–2.78% | 1,564,815 | |||||||
NET ASSETS–100.00% | $ | 56,299,542 | ||||||
CAD | – Canadian Dollar | |
Conv. | – Convertible | |
Ctfs. | – Certificates | |
Cum | – Cumulative | |
Deb. | – Debentures | |
Disc. | – Discounted | |
EUR | – Euro | |
GBP | – British Pound | |
Gtd. | – Guaranteed | |
Jr. | – Junior | |
Ltd. | – Limited | |
Pfd. | – Preferred | |
PIK | – Payment in Kind | |
REGS | – Regulation S | |
REIT | – Real Estate Investment Trust | |
Sec. | – Secured | |
Sr. | – Senior | |
Sub. | – Subordinated | |
Unsec. | – Unsecured | |
Unsub. | – Unsubordinated | |
Wts. | – Warrants |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at December 31, 2010 was $18,579,746, which represented 33.00% of the Fund’s Net Assets. | |
(c) | Defaulted security. Currently, the issuer is partially or fully in default with respect to interest payments. The aggregate value of these securities at December 31, 2010 was $548,627, which represented 0.97% of the Fund’s Net Assets. | |
(d) | Step coupon bond issued at discount. The interest rate represents the coupon rate at which the bond will accrue at a specified future date. | |
(e) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on December 31, 2010. | |
(f) | Perpetual bond with no specified maturity date. | |
(g) | Foreign denominated security. Principal amount is denominated in currency indicated. | |
(h) | Non-income producing security acquired as part of the Adelphia Communications bankruptcy reorganization. | |
(i) | Non-income producing security. | |
(j) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $50,667,063) | $ | 52,899,359 | ||
Investments in affiliated money market funds, at value and cost | 1,835,368 | |||
Total investments, at value (Cost $52,502,431) | 54,734,727 | |||
Receivable for: | ||||
Investments sold | 264,033 | |||
Fund shares sold | 429,176 | |||
Dividends and interest | 1,003,937 | |||
Foreign currency contracts outstanding | 169,639 | |||
Investment for trustee deferred compensation and retirement plans | 32,485 | |||
Total assets | 56,633,997 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 173,006 | |||
Fund shares reacquired | 1,438 | |||
Amount due custodian | 5,069 | |||
Accrued fees to affiliates | 76,583 | |||
Accrued other operating expenses | 39,717 | |||
Trustee deferred compensation and retirement plans | 38,642 | |||
Total liabilities | 334,455 | |||
Net assets applicable to shares outstanding | $ | 56,299,542 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 55,240,044 | ||
Undistributed net investment income | 4,198,259 | |||
Undistributed net realized gain (loss) | (5,540,518 | ) | ||
Unrealized appreciation | 2,401,757 | |||
$ | 56,299,542 | |||
Net Assets: | ||||
Series I | $ | 55,802,550 | ||
Series II | $ | 496,992 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 10,429,292 | |||
Series II | 92,918 | |||
Series I: | ||||
Net asset value per share | $ | 5.35 | ||
Series II: | ||||
Net asset value per share | $ | 5.35 | ||
Investment income: | ||||
Interest (net of foreign withholding taxes of $278) | $ | 4,940,047 | ||
Dividends | 33,962 | |||
Dividends from affiliated money market funds (includes securities lending income of $5,295) | 6,470 | |||
Total investment income | 4,980,479 | |||
Expenses: | ||||
Advisory fees | 346,698 | |||
Administrative services fees | 182,873 | |||
Custodian fees | 21,541 | |||
Distribution fees–Series II | 1,100 | |||
Transfer agent fees | 14,025 | |||
Trustees’ and officers’ fees and benefits | 17,584 | |||
Professional services fees | 42,660 | |||
Other | 22,481 | |||
Total expenses | 648,962 | |||
Less: Fees waived | (124,628 | ) | ||
Net expenses | 524,334 | |||
Net investment income | 4,456,145 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain (loss) from: | ||||
Investment securities | 3,413,005 | |||
Foreign currencies | (21,708 | ) | ||
Foreign currency contracts | 145,357 | |||
3,536,654 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | (1,076,953 | ) | ||
Foreign currencies | 1,400 | |||
Foreign currency contracts | 97,585 | |||
(977,968 | ) | |||
Net realized and unrealized gain | 2,558,686 | |||
Net increase in net assets resulting from operations | $ | 7,014,831 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 4,456,145 | $ | 5,270,463 | ||||
Net realized gain (loss) | 3,536,654 | (16,824 | ) | |||||
Change in net unrealized appreciation (depreciation) | (977,968 | ) | 17,080,223 | |||||
Net increase in net assets resulting from operations | 7,014,831 | 22,333,862 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (5,284,452 | ) | (4,425,953 | ) | ||||
Series II | (38,411 | ) | (35,151 | ) | ||||
Total distributions from net investment income | (5,322,863 | ) | (4,461,104 | ) | ||||
Share transactions–net: | ||||||||
Series I | (6,523,411 | ) | 3,004,710 | |||||
Series II | 17,659 | (55,854 | ) | |||||
Net increase (decrease) in net assets resulting from share transactions | (6,505,752 | ) | 2,948,856 | |||||
Net increase (decrease) in net assets | (4,813,784 | ) | 20,821,614 | |||||
Net assets: | ||||||||
Beginning of year | 61,113,326 | 40,291,712 | ||||||
End of year (includes undistributed net investment income of $4,198,259 and $5,286,704, respectively) | $ | 56,299,542 | $ | 61,113,326 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Senior secured floating rate loans and senior secured floating rate debt securities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, tranche type, industry, company performance, spread, individual trading characteristics, institution-size trading in similar groups of securities and other market data. | ||
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean |
between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. |
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Lower-Rated Securities — The Fund normally invests at least 80% of its net assets in lower-quality debt securities, i.e., “junk bonds”. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. | |
J. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
K. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
L. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $200 million | 0 | .625% | ||
Next $300 million | 0 | .55% | ||
Next $500 million | 0 | .50% | ||
Over $1 billion | 0 | .45% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 2,161,062 | $ | 483,462 | $ | 221,748 | $ | 2,866,272 | ||||||||
Corporate Debt Securities | — | 51,868,455 | — | 51,868,455 | ||||||||||||
$ | 2,161,062 | $ | 52,351,917 | $ | 221,748 | $ | 54,734,727 | |||||||||
Foreign Currency Contracts* | — | 169,639 | — | 169,639 | ||||||||||||
Total Investments | $ | 2,161,062 | $ | 52,521,556 | $ | 221,748 | $ | 54,904,366 | ||||||||
* | Unrealized appreciation. |
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Currency risk | ||||||||
Foreign Currency Contracts(a) | $ | 169,639 | $ | — | ||||
(a) | Values are disclosed on the Statement of Assets and Liabilities under the Foreign currency contracts outstanding. |
Location of Gain on | ||||
Statement of Operations | ||||
Foreign Currency Contracts* | ||||
Realized Gain | ||||
Currency risk | $ | 145,357 | ||
Change in Unrealized Appreciation | ||||
Currency risk | 97,585 | |||
Total | $ | 242,942 | ||
* | The average value of foreign currency contracts outstanding during the period was $2,119,481. |
Open Foreign Currency Contracts | ||||||||||||||||||||||
Settlement | Contract to | Unrealized | ||||||||||||||||||||
Date | Counterparty | Deliver | Receive | Value | Appreciation | |||||||||||||||||
02/09/11 | RBC Dain Rauscher | EUR | 2,510,000 | USD | 3,521,615 | $ | 3,355,756 | $ | 165,859 | |||||||||||||
02/09/11 | RBC Dain Rauscher | EUR | 230,000 | USD | 311,279 | 307,499 | 3,780 | |||||||||||||||
Total open foreign currency contracts | $ | 169,639 | ||||||||||||||||||||
Currency Abbreviations: | ||
EUR | – Euro | |
USD | – U.S. Dollar |
2010 | 2009 | |||||||
Ordinary income | $ | 5,322,863 | $ | 4,461,104 | ||||
2010 | ||||
Undistributed ordinary income | $ | 4,263,103 | ||
Net unrealized appreciation — investments | 1,905,236 | |||
Net unrealized appreciation (depreciation) — other investments | (178 | ) | ||
Temporary book/tax differences | (35,114 | ) | ||
Post-October deferrals | (29,731 | ) | ||
Capital loss carryforward | (5,043,818 | ) | ||
Shares of beneficial interest | 55,240,044 | |||
Total net assets | $ | 56,299,542 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 3,209,400 | ||
December 31, 2017 | 1,834,418 | |||
Total capital loss carryforward | $ | 5,043,818 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 3,881,731 | ||
Aggregate unrealized (depreciation) of investment securities | (1,976,495 | ) | ||
Net unrealized appreciation of investment securities | $ | 1,905,236 | ||
Cost of investments for tax purposes is $52,829,491. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 4,999,888 | $ | 26,982,826 | 9,049,093 | $ | 37,158,640 | ||||||||||
Series II | 16,305 | 86,476 | 49 | 222 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 1,018,199 | 5,284,452 | 862,759 | 4,425,953 | ||||||||||||
Series II | 7,401 | 38,411 | 6,852 | 35,151 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (7,205,545 | ) | (38,790,689 | ) | (9,123,929 | ) | (38,579,883 | ) | ||||||||
Series II | (19,746 | ) | (107,228 | ) | (19,361 | ) | (91,227 | ) | ||||||||
Net increase (decrease) in share activity | (1,183,498 | ) | $ | (6,505,752 | ) | 775,463 | $ | 2,948,856 | ||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 72% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | |||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | of period | Return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 5.22 | $ | 0.43 | $ | 0.26 | $ | 0.69 | $ | (0.56 | ) | $ | 5.35 | 13.57 | % | $ | 55,803 | 0.95 | %(d) | 1.17 | %(d) | 8.04 | %(d) | 102 | % | |||||||||||||||||||||||
Year ended 12/31/09 | 3.69 | 0.47 | 1.47 | 1.94 | (0.41 | ) | 5.22 | 52.79 | 60,649 | 0.95 | 1.22 | 10.29 | 125 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 5.74 | 0.49 | (2.00 | ) | (1.51 | ) | (0.54 | ) | 3.69 | (25.69 | ) | 39,918 | 0.95 | 1.22 | 9.19 | 85 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 6.12 | 0.46 | (0.38 | ) | 0.08 | (0.46 | ) | 5.74 | 1.24 | 51,225 | 0.96 | 1.15 | 7.42 | 113 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 6.03 | 0.45 | 0.19 | 0.64 | (0.55 | ) | 6.12 | 10.74 | 58,336 | 0.96 | 1.18 | 7.22 | 135 | |||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 5.22 | 0.42 | 0.26 | 0.68 | (0.55 | ) | 5.35 | 13.27 | 497 | 1.20 | (d) | 1.42 | (d) | 7.79 | (d) | 102 | ||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 3.68 | 0.46 | 1.48 | 1.94 | (0.40 | ) | 5.22 | 52.77 | 464 | 1.20 | 1.47 | 10.04 | 125 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 5.72 | 0.47 | (1.99 | ) | (1.52 | ) | (0.52 | ) | 3.68 | (26.00 | ) | 374 | 1.20 | 1.47 | 8.94 | 85 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 6.09 | 0.44 | (0.38 | ) | 0.06 | (0.43 | ) | 5.72 | 1.01 | 666 | 1.21 | 1.40 | 7.17 | 113 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 6.00 | 0.43 | 0.19 | 0.62 | (0.53 | ) | 6.09 | 10.41 | 919 | 1.21 | 1.43 | 6.97 | 135 | |||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $55,032 and $440 for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,095.80 | $ | 5.02 | $ | 1,020.42 | $ | 4.84 | 0.95 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,094.90 | 6.34 | 1,019.16 | 6.11 | 1.20 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 0.88% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 12.86 | % | ||
Series II Shares | 12.61 | |||
MSCI EAFE Index▼ (Broad Market Index) | 7.75 | |||
MSCI EAFE Growth Index▼ (Style-Specific Index) | 12.25 | |||
Lipper VUF International Growth Funds Index▼ (Peer Group Index) | 14.25 | |||
▼ | Lipper Inc. |
n | A company’s fundamentals deteriorate, or it posts disappointing earnings. | |
n | A stock’s price seems overvalued. | |
n | A more attractive opportunity becomes available. |
Consumer Discretionary | 17.7 | % | ||
Health Care | 13.7 | |||
Consumer Staples | 13.2 | |||
Energy | 10.5 | |||
Industrials | 10.0 | |||
Financials | 9.5 | |||
Information Technology | 7.9 | |||
Telecommunication Services | 5.7 | |||
Materials | 3.1 | |||
Utilities | 3.0 | |||
Money Market Funds Plus | ||||
Other Assets Less Liabilities | 5.7 |
1. | Nidec Corp. | 2.2 | % | |||||
2. | Nestle S.A. | 2.1 | ||||||
3. | Roche Holding AG | 2.0 | ||||||
4. | Teva Pharmaceutical Industries Ltd. | 2.0 | ||||||
5. | BHP Billiton Ltd. | 2.0 | ||||||
6. | America Movil, | |||||||
S.A. B. de C.V.— Series L-ADR | 1.9 | |||||||
7. | Shire PLC | 1.8 | ||||||
8. | Imperial Tobacco Group PLC | 1.8 | ||||||
9. | Compass Group PLC | 1.8 | ||||||
10. | Novo Nordisk A.S.- Class B | 1.8 |
1. | Pharmaceuticals | 10.1 | % | |||||
2. | Integrated Oil & Gas | 7.0 | ||||||
3. | Diversified Banks | 6.0 | ||||||
4. | Wireless Telecommunication Services | 4.3 | ||||||
5. | Packaged Foods & Meats | 4.0 |
Total Net Assets | $1.2 billion | |||
Total Number of Holdings* | 86 |
*Excluding money market fund holdings.
In broad geographic terms, the Fund meaningfully outperformed in Asia. Exposure to emerging Asian markets, including South Korea and India, was the key driver of relative performance in this region, as emerging markets saw signifi-cant gains during the reporting period. In contrast, relative gains were modestly offset by the negative impact of stock selection in Sweden, France and Italy.
Portfolio manager and CIO of Invesco’s International Growth Investment Management Unit, is lead manager with respect to the Fund’s investments in Europe and Canada of Invesco V.I. International Growth Fund. He joined Invesco in 1994. Mr. Olsson became a commissioned officer at the Royal Swedish Naval Academy in 1988. He also earned a B.B.A. from The University of Texas at Austin.
Portfolio manager, is lead manager with respect to the Fund’s investments in Asia Pacific and Latin America of Invesco V.I. International Growth Fund. He joined Invesco in 1990. Mr. Sides earned a B.S. in economics from Bucknell University. He also earned an M.B.A. in international business from the University of St. Thomas.
Chartered Financial Analyst, portfolio manager, is manager of Invesco International V.I. Growth Fund. He joined Invesco in 1997. Mr. Cao earned a B.A. in English from the Tianjin Foreign Language Institute. He earned an M.B.A. from Texas A&M University. He is also a Certified Public Accountant.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. International Growth Fund. He joined Invesco in 2000. Mr. Dennis earned a B.A. in economics from The University of Texas at Austin. He also earned an M.S. in finance from Texas A&M University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. International Growth Fund. He joined Invesco in 1996. Mr. Holzer earned a B.A. in quantitative economics and an M.S. in engineering economic systems from Stanford University.
Series I Shares | ||||||||
Inception (5/5/93) | 7.82 | % | ||||||
10 | Years | 5.00 | ||||||
5 | Years | 6.01 | ||||||
1 | Year | 12.86 | ||||||
Series II Shares | ||||||||
10 | Years | 4.73 | % | |||||
5 | Years | 5.74 | ||||||
1 | Year | 12.61 |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–94.11% | ||||||||
Australia–7.11% | ||||||||
BHP Billiton Ltd. | 500,148 | $ | 23,228,883 | |||||
Cochlear Ltd. | 182,366 | 14,958,819 | ||||||
CSL Ltd. | 310,217 | 11,485,280 | ||||||
QBE Insurance Group Ltd. | 471,691 | 8,748,682 | ||||||
Woolworths Ltd. | 283,804 | 7,821,821 | ||||||
WorleyParsons Ltd. | 581,263 | 15,883,364 | ||||||
82,126,849 | ||||||||
Belgium–1.62% | ||||||||
Anheuser-Busch InBev N.V. | 327,097 | 18,719,068 | ||||||
Brazil–2.41% | ||||||||
Banco Bradesco S.A.–ADR | 858,232 | 17,413,527 | ||||||
Petroleo Brasileiro S.A.–ADR | 304,649 | 10,409,856 | ||||||
27,823,383 | ||||||||
Canada–5.19% | ||||||||
Canadian National Railway Co. | 81,019 | 5,390,164 | ||||||
Canadian Natural Resources Ltd. | 243,148 | 10,812,809 | ||||||
Cenovus Energy Inc. | 307,650 | 10,266,311 | ||||||
Encana Corp. | 229,860 | 6,704,730 | ||||||
Fairfax Financial Holdings Ltd. | 21,920 | 8,989,332 | ||||||
Suncor Energy, Inc. | 283,673 | 10,888,401 | ||||||
Talisman Energy Inc. | 310,163 | 6,879,380 | ||||||
59,931,127 | ||||||||
China–1.43% | ||||||||
Industrial & Commercial Bank of China Ltd.–Class H | 22,193,000 | 16,507,250 | ||||||
Denmark–1.78% | ||||||||
Novo Nordisk A.S.–Class B | 182,245 | 20,523,057 | ||||||
France–5.01% | ||||||||
AXA S.A. | 356,149 | 5,946,792 | ||||||
BNP Paribas | 194,755 | 12,440,647 | ||||||
Cie Generale des Etablissements Michelin–Class B | 74,859 | 5,387,575 | ||||||
Danone S.A. | 170,156 | 10,697,783 | ||||||
Eutelsat Communications | 189,046 | 6,923,464 | ||||||
Publicis Groupe S.A. | 122,906 | 6,416,723 | ||||||
Total S.A. | 190,825 | 10,139,453 | ||||||
57,952,437 | ||||||||
Germany–6.34% | ||||||||
Adidas AG | 218,142 | 14,260,121 | ||||||
Bayer AG | 151,576 | 11,207,776 | ||||||
Bayerische Motoren Werke AG | 213,047 | 16,764,314 | ||||||
Fresenius Medical Care AG & Co. KGaA | 170,041 | 9,828,852 | ||||||
Puma AG Rudolf Dassler Sport | 32,633 | 10,821,129 | ||||||
SAP AG | 205,187 | 10,452,946 | ||||||
73,335,138 | ||||||||
Hong Kong–1.73% | ||||||||
Hutchison Whampoa Ltd. | 1,235,000 | 12,710,992 | ||||||
Li & Fung Ltd. | 1,264,000 | 7,334,088 | ||||||
20,045,080 | ||||||||
India–1.81% | ||||||||
Bharat Heavy Electricals Ltd. | 110,887 | 5,187,369 | ||||||
Infosys Technologies Ltd. | 226,553 | 15,687,279 | ||||||
20,874,648 | ||||||||
Israel–2.03% | ||||||||
Teva Pharmaceutical Industries Ltd.–ADR | 450,205 | 23,469,187 | ||||||
Japan–9.45% | ||||||||
Canon Inc. | 208,500 | 10,683,420 | ||||||
Denso Corp. | 276,000 | 9,520,522 | ||||||
FANUC Ltd. | 133,300 | 20,463,511 | ||||||
Keyence Corp. | 39,900 | 11,529,717 | ||||||
Komatsu Ltd. | 334,900 | 10,129,870 | ||||||
Nidec Corp. | 245,400 | 24,732,664 | ||||||
Toyota Motor Corp. | 251,800 | 9,910,806 | ||||||
Yamada Denki Co., Ltd. | 179,520 | 12,243,516 | ||||||
109,214,026 | ||||||||
Mexico–3.59% | ||||||||
America Movil, S.A.B. de C.V.–Series L–ADR | 383,352 | 21,981,404 | ||||||
Fomento Economico Mexicano, S.A.B. de C.V.–ADR | 132,372 | 7,402,242 | ||||||
Grupo Televisa, S.A.B. de C.V.–ADR | 465,877 | 12,080,190 | ||||||
41,463,836 | ||||||||
Netherlands–3.79% | ||||||||
Koninklijke (Royal) KPN N.V. | 727,191 | 10,626,476 | ||||||
Koninklijke Ahold N.V. | 861,209 | 11,380,420 | ||||||
TNT N.V. | 416,664 | 11,021,018 | ||||||
Unilever N.V. | 346,969 | 10,809,621 | ||||||
43,837,535 | ||||||||
Philippines–1.05% | ||||||||
Philippine Long Distance Telephone Co. | 209,125 | 12,194,184 | ||||||
Shares | Value | |||||||
Russia–1.54% | ||||||||
Gazprom OAO–ADR | 490,669 | $ | 12,389,392 | |||||
VimpelCom Ltd.–ADR | 358,402 | 5,390,366 | ||||||
17,779,758 | ||||||||
Singapore–2.83% | ||||||||
Keppel Corp. Ltd. | 2,190,000 | 19,324,032 | ||||||
United Overseas Bank Ltd. | 944,000 | 13,392,158 | ||||||
32,716,190 | ||||||||
South Korea–2.39% | ||||||||
Hyundai Mobis | 72,784 | 18,389,918 | ||||||
NHN Corp.(a) | 46,098 | 9,271,313 | ||||||
27,661,231 | ||||||||
Sweden–1.56% | ||||||||
Kinnevik Investment A.B.–Class B | 274,789 | 5,605,017 | ||||||
Telefonaktiebolaget LM Ericsson–Class B | 512,029 | 5,937,225 | ||||||
Volvo A.B.–Class B(a) | 364,483 | 6,504,948 | ||||||
18,047,190 | ||||||||
Switzerland–7.56% | ||||||||
Julius Baer Group Ltd. | 232,305 | 10,895,127 | ||||||
Nestle S.A. | 409,482 | 24,005,932 | ||||||
Novartis AG | 286,688 | 16,889,904 | ||||||
Roche Holding AG | 160,014 | 23,473,517 | ||||||
Syngenta AG | 41,344 | 12,124,287 | ||||||
87,388,767 | ||||||||
Taiwan–2.28% | ||||||||
Hon Hai Precision Industry Co., Ltd. | 2,523,680 | 10,105,329 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd.–ADR | 1,295,677 | 16,247,790 | ||||||
26,353,119 | ||||||||
Turkey–0.84% | ||||||||
Akbank T.A.S. | 1,741,503 | 9,703,145 | ||||||
United Kingdom–20.77% | ||||||||
BG Group PLC | 733,043 | 14,838,653 | ||||||
British American Tobacco PLC | 379,124 | 14,602,344 | ||||||
Centrica PLC | 3,011,153 | 15,586,990 | ||||||
Compass Group PLC | 2,316,764 | 20,995,530 | ||||||
Imperial Tobacco Group PLC | 685,516 | 21,043,191 | ||||||
Informa PLC | 1,587,392 | 10,089,757 | ||||||
International Power PLC | 2,823,086 | 19,269,495 | ||||||
Kingfisher PLC | 2,639,299 | 10,856,585 | ||||||
Next PLC | 332,274 | 10,236,050 | ||||||
Reckitt Benckiser Group PLC | 197,289 | 10,847,531 | ||||||
Reed Elsevier PLC | 1,346,855 | 11,375,964 | ||||||
Royal Dutch Shell PLC–Class B | 357,683 | 11,839,492 | ||||||
Shire PLC | 880,897 | 21,218,202 | ||||||
Smith & Nephew PLC | 478,496 | 5,030,537 | ||||||
Tesco PLC | 2,342,619 | 15,529,573 | ||||||
Vodafone Group PLC | 6,098,329 | 15,885,415 | ||||||
WPP PLC | 874,276 | 10,807,947 | ||||||
240,053,256 | ||||||||
Total Common Stocks & Other Equity Interests (Cost $727,626,605) | 1,087,719,461 | |||||||
Money Market Funds–6.87% | ||||||||
Liquid Assets Portfolio–Institutional Class(b) | 39,693,594 | 39,693,594 | ||||||
Premier Portfolio–Institutional Class(b) | 39,693,594 | 39,693,594 | ||||||
Total Money Market Funds (Cost $79,387,188) | 79,387,188 | |||||||
TOTAL INVESTMENTS–100.98% (Cost $807,013,793) | 1,167,106,649 | |||||||
OTHER ASSETS LESS LIABILITIES–(0.98)% | (11,276,909 | ) | ||||||
NET ASSETS–100.00% | $ | 1,155,829,740 | ||||||
ADR | – American Depositary Receipt |
(a) | Non-income producing security. | |
(b) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $727,626,605) | $ | 1,087,719,461 | ||
Investments in affiliated money market funds, at value and cost | 79,387,188 | |||
Total investments, at value (Cost $807,013,793) | 1,167,106,649 | |||
Cash | 209,372 | |||
Foreign currencies, at value (Cost $164,270) | 274,270 | |||
Receivable for: | ||||
Fund shares sold | 10,351,728 | |||
Dividends | 3,366,683 | |||
Investment for trustee deferred compensation and retirement plans | 55,477 | |||
Other assets | 190 | |||
Total assets | 1,181,364,369 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 22,699,582 | |||
Fund shares reacquired | 802,700 | |||
Accrued fees to affiliates | 1,627,416 | |||
Accrued other operating expenses | 257,138 | |||
Trustee deferred compensation and retirement plans | 147,793 | |||
Total liabilities | 25,534,629 | |||
Net assets applicable to shares outstanding | $ | 1,155,829,740 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 1,077,757,031 | ||
Undistributed net investment income | 15,003,445 | |||
Undistributed net realized gain (loss) | (297,257,793 | ) | ||
Unrealized appreciation | 360,327,057 | |||
$ | 1,155,829,740 | |||
Net Assets: | ||||
Series I | $ | 586,219,407 | ||
Series II | $ | 569,610,333 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 20,431,296 | |||
Series II | 20,091,300 | |||
Series I: | ||||
Net asset value per share | $ | 28.69 | ||
Series II: | ||||
Net asset value per share | $ | 28.35 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $3,333,739) | $ | 35,097,966 | ||
Dividends from affiliated money market funds | 95,935 | |||
Total investment income | 35,193,901 | |||
Expenses: | ||||
Advisory fees | 10,017,355 | |||
Administrative services fees | 3,765,710 | |||
Custodian fees | 698,186 | |||
Distribution fees: | ||||
Distribution fees — Series II | 2,222,116 | |||
Transfer agent fees | 76,397 | |||
Trustees’ and officers’ fees and benefits | 60,249 | |||
Other | 129,268 | |||
Total expenses | 16,969,281 | |||
Less: Fees waived, expenses reimbursed and expense offset arrangement(s) | (147,130 | ) | ||
Net expenses | 16,822,151 | |||
Net investment income | 18,371,750 | |||
Realized and unrealized gain from: | ||||
Net realized gain (loss) from: | ||||
Investment securities (includes net gains from securities sold to affiliates of $(1,349)) | (13,917,143 | ) | ||
Foreign currencies | (3,239,844 | ) | ||
(17,156,987 | ) | |||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities (net of foreign taxes on holdings of $(1,239,463)) | 41,249,334 | |||
Foreign currencies | (71,241 | ) | ||
41,178,093 | ||||
Net realized and unrealized gain | 24,021,106 | |||
Net increase in net assets resulting from operations | $ | 42,392,856 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 18,371,750 | $ | 20,309,315 | ||||
Net realized gain (loss) | (17,156,987 | ) | (147,739,857 | ) | ||||
Change in net unrealized appreciation | 41,178,093 | 630,344,796 | ||||||
Net increase in net assets resulting from operations | 42,392,856 | 502,914,254 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (11,906,519 | ) | (7,359,852 | ) | ||||
Series II | (9,115,881 | ) | (17,849,719 | ) | ||||
Total distributions from net investment income | (21,022,400 | ) | (25,209,571 | ) | ||||
Distributions to shareholders from net realized gains: | ||||||||
Share transactions-net: | ||||||||
Series I | (19,927,647 | ) | (27,076,452 | ) | ||||
Series II | (903,010,172 | ) | 366,967,140 | |||||
Net increase (decrease) in net assets resulting from share transactions | (922,937,819 | ) | 339,890,688 | |||||
Net increase (decrease) in net assets | (901,567,363 | ) | 817,595,371 | |||||
Net assets: | ||||||||
Beginning of year | 2,057,397,103 | 1,239,801,732 | ||||||
End of year (includes undistributed net investment income of $15,003,445 and $20,893,939, respectively) | $ | 1,155,829,740 | $ | 2,057,397,103 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
J. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $250 million | 0 | .75% | ||
Over $250 million | 0 | .70% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1* | Level 2* | Level 3 | Total | |||||||||||||
Australia | $ | 32,453,866 | $ | 49,672,983 | $ | — | $ | 82,126,849 | ||||||||
Belgium | 18,719,068 | — | — | 18,719,068 | ||||||||||||
Brazil | 27,823,383 | — | — | 27,823,383 | ||||||||||||
Canada | 59,931,127 | — | — | 59,931,127 | ||||||||||||
China | — | 16,507,250 | — | 16,507,250 | ||||||||||||
Denmark | — | 20,523,057 | — | 20,523,057 | ||||||||||||
France | 17,621,246 | 40,331,191 | — | 57,952,437 | ||||||||||||
Germany | 73,335,138 | — | — | 73,335,138 | ||||||||||||
Hong Kong | 20,045,080 | — | — | 20,045,080 | ||||||||||||
India | — | — | 23,194,053 | 23,194,053 | ||||||||||||
Israel | 23,469,187 | — | — | 23,469,187 | ||||||||||||
Japan | 52,357,419 | 56,856,607 | — | 109,214,026 | ||||||||||||
Mexico | 41,463,836 | — | — | 41,463,836 | ||||||||||||
Netherlands | 10,809,621 | 33,027,914 | — | 43,837,535 | ||||||||||||
Philippines | 12,194,184 | — | — | 12,194,184 | ||||||||||||
Russia | 17,779,758 | — | — | 17,779,758 | ||||||||||||
Level 1* | Level 2* | Level 3 | Total | |||||||||||||
Singapore | 32,716,190 | — | — | 32,716,190 | ||||||||||||
South Korea | 18,389,918 | 9,271,313 | — | 27,661,231 | ||||||||||||
Sweden | 5,605,017 | 12,442,173 | — | 18,047,190 | ||||||||||||
Switzerland | 87,388,767 | — | — | 87,388,767 | ||||||||||||
Taiwan | 16,247,790 | 10,105,329 | — | 26,353,119 | ||||||||||||
Turkey | — | 9,703,145 | — | 9,703,145 | ||||||||||||
United Kingdom | 119,387,092 | 120,666,164 | — | 240,053,256 | ||||||||||||
United States | 79,387,188 | — | — | 79,387,188 | ||||||||||||
Total Investments | $ | 767,124,875 | $ | 379,107,126 | $ | 23,194,053 | $ | 1,169,426,054 | ||||||||
* | Transfers occurred between Level 1 and Level 2 due to foreign fair value adjustments. |
2010 | 2009 | |||||||
Ordinary income | $ | 21,022,400 | $ | 25,209,571 | ||||
2010 | ||||
Undistributed ordinary income | $ | 15,257,998 | ||
Net unrealized appreciation — investments | 331,759,754 | |||
Net unrealized appreciation — other investments | 234,201 | |||
Temporary book/tax differences | (142,789 | ) | ||
Post-October deferrals | (111,764 | ) | ||
Capital loss carryforward | (268,924,691 | ) | ||
Shares of beneficial interest | 1,077,757,031 | |||
Total net assets | $ | 1,155,829,740 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 87,932,439 | ||
December 31, 2017 | 143,189,697 | |||
December 31, 2018 | 37,802,555 | |||
Total capital loss carryforward | $ | 268,924,691 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 334,653,685 | ||
Aggregate unrealized (depreciation) of investment securities | (2,893,932 | ) | ||
Net unrealized appreciation of investment securities | $ | 331,759,753 | ||
Cost of investments for tax purposes is $835,346,896. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 3,482,926 | $ | 94,266,556 | 3,456,056 | $ | 76,132,583 | ||||||||||
Series II | 6,653,404 | 171,405,013 | 21,080,766 | 443,187,963 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 445,770 | 11,906,519 | 284,164 | 7,359,852 | ||||||||||||
Series II | 345,168 | 9,115,882 | 698,893 | 17,849,719 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (4,909,461 | ) | (126,100,722 | ) | (5,238,473 | ) | (110,568,887 | ) | ||||||||
Series II | (45,442,204 | ) | (1,083,531,067 | ) | (4,496,473 | ) | (94,070,542 | ) | ||||||||
Net increase (decrease) in share activity | (39,424,397 | ) | $ | (922,937,819 | ) | 15,784,933 | $ | 339,890,688 | ||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 54% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | (losses) on | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | securities (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 26.01 | $ | 0.38 | $ | 2.92 | $ | 3.30 | $ | (0.62 | ) | $ | — | $ | (0.62 | ) | $ | 28.69 | 12.86 | % | $ | 586,219 | 1.03 | %(d) | 1.04 | %(d) | 1.46 | %(d) | 38 | % | ||||||||||||||||||||||||||
Year ended 12/31/09 | 19.49 | 0.32 | 6.55 | 6.87 | (0.35 | ) | — | (0.35 | ) | 26.01 | 35.24 | 556,883 | 1.02 | 1.04 | 1.47 | 27 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 33.63 | 0.54 | (14.16 | ) | (13.62 | ) | (0.15 | ) | (0.37 | ) | (0.52 | ) | 19.49 | (40.38 | ) | 446,437 | 1.05 | 1.06 | 1.96 | 44 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 29.44 | 0.34 | 3.98 | 4.32 | (0.13 | ) | — | (0.13 | ) | 33.63 | 14.68 | 792,779 | 1.06 | 1.07 | 1.06 | 20 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 23.17 | 0.23 | 6.32 | 6.55 | (0.28 | ) | — | (0.28 | ) | 29.44 | 28.28 | 563,460 | 1.10 | 1.10 | 0.90 | 34 | ||||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 25.63 | 0.31 | 2.89 | 3.20 | (0.48 | ) | — | (0.48 | ) | 28.35 | 12.61 | 569,610 | 1.28 | (d) | 1.29 | (d) | 1.21 | (d) | 38 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 19.23 | 0.27 | 6.44 | 6.71 | (0.31 | ) | — | (0.31 | ) | 25.63 | 34.91 | 1,500,514 | 1.27 | 1.29 | 1.22 | 27 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 33.24 | 0.45 | (13.96 | ) | (13.51 | ) | (0.13 | ) | (0.37 | ) | (0.50 | ) | 19.23 | (40.55 | ) | 793,365 | 1.30 | 1.31 | 1.71 | 44 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 29.16 | 0.26 | 3.94 | 4.20 | (0.12 | ) | — | (0.12 | ) | 33.24 | 14.41 | 745,206 | 1.31 | 1.32 | 0.81 | 20 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 23.00 | 0.17 | 6.25 | 6.42 | (0.26 | ) | — | (0.26 | ) | 29.16 | 27.92 | 163,657 | 1.35 | 1.35 | 0.65 | 34 | ||||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s omitted) of $524,347 and $888,847 for Series I and Series II, respectively. |
and Shareholders of Invesco V.I. International Growth Fund:
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,232.90 | $ | 5.85 | $ | 1,019.96 | $ | 5.30 | 1.04 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,231.30 | 7.26 | 1,018.70 | 6.56 | 1.29 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 0% | |||
Foreign Taxes | $ | 0.0855 per share | ||
Foreign Source Income | $ | 1.0019 per share |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares* | 17.25 | % | ||
Series II Shares* | 16.87 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
Russell 1000 Growth Index▼ (Style-Specific Index) | 16.71 | |||
Lipper VUF Large-Cap Growth Funds Index▼ (Peer Group) | 14.92 | |||
▼ | Lipper Inc. | |
* | Performance includes litigation proceeds. Had these proceeds not been received, total return would have been lower. |
n | The price target set at purchase has been reached. | |
n | There is deterioration in fundamentals. |
n | The catalysts for growth are no longer present or are reflected in the stock price. | |
n | There is a more attractive investment opportunity. |
Information Technology | 30.9 | % | ||
Consumer Discretionary | 13.9 | |||
Energy | 12.5 | |||
Industrials | 11.5 | |||
Health Care | 9.4 | |||
Materials | 8.8 | |||
Financials | 4.8 | |||
Consumer Staples | 2.8 | |||
Telecommunication Services | 1.4 | |||
Money Market Funds Plus | ||||
Other Assets Less Liabilities | 4.0 |
1. Apple Inc. | 7.6 | % | ||
2. Monsanto Co. | 3.6 | |||
3. Visa Inc., Class A | 3.1 | |||
4. Potash Corp. of Saskatchewan Inc. | 2.7 | |||
5. Google Inc., Class A | 2.7 | |||
6. Oracle Corp. | 2.5 | |||
7. EMC Corp. | 2.3 | |||
8. Rovi Corp. | 2.2 | |||
9. Goodrich Corp. | 2.0 | |||
10. Schlumberger Ltd. | 2.0 |
1. Oil & Gas Equipment & Services | 7.8 | % | ||
2. Computer Hardware | 7.6 | |||
3. Fertilizers & Agricultural Chemicals | 7.1 | |||
4. Systems Software | 5.5 | |||
5. Computer Storage & Peripherals | 3.8 |
Total Net Assets | $68.6 million | |||
Total Number of Holdings* | 72 |
*Excluding money market fund holdings.
1 | U.S. Federal Reserve | |
2 | Bureau of Economic Analysis | |
3 | Bureau of Labor Statistics |
Series I Shares | ||||
Inception (8/29/03) | 5.25 | % | ||
5 Years | 2.64 | |||
1 Year | 17.25 | |||
Series II Shares | ||||
Inception (8/29/03) | 5.01 | % | ||
5 Years | 2.37 | |||
1 Year | 16.87 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least April 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–95.99% | ||||||||
Aerospace & Defense–3.08% | ||||||||
Goodrich Corp. | 15,964 | $ | 1,405,949 | |||||
Honeywell International Inc. | 13,306 | 707,347 | ||||||
2,113,296 | ||||||||
Air Freight & Logistics–1.26% | ||||||||
C.H. Robinson Worldwide, Inc. | 10,761 | 862,925 | ||||||
Apparel Retail–2.39% | ||||||||
Limited Brands, Inc. | 34,093 | 1,047,678 | ||||||
Ross Stores, Inc. | 9,368 | 592,526 | ||||||
1,640,204 | ||||||||
Application Software–2.10% | ||||||||
Citrix Systems, Inc.(b) | 10,999 | 752,442 | ||||||
Salesforce.com, Inc.(b) | 5,241 | 691,812 | ||||||
1,444,254 | ||||||||
Asset Management & Custody Banks–2.63% | ||||||||
Ameriprise Financial, Inc. | 17,626 | 1,014,376 | ||||||
Franklin Resources, Inc. | 7,091 | 788,590 | ||||||
1,802,966 | ||||||||
Automobile Manufacturers–0.89% | ||||||||
Ford Motor Co.(b) | 36,386 | 610,921 | ||||||
Biotechnology–3.33% | ||||||||
Dendreon Corp.(b) | 14,898 | 520,238 | ||||||
Gilead Sciences, Inc.(b) | 34,473 | 1,249,302 | ||||||
United Therapeutics Corp.(b) | 8,202 | 518,530 | ||||||
2,288,070 | ||||||||
Cable & Satellite–2.99% | ||||||||
Comcast Corp.–Class A | 61,969 | 1,361,459 | ||||||
DIRECTV–Class A(b) | 17,259 | 689,152 | ||||||
2,050,611 | ||||||||
Casinos & Gaming–1.06% | ||||||||
Las Vegas Sands Corp.(b) | 15,784 | 725,275 | ||||||
Coal & Consumable Fuels–1.80% | ||||||||
Peabody Energy Corp. | 19,305 | 1,235,134 | ||||||
Communications Equipment–2.52% | ||||||||
Cisco Systems, Inc.(b) | 41,382 | 837,158 | ||||||
QUALCOMM, Inc. | 18,006 | 891,117 | ||||||
1,728,275 | ||||||||
Computer Hardware–7.60% | ||||||||
Apple Inc.(b) | 16,164 | 5,213,860 | ||||||
Shares | ||||||||
Computer Storage & Peripherals–3.88% | ||||||||
EMC Corp.(b) | 70,109 | 1,605,496 | ||||||
SanDisk Corp.(b) | 10,693 | 533,153 | ||||||
Western Digital Corp.(b) | 15,404 | 522,196 | ||||||
2,660,845 | ||||||||
Construction & Engineering–0.20% | ||||||||
Foster Wheeler AG (Switzerland)(b) | 3,924 | 135,456 | ||||||
Construction, Farm Machinery & Heavy Trucks–2.03% | ||||||||
Cummins, Inc. | 4,827 | 531,019 | ||||||
Deere & Co. | 10,385 | 862,474 | ||||||
1,393,493 | ||||||||
Consumer Finance–0.60% | ||||||||
American Express Co. | 9,575 | 410,959 | ||||||
Data Processing & Outsourced Services–3.08% | ||||||||
Visa Inc.–Class A | 30,045 | 2,114,567 | ||||||
Diversified Banks–0.54% | ||||||||
Comerica Inc. | 8,782 | 370,952 | ||||||
Electronic Manufacturing Services–0.27% | ||||||||
Tyco Electronics Ltd. (Switzerland) | 5,254 | 185,992 | ||||||
Fertilizers & Agricultural Chemicals–7.08% | ||||||||
Monsanto Co. | 35,431 | 2,467,415 | ||||||
Mosaic Co. (The) | 7,126 | 544,141 | ||||||
Potash Corp. of Saskatchewan Inc. (Canada) | 11,923 | 1,846,038 | ||||||
4,857,594 | ||||||||
General Merchandise Stores–1.50% | ||||||||
Dollar Tree, Inc.(b) | 9,030 | 506,402 | ||||||
Target Corp. | 8,682 | 522,049 | ||||||
1,028,451 | ||||||||
Gold–1.70% | ||||||||
Barrick Gold Corp. (Canada) | 21,910 | 1,165,174 | ||||||
Health Care Distributors–0.75% | ||||||||
McKesson Corp. | 7,351 | 517,363 | ||||||
Health Care Equipment–1.96% | ||||||||
Baxter International Inc. | 13,114 | 663,831 | ||||||
Covidien PLC (Ireland) | 14,970 | 683,530 | ||||||
1,347,361 | ||||||||
Health Care Services–0.50% | ||||||||
Medco Health Solutions, Inc.(b) | 5,568 | 341,151 | ||||||
Shares | Value | |||||||
Hotels, Resorts & Cruise Lines–0.98% | ||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 11,108 | $ | 675,144 | |||||
Industrial Machinery–1.63% | ||||||||
Ingersoll-Rand PLC (Ireland) | 23,817 | 1,121,543 | ||||||
Internet Retail–2.07% | ||||||||
Amazon.com, Inc.(b) | 5,090 | 916,200 | ||||||
Netflix Inc.(b) | 2,873 | 504,786 | ||||||
1,420,986 | ||||||||
Internet Software & Services–2.69% | ||||||||
Google Inc.–Class A(b) | 3,104 | 1,843,683 | ||||||
IT Consulting & Other Services–1.25% | ||||||||
Cognizant Technology Solutions Corp.–Class A(b) | 11,663 | 854,781 | ||||||
Managed Health Care–0.78% | ||||||||
UnitedHealth Group Inc. | 14,862 | 536,667 | ||||||
Movies & Entertainment–0.75% | ||||||||
Walt Disney Co. (The) | 13,722 | 514,712 | ||||||
Oil & Gas Drilling–1.45% | ||||||||
Transocean Ltd.(b) | 14,291 | 993,367 | ||||||
Oil & Gas Equipment & Services–7.79% | ||||||||
Cameron International Corp.(b) | 14,976 | 759,732 | ||||||
Halliburton Co. | 33,585 | 1,371,276 | ||||||
National Oilwell Varco Inc. | 11,880 | 798,930 | ||||||
Schlumberger Ltd. | 16,721 | 1,396,203 | ||||||
Weatherford International Ltd.(b) | 44,676 | 1,018,613 | ||||||
5,344,754 | ||||||||
Oil & Gas Exploration & Production–1.47% | ||||||||
EOG Resources, Inc. | 11,046 | 1,009,715 | ||||||
Other Diversified Financial Services–1.04% | ||||||||
JPMorgan Chase & Co. | 16,833 | 714,056 | ||||||
Packaged Foods & Meats–1.87% | ||||||||
Mead Johnson Nutrition Co. | 20,599 | 1,282,288 | ||||||
Pharmaceuticals–2.09% | ||||||||
Hospira, Inc.(b) | 17,997 | 1,002,253 | ||||||
Teva Pharmaceutical Industries Ltd.–ADR (Israel) | 8,325 | 433,982 | ||||||
1,436,235 | ||||||||
Railroads–1.74% | ||||||||
Union Pacific Corp. | 12,891 | 1,194,480 | ||||||
Restaurants–0.71% | ||||||||
McDonald’s Corp. | 6,383 | 489,959 | ||||||
Semiconductors–2.08% | ||||||||
Broadcom Corp.–Class A | 16,032 | 698,194 | ||||||
Xilinx, Inc. | 25,224 | 730,991 | ||||||
1,429,185 | ||||||||
Soft Drinks–0.89% | ||||||||
Hansen Natural Corp.(b) | 3,914 | 204,624 | ||||||
PepsiCo, Inc. | 6,236 | 407,398 | ||||||
612,022 | ||||||||
Specialty Stores–0.57% | ||||||||
Tiffany & Co. | 6,283 | 391,242 | ||||||
Systems Software–5.48% | ||||||||
Oracle Corp. | 53,964 | 1,689,073 | ||||||
Red Hat, Inc.(b) | 12,289 | 560,993 | ||||||
Rovi Corp.(b) | 24,396 | 1,512,796 | ||||||
3,762,862 | ||||||||
Trading Companies & Distributors–0.99% | ||||||||
W.W. Grainger, Inc. | 4,929 | 680,744 | ||||||
Trucking–0.57% | ||||||||
J.B. Hunt Transport Services, Inc. | 9,567 | 390,429 | ||||||
Wireless Telecommunication Services–1.36% | ||||||||
American Tower Corp.–Class A(b) | 18,142 | 936,853 | ||||||
Total Common Stocks & Other Equity Interests (Cost $51,269,455) | 65,880,856 | |||||||
Money Market Funds–3.93% | ||||||||
Liquid Assets Portfolio–Institutional Class(c) | 1,348,609 | 1,348,609 | ||||||
Premier Portfolio–Institutional Class(c) | 1,348,609 | 1,348,609 | ||||||
Total Money Market Funds (Cost $2,697,218) | 2,697,218 | |||||||
TOTAL INVESTMENTS–99.92% (Cost $53,966,673) | 68,578,074 | |||||||
OTHER ASSETS LESS LIABILITIES–0.08% | 52,346 | |||||||
NET ASSETS–100.00% | $ | 68,630,420 | ||||||
ADR | – American Depositary Receipt |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $51,269,455) | $ | 65,880,856 | ||
Investments in affiliated money market funds, at value and cost | 2,697,218 | |||
Total investments, at value (Cost $53,966,673) | 68,578,074 | |||
Receivable for: | ||||
Investments sold | 330,724 | |||
Dividends | 51,343 | |||
Investment for trustee deferred compensation and retirement plans | 29,579 | |||
Total assets | 68,989,720 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 23,303 | |||
Fund shares reacquired | 155,956 | |||
Amount due custodian | 17,373 | |||
Accrued fees to affiliates | 91,970 | |||
Accrued other operating expenses | 29,452 | |||
Trustee deferred compensation and retirement plans | 41,246 | |||
Total liabilities | 359,300 | |||
Net assets applicable to shares outstanding | $ | 68,630,420 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 61,051,135 | ||
Undistributed net investment income | 145,907 | |||
Undistributed net realized gain (loss) | (7,179,966 | ) | ||
Unrealized appreciation | 14,613,344 | |||
$ | 68,630,420 | |||
Net Assets: | ||||
Series I | $ | 68,032,372 | ||
Series II | $ | 598,048 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 4,748,464 | |||
Series II | 42,045 | |||
Series I: | ||||
Net asset value per share | $ | 14.33 | ||
Series II: | ||||
Net asset value per share | $ | 14.22 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $6,120) | $ | 791,989 | ||
Dividends from affiliated money market funds (includes securities lending income of $1,963) | 6,223 | |||
Total investment income | 798,212 | |||
Expenses: | ||||
Advisory fees | 449,012 | |||
Administrative services fees | 204,146 | |||
Custodian fees | 12,257 | |||
Distribution fees — Series II | 1,484 | |||
Transfer agent fees | 9,413 | |||
Trustees’ and officers’ fees and benefits | 17,625 | |||
Other | 42,013 | |||
Total expenses | 735,950 | |||
Less: Fees waived and expense offset arrangement(s) | (85,969 | ) | ||
Net expenses | 649,981 | |||
Net investment income | 148,231 | |||
Realized and unrealized gain from: | ||||
Net realized gain from: | ||||
Investment securities (includes net gains from securities sold to affiliates of $417,974) | 7,619,615 | |||
Foreign currencies | 36,209 | |||
7,655,824 | ||||
Change in net unrealized appreciation of: | ||||
Investment securities | 2,362,438 | |||
Foreign currencies | 1,369 | |||
2,363,807 | ||||
Net realized and unrealized gain | 10,019,631 | |||
Net increase in net assets resulting from operations | $ | 10,167,862 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 148,231 | $ | 282,650 | ||||
Net realized gain (loss) | 7,655,824 | (3,064,495 | ) | |||||
Change in net unrealized appreciation | 2,363,807 | 17,627,936 | ||||||
Net increase in net assets resulting from operations | 10,167,862 | 14,846,091 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (294,279 | ) | (225,916 | ) | ||||
Series II | (1,038 | ) | (60 | ) | ||||
Total distributions from net investment income | (295,317 | ) | (225,976 | ) | ||||
Share transactions–net: | ||||||||
Series I | (9,585,554 | ) | (9,298,793 | ) | ||||
Series II | (188,163 | ) | (166,783 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (9,773,717 | ) | (9,465,576 | ) | ||||
Net increase in net assets | 98,828 | 5,154,539 | ||||||
Net assets: | ||||||||
Beginning of year | 68,531,592 | 63,377,053 | ||||||
End of year (includes undistributed net investment income of $145,907 and $256,783, respectively) | $ | 68,630,420 | $ | 68,531,592 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as |
institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the |
financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | ||
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
K. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $250 million | 0 | .695% | ||
Next $250 million | 0 | .67% | ||
Next $500 million | 0 | .645% | ||
Next $1.5 billion | 0 | .62% | ||
Next $2.5 billion | 0 | .595% | ||
Next $2.5 billion | 0 | .57% | ||
Next $2.5 billion | 0 | .545% | ||
Over $10 billion | 0 | .52% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 68,578,074 | $ | — | $ | — | $ | 68,578,074 | ||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 295,317 | $ | 225,976 | ||||
2010 | ||||
Undistributed ordinary income | $ | 184,485 | ||
Net unrealized appreciation — investments | 13,764,139 | |||
Net unrealized appreciation — other investments | 1,943 | |||
Temporary book/tax differences | (38,578 | ) | ||
Capital loss carryforward | (6,332,704 | ) | ||
Shares of beneficial interest | 61,051,135 | |||
Total net assets | $ | 68,630,420 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 898,943 | ||
December 31, 2017 | 5,433,761 | |||
Total capital loss carryforward | $ | 6,332,704 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 14,088,503 | ||
Aggregate unrealized (depreciation) of investment securities | (324,364 | ) | ||
Net unrealized appreciation of investment securities | $ | 13,764,139 | ||
Cost of investments for tax purposes is $54,813,935. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 347,494 | $ | 4,540,690 | 1,174,128 | $ | 11,561,836 | ||||||||||
Series II | 264 | 3,320 | 143 | 1,375 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 23,190 | 294,279 | 19,033 | 225,916 | ||||||||||||
Series II | 82 | 1,038 | 5 | 60 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (1,143,878 | ) | (14,420,523 | ) | (2,077,325 | ) | (21,086,545 | ) | ||||||||
Series II | (15,758 | ) | (192,521 | ) | (16,099 | ) | (168,218 | ) | ||||||||
Net increase (decrease) in share activity | (788,606 | ) | $ | (9,773,717 | ) | (900,115 | ) | $ | (9,465,576 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 89% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | Net | (losses) on | Dividends | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | investment | securities (both | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | income (loss) | |||||||||||||||||||||||||||||||||||||||||||||||
beginning | income | realized and | investment | investment | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
of period | (loss) | unrealized) | operations | income | of period | return(a) | (000s omitted) | absorbed | absorbed | net assets | turnover(b) | |||||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 12.28 | $ | 0.03 | (c) | $ | 2.08 | $ | 2.11 | $ | (0.06 | ) | $ | 14.33 | 17.25 | % | $ | 68,032 | 1.01 | %(d) | 1.14 | %(d) | 0.23 | %(d) | 151 | % | ||||||||||||||||||||||||||||||
Year ended 12/31/09 | 9.78 | 0.04 | (c) | 2.50 | (e) | 2.54 | (0.04 | ) | 12.28 | 25.99 | (e) | 67,831 | 1.01 | 1.15 | 0.44 | 57 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 15.85 | 0.03 | (c) | (6.10 | ) | (6.07 | ) | (0.00 | ) | 9.78 | (38.29 | ) | 62,665 | 1.01 | 1.10 | 0.23 | 41 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.71 | 0.02 | 2.13 | 2.15 | (0.01 | ) | 15.85 | 15.64 | 129,071 | 1.01 | 1.08 | 0.11 | 58 | |||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 12.71 | 0.02 | 1.00 | 1.02 | (0.02 | ) | 13.71 | 8.05 | 120,825 | 1.02 | 1.23 | 0.06 | 76 | |||||||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 12.19 | (0.00 | )(c) | 2.05 | 2.05 | (0.02 | ) | 14.22 | 16.87 | 598 | 1.26 | (d) | 1.39 | (d) | (0.02 | )(d) | 151 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 9.70 | 0.02 | (c) | 2.47 | (e) | 2.49 | (0.00 | ) | 12.19 | 25.68 | (e) | 700 | 1.26 | 1.40 | 0.19 | 57 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 15.75 | 0.00 | (c) | (6.05 | ) | (6.05 | ) | — | 9.70 | (38.41 | ) | 712 | 1.26 | 1.35 | (0.02 | ) | 41 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.66 | (0.04 | ) | 2.13 | 2.09 | — | 15.75 | 15.30 | 1,259 | 1.26 | 1.33 | (0.14 | ) | 58 | ||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 12.67 | (0.01 | ) | 1.00 | 0.99 | — | 13.66 | 7.81 | 1,949 | 1.27 | 1.48 | (0.19 | ) | 76 | ||||||||||||||||||||||||||||||||||||||||||
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(b) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(c) | Calculated using average shares outstanding. | |
(d) | Ratios are based on average daily net assets (000’s) of $64,012 and $594 for Series I and Series II shares, respectively. | |
(e) | Includes litigation proceeds received during the period. Had the litigation proceeds not been received Net gains on securities (both realized and unrealized) per share would have been $2.44 and $2.41 for Series I and Series II shares, respectively, and total returns would have been lower. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Ending | ||||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Account | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,252.10 | $ | 5.68 | $ | 1,020.16 | $ | 5.09 | 1.00 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,249.70 | 7.09 | 1,018.90 | 6.36 | 1.25 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 100% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 21.88 | % | ||
Series II Shares | 21.70 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
S&P 500 Consumer Discretionary Index▼ (Style-Specific Index) | 27.66 | |||
▼ | Lipper Inc. |
Consumer Discretionary | 95.6 | % | ||
Consumer Staples | 2.4 | |||
Information Technology | 1.9 | |||
Money Market Funds Plus Other Assets | ||||
Less Liabilities | 0.1 |
Total Net Assets | $20.9 million | |||
Total Number of Holdings* | 59 |
n | Attractive revenue growth profile. | |
n | Strong free cash flow generation. | |
n | Returns on invested capital in excess of weighted-average cost of capital. | |
n | Operating in low capital intensity businesses. | |
n | Management teams that are good stewards of capital. |
1. | Target Corp. | 3.5 | % | |||||
2. | Marriott International Inc. | 3.4 | ||||||
3. | Comcast Corp. | 3.2 | ||||||
4. | Amazon.com, Inc. | 3.1 | ||||||
5. | Ford Motor Co. | 3.1 | ||||||
6. | Walt Disney Co. (The) | 2.9 | ||||||
7. | Darden Restaurants, Inc. | 2.9 | ||||||
8. | Home Depot, Inc. (The) | 2.8 | ||||||
9. | Lowe’s Cos., Inc. | 2.7 | ||||||
10. | NIKE, Inc. | 2.7 |
1. | Restaurants | 12.4 | % | |||||
2. | Hotels, Resorts & Cruise Lines | 9.0 | ||||||
3. | Movies & Entertainment | 7.1 | ||||||
4. | Broadcasting | 6.5 | ||||||
5. | Cable & Satellite | 5.9 |
n | A company reaches its price target. | |
n | A more compelling opportunity is identified. | |
n | A change in fundamentals occurs — either company specific or industry wide. | |
n | A stock’s technical profile indicated negative underlying information and is further determined to have violated a fundamental investment thesis. |
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. Leisure Fund. Mr. Hartsfield joined Invesco in 2004. He earned a B.S. in petroleum engineering from The University of Texas at Austin and an M.B.A. from the University of Michigan.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Leisure Fund. Mr. Mueller joined Invesco in 2001. He earned a B.B.A. in accounting from Texas Christian University and an M.B.A. in finance from The University of Texas at Austin. Mr. Mueller is a Certified Public Accountant.
Series I Shares | ||||||||
Inception (4/30/02) | 3.95 | % | ||||||
5 | Years | 2.64 | ||||||
1 | Year | 21.88 | ||||||
Series II Shares | ||||||||
Inception | 3.72 | % | ||||||
5 | Years | 2.40 | ||||||
1 | Year | 21.70 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least April 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–99.88% | ||||||||
Advertising–4.20% | ||||||||
Interpublic Group of Cos., Inc. (The)(b) | 35,308 | $ | 374,971 | |||||
National CineMedia, Inc. | 9,351 | 186,178 | ||||||
Omnicom Group Inc. | 6,907 | 316,341 | ||||||
877,490 | ||||||||
Apparel Retail–2.62% | ||||||||
Abercrombie & Fitch Co.–Class A | 7,362 | 424,272 | ||||||
Urban Outfitters, Inc.(b) | 3,437 | 123,079 | ||||||
547,351 | ||||||||
Apparel, Accessories & Luxury Goods–3.03% | ||||||||
Coach, Inc. | 4,303 | 237,999 | ||||||
Hanesbrands, Inc.(b) | 6,726 | 170,840 | ||||||
Polo Ralph Lauren Corp. | 2,020 | 224,059 | ||||||
632,898 | ||||||||
Auto Parts & Equipment–4.11% | ||||||||
Autoliv, Inc. (Sweden) | 5,540 | 437,327 | ||||||
Johnson Controls, Inc. | 11,055 | 422,301 | ||||||
859,628 | ||||||||
Automobile Manufacturers–4.95% | ||||||||
Ford Motor Co.(b) | 37,981 | 637,701 | ||||||
Honda Motor Co., Ltd. (Japan) | 10,085 | 398,399 | ||||||
1,036,100 | ||||||||
Automotive Retail–1.92% | ||||||||
CarMax, Inc.(b) | 12,628 | 402,581 | ||||||
Broadcasting–6.53% | ||||||||
CBS Corp.–Class B | 12,133 | 231,134 | ||||||
Discovery Communications, Inc.–Class A(b) | 8,210 | 342,357 | ||||||
Grupo Televisa S.A.–ADR (Mexico) | 15,034 | 389,831 | ||||||
Scripps Networks Interactive Inc.–Class A | 7,791 | 403,184 | ||||||
1,366,506 | ||||||||
Cable & Satellite–5.95% | ||||||||
Comcast Corp., Class A | 30,810 | 676,896 | ||||||
DIRECTV–Class A(b) | 8,750 | 349,387 | ||||||
Time Warner Cable Inc. | 3,294 | 217,503 | ||||||
1,243,786 | ||||||||
Casinos & Gaming–4.98% | ||||||||
Las Vegas Sands Corp.(b) | 4,982 | 228,923 | ||||||
MGM Resorts International(b) | 6,011 | 89,263 | ||||||
Penn National Gaming, Inc.(b) | 8,837 | 310,621 | ||||||
WMS Industries Inc.(b) | 9,126 | 412,860 | ||||||
1,041,667 | ||||||||
Department Stores–4.63% | ||||||||
Kohl’s Corp.(b) | 9,917 | 538,890 | ||||||
Macy’s, Inc. | 8,741 | 221,147 | ||||||
Nordstrom, Inc. | 4,933 | 209,061 | ||||||
969,098 | ||||||||
Footwear–2.68% | ||||||||
NIKE, Inc.–Class B | 6,552 | 559,672 | ||||||
General Merchandise Stores–3.49% | ||||||||
Target Corp. | 12,130 | 729,377 | ||||||
Home Furnishings–1.86% | ||||||||
Mohawk Industries, Inc.(b) | 6,873 | 390,111 | ||||||
Home Improvement Retail–5.55% | ||||||||
Home Depot, Inc. (The) | 16,837 | 590,305 | ||||||
Lowe’s Cos., Inc. | 22,758 | 570,771 | ||||||
1,161,076 | ||||||||
Homefurnishing Retail–0.97% | ||||||||
Bed Bath & Beyond Inc.(b) | 4,146 | 203,776 | ||||||
Hotels, Resorts & Cruise Lines–9.00% | ||||||||
Carnival Corp.(c) | 4,705 | 216,948 | ||||||
Choice Hotels International, Inc. | 5,314 | 203,367 | ||||||
Hyatt Hotels Corp.–Class A(b) | 9,350 | 427,856 | ||||||
Marriott International Inc.–Class A | 16,975 | 705,141 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 5,422 | 329,549 | ||||||
1,882,861 | ||||||||
Household Appliances–0.96% | ||||||||
Stanley Black & Decker, Inc. | 3,018 | 201,814 | ||||||
Hypermarkets & Super Centers–1.36% | ||||||||
Costco Wholesale Corp. | 3,938 | 284,363 | ||||||
Internet Retail–4.12% | ||||||||
Amazon.com, Inc.(b) | 3,632 | 653,760 | ||||||
Netflix Inc.(b) | 1,180 | 207,326 | ||||||
861,086 | ||||||||
Shares | Value | |||||||
Internet Software & Services–1.94% | ||||||||
Baidu, Inc.–ADR (China)(b) | 2,102 | $ | 202,906 | |||||
Google Inc., Class A(b) | 340 | 201,950 | ||||||
404,856 | ||||||||
Motorcycle Manufacturers–1.12% | ||||||||
Harley-Davidson, Inc. | 6,786 | 235,271 | ||||||
Movies & Entertainment–7.13% | ||||||||
Time Warner Inc. | 10,980 | 353,227 | ||||||
Viacom Inc.–Class A(d) | 7,140 | 327,440 | ||||||
Viacom Inc.–Class B | 5,018 | 198,763 | ||||||
Walt Disney Co. (The) | 16,296 | 611,263 | ||||||
1,490,693 | ||||||||
Restaurants–12.36% | ||||||||
Brinker International, Inc. | 15,783 | 329,549 | ||||||
Buffalo Wild Wings, Inc.(b) | 3,572 | 156,632 | ||||||
Darden Restaurants, Inc. | 12,941 | 600,980 | ||||||
Jack in the Box Inc.(b) | 7,763 | 164,032 | ||||||
McDonald’s Corp. | 6,438 | 494,181 | ||||||
P.F. Chang’s China Bistro, Inc.(d) | 5,927 | 287,222 | ||||||
Starbucks Corp. | 17,183 | 552,090 | ||||||
2,584,686 | ||||||||
Soft Drinks–1.04% | ||||||||
Hansen Natural Corp.(b) | 4,171 | 218,060 | ||||||
Specialty Stores–3.38% | ||||||||
Staples, Inc. | 15,772 | 359,128 | ||||||
Tiffany & Co. | 5,598 | 348,588 | ||||||
707,716 | ||||||||
Total Common Stocks & Other Equity Interests (Cost $15,869,843) | 20,892,523 | |||||||
Money Market Funds–0.97% | ||||||||
Liquid Assets Portfolio–Institutional Class(e) | 102,057 | 102,057 | ||||||
Premier Portfolio–Institutional Class(e) | 102,057 | 102,057 | ||||||
Total Money Market Funds (Cost $204,114) | 204,114 | |||||||
TOTAL INVESTMENTS (excluding investments purchased with cash collateral from securities on loan)–100.85% (Cost $16,073,957) | 21,096,637 | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds–1.80% | ||||||||
Liquid Assets Portfolio–Institutional Class (Cost $376,320)(e)(f) | 376,320 | 376,320 | ||||||
TOTAL INVESTMENTS–102.65% (Cost $16,450,277) | 21,472,957 | |||||||
OTHER ASSETS LESS LIABILITIES–(2.65)% | (555,290 | ) | ||||||
NET ASSETS–100.00% | $ | 20,917,667 | ||||||
ADR | – American Depositary Receipt |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | Issued in units. | |
(d) | All or a portion of this security was out on loan at December 31, 2010. | |
(e) | The money market fund and the Fund are affiliated by having the same investment adviser. | |
(f) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 1J. |
Assets: | ||||
Investments, at value (Cost $15,869,843)* | $ | 20,892,523 | ||
Investments in affiliated money market funds, at value and cost | 580,434 | |||
Total investments, at value (Cost $16,450,277) | 21,472,957 | |||
Foreign currencies, at value (Cost $669) | 663 | |||
Receivables for: | ||||
Investments sold | 7,755 | |||
Dividends | 21,126 | |||
Investment for trustee deferred compensation and retirement plans | 11,853 | |||
Total assets | 21,514,354 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 135,392 | |||
Collateral upon return of securities loaned | 376,320 | |||
Accrued fees to affiliates | 38,434 | |||
Accrued other operating expenses | 31,656 | |||
Trustee deferred compensation and retirement plans | 14,885 | |||
Total liabilities | 596,687 | |||
Net assets applicable to shares outstanding | $ | 20,917,667 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 19,930,506 | ||
Undistributed net investment income | 55,122 | |||
Undistributed net realized gain (loss) | (4,090,543 | ) | ||
Unrealized appreciation | 5,022,582 | |||
$ | 20,917,667 | |||
Net Assets: | ||||
Series I | $ | 20,771,751 | ||
Series II | $ | 145,916 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 2,616,619 | |||
Series II | 18,411 | |||
Series I: | ||||
Net asset value per share | $ | 7.94 | ||
Series II: | ||||
Net asset value per share | $ | 7.93 | ||
* | At December 31, 2010, securities with an aggregate value of $369,054 were on loan to brokers. |
Investment income: | ||||
Dividends (net of foreign withholding taxes of $994) | $ | 271,420 | ||
Dividends from affiliated money market funds (includes securities lending income of $12,804) | 13,053 | |||
Total investment income | 284,473 | |||
Expenses: | ||||
Advisory fees | 149,777 | |||
Administrative services fees | 99,868 | |||
Custodian fees | 14,582 | |||
Distribution fees — Series II | 176 | |||
Transfer agent fees | 2,899 | |||
Trustees’ and officers’ fees and benefits | 16,315 | |||
Professional services fees | 33,177 | |||
Other | 13,540 | |||
Total expenses | 330,334 | |||
Less: Fees waived and expenses reimbursed | (128,782 | ) | ||
Net expenses | 201,552 | |||
Net investment income | 82,921 | |||
Realized and unrealized gains (loss) from: | ||||
Net realized gain (loss) from: | ||||
Investment securities (includes net gains from securities sold to affiliates of $21,255) | 1,767,542 | |||
Foreign currencies | (12,050 | ) | ||
1,755,492 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | 2,139,838 | |||
Foreign currencies | (9 | ) | ||
2,139,829 | ||||
Net realized and unrealized gain | 3,895,321 | |||
Net increase in net assets resulting from operations | $ | 3,978,242 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 82,921 | $ | 127,249 | ||||
Net realized gain (loss) | 1,755,492 | (3,631,778 | ) | |||||
Change in net unrealized appreciation | 2,139,829 | 8,741,336 | ||||||
Net increase in net assets resulting from operations | 3,978,242 | 5,236,807 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (104,603 | ) | (347,842 | ) | ||||
Series II | (460 | ) | (128 | ) | ||||
Total distributions from net investment income | (105,063 | ) | (347,970 | ) | ||||
Share transactions–net: | ||||||||
Series I | (3,420,143 | ) | (2,556,830 | ) | ||||
Series II | 122,973 | 1,158 | ||||||
Net increase (decrease) in net assets resulting from share transactions | (3,297,170 | ) | (2,555,672 | ) | ||||
Net increase in net assets | 576,009 | 2,333,165 | ||||||
Net assets: | ||||||||
Beginning of year | 20,341,658 | 18,008,493 | ||||||
End of year (includes undistributed net investment income of $55,122 and $89,315, respectively) | $ | 20,917,667 | $ | 20,341,658 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as |
institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the |
financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | ||
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Other Risks — The Fund’s investments are concentrated in a comparatively narrow segment of the economy, which may make the Fund more volatile. | |
The leisure sector depends on consumer discretionary spending, which generally falls during economic downturns. Securities of gambling casinos are often subject to high price volatility and are considered speculative. Securities of companies that make video and electronic games may be affected by the games’ risk of rapid obsolescence. | ||
J. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
K. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
L. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $250 million | 0 | .75% | ||
Next $250 million | 0 | .74% | ||
Next $500 million | 0 | .73% | ||
Next $1.5 billion | 0 | .72% | ||
Next $2.5 billion | 0 | .71% | ||
Next $2.5 billion | 0 | .70% | ||
Next $2.5 billion | 0 | .69% | ||
Over $10 billion | 0 | .68% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 21,074,558 | $ | 398,399 | $ | — | $ | 21,472,957 | ||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 105,063 | $ | 347,970 | ||||
2010 | ||||
Undistributed ordinary income | $ | 69,788 | ||
Net unrealized appreciation — investments | 5,002,245 | |||
Net unrealized appreciation (depreciation) — other investments | (97 | ) | ||
Temporary book/tax differences | (13,815 | ) | ||
Capital loss carryforward | (4,070,110 | ) | ||
Post-October deferrals | (850 | ) | ||
Shares of beneficial interest | 19,930,506 | |||
Total net assets | $ | 20,917,667 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2017 | $ | 4,070,110 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 5,068,879 | ||
Aggregate unrealized (depreciation) of investment securities | (66,634 | ) | ||
Net unrealized appreciation of investment securities | $ | 5,002,245 | ||
Cost of investments for tax purposes is $16,470,712 |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 28,641 | $ | 201,622 | 15,116 | $ | 86,339 | ||||||||||
Series II | 28,815 | 204,872 | 195 | 1,057 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 14,816 | 104,602 | 54,350 | 347,842 | ||||||||||||
Series II | 65 | 460 | 20 | 128 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (531,332 | ) | (3,726,367 | ) | (553,001 | ) | (2,991,011 | ) | ||||||||
Series II | (11,814 | ) | (82,359 | ) | (5 | ) | (27 | ) | ||||||||
Net increase (decrease) in share activity | (470,809 | ) | $ | (3,297,170 | ) | (483,325 | ) | $ | (2,555,672 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 99% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | (losses) on | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | securities (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | income | unrealized) | operations | income | gains | Distributions | of period | Return(a) | (000s omitted) | absorbed | absorbed | net assets | turnover(b) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 6.55 | $ | 0.03 | (c) | $ | 1.40 | $ | 1.43 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 7.94 | 21.88 | % | $ | 20,772 | 1.01 | %(d) | 1.65 | %(d) | 0.41 | %(d) | 59 | % | |||||||||||||||||||||||||
Year ended 12/31/09 | 5.02 | 0.04 | (c) | 1.60 | 1.64 | (0.11 | ) | — | (0.11 | ) | 6.55 | 32.78 | 20,333 | 1.01 | 1.74 | 0.69 | 61 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 12.67 | 0.12 | (c) | (5.67 | ) | (5.55 | ) | (0.12 | ) | (1.98 | ) | (2.10 | ) | 5.02 | (43.04 | ) | 18,003 | 1.01 | 1.44 | 1.15 | 7 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.82 | 0.09 | (0.15 | ) | (0.06 | ) | (0.24 | ) | (0.85 | ) | (1.09 | ) | 12.67 | (0.79 | ) | 42,593 | 1.01 | 1.28 | 0.50 | 15 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 11.86 | 0.07 | 2.83 | 2.90 | (0.16 | ) | (0.78 | ) | (0.94 | ) | 13.82 | 24.61 | 52,820 | 1.01 | 1.26 | 0.54 | 14 | |||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 6.55 | 0.01 | (c) | 1.41 | 1.42 | (0.04 | ) | — | (0.04 | ) | 7.93 | 21.70 | 146 | 1.26 | (d) | 1.90 | (d) | 0.16 | (d) | 59 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 5.02 | 0.02 | (c) | 1.61 | 1.63 | (0.10 | ) | — | (0.10 | ) | 6.55 | 32.47 | 9 | 1.26 | 1.99 | 0.44 | 61 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 12.63 | 0.09 | (c) | (5.64 | ) | (5.55 | ) | (0.08 | ) | (1.98 | ) | (2.06 | ) | 5.02 | (43.17 | ) | 6 | 1.26 | 1.69 | 0.90 | 7 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.78 | 0.05 | (0.15 | ) | (0.10 | ) | (0.20 | ) | (0.85 | ) | (1.05 | ) | 12.63 | (1.13 | ) | 9 | 1.26 | 1.53 | 0.25 | 15 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 11.84 | 0.04 | 2.82 | 2.86 | (0.14 | ) | (0.78 | ) | (0.92 | ) | 13.78 | 24.28 | 14 | 1.26 | 1.51 | 0.29 | 14 | |||||||||||||||||||||||||||||||||||||||
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(b) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(c) | Calculated using average shares outstanding. | |
(d) | Ratios are based on average daily net assets (000’s omitted) of $19,900 and $70 for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,287.60 | $ | 5.82 | $ | 1,020.11 | $ | 5.14 | 1.01 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,285.70 | 7.26 | 1,018.85 | 6.41 | 1.26 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 183/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Reduction* | 100% |
* | The above percentage is based on income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 14.11 | % | ||
Series II Shares | 13.78 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
Russell Midcap Index▼ (Style-Specific Index) | 25.48 | |||
Lipper VUF Mid-Cap Core Funds Index▼ (Peer Group) | 24.74 | |||
▼ | Lipper Inc. |
Industrials | 19.3 | % | ||
Health Care | 17.4 | |||
Information Technology | 12.2 | |||
Financials | 11.3 | |||
Energy | 8.3 | |||
Consumer Staples | 6.3 | |||
Materials | 6.1 | |||
Consumer Discretionary | 5.8 | |||
Telecommunication Services | 1.1 | |||
Utilities | 1.1 | |||
Money Market Funds Plus | ||||
Other Assets Less Liabilities | 11.1 |
1. | Symantec Corp. | 3.0 | % | |||||
2. | ITT Corp. | 2.6 | ||||||
3. | Safeway Inc. | 2.6 | ||||||
4. | Boston Scientific Corp. | 2.3 | ||||||
5. | Northern Trust Corp. | 2.3 | ||||||
6. | Hologic, Inc. | 1.9 | ||||||
7. | Legg Mason, Inc. | 1.8 | ||||||
8. | Sigma-Aldrich Corp. | 1.7 | ||||||
9. | People’s United Financial Inc. | 1.6 | ||||||
10. | Alliant Techsystems Inc. | 1.6 |
Total Net Assets | $473.4 million | |||
Total Number of Holdings* | 100 |
*Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. Mid Cap Core Equity Fund. Mr. Sloan has worked in the investment industry since 1971 and joined Invesco in 1998. Mr. Sloan attended the University of Missouri, where he earned both a B.S. in business administration and an M.B.A.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Mid Cap Core Equity Fund. He joined Invesco in 2001. Mr. Asiello graduated summa cum laude with Phil Beta Kappa honors from Vanderbilt University, where he earned a B.A. in international relations and Spanish. He earned an M.B.A. with a concentration in finance from the Wharton School at the University of Pennsylvania. He also earned an M.A. in international management from the Joseph H. Lauder Institute of Management and International Studies.
Chartered Financial Analyst, portfolio manager, is manager of AIM V.I. Mid Cap Core Equity Fund. He began his investment career in 1988 and joined Invesco in 2004. He earned a B.A. from the University of California-Santa Barbara and is a member of the CFA Society of San Francisco.
Series I Shares | ||||||||
Inception (9/10/01) | 7.30 | % | ||||||
5 | Years | 5.30 | ||||||
1 | Year | 14.11 | ||||||
Series II Shares | ||||||||
Inception (9/10/01) | 7.04 | % | ||||||
5 | Years | 5.03 | ||||||
1 | Year | 13.78 |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–88.86% | ||||||||
Aerospace & Defense–7.08% | ||||||||
Alliant Techsystems Inc. | 102,563 | $ | 7,633,764 | |||||
Goodrich Corp. | 47,374 | 4,172,228 | ||||||
ITT Corp. | 239,867 | 12,499,470 | ||||||
Moog Inc.–Class A(b) | 106,504 | 4,238,859 | ||||||
Precision Castparts Corp. | 35,776 | 4,980,377 | ||||||
33,524,698 | ||||||||
Air Freight & Logistics–0.95% | ||||||||
Expeditors International of Washington, Inc. | 82,679 | 4,514,273 | ||||||
Apparel Retail–1.25% | ||||||||
American Eagle Outfitters, Inc. | 405,672 | 5,934,981 | ||||||
Apparel, Accessories & Luxury Goods–1.79% | ||||||||
Carter’s, Inc.(b) | 229,397 | 6,769,506 | ||||||
True Religion Apparel, Inc.(b) | 75,609 | 1,683,056 | ||||||
8,452,562 | ||||||||
Application Software–1.20% | ||||||||
Adobe Systems Inc.(b) | 184,977 | 5,693,592 | ||||||
Asset Management & Custody Banks–4.10% | ||||||||
Legg Mason, Inc. | 240,800 | 8,733,816 | ||||||
Northern Trust Corp. | 192,582 | 10,670,969 | ||||||
19,404,785 | ||||||||
Automotive Retail–0.28% | ||||||||
Pep Boys (The)-Manny, Moe & Jack | 98,218 | 1,319,068 | ||||||
Biotechnology–1.59% | ||||||||
Biogen Idec Inc.(b) | 71,652 | 4,804,267 | ||||||
Genzyme Corp.(b) | 38,005 | 2,705,956 | ||||||
7,510,223 | ||||||||
Brewers–0.94% | ||||||||
Molson Coors Brewing Co.–Class B | 88,614 | 4,447,537 | ||||||
Communications Equipment–1.47% | ||||||||
Motorola Solutions, Inc.(b) | 766,393 | 6,951,184 | ||||||
Computer & Electronics Retail–0.21% | ||||||||
Best Buy Co., Inc. | 29,486 | 1,011,075 | ||||||
Computer Storage & Peripherals–0.27% | ||||||||
NetApp, Inc.(b) | 22,901 | 1,258,639 | ||||||
Construction & Engineering–1.03% | ||||||||
Chicago Bridge & Iron Co. N.V.–New York Shares(b) | 148,698 | 4,892,164 | ||||||
Construction Materials–0.73% | ||||||||
CRH PLC (Ireland) | 167,208 | 3,465,394 | ||||||
Construction, Farm Machinery & Heavy Trucks–1.59% | ||||||||
Terex Corp.(b) | 201,631 | 6,258,626 | ||||||
WABCO Holdings Inc.(b) | 21,213 | 1,292,508 | ||||||
7,551,134 | ||||||||
Data Processing & Outsourced Services–0.76% | ||||||||
Western Union Co. (The) | 192,981 | 3,583,657 | ||||||
Department Stores–0.46% | ||||||||
Macy’s, Inc. | 85,782 | 2,170,285 | ||||||
Distributors–0.16% | ||||||||
Genuine Parts Co. | 15,037 | 772,000 | ||||||
Electric Utilities–0.97% | ||||||||
Edison International | 118,852 | 4,587,687 | ||||||
Electrical Components & Equipment–1.84% | ||||||||
Cooper Industries PLC (Ireland) | 64,968 | 3,786,985 | ||||||
Thomas & Betts Corp.(b) | 101,950 | 4,924,185 | ||||||
8,711,170 | ||||||||
Electronic Manufacturing Services–0.71% | ||||||||
Molex Inc.(c) | 148,034 | 3,363,332 | ||||||
Environmental & Facilities Services–1.28% | ||||||||
Republic Services, Inc. | 202,466 | 6,045,635 | ||||||
Fertilizers & Agricultural Chemicals–0.48% | ||||||||
Scotts Miracle-Gro Co. (The)–Class A | 44,691 | 2,268,962 | ||||||
Food Retail–3.07% | ||||||||
Kroger Co. (The) | 95,913 | 2,144,615 | ||||||
Safeway Inc. | 550,056 | 12,370,759 | ||||||
14,515,374 | ||||||||
Gas Utilities–0.14% | ||||||||
UGI Corp. | 21,717 | 685,823 | ||||||
Health Care Equipment–6.15% | ||||||||
Boston Scientific Corp.(b) | 1,454,258 | 11,008,733 | ||||||
Hologic, Inc.(b) | 469,199 | 8,830,325 | ||||||
Teleflex Inc. | 36,387 | 1,957,985 | ||||||
Zimmer Holdings, Inc.(b) | 136,668 | 7,336,338 | ||||||
29,133,381 | ||||||||
Shares | Value | |||||||
Health Care Facilities–1.03% | ||||||||
Rhoen-Klinikum AG (Germany) | 125,735 | $ | 2,768,941 | |||||
VCA Antech, Inc.(b) | 90,444 | 2,106,441 | ||||||
4,875,382 | ||||||||
Health Care Services–3.08% | ||||||||
DaVita, Inc.(b) | 79,335 | 5,512,989 | ||||||
Laboratory Corp. of America Holdings(b) | 43,893 | 3,859,073 | ||||||
Quest Diagnostics Inc. | 96,138 | 5,188,568 | ||||||
14,560,630 | ||||||||
Household Products–0.66% | ||||||||
Energizer Holdings, Inc.(b) | 42,593 | 3,105,030 | ||||||
Hypermarkets & Super Centers–1.58% | ||||||||
BJ’s Wholesale Club, Inc.(b) | 156,236 | 7,483,704 | ||||||
Industrial Conglomerates–0.55% | ||||||||
Tyco International Ltd. | 62,664 | 2,596,796 | ||||||
Industrial Gases–0.14% | ||||||||
Air Products & Chemicals, Inc. | 7,555 | 687,127 | ||||||
Industrial Machinery–2.56% | ||||||||
Actuant Corp.–Class A | 97,323 | 2,590,738 | ||||||
Danaher Corp. | 19,064 | 899,249 | ||||||
Pall Corp. | 42,365 | 2,100,457 | ||||||
Parker Hannifin Corp. | 50,612 | 4,367,815 | ||||||
SPX Corp. | 30,308 | 2,166,719 | ||||||
12,124,978 | ||||||||
Insurance Brokers–1.46% | ||||||||
Marsh & McLennan Cos., Inc. | 253,291 | 6,924,976 | ||||||
Investment Banking & Brokerage–0.71% | ||||||||
Charles Schwab Corp. (The) | 196,419 | 3,360,729 | ||||||
Leisure Products–0.63% | ||||||||
Hasbro, Inc. | 62,852 | 2,965,357 | ||||||
Life & Health Insurance–0.79% | ||||||||
Torchmark Corp. | 62,309 | 3,722,340 | ||||||
Life Sciences Tools & Services–4.36% | ||||||||
Agilent Technologies, Inc.(b) | 176,480 | 7,311,566 | ||||||
Pharmaceutical Product Development, Inc. | 241,518 | 6,554,799 | ||||||
Techne Corp. | 31,596 | 2,074,909 | ||||||
Waters Corp.(b) | 60,459 | 4,698,269 | ||||||
20,639,543 | ||||||||
Managed Health Care–1.44% | ||||||||
Aetna Inc. | 219,398 | 6,693,833 | ||||||
Health Net Inc.(b) | 5,348 | 145,947 | ||||||
6,839,780 | ||||||||
Marine–0.69% | ||||||||
Kirby Corp.(b) | 73,786 | 3,250,273 | ||||||
Metal & Glass Containers–0.40% | ||||||||
Owens-Illinois, Inc.(b) | 62,179 | 1,908,895 | ||||||
Mortgage REIT’s–0.22% | ||||||||
Annaly Capital Management Inc. | 58,300 | 1,044,736 | ||||||
Multi-Sector Holdings–0.19% | ||||||||
PICO Holdings, Inc.(b) | 28,327 | 900,799 | ||||||
Office Electronics–0.22% | ||||||||
Xerox Corp. | 88,731 | 1,022,181 | ||||||
Office Services & Supplies–0.86% | ||||||||
Pitney Bowes Inc. | 168,145 | 4,065,746 | ||||||
Oil & Gas Equipment & Services–4.15% | ||||||||
Baker Hughes Inc. | 114,935 | 6,570,834 | ||||||
Cameron International Corp.(b) | 80,599 | 4,088,787 | ||||||
Dresser-Rand Group, Inc.(b) | 128,809 | 5,485,975 | ||||||
National Oilwell Varco Inc. | 31,059 | 2,088,718 | ||||||
Schlumberger Ltd. | 16,981 | 1,417,914 | ||||||
19,652,228 | ||||||||
Oil & Gas Exploration & Production–2.07% | ||||||||
Newfield Exploration Co.(b) | 68,063 | 4,908,023 | ||||||
PetroQuest Energy, Inc.(b) | 19,277 | 145,156 | ||||||
Pioneer Natural Resources Co. | 7,591 | 659,051 | ||||||
Southwestern Energy Co.(b) | 109,878 | 4,112,733 | ||||||
9,824,963 | ||||||||
Oil & Gas Refining & Marketing–0.62% | ||||||||
Valero Energy Corp. | 127,937 | 2,957,903 | ||||||
Oil & Gas Storage & Transportation–1.43% | ||||||||
Williams Cos., Inc. (The) | 273,801 | 6,768,361 | ||||||
Paper Packaging–1.01% | ||||||||
Sealed Air Corp. | 187,458 | 4,770,806 | ||||||
Personal Products–0.10% | ||||||||
Avon Products, Inc. | 15,614 | 453,743 | ||||||
Pharmaceuticals–1.33% | ||||||||
Hospira, Inc.(b) | 63,622 | 3,543,109 | ||||||
Teva Pharmaceutical Industries Ltd.–ADR (Israel) | 52,822 | 2,753,611 | ||||||
6,296,720 | ||||||||
Property & Casualty Insurance–1.68% | ||||||||
Axis Capital Holdings Ltd. | 19,675 | 705,939 | ||||||
Progressive Corp. (The) | 363,861 | 7,229,918 | ||||||
7,935,857 | ||||||||
Shares | Value | |||||||
Research & Consulting Services–0.41% | ||||||||
Dun & Bradstreet Corp. (The) | 23,706 | $ | 1,946,026 | |||||
Restaurants–0.70% | ||||||||
Darden Restaurants, Inc. | 71,307 | 3,311,497 | ||||||
Semiconductor Equipment–0.44% | ||||||||
FormFactor Inc.(b) | 232,197 | 2,061,909 | ||||||
Semiconductors–2.50% | ||||||||
Linear Technology Corp. | 207,062 | 7,162,275 | ||||||
Microchip Technology Inc.(c) | 70,224 | 2,402,363 | ||||||
Xilinx, Inc. | 78,155 | 2,264,932 | ||||||
11,829,570 | ||||||||
Specialized Finance–0.54% | ||||||||
Moody’s Corp. | 95,682 | 2,539,400 | ||||||
Specialty Chemicals–3.30% | ||||||||
International Flavors & Fragrances Inc. | 137,260 | 7,630,283 | ||||||
Sigma-Aldrich Corp. | 119,826 | 7,975,619 | ||||||
15,605,902 | ||||||||
Systems Software–3.07% | ||||||||
CA, Inc. | 22,196 | 542,470 | ||||||
Symantec Corp.(b) | 836,869 | 14,009,187 | ||||||
14,551,657 | ||||||||
Thrifts & Mortgage Finance–1.63% | ||||||||
People’s United Financial Inc. | 551,642 | 7,728,504 | ||||||
Trucking–0.71% | ||||||||
Con-way Inc. | 92,273 | 3,374,424 | ||||||
Wireless Telecommunication Services–1.10% | ||||||||
MetroPCS Communications, Inc.(b) | 411,930 | 5,202,676 | ||||||
Total Common Stocks & Other Equity Interests (Cost $328,132,915) | 420,659,763 | |||||||
Money Market Funds–13.65% | ||||||||
Liquid Assets Portfolio–Institutional Class(d) | 32,302,319 | 32,302,319 | ||||||
Premier Portfolio–Institutional Class(d) | 32,302,319 | 32,302,319 | ||||||
Total Money Market Funds (Cost $64,604,638) | 64,604,638 | |||||||
TOTAL INVESTMENTS (excluding investments purchased with cash collateral from securities on loan)–102.51% (Cost $392,737,553) | 485,264,401 | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds–0.75% | ||||||||
Liquid Assets Portfolio–Institutional Class (Cost $3,568,190)(d)(e) | 3,568,190 | 3,568,190 | ||||||
TOTAL INVESTMENTS–103.26% (Cost $396,305,743) | 488,832,591 | |||||||
OTHER ASSETS LESS LIABILITIES–(3.26)% | (15,433,018 | ) | ||||||
NET ASSETS–100.00% | $ | 473,399,573 | ||||||
ADR | – American Depositary Receipt |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | All or a portion of this security was out on loan at December 31, 2010. | |
(d) | The money market fund and the Fund are affiliated by having the same investment adviser. | |
(e) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 1I. |
Assets: | ||||
Investments, at value (Cost $328,132,915)* | $ | 420,659,763 | ||
Investments in affiliated money market funds, at value and cost | 68,172,828 | |||
Total investments, at value (Cost $396,305,743) | 488,832,591 | |||
Receivable for: | ||||
Fund shares sold | 125,996 | |||
Dividends | 444,819 | |||
Investment for trustee deferred compensation and retirement plans | 23,261 | |||
Total assets | 489,426,667 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 11,731,561 | |||
Collateral upon return of securities loaned | 3,568,190 | |||
Accrued fees to affiliates | 612,980 | |||
Accrued other operating expenses | 40,443 | |||
Trustee deferred compensation and retirement plans | 73,920 | |||
Total liabilities | 16,027,094 | |||
Net assets applicable to shares outstanding | $ | 473,399,573 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 413,564,041 | ||
Undistributed net investment income | 1,024,635 | |||
Undistributed net realized gain (loss) | (33,715,723 | ) | ||
Unrealized appreciation | 92,526,620 | |||
$ | 473,399,573 | |||
Net Assets: | ||||
Series I | $ | 411,812,116 | ||
Series II | $ | 61,587,457 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 33,248,726 | |||
Series II | 5,014,390 | |||
Series I: | ||||
Net asset value per share | $ | 12.39 | ||
Series II: | ||||
Net asset value per share | $ | 12.28 | ||
* | At December 31, 2010, securities with an aggregate value of $3,480,231 were on loan to brokers. |
Investment income: | ||||
Dividends (net of foreign withholding taxes of $49,336) | $ | 5,844,679 | ||
Dividends from affiliated money market funds (includes securities lending income of $23,595) | 118,551 | |||
Total investment income | 5,963,230 | |||
Expenses: | ||||
Advisory fees | 3,384,323 | |||
Administrative services fees | 1,273,541 | |||
Custodian fees | 17,846 | |||
Distribution fees — Series II | 137,688 | |||
Transfer agent fees | 31,903 | |||
Trustees’ and officers’ fees and benefits | 28,247 | |||
Other | 52,970 | |||
Total expenses | 4,926,518 | |||
Less: Fees waived | (112,810 | ) | ||
Net expenses | 4,813,708 | |||
Net investment income | 1,149,522 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain (loss) from: | ||||
Investment securities (includes net gains from securities sold to affiliates of $674,870) | 41,002,526 | |||
Foreign currencies | (54,385 | ) | ||
Foreign currency contracts | 257,196 | |||
41,205,337 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | 18,526,310 | |||
Foreign currencies | 1,559 | |||
Foreign currency contracts | (112,609 | ) | ||
18,415,260 | ||||
Net realized and unrealized gain | 59,620,597 | |||
Net increase in net assets resulting from operations | $ | 60,770,119 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 1,149,522 | $ | 2,434,222 | ||||
Net realized gain (loss) | 41,205,337 | (61,873,895 | ) | |||||
Change in net unrealized appreciation | 18,415,260 | 174,517,834 | ||||||
Net increase in net assets resulting from operations | 60,770,119 | 115,078,161 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (2,274,130 | ) | (5,080,173 | ) | ||||
Series II | (186,084 | ) | (530,907 | ) | ||||
Total distributions from net investment income | (2,460,214 | ) | (5,611,080 | ) | ||||
Distributions to shareholders from net realized gains: | ||||||||
Series I | — | (4,902,328 | ) | |||||
Series II | — | (669,176 | ) | |||||
Total distributions from net realized gains | — | (5,571,504 | ) | |||||
Share transactions–net: | ||||||||
Series I | (71,565,903 | ) | (11,987,008 | ) | ||||
Series II | (1,706,198 | ) | (4,824,114 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (73,272,101 | ) | (16,811,122 | ) | ||||
Net increase (decrease) in net assets | (14,962,196 | ) | 87,084,455 | |||||
Net assets: | ||||||||
Beginning of year | 488,361,769 | 401,277,314 | ||||||
End of year (includes undistributed net investment income of $1,024,635 and $2,389,712, respectively) | $ | 473,399,573 | $ | 488,361,769 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). |
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
K. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $500 million | 0 | .725% | ||
Next $500 million | 0 | .70% | ||
Next $500 million | 0 | .675% | ||
Over $1.5 billion | 0 | .65% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 488,832,591 | $ | — | $ | — | $ | 488,832,591 | ||||||||
Location of Gain (Loss) on Statement of Operations | ||||
Foreign Currency Contracts* | ||||
Realized Gain | ||||
Currency risk | $ | 257,196 | ||
Change in Unrealized Appreciation (Depreciation) | ||||
Currency risk | (112,609 | ) | ||
Total | $ | 144,587 | ||
* | The average value of foreign currency contracts outstanding during the period was $290,305. |
2010 | 2009 | |||||||
Ordinary income | $ | 2,460,214 | $ | 5,621,148 | ||||
Long-term capital gain | — | 5,561,436 | ||||||
Total distributions | $ | 2,460,214 | $ | 11,182,584 | ||||
2010 | ||||
Undistributed ordinary income | $ | 1,096,457 | ||
Net unrealized appreciation — investments | 89,287,047 | |||
Net unrealized appreciation (depreciation) — other investments | (228 | ) | ||
Temporary book/tax differences | (71,822 | ) | ||
Capital loss carryforward | (30,475,922 | ) | ||
Shares of beneficial interest | 413,564,041 | |||
Total net assets | $ | 473,399,573 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2017 | $ | 30,475,922 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 91,482,380 | ||
Aggregate unrealized (depreciation) of investment securities | (2,195,333 | ) | ||
Net unrealized appreciation of investment securities | $ | 89,287,047 | ||
Cost of investments for tax purposes is $399,545,544. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 1,854,251 | $ | 21,138,305 | 3,776,568 | $ | 34,511,811 | ||||||||||
Series II | 2,043,008 | 22,984,219 | 1,852,803 | 16,828,951 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 201,607 | 2,274,130 | 939,088 | 9,982,501 | ||||||||||||
Series II | 16,630 | 186,084 | 113,860 | 1,200,083 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (8,395,150 | ) | (94,978,338 | ) | (6,211,044 | ) | (56,481,320 | ) | ||||||||
Series II | (2,228,501 | ) | (24,876,501 | ) | (2,477,573 | ) | (22,853,148 | ) | ||||||||
Net increase (decrease) in share activity | (6,508,155 | ) | $ | (73,272,101 | ) | (2,006,298 | ) | $ | (16,811,122 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 74% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | income | unrealized) | operations | income | gains | Distributions | of period | return(a) | (000s omitted) | absorbed | absorbed | net assets | turnover(b) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 10.92 | $ | 0.03 | (c) | $ | 1.50 | $ | 1.53 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | $ | 12.39 | 14.11 | % | $ | 411,812 | 1.01 | %(d) | 1.03 | %(d) | 0.27 | %(d) | 61 | % | |||||||||||||||||||||||||
Year ended 12/31/09 | 8.59 | 0.06 | (c) | 2.53 | 2.59 | (0.13 | ) | (0.13 | ) | (0.26 | ) | 10.92 | 30.21 | 432,233 | 1.02 | 1.04 | 0.60 | 41 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 14.57 | 0.14 | (c) | (4.33 | ) | (4.19 | ) | (0.22 | ) | (1.57 | ) | (1.79 | ) | 8.59 | (28.52 | ) | 352,788 | 1.01 | 1.04 | 1.05 | 62 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.52 | 0.19 | 1.11 | 1.30 | �� | (0.04 | ) | (0.21 | ) | (0.25 | ) | 14.57 | 9.55 | 585,608 | 1.00 | 1.01 | 1.23 | 62 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 13.61 | 0.14 | 1.39 | 1.53 | (0.14 | ) | (1.48 | ) | (1.62 | ) | 13.52 | 11.24 | 581,154 | 1.04 | 1.04 | 0.93 | 83 | |||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 10.83 | 0.00 | (c) | 1.49 | 1.49 | (0.04 | ) | — | (0.04 | ) | 12.28 | 13.78 | 61,587 | 1.26 | (d) | 1.28 | (d) | 0.02 | (d) | 61 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 8.52 | 0.03 | (c) | 2.51 | 2.54 | (0.10 | ) | (0.13 | ) | (0.23 | ) | 10.83 | 29.85 | 56,129 | 1.27 | 1.29 | 0.35 | 41 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 14.45 | 0.10 | (c) | (4.28 | ) | (4.18 | ) | (0.18 | ) | (1.57 | ) | (1.75 | ) | 8.52 | (28.68 | ) | 48,489 | 1.26 | 1.29 | 0.80 | 62 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.42 | 0.13 | 1.12 | 1.25 | (0.01 | ) | (0.21 | ) | (0.22 | ) | 14.45 | 9.29 | 79,079 | 1.25 | 1.26 | 0.98 | 62 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 13.52 | 0.10 | 1.38 | 1.48 | (0.10 | ) | (1.48 | ) | (1.58 | ) | 13.42 | 10.98 | 56,766 | 1.29 | 1.29 | 0.68 | 83 | |||||||||||||||||||||||||||||||||||||||
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(b) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(c) | Calculated using average shares outstanding. | |
(d) | Ratios are based on average daily net assets (000’s) of $411,728 and $55,075 for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,194.70 | $ | 5.53 | $ | 1,020.16 | $ | 5.09 | 1.00 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,191.70 | 6.91 | 1,018.90 | 6.36 | 1.25 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 100% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
n | The Fund had 23 holdings. | |
n | The Fund’s net assets totaled $26.6 million. | |
n | The Fund’s weighted average maturity was 16.76 days. | |
n | The Fund’s weighted average life was 16.76 days. | |
n | Safety of principal | |
n | Liquidity | |
n | The highest possible yield consistent with safety of principal |
n | Household spending was increasing at a moderate pace but continued to be hampered by high unemployment, modest income growth, lower housing wealth and tight credit. | |
n | Business spending on equipment was rising, but more slowly than earlier in the year. | |
n | The housing sector remained depressed. | |
n | Employers remained reluctant to add to their payrolls. | |
n | Measures of underlying inflation were somewhat low. |
1 | Bureau of Economic Analysis | |
2 | Bureau of Labor Statistics | |
3 | U.S. Federal Reserve | |
4 | The Wall Street Journal | |
5 | Barclays Capital |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
1-7 | 73.8 | % | ||
8-30 | 11.3 | |||
31-60 | 7.5 | |||
61-90 | 3.8 | |||
91-180 | 3.6 |
Principal | ||||||||||||||||
Interest | Maturity | Amount | ||||||||||||||
Rate | Date | (000) | Value | |||||||||||||
Variable Rate Demand Notes–30.33%(a) | ||||||||||||||||
Credit Enhanced–30.33% | ||||||||||||||||
Benjamin Rose Institute (The) (Kethley House); Series 2005, VRD Taxable Notes (LOC–JPMorgan Chase Bank, N.A.)(b) | 0.34 | % | 12/01/28 | $ | 1,800 | $ | 1,800,000 | |||||||||
Collier (County of), Florida Industrial Development Authority (Allete, Inc.); Series 2006, Ref. VRD IDR (LOC–Wells Fargo Bank, N.A.)(b) | 0.40 | % | 10/01/25 | 1,000 | 1,000,000 | |||||||||||
Hamilton (County of), Ohio (Children’s Hospital Medical Center); Series 1997 A, VRD Hospital Facilities RB (LOC–PNC Bank, N.A.)(b) | 0.34 | % | 05/15/17 | 600 | 600,000 | |||||||||||
Miami-Dade (County of), Florida Industrial Development Authority (Professional Modification Services, Inc.); Series 1998, VRD RB (LOC–JPMorgan Chase Bank, N.A.)(b) | 0.40 | % | 08/01/18 | 1,000 | 1,000,000 | |||||||||||
Nashville (City of) & Davidson (County of), Tennessee Metropolitan Government Industrial Development Board (L & S, LLC); Series 2001, VRD IDR (LOC–JPMorgan Chase Bank, N.A.)(b) | 0.34 | % | 03/01/26 | 520 | 520,000 | |||||||||||
Pitney Road Partners, LLC; Series 2008, VRD Notes (CEP–General Electric Capital Corp.)(c) | 0.44 | % | 07/01/25 | 2,260 | 2,260,000 | |||||||||||
Rock Island (County of), Illinois Metropolitan Airport Authority (Quad City International Airport Air Freight Project); Series 1998 A, VRD Priority RB (LOC–U.S. Bank, N.A.)(b) | 0.55 | % | 12/01/18 | 390 | 390,000 | |||||||||||
St. Paul (City of), Minnesota Port Authority; Series 2009-10 CC, VRD District Cooling RB (LOC–Deutsche Bank AG)(b)(d) | 0.30 | % | 03/01/29 | 500 | 500,000 | |||||||||||
Total Variable Rate Demand Notes (Cost $8,070,000) | 8,070,000 | |||||||||||||||
Commercial Paper–26.69%(e) | ||||||||||||||||
Asset-Backed Securities–Consumer Receivables–3.76% | ||||||||||||||||
Thames Asset Global Securitization No. 1, Inc.(c)(d) | 0.25 | % | 01/12/11 | 1,000 | 999,924 | |||||||||||
Asset-Backed Securities–Fully Supported Bank–15.03% | ||||||||||||||||
Concord Minutemen Capital Co., LLC–Series A, (Multi-CEP’s-Liberty Hampshire Co., LLC; agent)(c)(d) | 0.37 | % | 02/01/11 | 1,000 | 999,681 | |||||||||||
Crown Point Capital Co., LLC–Series A, (Multi-CEP’s-Liberty Hampshire Co., LLC; agent)(c)(d) | 0.40 | % | 01/05/11 | 1,000 | 999,956 | |||||||||||
Grampian Funding Ltd./LLC (CEP–Lloyds TSB Bank PLC)(c)(d) | 0.30 | % | 02/17/11 | 1,000 | 999,608 | |||||||||||
Lexington Parker Capital Co., LLC (Multi CEP’s-Liberty Hemisphere Co., LLC; agent)(c)(d) | 0.40 | % | 01/11/11 | 1,000 | 999,889 | |||||||||||
3,999,134 | ||||||||||||||||
Asset-Backed Securities–Securities–3.76% | ||||||||||||||||
Solitaire Funding Ltd./LLC(c)(d) | 0.26 | % | 01/06/11 | 1,000 | 999,964 | |||||||||||
Life & Health Insurance–4.14% | ||||||||||||||||
Metlife Short Term Funding LLC(c) | 0.25 | % | 01/05/11 | 1,100 | 1,099,969 | |||||||||||
Total Commercial Paper (Cost $7,098,991) | 7,098,991 | |||||||||||||||
Certificates of Deposit–15.04% | ||||||||||||||||
Barclays Bank PLC | 0.33 | % | 03/02/11 | 1,000 | 1,000,000 | |||||||||||
Deutsche Bank A.G. | 0.23 | % | 01/03/11 | 1,000 | 1,000,000 | |||||||||||
Mitsubishi UFJ Trust & Banking Corp. | 0.29 | % | 01/18/11 | 1,000 | 1,000,000 | |||||||||||
Societe Generale | 0.29 | % | 01/05/11 | 1,000 | 1,000,000 | |||||||||||
Total Certificates of Deposit (Cost $4,000,000) | 4,000,000 | |||||||||||||||
Medium-Term Notes–3.71% | ||||||||||||||||
European Investment Bank, Sr. Unsec. Global MTN(d) (Cost $987,264) | 5.25 | % | 06/15/11 | 968 | 987,264 | |||||||||||
TOTAL INVESTMENTS (excluding Repurchase Agreements)–75.77% (Cost $20,156,255) | 20,156,255 | |||||||||||||||
Interest | Maturity | Repurchase | ||||||||||||||
Rate | Date | Amount | Value | |||||||||||||
Medium-Term Notes–(continued) | ||||||||||||||||
Interest | Maturity | Repurchase | ||||||||||||||
Rate | Date | Amount | Value | |||||||||||||
Repurchase Agreements–24.32%(f) | ||||||||||||||||
BMO Capital Markets Corp., Joint agreement dated 12/31/10, aggregate maturing value $940,018,017 (collateralized by U.S. Treasury obligations valued at $958,800,026; 0%-5.00%, 01/27/11-02/15/40), | 0.23 | % | 01/03/11 | $ | 4,069,443 | $ | 4,069,365 | |||||||||
BNP Paribas, Joint agreement dated 12/31/10, aggregate maturing value $592,016,280 (collateralized by U.S. Government sponsored agency & Corporate obligations valued at $607,601,359; 0%-7.50%, 11/21/12-01/25/48), | 0.33 | % | 01/03/11 | 1,200,033 | 1,200,000 | |||||||||||
Wells Fargo Securities, LLC, Joint agreement dated 12/31/10, aggregate maturing value $700,014,583 (collateralized by Corporate obligations valued at $735,000,000; 0%-9.13%, 01/05/11-01/01/99), | 0.25 | % | 01/03/11 | 1,200,025 | 1,200,000 | |||||||||||
Total Repurchase Agreements (Cost $6,469,365) | 6,469,365 | |||||||||||||||
TOTAL INVESTMENTS–100.09% (Cost $26,625,620)(g)(h) | 26,625,620 | |||||||||||||||
OTHER ASSETS LESS LIABILITIES–(0.09%) | (23,003 | ) | ||||||||||||||
NET ASSETS–100.00% | $ | 26,602,617 | ||||||||||||||
CEP | – Credit Enhancement Provider | |
IDR | – Industrial Development Revenue Bonds | |
LOC | – Letter of Credit | |
MTN | – Medium-Term Notes | |
RB | – Revenue Bonds | |
Ref. | – Refunding | |
Sr. | – Senior | |
Unsec. | – Unsecured | |
VRD | – Variable Rate Demand |
(a) | Demand security payable upon demand by the Fund at specified time intervals no greater than thirteen months. Interest rate is redetermined periodically. Rate shown is the rate in effect on December 31, 2010. | |
(b) | Principal and interest payments are fully enhanced by a letter of credit from the bank listed or a predecessor bank, branch or subsidiary. | |
(c) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at December 31, 2010 was $9,358,991, which represented 35.18% of the Fund’s Net Assets. | |
(d) | The security is credit guaranteed, enhanced or has credit risk by a foreign entity. The foreign credit exposure to countries other than the United States of America (as a percentage of net assets) is summarized as follows: United Kingdom: 22.6%; other countries less than 5% each: 10.1%. | |
(e) | Security may be traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. | |
(f) | Principal amount equals value at period end. See Note 1I. | |
(g) | Also represents cost for federal income tax purposes. | |
(h) | This table provides a listing of those entities that have either issued, guaranteed, backed or otherwise enhanced the credit quality of more than 5% of the securities held in the portfolio. In instances where the entity has guaranteed, backed or otherwise enhanced the credit quality of a security, it is not primarily responsible for the issuer’s obligations but may be called upon to satisfy the issuer’s obligations. |
Entities | Percentage | |||
JPMorgan Chase Bank, N.A. | 12.5 | % | ||
Liberty Hampshire Co. | 11.3 | |||
General Electric Capital Corp. | 8.5 | |||
Wells Fargo Bank, N.A. | 8.3 | |||
Deutsche Bank AG | 5.6 | |||
Assets: | ||||
Investments, excluding repurchase agreements, at value and cost | $ | 20,156,255 | ||
Repurchase agreements, at value and cost | 6,469,365 | |||
Total investments, at value and cost | 26,625,620 | |||
Receivables for: | ||||
Fund shares sold | 36,571 | |||
Interest | 5,769 | |||
Investment for trustee deferred compensation and retirement plans | 41,479 | |||
Total assets | 26,709,439 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 5,363 | |||
Accrued fees to affiliates | 23,840 | |||
Accrued other operating expenses | 27,430 | |||
Trustee deferred compensation and retirement plans | 50,189 | |||
Total liabilities | 106,822 | |||
Net assets applicable to shares outstanding | $ | 26,602,617 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 26,604,760 | ||
Undistributed net realized gain (loss) | (2,143 | ) | ||
$ | 26,602,617 | |||
Net Assets: | ||||
Series I | $ | 25,578,381 | ||
Series II | $ | 1,024,236 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 25,579,294 | |||
Series II | 1,024,040 | |||
Series I: | ||||
Net asset value per share | $ | 1.00 | ||
Series II: | ||||
Net asset value per share | $ | 1.00 | ||
Investment income: | ||||
Interest | $ | 104,373 | ||
Expenses: | ||||
Advisory fees | 122,854 | |||
Administrative services fees | 102,235 | |||
Custodian fees | 11,562 | |||
Distribution fees – Series II | 3,254 | |||
Transfer agent fees | 6,104 | |||
Trustees’ and officers’ fees and benefits | 16,769 | |||
Professional services fees | 37,167 | |||
Other | 13,511 | |||
Total expenses | 313,456 | |||
Less: Fees waived and expenses reimbursed | (264,754 | ) | ||
Net expenses | 48,702 | |||
Net investment income | 55,671 | |||
Net realized gain (loss) from investment securities | (2,143 | ) | ||
Net increase in net assets resulting from operations | $ | 53,528 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 55,671 | $ | 50,085 | ||||
Net realized gain (loss) | (2,143 | ) | — | |||||
Net increase in net assets resulting from operations | 53,528 | 50,085 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (53,205 | ) | (48,846 | ) | ||||
Series II | (2,466 | ) | (1,239 | ) | ||||
Total distributions from net investment income | (55,671 | ) | (50,085 | ) | ||||
Share transactions-net: | ||||||||
Series I | (7,905,234 | ) | (15,518,673 | ) | ||||
Series II | (665,170 | ) | (576,067 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (8,570,404 | ) | (16,094,740 | ) | ||||
Net increase (decrease) in net assets | (8,572,547 | ) | (16,094,740 | ) | ||||
Net assets: | ||||||||
Beginning of year | 35,175,164 | 51,269,904 | ||||||
End of year | $ | 26,602,617 | $ | 35,175,164 | ||||
A. | Security Valuations — The Fund’s securities are recorded on the basis of amortized cost which approximates value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts. | |
Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income, adjusted for amortization of premiums and accretion of discounts on investments, is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized gains (losses) on securities per share in the |
Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates realized and unrealized capital gains and losses to a class based on the relative net assets of each class. The Fund allocates income to a class based on the relative value of the settled shares of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income are declared daily and paid monthly to separate accounts of participating insurance companies. Distributions from net realized gain, if any, are generally paid annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Repurchase Agreements — The Fund may enter into repurchase agreements. Collateral on repurchase agreements, including the Fund’s pro-rata interest in joint repurchase agreements, is taken into possession by the Fund upon entering into the repurchase agreement. Eligible securities for collateral are securities consistent with the Fund’s investment objectives and may consist of U.S. Government Securities, U.S. Government Sponsored Agency Securities and/or, Investment Grade Debt Securities. Collateral consisting of U.S. Government Securities and U.S. Government Sponsored Agency Securities is marked to market daily to ensure its market value is at least 102% of the sales price of the repurchase agreement. Collateral consisting of Investment Grade Debt Securities is marked to market daily to ensure its market value is at least 105% of the sales price of the repurchase agreement. The investments in some repurchase agreements, pursuant to procedures approved by the Board of Trustees, are through participation with other mutual funds, private accounts and certain non-registered investment companies managed by the investment advisor or its affiliates (“Joint repurchase agreements”). The principal amount of the repurchase agreement is equal to the value at period-end. If the seller of a repurchase agreement fails to repurchase the security in accordance with the terms of the agreement, the Fund might incur expenses in enforcing its rights, and could experience losses, including a decline in the value of the collateral and loss of income. |
Average Net Assets | Rate | |||
First $250 million | 0 | .40% | ||
Over $250 million | 0 | .35% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Short-term Investments | $ | — | $ | 26,625,620 | $ | — | $ | 26,625,620 | ||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 55,671 | $ | 50,085 | ||||
2010 | ||||
Undistributed ordinary income | $ | 46,443 | ||
Temporary book/tax differences | (46,443 | ) | ||
Capital loss carryforward | (2,143 | ) | ||
Shares of beneficial interest | 26,604,760 | |||
Total net assets | $ | 26,602,617 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2018 | $ | 2,143 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 9,579,686 | $ | 9,579,686 | 14,958,501 | $ | 14,958,537 | ||||||||||
Series II | 36,103 | 36,103 | 51,965 | 51,965 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 53,205 | 53,205 | 48,883 | 48,846 | ||||||||||||
Series II | 2,466 | 2,466 | 1,238 | 1,239 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (17,538,125 | ) | (17,538,125 | ) | (30,526,056 | ) | (30,526,056 | ) | ||||||||
Series II | (703,739 | ) | (703,739 | ) | (629,271 | ) | (629,271 | ) | ||||||||
Net increase (decrease) in share activity | (8,570,404 | ) | $ | (8,570,404 | ) | (16,094,740 | ) | $ | (16,094,740 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 92% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||
to average | to average net | Ratio of net | ||||||||||||||||||||||||||||||||||||||||||
Net asset | Net gains | Dividends | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||
value, | Net | (losses) | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | |||||||||||||||||||||||||||||||||||
beginning | investment | on securities | investment | investment | value, end | Total | end of period | and/or expenses | and/or expenses | to average | ||||||||||||||||||||||||||||||||||
of period | income | (realized) | operations | income | of period | Return(a) | (000s omitted) | absorbed | absorbed | net assets | ||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 1.00 | $ | 0.00 | (b) | $ | (0.00 | ) | $ | 0.00 | $ | (0.00 | ) | $ | 1.00 | 0.18 | % | $ | 25,578 | 0.16 | %(c) | 1.01 | %(c) | 0.18 | %(c) | |||||||||||||||||||
Year ended 12/31/09 | 1.00 | 0.00 | (b) | — | 0.00 | (0.00 | ) | 1.00 | 0.11 | 33,486 | 0.65 | 0.90 | 0.11 | |||||||||||||||||||||||||||||||
Year ended 12/31/08 | 1.00 | 0.02 | (b) | — | 0.02 | (0.02 | ) | 1.00 | 2.04 | 49,004 | 0.86 | 0.86 | 2.02 | |||||||||||||||||||||||||||||||
Year ended 12/31/07 | 1.00 | 0.04 | — | 0.04 | (0.04 | ) | 1.00 | 4.54 | 46,492 | 0.86 | 0.86 | 4.45 | ||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 1.00 | 0.04 | — | 0.04 | (0.04 | ) | 1.00 | 4.27 | 43,568 | 0.90 | 0.90 | 4.20 | ||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 1.00 | 0.00 | (b) | (0.00 | ) | 0.00 | (0.00 | ) | 1.00 | 0.18 | 1,024 | 0.16 | (c) | 1.26 | (c) | 0.18 | (c) | |||||||||||||||||||||||||||
Year ended 12/31/09 | 1.00 | 0.00 | (b) | — | 0.00 | (0.00 | ) | 1.00 | 0.06 | 1,690 | 0.70 | 1.15 | 0.06 | |||||||||||||||||||||||||||||||
Year ended 12/31/08 | 1.00 | 0.02 | (b) | — | 0.02 | (0.02 | ) | 1.00 | 1.78 | 2,266 | 1.11 | 1.11 | 1.77 | |||||||||||||||||||||||||||||||
Year ended 12/31/07 | 1.00 | 0.04 | — | 0.04 | (0.04 | ) | 1.00 | 4.28 | 2,515 | 1.11 | 1.11 | 4.20 | ||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 1.00 | 0.04 | — | 0.04 | (0.04 | ) | 1.00 | 4.01 | 2,341 | 1.15 | 1.15 | 3.95 | ||||||||||||||||||||||||||||||||
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(b) | Calculated using average shares outstanding. | |
(c) | Ratios are based on average daily net assets (000’s) of $29,412 and $1,302 for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,000.40 | $ | 1.36 | $ | 1,023.84 | $ | 1.38 | 0.27 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,000.40 | 1.36 | 1,023.84 | 1.38 | 0.27 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 0% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||||||
Funds in | ||||||||||||||
Fund Complex | ||||||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||||||
Interested Persons | ||||||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||||||
Independent Trustees | ||||||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. | |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. | |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||||||
Funds in | ||||||||||||||
Fund Complex | ||||||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||||||
Independent Trustees | ||||||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/ Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||||||
T-2
Number of | ||||||||||||
Funds in | ||||||||||||
Fund Complex | ||||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||||
Other Officers | ||||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||||
John M. Zerr ��� 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||||
T-3
Number of | ||||||||||||
Funds in | ||||||||||||
Fund Complex | ||||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||||
Other Officers | ||||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
Bank of New York Mellon
2 Hanson Place
Brooklyn, NY 11217-1431
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 28.54 | % | ||
Series II Shares | 28.21 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
Russell 2000 Index▼ (Style-Specific Index) | 26.85 | |||
Lipper VUF Small-Cap Core Funds Index▼ (Peer Group) | 25.20 | |||
▼Lipper Inc. |
1. | Fundamental analysis. Building financial models and conducting in-depth interviews with company management. | |
2. | Valuation analysis. Identifying attractively valued stocks given their |
growth potential over a one- to two-year horizon. | ||
3. | Timeliness analysis. Identifying the “timeliness” of a stock purchase. We review trading volume characteristics and trend analysis to make sure there are no signs of the stock deterioration. This also serves as a risk management measure that helps us confirm our high conviction candidates. |
n | Our original investment thesis is not valid because the fundamentals are no longer intact. | |
n | The price target set at purchase is exceeded. | |
n | The company’s timeliness profile deteriorates. |
Information Technology | 18.0 | % | ||
Consumer Discretionary | 16.9 | |||
Industrials | 16.7 | |||
Financials | 15.6 | |||
Health Care | 10.0 | |||
Energy | 8.7 | |||
Materials | 6.0 | |||
Consumer Staples | 2.1 | |||
Utilities | 1.3 | |||
Telecommunication Services | 0.8 | |||
Money Market Funds Plus | ||||
Other Assets Less Liabilities | 3.9 |
1. | Ariba Inc. | 1.9 | % | |||||
2. | Titan International, Inc. | 1.7 | ||||||
3. | TIBCO Software, Inc. | 1.6 | ||||||
4. | TRW Automotive Holdings Corp. | 1.6 | ||||||
5. | JDS Uniphase Corp. | 1.3 | ||||||
6. | Dillard’s, Inc. | 1.3 | ||||||
7. | Quest Software, Inc. | 1.2 | ||||||
8. | Phillips-Van Heusen Corp. | 1.2 | ||||||
9. | Gardner Denver Inc. | 1.2 | ||||||
10. | OSI Systems, Inc. | 1.2 |
1. | Regional Banks | 6.4 | % | |||||
2. | Restaurants | 4.5 | ||||||
3. | Application Software | 3.8 | ||||||
4. | Oil & Gas Equipment & Services | 3.7 | ||||||
5. | Environmental & Facilities Services | 3.1 |
Total Net Assets | $254.6 million | |||
Total Number of Holdings* | 104 |
*Excluding money market fund holdings.
1 | U.S. Federal Reserve | |
2 | Bureau of Economic Analysis | |
3 | U.S. Bureau of Labor Statistics |
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. Small Cap Equity Fund. Ms. Ellis joined Invesco in 2004. She began her investment career in 1981. Ms. Ellis earned a B.A. in economics and political science from Indiana University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Small Cap Equity Fund. Mr. Hartsfield joined Invesco in 2004. He earned a B.S. in petroleum engineering from The University of Texas at Austin and an M.B.A. from the University of Michigan.
Series I Shares | ||||||||
Inception | (8/29/03) | 8.20 | % | |||||
5 Years | 5.76 | |||||||
1 Year | 28.54 | |||||||
Series II Shares | ||||||||
Inception | (8/29/03) | 7.95 | % | |||||
5 Years | 5.48 | |||||||
1 Year | 28.21 |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–96.09% | ||||||||
Advertising–1.15% | ||||||||
Interpublic Group of Cos., Inc. (The)(b) | 276,299 | $ | 2,934,295 | |||||
Aerospace & Defense–1.98% | ||||||||
AAR Corp.(b) | 91,746 | 2,520,263 | ||||||
Aerovironment Inc.(b) | 40,728 | 1,092,732 | ||||||
Curtiss-Wright Corp. | 43,397 | 1,440,780 | ||||||
5,053,775 | ||||||||
Agricultural Products–1.11% | ||||||||
Corn Products International, Inc. | 61,314 | 2,820,444 | ||||||
Air Freight & Logistics–1.14% | ||||||||
UTI Worldwide, Inc. | 136,791 | 2,899,969 | ||||||
Apparel Retail–1.94% | ||||||||
Genesco Inc.(b) | 69,827 | 2,617,814 | ||||||
Finish Line, Inc. (The)–Class A | 134,329 | 2,309,116 | ||||||
4,926,930 | ||||||||
Apparel, Accessories & Luxury Goods–2.07% | ||||||||
Hanesbrands, Inc.(b) | 84,315 | 2,141,601 | ||||||
Phillips-Van Heusen Corp. | 49,635 | 3,127,501 | ||||||
5,269,102 | ||||||||
Application Software–3.83% | ||||||||
Parametric Technology Corp.(b) | 112,804 | 2,541,474 | ||||||
Quest Software, Inc.(b) | 112,956 | 3,133,400 | ||||||
TIBCO Software, Inc.(b) | 207,193 | 4,083,774 | ||||||
9,758,648 | ||||||||
Asset Management & Custody Banks–1.78% | ||||||||
Affiliated Managers Group, Inc.(b) | 21,846 | 2,167,560 | ||||||
SEI Investments Co. | 98,920 | 2,353,307 | ||||||
4,520,867 | ||||||||
Auto Parts & Equipment–2.73% | ||||||||
Dana Holding Corp.(b) | 167,987 | 2,891,056 | ||||||
TRW Automotive Holdings Corp.(b) | 76,857 | 4,050,364 | ||||||
6,941,420 | ||||||||
Automotive Retail–0.85% | ||||||||
Penske Automotive Group, Inc.(b) | 124,589 | 2,170,340 | ||||||
Casinos & Gaming–0.81% | ||||||||
Bally Technologies Inc.(b) | 49,065 | 2,070,052 | ||||||
Coal & Consumable Fuels–1.04% | ||||||||
James River Coal Co.(b) | 104,283 | 2,641,488 | ||||||
Shares | ||||||||
Communications Equipment–2.10% | ||||||||
JDS Uniphase Corp.(b) | 236,224 | 3,420,524 | ||||||
Tellabs, Inc. | 285,717 | 1,937,161 | ||||||
5,357,685 | ||||||||
Construction, Farm Machinery & Heavy Trucks–2.47% | ||||||||
Titan International, Inc.(c) | 224,505 | 4,386,828 | ||||||
Trinity Industries, Inc. | 71,146 | 1,893,195 | ||||||
6,280,023 | ||||||||
Data Processing & Outsourced Services–1.10% | ||||||||
Wright Express Corp.(b) | 60,864 | 2,799,744 | ||||||
Department Stores–1.28% | ||||||||
Dillard’s, Inc.–Class A | 85,852 | 3,257,225 | ||||||
Diversified Chemicals–0.97% | ||||||||
FMC Corp. | 31,052 | 2,480,744 | ||||||
Diversified Metals & Mining–1.00% | ||||||||
Compass Minerals International, Inc. | 28,607 | 2,553,747 | ||||||
Electrical Components & Equipment–2.35% | ||||||||
Belden Inc. | 82,416 | 3,034,557 | ||||||
GrafTech International Ltd.(b) | 149,092 | 2,957,986 | ||||||
5,992,543 | ||||||||
Electronic Equipment & Instruments–1.82% | ||||||||
OSI Systems, Inc.(b) | 85,237 | 3,099,217 | ||||||
Rofin-Sinar Technologies, Inc.(b) | 43,463 | 1,540,329 | ||||||
4,639,546 | ||||||||
Environmental & Facilities Services–3.08% | ||||||||
ABM Industries Inc. | 111,527 | 2,933,160 | ||||||
Team, Inc.(b) | 115,130 | 2,786,146 | ||||||
Waste Connections, Inc. | 77,017 | 2,120,278 | ||||||
7,839,584 | ||||||||
Gas Utilities–1.34% | ||||||||
Energen Corp. | 31,066 | 1,499,245 | ||||||
UGI Corp. | 60,891 | 1,922,938 | ||||||
3,422,183 | ||||||||
Health Care Distributors–0.65% | ||||||||
Owens & Minor, Inc. | 56,555 | 1,664,414 | ||||||
Health Care Equipment–0.80% | ||||||||
Teleflex, Inc. | 37,994 | 2,044,457 | ||||||
Shares | Value | |||||||
Health Care Facilities–2.15% | ||||||||
Hanger Orthopedic Group, Inc.(b) | 117,501 | $ | 2,489,846 | |||||
Universal Health Services, Inc.–Class B | 68,466 | 2,972,794 | ||||||
5,462,640 | ||||||||
Health Care Services–0.71% | ||||||||
Gentiva Health Services, Inc.(b) | 67,649 | 1,799,463 | ||||||
Health Care Supplies–1.06% | ||||||||
Cooper Cos., Inc. (The) | 47,786 | 2,692,263 | ||||||
Health Care Technology–0.66% | ||||||||
Omnicell, Inc.(b) | 115,587 | 1,670,232 | ||||||
Home Furnishings–0.89% | ||||||||
Ethan Allen Interiors Inc. | 113,560 | 2,272,336 | ||||||
Industrial Machinery–3.04% | ||||||||
Gardner Denver Inc. | 45,406 | 3,124,841 | ||||||
IDEX Corp. | 64,365 | 2,517,959 | ||||||
Valmont Industries, Inc. | 23,521 | 2,087,018 | ||||||
7,729,818 | ||||||||
Insurance Brokers–0.80% | ||||||||
Arthur J. Gallagher & Co. | 70,439 | 2,048,366 | ||||||
Integrated Telecommunication Services–0.85% | ||||||||
Alaska Communications Systems Group Inc. | 193,990 | 2,153,289 | ||||||
Internet Software & Services–1.93% | ||||||||
GSI Commerce, Inc.(b) | 75,731 | 1,756,959 | ||||||
Open Text Corp. (Canada)(b) | 48,370 | 2,227,922 | ||||||
ValueClick, Inc.(b) | 57,532 | 922,238 | ||||||
4,907,119 | ||||||||
Investment Banking & Brokerage–0.80% | ||||||||
KBW Inc. | 73,122 | 2,041,566 | ||||||
IT Consulting & Other Services–0.82% | ||||||||
CACI International Inc.–Class A(b) | 39,156 | 2,090,930 | ||||||
Life Sciences Tools & Services–1.18% | ||||||||
Dionex Corp.(b) | 25,506 | 3,009,963 | ||||||
Metal & Glass Containers–0.89% | ||||||||
AptarGroup, Inc. | 47,656 | 2,266,996 | ||||||
Movies & Entertainment–0.67% | ||||||||
World Wrestling Entertainment, Inc.–Class A(c) | 119,952 | 1,708,117 | ||||||
Office REIT’s–1.50% | ||||||||
Alexandria Real Estate Equities, Inc. | 25,624 | 1,877,214 | ||||||
Digital Realty Trust, Inc.(c) | 37,900 | 1,953,366 | ||||||
3,830,580 | ||||||||
Oil & Gas Drilling–0.99% | ||||||||
Patterson-UTI Energy, Inc. | 117,395 | 2,529,862 | ||||||
Oil & Gas Equipment & Services–3.69% | ||||||||
Complete Production Services, Inc.(b) | 86,474 | 2,555,307 | ||||||
Dresser-Rand Group, Inc.(b) | 60,800 | 2,589,472 | ||||||
Lufkin Industries, Inc. | 27,700 | 1,728,203 | ||||||
Oceaneering International, Inc.(b) | 34,408 | 2,533,461 | ||||||
9,406,443 | ||||||||
Oil & Gas Exploration & Production–1.88% | ||||||||
Comstock Resources, Inc.(b) | 15,364 | 377,340 | ||||||
Forest Oil Corp.(b) | 74,312 | 2,821,627 | ||||||
SandRidge Energy Inc.(b) | 215,573 | 1,577,994 | ||||||
4,776,961 | ||||||||
Oil & Gas Refining & Marketing–1.07% | ||||||||
Frontier Oil Corp.(b) | 151,831 | 2,734,476 | ||||||
Packaged Foods & Meats–0.99% | ||||||||
TreeHouse Foods, Inc.(b) | 49,259 | 2,516,642 | ||||||
Paper Products–1.04% | ||||||||
Schweitzer-Mauduit International, Inc. | 42,039 | 2,645,094 | ||||||
Pharmaceuticals–2.76% | ||||||||
Valeant Pharmaceuticals International, Inc. | 81,278 | 2,299,355 | ||||||
ViroPharma Inc.(b) | 175,234 | 3,035,053 | ||||||
VIVUS, Inc.(b)(c) | 179,312 | 1,680,153 | ||||||
7,014,561 | ||||||||
Property & Casualty Insurance–1.61% | ||||||||
FPIC Insurance Group, Inc.(b) | 47,174 | 1,743,551 | ||||||
Hanover Insurance Group Inc. (The) | 35,046 | 1,637,349 | ||||||
Safety Insurance Group, Inc. | 15,114 | 718,973 | ||||||
4,099,873 | ||||||||
Regional Banks–6.43% | ||||||||
Associated Banc-Corp | 146,253 | 2,215,733 | ||||||
BancFirst Corp. | 47,380 | 1,951,582 | ||||||
Columbia Banking System, Inc. | 103,057 | 2,170,380 | ||||||
Commerce Bancshares, Inc. | 45,523 | 1,808,613 | ||||||
Community Trust Bancorp, Inc. | 53,236 | 1,541,715 | ||||||
East West Bancorp, Inc. | 123,685 | 2,418,042 | ||||||
FirstMerit Corp. | 95,557 | 1,891,073 | ||||||
Zions Bancorp. | 97,524 | 2,363,007 | ||||||
16,360,145 | ||||||||
Restaurants–4.46% | ||||||||
Brinker International, Inc. | 114,179 | 2,384,058 | ||||||
DineEquity, Inc.(b) | 52,191 | 2,577,192 | ||||||
P.F. Chang’s China Bistro, Inc.(c) | 43,976 | 2,131,077 | ||||||
Shares | Value | |||||||
Restaurants–(continued) | ||||||||
Papa John’s International, Inc.(b) | 53,425 | $ | 1,479,872 | |||||
Texas Roadhouse, Inc.(b) | 162,164 | 2,784,356 | ||||||
11,356,555 | ||||||||
Retail REIT’s–1.01% | ||||||||
Tanger Factory Outlet Centers, Inc. | 50,300 | 2,574,857 | ||||||
Semiconductor Equipment–2.61% | ||||||||
Advanced Energy Industries, Inc.(b) | 128,870 | 1,757,787 | ||||||
Cymer, Inc.(b) | 54,300 | 2,447,301 | ||||||
MKS Instruments, Inc.(b) | 99,583 | 2,438,788 | ||||||
6,643,876 | ||||||||
Semiconductors–1.06% | ||||||||
Semtech Corp.(b) | 118,739 | 2,688,251 | ||||||
Specialized REIT’s–1.71% | ||||||||
LaSalle Hotel Properties | 105,648 | 2,789,107 | ||||||
Senior Housing Properties Trust | 71,446 | 1,567,526 | ||||||
4,356,633 | ||||||||
Specialty Chemicals–2.07% | ||||||||
Innophos Holdings, Inc. | 66,937 | 2,415,087 | ||||||
PolyOne Corp.(b) | 227,945 | 2,847,033 | ||||||
5,262,120 | ||||||||
Systems Software–1.85% | ||||||||
Ariba Inc.(b) | 201,023 | 4,722,030 | ||||||
Technology Distributors–0.83% | ||||||||
Ingram Micro Inc.–Class A(b) | 110,701 | 2,113,282 | ||||||
Trading Companies & Distributors–0.79% | ||||||||
Beacon Roofing Supply, Inc.(b) | 112,286 | 2,006,551 | ||||||
Trucking–1.90% | ||||||||
Landstar System, Inc. | 47,642 | 1,950,464 | ||||||
Old Dominion Freight Line, Inc.(b) | 89,861 | 2,874,653 | ||||||
4,825,117 | ||||||||
Total Common Stocks & Other Equity Interests (Cost $176,538,798) | 244,656,232 | |||||||
Money Market Funds–3.04% | ||||||||
Liquid Assets Portfolio–Institutional Class(d) | 3,865,421 | 3,865,421 | ||||||
Premier Portfolio–Institutional Class(d) | 3,865,421 | 3,865,421 | ||||||
Total Money Market Funds (Cost $7,730,842) | 7,730,842 | |||||||
TOTAL INVESTMENTS (excluding investments purchased with cash collateral from securities on loan)–99.13% (Cost $184,269,640) | 252,387,074 | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds–3.56% | ||||||||
Liquid Assets Portfolio–Institutional Class (Cost $9,064,245)(e) | 9,064,245 | 9,064,245 | ||||||
TOTAL INVESTMENTS–102.69% (Cost $193,333,885) | 261,451,319 | |||||||
OTHER ASSETS LESS LIABILITIES–(2.69)% | (6,855,940 | ) | ||||||
NET ASSETS–100.00% | $ | 254,595,379 | ||||||
REIT | – Real Estate Investment Trust |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | All or a portion of this security was out on loan at December 31, 2010. | |
(d) | The money market fund and the Fund are affiliated by having the same investment adviser. | |
(e) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 1I. |
Assets: | ||||
Investments, at value (Cost $176,538,798)* | $ | 244,656,232 | ||
Investments in affiliated money market funds, at value and cost | 16,795,087 | |||
Total investments, at value (Cost $193,333,885) | 261,451,319 | |||
Receivable for: | ||||
Investments sold | 4,172,395 | |||
Fund shares sold | 247,984 | |||
Dividends | 175,222 | |||
Investment for trustee deferred compensation and retirement plans | 18,494 | |||
Other assets | 14 | |||
Total assets | 266,065,428 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 1,864,813 | |||
Fund shares reacquired | 182,629 | |||
Collateral upon return of securities loaned | 9,064,245 | |||
Accrued fees to affiliates | 297,950 | |||
Accrued other operating expenses | 30,518 | |||
Trustee deferred compensation and retirement plans | 29,894 | |||
Total liabilities | 11,470,049 | |||
Net assets applicable to shares outstanding | $ | 254,595,379 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 224,619,001 | ||
Undistributed net investment income (loss) | (28,013 | ) | ||
Undistributed net realized gain (loss) | (38,113,043 | ) | ||
Unrealized appreciation | 68,117,434 | |||
$ | 254,595,379 | |||
Net Assets: | ||||
Series I | $ | 220,925,107 | ||
Series II | $ | 33,670,272 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 13,365,838 | |||
Series II | 2,069,368 | |||
Series I: | ||||
Net asset value per share | $ | 16.53 | ||
Series II: | ||||
Net asset value per share | $ | 16.27 | ||
* | At December 31, 2010, securities with an aggregate value of $8,828,622 were on loan to brokers. |
Investment income: | ||||
Dividends (net of foreign withholding taxes of $17,555) | $ | 2,048,831 | ||
Dividends from affiliated money market funds (includes securities lending income of $28,263) | 34,716 | |||
Total investment income | 2,083,547 | |||
Expenses: | ||||
Advisory fees | 1,620,986 | |||
Administrative services fees | 601,988 | |||
Custodian fees | 17,398 | |||
Distribution fees — Series II | 55,765 | |||
Transfer agent fees | 18,342 | |||
Trustees’ and officers’ fees and benefits | 21,788 | |||
Other | 45,093 | |||
Total expenses | 2,381,360 | |||
Less: Fees waived | (7,662 | ) | ||
Net expenses | 2,373,698 | |||
Net investment income (loss) | (290,151 | ) | ||
Realized and unrealized gain from: | ||||
Net realized gain from investment securities (includes net gains (losses) from securities sold to affiliates of $(94,460)) | 806,612 | |||
Change in net unrealized appreciation of investment securities | 53,570,548 | |||
Net realized and unrealized gain | 54,377,160 | |||
Net increase in net assets resulting from operations | $ | 54,087,009 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income (loss) | $ | (290,151 | ) | $ | (40,537 | ) | ||
Net realized gain (loss) | 806,612 | (20,760,004 | ) | |||||
Change in net unrealized appreciation | 53,570,548 | 54,460,389 | ||||||
Net increase in net assets resulting from operations | 54,087,009 | 33,659,848 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | — | (278,362 | ) | |||||
Series II | — | (15,577 | ) | |||||
Total distributions from net investment income | — | (293,939 | ) | |||||
Share transactions–net: | ||||||||
Series I | (5,817,750 | ) | (4,469,997 | ) | ||||
Series II | 13,329,420 | 6,233,450 | ||||||
Net increase in net assets resulting from share transactions | 7,511,670 | 1,763,453 | ||||||
Net increase in net assets | 61,598,679 | 35,129,362 | ||||||
Net assets: | ||||||||
Beginning of year | 192,996,700 | 157,867,338 | ||||||
End of year (includes undistributed net investment income (loss) of $(28,013) and $(24,065), respectively) | $ | 254,595,379 | $ | 192,996,700 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as |
institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the |
financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | ||
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. |
Average Net Assets | Rate | |||
First $250 million | 0 | .745% | ||
Next $250 million | 0 | .73% | ||
Next $500 million | 0 | .715% | ||
Next $1.5 billion | 0 | .70% | ||
Next $2.5 billion | 0 | .685% | ||
Next $2.5 billion | 0 | .67% | ||
Next $2.5 billion | 0 | .655% | ||
Over $10 billion | 0 | .64% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 261,451,319 | $ | — | $ | — | $ | 261,451,319 | ||||||||
2010 | 2009 | |||||||
Ordinary income | $ | — | $ | 293,939 | ||||
2010 | ||||
Net unrealized appreciation — investments | $ | 66,005,751 | ||
Temporary book/tax differences | (28,013 | ) | ||
Capital loss carryforward | (36,001,360 | ) | ||
Shares of beneficial interest | 224,619,001 | |||
Total net assets | $ | 254,595,379 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 12,193,641 | ||
December 31, 2017 | 22,760,741 | |||
December 31, 2018 | 1,046,978 | |||
Total capital loss carryforward | $ | 36,001,360 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 66,769,084 | ||
Aggregate unrealized (depreciation) of investment securities | (763,333 | ) | ||
Net unrealized appreciation of investment securities | $ | 66,005,751 | ||
Cost of investments for tax purposes is $195,445,568. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 4,244,898 | $ | 60,143,350 | 3,683,269 | $ | 39,156,749 | ||||||||||
Series II | 1,189,752 | 16,471,236 | 780,951 | 8,298,387 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | — | — | 22,558 | 278,362 | ||||||||||||
Series II | — | — | 1,279 | 15,577 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (4,793,630 | ) | (65,961,100 | ) | (4,128,279 | ) | (43,905,108 | ) | ||||||||
Series II | (227,279 | ) | (3,141,816 | ) | (204,276 | ) | (2,080,514 | ) | ||||||||
Net increase in share activity | 413,741 | $ | 7,511,670 | 155,502 | $ | 1,763,453 | ||||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 75% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | Net | on securities | Dividends | Distributions | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||||||||
value, | investment | (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income (loss) | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | income | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | (loss)(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 12.86 | $ | (0.02 | ) | $ | 3.69 | $ | 3.67 | $ | — | $ | — | $ | — | $ | 16.53 | 28.54 | % | $ | 220,925 | 1.07 | %(d) | 1.07 | %(d) | (0.11 | )%(d) | 46 | % | |||||||||||||||||||||||||||
Year ended 12/31/09 | 10.62 | (0.00 | ) | 2.26 | 2.26 | (0.02 | ) | — | (0.02 | ) | 12.86 | 21.29 | 178,949 | 1.09 | 1.09 | (0.01 | ) | 46 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 15.53 | 0.02 | (4.88 | ) | (4.86 | ) | — | (0.05 | ) | (0.05 | ) | 10.62 | (31.31 | ) | 152,310 | 1.09 | 1.09 | 0.16 | 55 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 15.19 | (0.01 | ) | 0.81 | 0.80 | (0.01 | ) | (0.45 | ) | (0.46 | ) | 15.53 | 5.19 | 168,286 | 1.12 | 1.15 | (0.07 | ) | 45 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 13.46 | (0.01 | ) | 2.37 | 2.36 | — | (0.63 | ) | (0.63 | ) | 15.19 | 17.44 | 93,243 | 1.15 | 1.33 | (0.06 | ) | 52 | ||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 12.69 | (0.05 | ) | 3.63 | 3.58 | — | — | — | 16.27 | 28.21 | 33,670 | 1.32 | (d) | 1.32 | (d) | (0.36 | )(d) | 46 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 10.51 | (0.03 | ) | 2.23 | 2.20 | (0.02 | ) | — | (0.02 | ) | 12.69 | 20.90 | 14,048 | 1.34 | 1.34 | (0.26 | ) | 46 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 15.39 | (0.00 | ) | (4.83 | ) | (4.83 | ) | — | (0.05 | ) | (0.05 | ) | 10.51 | (31.40 | ) | 5,557 | 1.34 | 1.34 | (0.09 | ) | 55 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 15.10 | (0.05 | ) | 0.79 | 0.74 | — | (0.45 | ) | (0.45 | ) | 15.39 | 4.84 | 32 | 1.37 | 1.40 | (0.32 | ) | 45 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 13.41 | (0.04 | ) | 2.36 | 2.32 | — | (0.63 | ) | (0.63 | ) | 15.10 | 17.20 | 854 | 1.40 | 1.58 | (0.31 | ) | 52 | ||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year. For the period ending December 31, 2007, the portfolio turnover calculation excludes the value of securities purchased of $17,709,035 and sold of $19,432,514 in the effort to realign the Fund’s portfolio holdings after the reorganization of AIM V.I. Small Cap Growth Fund into the Fund. | |
(d) | Ratios are based on average daily net assets (000’s) of $195,276 and $22,306 for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
ACTUAL | (5% annual return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,295.50 | $ | 6.13 | $ | 1,019.86 | $ | 5.40 | 1.06 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,294.30 | 7.58 | 1,018.60 | 6.67 | 1.31 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 21.30 | % | ||
Series II Shares | 21.03 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
BofA Merrill Lynch 100 Technology Index▼ (Style-Specific Index) | 18.78 | |||
Lipper VUF Science & Technology Funds Category Average▼ (Peer Group) | 20.51 | |||
▼ | Lipper Inc. |
n | A stock’s price reaches its valuation target. | |
n | A company’s fundamentals change or deteriorate. | |
n | It no longer meets our investment criteria. |
Information Technology | 91.1 | % | ||
Consumer Discretionary | 2.6 | |||
Materials | 1.1 | |||
Financials | 0.6 | |||
Health Care | 0.4 | |||
Money Market Funds Plus | ||||
Other Assets Less Liabilities | 4.2 |
1. | Apple Inc. | 7.2 | % | |||||
2. | Google Inc.-Class A | 4.2 | ||||||
3. | Cognizant Technology | |||||||
Solutions Corp., Class A | 4.1 | |||||||
4. | Check Point Software | |||||||
Technologies Ltd. | 3.6 | |||||||
5. | QUALCOMM, Inc. | 3.0 | ||||||
6. | Intel Corp. | 2.8 | ||||||
7. | Microsoft Corp. | 2.7 | ||||||
8. | Tyco Electronics Ltd. | 2.7 | ||||||
9. | Microsemi Corp. | 2.6 | ||||||
10. | EMC Corp. | 2.3 |
1. | Semiconductors | 15.3 | % | |||||
2. | Systems Software | 14.9 | ||||||
3. | Communications Equipment | 12.3 | ||||||
4. | Computer Hardware | 7.7 | ||||||
5. | Application Software | 6.8 |
Total Net Assets | $129.5 million | |||
Total Number of Holdings* | 70 |
*Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. Technology Fund. Mr. Tennant joined Invesco in 2000 and was named a portfolio manager in 2007 before becoming lead manager of the Fund in 2008. He earned both a B.B.A. in finance and an M.B.A. from The University of Texas at Austin.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Technology Fund. He began his investment career in 1995 and joined Invesco in 2004. Mr. Nelson earned a B.A. from the University of California-Santa Barbara and is a member of the CFA Society of San Francisco.
Series I Shares | ||||||||
Inception (5/20/97) | 3.58 | % | ||||||
10 | Years | -5.57 | ||||||
5 | Years | 4.74 | ||||||
1 | Year | 21.30 | ||||||
Series II Shares | ||||||||
10 | Years | -5.82 | % | |||||
5 | Years | 4.48 | ||||||
1 | Year | 21.03 |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–95.85% | ||||||||
Application Software–6.80% | ||||||||
Autodesk, Inc.(b) | 49,417 | $ | 1,887,729 | |||||
Citrix Systems, Inc.(b) | 28,420 | 1,944,212 | ||||||
NICE Systems Ltd.–ADR (Israel)(b) | 47,667 | 1,663,578 | ||||||
Quest Software, Inc.(b) | 59,236 | 1,643,207 | ||||||
TIBCO Software, Inc.(b) | 84,602 | 1,667,506 | ||||||
8,806,232 | ||||||||
Communications Equipment–12.31% | ||||||||
Acme Packet, Inc.(b) | 28,171 | 1,497,570 | ||||||
Ciena Corp.(b) | 97,074 | 2,043,408 | ||||||
Cisco Systems, Inc.(b) | 126,879 | 2,566,762 | ||||||
Finisar Corp.(b) | 52,533 | 1,559,705 | ||||||
JDS Uniphase Corp.(b) | 118,169 | 1,711,087 | ||||||
Plantronics, Inc. | 28,095 | 1,045,696 | ||||||
Polycom, Inc.(b) | 33,143 | 1,291,914 | ||||||
QUALCOMM, Inc. | 77,998 | 3,860,121 | ||||||
Sycamore Networks, Inc. | 17,714 | 364,731 | ||||||
15,940,994 | ||||||||
Computer Hardware–7.69% | ||||||||
Apple Inc.(b) | 28,985 | 9,349,401 | ||||||
Dell, Inc.(b) | 45,318 | 614,059 | ||||||
9,963,460 | ||||||||
Computer Storage & Peripherals–5.75% | ||||||||
Compellant Technologies, Inc.(b) | 22,584 | 623,092 | ||||||
EMC Corp.(b) | 130,314 | 2,984,191 | ||||||
NetApp, Inc.(b) | 21,778 | 1,196,919 | ||||||
SanDisk Corp.(b) | 13,259 | 661,094 | ||||||
Seagate Technology PLC (Ireland)(b) | 41,993 | 631,155 | ||||||
STEC Inc.(b)(c) | 41,562 | 733,569 | ||||||
Western Digital Corp.(b) | 18,151 | 615,319 | ||||||
7,445,339 | ||||||||
Data Processing & Outsourced Services–5.50% | ||||||||
Alliance Data Systems Corp.(b)(c) | 31,147 | 2,212,372 | ||||||
MasterCard, Inc.–Class A | 6,820 | 1,528,430 | ||||||
Visa Inc., Class A | 8,285 | 583,098 | ||||||
Western Union Co. (The) | 54,673 | 1,015,278 | ||||||
Wright Express Corp.(b) | 38,794 | 1,784,524 | ||||||
7,123,702 | ||||||||
Electronic Components–1.90% | ||||||||
Corning Inc. | 67,603 | 1,306,090 | ||||||
Dolby Laboratories Inc.–Class A(b) | 17,212 | 1,148,040 | ||||||
2,454,130 | ||||||||
Electronic Manufacturing Services–5.30% | ||||||||
Flextronics International Ltd. (Singapore)(b) | 317,661 | 2,493,639 | ||||||
Jabil Circuit, Inc. | 46,823 | 940,674 | ||||||
Tyco Electronics Ltd. (Switzerland) | 96,997 | 3,433,694 | ||||||
6,868,007 | ||||||||
Fertilizers & Agricultural Chemicals–1.14% | ||||||||
Monsanto Co. | 21,260 | 1,480,546 | ||||||
Health Care Equipment–0.44% | ||||||||
Masimo Corp. | 19,751 | 574,162 | ||||||
Home Entertainment Software–0.52% | ||||||||
Nintendo Co., Ltd. (Japan) | 2,300 | 674,738 | ||||||
Internet Retail–2.61% | ||||||||
Amazon.com, Inc.(b) | 12,539 | 2,257,020 | ||||||
Netflix Inc.(b) | 6,367 | 1,118,682 | ||||||
3,375,702 | ||||||||
Internet Software & Services–6.24% | ||||||||
Google Inc., Class A(b) | 9,190 | 5,458,584 | ||||||
GSI Commerce, Inc.(b) | 34,994 | 811,861 | ||||||
VeriSign, Inc. | 29,962 | 978,859 | ||||||
Yahoo! Inc.(b) | 49,973 | 831,051 | ||||||
8,080,355 | ||||||||
IT Consulting & Other Services–6.33% | ||||||||
Accenture PLC–Class A (Ireland) | 26,512 | 1,285,567 | ||||||
Cognizant Technology Solutions Corp.–Class A(b) | 73,216 | 5,366,000 | ||||||
International Business Machines Corp. | 10,550 | 1,548,318 | ||||||
8,199,885 | ||||||||
Other Diversified Financial Services–0.59% | ||||||||
BlueStream Ventures L.P. (Acquired 08/03/00–06/13/08; Cost $3,149,655)(d)(e) | — | 758,037 | ||||||
Semiconductor Equipment–2.60% | ||||||||
Advanced Energy Industries, Inc.(b) | 49,103 | 669,765 | ||||||
ASML Holding N.V.–New York Shares (Netherlands) | 35,717 | 1,369,390 | ||||||
Cymer, Inc.(b) | 29,445 | 1,327,086 | ||||||
3,366,241 | ||||||||
Shares | Value | |||||||
Semiconductors–15.25% | ||||||||
Atmel Corp.(b) | 28,895 | $ | 355,986 | |||||
Avago Technologies Ltd. (Singapore) | 71,137 | 2,025,270 | ||||||
Broadcom Corp.–Class A | 49,646 | 2,162,083 | ||||||
Cirrus Logic, Inc.(b)(c) | 58,075 | 928,039 | ||||||
Cypress Semiconductor Corp.(b) | 18,444 | 342,690 | ||||||
Intel Corp. | 172,140 | 3,620,104 | ||||||
Marvell Technology Group Ltd.(b) | 31,094 | 576,794 | ||||||
Microsemi Corp.(b) | 146,215 | 3,348,323 | ||||||
ON Semiconductor Corp.(b) | 173,977 | 1,718,893 | ||||||
RF Micro Devices, Inc.(b) | 140,799 | 1,034,873 | ||||||
Semtech Corp.(b) | 73,731 | 1,669,270 | ||||||
Skyworks Solutions, Inc.(b) | 34,757 | 995,093 | ||||||
Xilinx, Inc. | 33,698 | 976,568 | ||||||
19,753,986 | ||||||||
Systems Software–14.88% | ||||||||
Ariba Inc.(b) | 75,305 | 1,768,914 | ||||||
Check Point Software Technologies Ltd. (Israel)(b) | 99,830 | 4,618,136 | ||||||
CommVault Systems, Inc.(b) | 20,592 | 589,343 | ||||||
Microsoft Corp. | 126,747 | 3,538,776 | ||||||
Oracle Corp. | 90,410 | 2,829,833 | ||||||
Red Hat, Inc.(b) | 46,701 | 2,131,901 | ||||||
Rovi Corp.(b) | 44,813 | 2,778,854 | ||||||
Symantec Corp.(b) | 60,523 | 1,013,155 | ||||||
19,268,912 | ||||||||
Total Common Stocks & Other Equity Interests (Cost $92,880,196) | 124,134,428 | |||||||
Money Market Funds–4.42% | ||||||||
Liquid Assets Portfolio–Institutional Class(f) | 2,863,131 | 2,863,131 | ||||||
Premier Portfolio–Institutional Class(f) | 2,863,131 | 2,863,131 | ||||||
Total Money Market Funds (Cost $5,726,262) | 5,726,262 | |||||||
TOTAL INVESTMENTS (excluding investments purchased with cash collateral from securities on loan)–100.27% (Cost $98,606,458) | 129,860,690 | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds–2.03% | ||||||||
| ||||||||
Liquid Assets Portfolio–Institutional Class (Cost $2,624,582)(f)(g) | 2,624,582 | 2,624,582 | ||||||
TOTAL INVESTMENTS–102.30% (Cost $101,231,040) | 132,485,272 | |||||||
OTHER ASSETS LESS LIABILITIES–(2.30)% | (2,982,911 | ) | ||||||
NET ASSETS–100.00% | $ | 129,502,361 | ||||||
ADR | – American Depositary Receipt |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | All or a portion of this security was out on loan at December 31, 2010. | |
(d) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The value of this security at December 31, 2010 represented 0.59% of the Fund’s Net Assets. | |
(e) | The Fund has a remaining commitment of $101,250 to purchase additional interests in BlueStream Ventures L.P., which is subject to the terms of the limited partnership agreement. | |
(f) | The money market fund and the Fund are affiliated by having the same investment adviser. | |
(g) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 1J. |
Assets: | ||||
Investments, at value (Cost $92,880,196)* | $ | 124,134,428 | ||
Investments in affiliated money market funds, at value and cost | 8,350,844 | |||
Total investments, at value (Cost $101,231,040) | 132,485,272 | |||
Foreign currencies, at value (Cost $11,522) | 12,317 | |||
Receivable for: | ||||
Fund shares sold | 57,024 | |||
Dividends | 35,391 | |||
Investment for trustee deferred compensation and retirement plans | 31,272 | |||
Total assets | 132,621,276 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 260,794 | |||
Collateral upon return of securities loaned | 2,624,582 | |||
Accrued fees to affiliates | 148,727 | |||
Accrued other operating expenses | 37,744 | |||
Trustee deferred compensation and retirement plans | 47,068 | |||
Total liabilities | 3,118,915 | |||
Net assets applicable to shares outstanding | $ | 129,502,361 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 109,883,197 | ||
Undistributed net investment income | 2,101,126 | |||
Undistributed net realized gain (loss) | (13,736,989 | ) | ||
Unrealized appreciation | 31,255,027 | |||
$ | 129,502,361 | |||
Net Assets: | ||||
Series I | $ | 128,304,410 | ||
Series II | $ | 1,197,951 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 8,018,454 | |||
Series II | 76,258 | |||
Series I: | ||||
Net asset value per share | $ | 16.00 | ||
Series II: | ||||
Net asset value per share | $ | 15.71 | ||
* | At December 31, 2010, securities with an aggregate value of $2,558,428 were on loan to brokers. |
Investment income: | ||||
Dividends (net of foreign withholding taxes of $2,696) | $ | 1,516,352 | ||
Dividends from affiliated money market funds (includes securities lending income of $9,450) | 14,201 | |||
Total investment income | 1,530,553 | |||
Expenses: | ||||
Advisory fees | 869,432 | |||
Administrative services fees | 335,028 | |||
Custodian fees | 10,919 | |||
Distribution fees — Series II | 1,537 | |||
Transfer agent fees | 34,270 | |||
Trustees’ and officers’ fees and benefits | 18,842 | |||
Other | 57,883 | |||
Total expenses | 1,327,911 | |||
Less: Fees waived | (5,592 | ) | ||
Net expenses | 1,322,319 | |||
Net investment income | 208,234 | |||
Realized and unrealized gain from: | ||||
Net realized gain from: | ||||
Investment securities | 7,910,820 | |||
Foreign currencies | 920 | |||
7,911,740 | ||||
Change in net unrealized appreciation of: | ||||
Investment securities | 14,070,906 | |||
Foreign currencies | 1,035 | |||
14,071,941 | ||||
Net realized and unrealized gain | 21,983,681 | |||
Net increase in net assets resulting from operations | $ | 22,191,915 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income (loss) | $ | 208,234 | $ | (246,156 | ) | |||
Net realized gain (loss) | 7,911,740 | (7,709,275 | ) | |||||
Change in net unrealized appreciation | 14,071,941 | 49,818,541 | ||||||
Net increase in net assets resulting from operations | 22,191,915 | 41,863,110 | ||||||
Share transactions–net: | ||||||||
Series I | (13,096,747 | ) | 6,048,496 | |||||
Series II | 622,157 | 212,164 | ||||||
Net increase (decrease) in net assets resulting from share transactions | (12,474,590 | ) | 6,260,660 | |||||
Net increase in net assets | 9,717,325 | 48,123,770 | ||||||
Net assets: | ||||||||
Beginning of year | 119,785,036 | 71,661,266 | ||||||
End of year (includes undistributed net investment income of $2,101,126 and $1,797,307, respectively) | $ | 129,502,361 | $ | 119,785,036 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. |
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Other Risks — The Fund’s investments are concentrated in a comparatively narrow segment of the economy, which may make the Fund more volatile. | |
Many products and services offered in technology-related industries are subject to rapid obsolescence, which may lower the value of the issuers in this sector. | ||
J. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
K. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
L. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $250 million | 0 | .75% | ||
Next $250 million | 0 | .74% | ||
Next $500 million | 0 | .73% | ||
Next $1.5 billion | 0 | .72% | ||
Next $2.5 billion | 0 | .71% | ||
Next $2.5 billion | 0 | .70% | ||
Next $2.5 billion | 0 | .69% | ||
Over $10 billion | 0 | .68% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 131,727,235 | $ | — | $ | 758,037 | $ | 132,485,272 | ||||||||
2010 | ||||
Undistributed ordinary income | $ | 200,163 | ||
Net unrealized appreciation — investments | 33,194,887 | |||
Net unrealized appreciation — other investments | 795 | |||
Temporary book/tax differences | (42,768 | ) | ||
Capital loss carryforward | (13,733,913 | ) | ||
Shares of beneficial interest | 109,883,197 | |||
Total net assets | $ | 129,502,361 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 2,325,577 | ||
December 31, 2017 | 11,408,336 | |||
Total capital loss carryforward | $ | 13,733,913 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 37,939,894 | ||
Aggregate unrealized (depreciation) of investment securities | (4,745,007 | ) | ||
Net unrealized appreciation of investment securities | $ | 33,194,887 | ||
Cost of investments for tax purposes is $99,290,385. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 1,717,411 | $ | 23,632,823 | 2,735,605 | $ | 28,624,111 | ||||||||||
Series II | 62,723 | 886,304 | 21,914 | 249,444 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (2,747,969 | ) | (36,729,570 | ) | (2,226,031 | ) | (22,575,615 | ) | ||||||||
Series II | (18,555 | ) | (264,147 | ) | (3,726 | ) | (37,280 | ) | ||||||||
Net increase (decrease) in share activity | (986,390 | ) | $ | (12,474,590 | ) | 527,762 | $ | 6,260,660 | ||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 67% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||
Net asset | Net | on securities | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||
value, | investment | (both | Total from | Net asset | Net assets, | with fee waivers | fee waivers | income (loss) | ||||||||||||||||||||||||||||||||||||
beginning | income | realized and | investment | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | ||||||||||||||||||||||||||||||||||
of period | (loss) | unrealized) | operations | of period | Return(a) | (000s omitted) | absorbed | absorbed | net assets | turnover(b) | ||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 13.19 | $ | 0.02 | (c) | $ | 2.79 | $ | 2.81 | $ | 16.00 | 21.30 | % | $ | 128,304 | 1.14 | %(d) | 1.14 | %(d) | 0.18 | %(d) | 43 | % | |||||||||||||||||||||
Year ended 12/31/09 | 8.38 | (0.03 | )(c) | 4.84 | 4.81 | 13.19 | 57.40 | 119,369 | 1.18 | 1.19 | (0.27 | ) | 42 | |||||||||||||||||||||||||||||||
Year ended 12/31/08 | 15.10 | 0.01 | (c) | (6.73 | ) | (6.72 | ) | 8.38 | (44.50 | ) | 71,546 | 1.15 | 1.16 | 0.05 | 81 | |||||||||||||||||||||||||||||
Year ended 12/31/07 | 14.02 | (0.06 | ) | 1.14 | 1.08 | 15.10 | 7.70 | 158,739 | 1.10 | 1.10 | (0.38 | ) | 59 | |||||||||||||||||||||||||||||||
Year ended 12/31/06 | 12.69 | (0.08 | ) | 1.41 | 1.33 | 14.02 | 10.48 | 173,321 | 1.12 | 1.12 | (0.54 | ) | 116 | |||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 12.98 | (0.01 | )(c) | 2.74 | 2.73 | 15.71 | 21.03 | 1,198 | 1.39 | (d) | 1.39 | (d) | (0.07 | )(d) | 43 | |||||||||||||||||||||||||||||
Year ended 12/31/09 | 8.26 | (0.06 | )(c) | 4.78 | 4.72 | 12.98 | 57.14 | 417 | 1.43 | 1.44 | (0.52 | ) | 42 | |||||||||||||||||||||||||||||||
Year ended 12/31/08 | 14.95 | (0.02 | )(c) | (6.67 | ) | (6.69 | ) | 8.26 | (44.75 | ) | 115 | 1.40 | 1.41 | (0.20 | ) | 81 | ||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.91 | (0.10 | ) | 1.14 | 1.04 | 14.95 | 7.48 | 130 | 1.35 | 1.35 | (0.63 | ) | 59 | |||||||||||||||||||||||||||||||
Year ended 12/31/06 | 12.62 | (0.12 | ) | 1.41 | 1.29 | 13.91 | 10.22 | 134 | 1.37 | 1.37 | (0.79 | ) | 116 | |||||||||||||||||||||||||||||||
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(b) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(c) | Calculated using average shares outstanding. | |
(d) | Ratios are based on average daily net assets (000’s) of $115,309 and $615 for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
ACTUAL | (5% annual return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,322.30 | $ | 6.79 | $ | 1,019.36 | $ | 5.90 | 1.16 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,322.30 | 8.25 | 1,018.10 | 7.17 | 1.41 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 6.30 | % | ||
Series II Shares | 6.01 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
S&P 500 Utilities Index▼ (Style-Specific Index) | 5.46 | |||
Lipper VUF Utility Funds Category Average▼ (Peer Group) | 10.83 |
▼ | Lipper Inc. |
Utilities | 85.8 | % | ||
Telecommunication Services | 6.1 | |||
Energy | 3.8 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | 4.3 |
1. | Dominion Resources, Inc. | 4.9 | % | |||||
2. | Southern Co. | 4.6 | ||||||
3. | American Electric Power Co., Inc. | 4.6 | ||||||
4. | Xcel Energy, Inc. | 4.5 | ||||||
5. | Portland General Electric Co. | 4.3 | ||||||
6. | National Grid PLC | 4.3 | ||||||
7. | Pepco Holdings, Inc. | 4.2 | ||||||
8. | PPL Corp. | 3.8 | ||||||
9. | Entergy Corp. | 3.6 | ||||||
10. | Edison International | 3.6 |
Total Net Assets | $65.7 million | |||
Total Number of Holdings* | 37 |
*Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. Utilities Fund. Ms. Walsh joined Invesco in 1991. She has been in the industry since 1987. Ms. Walsh earned a B.S. in finance from the University of Maryland and an M.B.A. from Loyola University of Maryland.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Utilities Fund. Mr. Paddock joined Invesco in 2001. He earned a B.A. and an M.B.A. from The University of Texas at Austin.
Series I Shares | ||||||||
Inception (12/30/94) | 6.47 | % | ||||||
10 Years | 1.34 | |||||||
5 Years | 4.58 | |||||||
1 Year | 6.30 | |||||||
Series II Shares | ||||||||
10 Years | 1.09 | % | ||||||
5 Years | 4.32 | |||||||
1 Year | 6.01 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least April 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks–95.66% | ||||||||
Electric Utilities–45.74% | ||||||||
American Electric Power Co., Inc. | 83,238 | $ | 2,994,903 | |||||
Duke Energy Corp. | 104,755 | 1,865,687 | ||||||
E.ON AG (Germany) | 53,357 | 1,636,266 | ||||||
Edison International | 60,747 | 2,344,834 | ||||||
Entergy Corp. | 33,384 | 2,364,589 | ||||||
Exelon Corp. | 37,918 | 1,578,906 | ||||||
FirstEnergy Corp. | 53,693 | 1,987,715 | ||||||
NextEra Energy, Inc. | 18,170 | 944,658 | ||||||
Northeast Utilities | 59,859 | 1,908,305 | ||||||
Pepco Holdings, Inc. | 152,313 | 2,779,712 | ||||||
Pinnacle West Capital Corp. | 10,555 | 437,505 | ||||||
Portland General Electric Co. | 129,466 | 2,809,412 | ||||||
PPL Corp. | 95,357 | 2,509,796 | ||||||
Progress Energy, Inc. | 19,382 | 842,729 | ||||||
Southern Co. | 79,108 | 3,024,299 | ||||||
30,029,316 | ||||||||
Gas Utilities–6.74% | ||||||||
AGL Resources Inc. | 27,701 | 993,081 | ||||||
Atmos Energy Corp. | 16,927 | 528,122 | ||||||
ONEOK, Inc. | 35,322 | 1,959,311 | ||||||
UGI Corp. | 29,949 | 945,790 | ||||||
4,426,304 | ||||||||
Independent Power Producers & Energy Traders–4.89% | ||||||||
Calpine Corp.(b) | 100,072 | 1,334,960 | ||||||
NRG Energy, Inc.(b) | 95,846 | 1,872,831 | ||||||
3,207,791 | ||||||||
Integrated Telecommunication Services–6.05% | ||||||||
AT&T Inc. | 39,055 | 1,147,436 | ||||||
Qwest Communications International Inc. | 113,728 | 865,470 | ||||||
Verizon Communications, Inc. | 54,675 | 1,956,272 | ||||||
3,969,178 | ||||||||
Multi-Utilities–26.81% | ||||||||
CMS Energy Corp. | 41,538 | 772,607 | ||||||
Dominion Resources, Inc. | 75,209 | 3,212,928 | ||||||
DTE Energy Co. | 14,391 | 652,200 | ||||||
National Grid PLC (United Kingdom) | 320,668 | 2,797,076 | ||||||
PG&E Corp. | 37,657 | 1,801,511 | ||||||
Public Service Enterprise Group Inc. | 61,468 | 1,955,297 | ||||||
Sempra Energy | 43,756 | 2,296,315 | ||||||
TECO Energy, Inc. | 26,290 | 467,962 | ||||||
Wisconsin Energy Corp. | 11,231 | 661,057 | ||||||
Xcel Energy, Inc. | 126,774 | 2,985,528 | ||||||
17,602,481 | ||||||||
Oil & Gas Exploration & Production–1.18% | ||||||||
EQT Corp. | 17,347 | 777,840 | ||||||
Oil & Gas Storage & Transportation–4.25% | ||||||||
Southern Union Co. | 44,355 | 1,067,625 | ||||||
Williams Cos., Inc. (The) | 69,599 | 1,720,487 | ||||||
2,788,112 | ||||||||
Total Common Stocks (Cost $53,504,296) | 62,801,022 | |||||||
Money Market Funds–3.98% | ||||||||
Liquid Assets Portfolio–Institutional Class(c) | 1,306,377 | 1,306,377 | ||||||
Premier Portfolio–Institutional Class(c) | 1,306,377 | 1,306,377 | ||||||
Total Money Market Funds (Cost $2,612,754) | 2,612,754 | |||||||
TOTAL INVESTMENTS–99.64% (Cost $56,117,050) | 65,413,776 | |||||||
OTHER ASSETS LESS LIABILITIES–0.36% | 236,462 | |||||||
NET ASSETS–100.00% | $ | 65,650,238 | ||||||
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $53,504,296) | $ | 62,801,022 | ||
Investments in affiliated money market funds, at value and cost | 2,612,754 | |||
Total investments, at value (Cost $56,117,050) | 65,413,776 | |||
Receivable for: | ||||
Fund shares sold | 71,256 | |||
Dividends | 294,278 | |||
Investment for trustee deferred compensation and retirement plans | 40,073 | |||
Total assets | 65,819,383 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 7,175 | |||
Accrued fees to affiliates | 81,453 | |||
Accrued other operating expenses | 27,715 | |||
Trustee deferred compensation and retirement plans | 52,802 | |||
Total liabilities | 169,145 | |||
Net assets applicable to shares outstanding | $ | 65,650,238 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 55,921,999 | ||
Undistributed net investment income | 2,119,797 | |||
Undistributed net realized gain (loss) | (1,691,783 | ) | ||
Unrealized appreciation | 9,300,225 | |||
$ | 65,650,238 | |||
Net Assets: | ||||
Series I | $ | 63,944,522 | ||
Series II | $ | 1,705,716 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 4,301,218 | |||
Series II | 115,415 | |||
Series I: | ||||
Net asset value per share | $ | 14.87 | ||
Series II: | ||||
Net asset value per share | $ | 14.78 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $15,446) | $ | 2,760,250 | ||
Dividends from affiliated money market funds (includes securities lending income of $8,139) | 11,649 | |||
Total investment income | 2,771,899 | |||
Expenses: | ||||
Advisory fees | 398,396 | |||
Administrative services fees | 199,065 | |||
Custodian fees | 7,584 | |||
Distribution fees — Series II | 4,091 | |||
Transfer agent fees | 21,684 | |||
Trustees’ and officers’ fees and benefits | 17,522 | |||
Other | 45,992 | |||
Total expenses | 694,334 | |||
Less: Fees waived | (77,324 | ) | ||
Net expenses | 617,010 | |||
Net investment income | 2,154,889 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain from: | ||||
Investment securities | 2,265,663 | |||
Foreign currencies | 14,613 | |||
2,280,276 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | (672,208 | ) | ||
Foreign currencies | (2,357 | ) | ||
(674,565 | ) | |||
Net realized and unrealized gain | 1,605,711 | |||
Net increase in net assets resulting from operations | $ | 3,760,600 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 2,154,889 | $ | 2,365,392 | ||||
Net realized gain (loss) | 2,280,276 | (3,566,259 | ) | |||||
Change in net unrealized appreciation (depreciation) | (674,565 | ) | 9,982,838 | |||||
Net increase in net assets resulting from operations | 3,760,600 | 8,781,971 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (2,309,020 | ) | (3,146,581 | ) | ||||
Series II | (55,316 | ) | (69,727 | ) | ||||
Total distributions from net investment income | (2,364,336 | ) | (3,216,308 | ) | ||||
Distributions to shareholders from net realized gains: | ||||||||
Series I | — | (793,124 | ) | |||||
Series II | — | (19,073 | ) | |||||
Total distributions from net realized gains | — | (812,197 | ) | |||||
Share transactions–net: | ||||||||
Series I | (8,086,914 | ) | (14,677,265 | ) | ||||
Series II | (32,168 | ) | (124,013 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (8,119,082 | ) | (14,801,278 | ) | ||||
Net increase (decrease) in net assets | (6,722,818 | ) | (10,047,812 | ) | ||||
Net assets: | ||||||||
Beginning of year | 72,373,056 | 82,420,868 | ||||||
End of year (includes undistributed net investment income of $2,119,797 and $2,314,631, respectively) | $ | 65,650,238 | $ | 72,373,056 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). |
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Other Risks — The Fund’s investments are concentrated in a comparatively narrow segment of the economy, which may make the Fund more volatile. | |
The Fund may invest a large percentage of its assets in a limited number of securities or other instruments, which could negatively affect the value of the Fund. | ||
The following factors may affect the Fund’s investments in the utilities sector: governmental regulation, economic factors, ability of the issuer to obtain financing, prices of natural resources and risks associated with nuclear power. | ||
J. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
K. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
L. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 62,616,700 | $ | 2,797,076 | $ | — | $ | 65,413,776 | ||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 2,364,336 | $ | 3,218,442 | ||||
Long-term capital gain | — | 810,063 | ||||||
Total distributions | $ | 2,364,336 | $ | 4,028,505 | ||||
2010 | ||||
Undistributed ordinary income | $ | 2,168,788 | ||
Net unrealized appreciation — investments | 9,041,335 | |||
Net unrealized appreciation — other investments | 3,499 | |||
Temporary book/tax differences | (48,991 | ) | ||
Capital loss carryforward | (1,436,392 | ) | ||
Shares of beneficial interest | 55,921,999 | |||
Total net assets | $ | 65,650,238 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2017 | $ | 1,436,392 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 11,048,879 | ||
Aggregate unrealized (depreciation) of investment securities | (2,007,544 | ) | ||
Net unrealized appreciation of investment securities | $ | 9,041,335 | ||
Cost of investments for tax purposes is $56,372,441. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 480,106 | $ | 6,843,415 | 609,839 | $ | 8,004,977 | ||||||||||
Series II | 7,837 | 110,711 | 12,671 | 166,300 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 160,460 | 2,309,020 | 276,664 | 3,939,705 | ||||||||||||
Series II | 3,865 | 55,316 | 6,267 | 88,800 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (1,210,979 | ) | (17,239,349 | ) | (2,046,142 | ) | (26,621,947 | ) | ||||||||
Series II | (14,275 | ) | (198,195 | ) | (30,065 | ) | (379,113 | ) | ||||||||
Net increase (decrease) in share activity | (572,986 | ) | $ | (8,119,082 | ) | (1,170,766 | ) | $ | (14,801,278 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 47% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 14.51 | $ | 0.47 | $ | 0.43 | $ | 0.90 | $ | (0.54 | ) | $ | — | $ | (0.54 | ) | $ | 14.87 | 6.30 | % | $ | 63,945 | 0.92 | %(d) | 1.04 | %(d) | 3.25 | %(d) | 13 | % | ||||||||||||||||||||||||||
Year ended 12/31/09 | 13.38 | 0.45 | 1.53 | 1.98 | (0.68 | ) | (0.17 | ) | (0.85 | ) | 14.51 | 14.93 | 70,671 | 0.93 | 1.04 | 3.35 | 14 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 23.97 | 0.52 | (8.36 | ) | (7.84 | ) | (0.59 | ) | (2.16 | ) | (2.75 | ) | 13.38 | (32.35 | ) | 80,704 | 0.93 | 0.96 | 2.53 | 15 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 21.23 | 0.47 | 3.94 | 4.41 | (0.47 | ) | (1.20 | ) | (1.67 | ) | 23.97 | 20.64 | 155,748 | 0.93 | 0.94 | 1.97 | 30 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 17.83 | 0.47 | 4.06 | 4.53 | (0.70 | ) | (0.43 | ) | (1.13 | ) | 21.23 | 25.46 | 139,080 | 0.93 | 0.96 | 2.40 | 38 | |||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 14.43 | 0.43 | 0.42 | 0.85 | (0.50 | ) | — | (0.50 | ) | 14.78 | 6.01 | 1,706 | 1.17 | (d) | 1.29 | (d) | 3.00 | (d) | 13 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 13.30 | 0.41 | 1.52 | 1.93 | (0.63 | ) | (0.17 | ) | (0.80 | ) | 14.43 | 14.61 | 1,702 | 1.18 | 1.29 | 3.10 | 14 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 23.80 | 0.46 | (8.28 | ) | (7.82 | ) | (0.52 | ) | (2.16 | ) | (2.68 | ) | 13.30 | (32.51 | ) | 1,717 | 1.18 | 1.21 | 2.28 | 15 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 21.12 | 0.41 | 3.91 | 4.32 | (0.44 | ) | (1.20 | ) | (1.64 | ) | 23.80 | 20.32 | 3,293 | 1.18 | 1.19 | 1.72 | 30 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 17.76 | 0.42 | 4.06 | 4.48 | (0.69 | ) | (0.43 | ) | (1.12 | ) | 21.12 | 25.25 | 2,462 | 1.18 | 1.21 | 2.15 | 38 | |||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $64,763 and $1,636 for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,155.40 | $ | 5.00 | $ | 1,020.57 | $ | 4.69 | 0.92 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,154.50 | 6.35 | 1,019.31 | 5.96 | 1.17 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 100% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 10.48 | % | ||
Series II Shares | 10.20 | |||
S&P 500 Index▼ (Broad Market Index /Style-Specific Index) | 15.08 | |||
▼ | Lipper Inc. |
Portfolio Composition | ||||
By sector | ||||
Financials | 20.8 | % | ||
Consumer Staples | 19.0 | |||
Consumer Discretionary | 12.6 | |||
Industrials | 12.3 | |||
Information Technology | 6.8 | |||
Energy | 6.2 | |||
Health Care | 6.0 | |||
Utilities | 5.1 | |||
Materials | 4.4 | |||
Telecommunication Services | 1.0 | |||
Money Market Funds Plus Other Assets Less Liabilities | 5.8 |
Top Five Industries | ||||
1. Regional Banks | 5.5 | % | ||
2. Packaged Foods & Meats | 5.4 | |||
3. Integrated Oil & Gas | 4.6 | |||
4. Pharmaceuticals | 4.4 | |||
5. Industrial Machinery | 4.3 |
Top 10 Equity Holdings* | ||||
1. Kimberly-Clark Corp. | 2.6 | % | ||
2. SunTrust Banks, Inc. | 2.5 | |||
3. Automatic Data Processing, Inc. | 2.2 | |||
4. General Dynamics Corp. | 2.0 | |||
5. American Electric Power Co., Inc. | 2.0 | |||
6. Capital One Financial Corp. | 2.0 | |||
7. Snap-On, Inc. | 1.9 | |||
8. General Mills, Inc. | 1.9 | |||
9. International Paper Co. | 1.9 | |||
10. Johnson & Johnson | 1.8 |
Total Net Assets | $230.9 million | |||
Total Number of Holdings* | 76 |
n | A stock reaches its fair valuation (target price). | |
n | The company’s fundamental business prospects deteriorate. | |
n | A more attractive investment opportunity presents itself. |
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. Dividend Growth Fund. Ms. Walsh joined Invesco in 1991. She has been in the industry since 1987. Ms. Walsh earned a B.S. in finance from the University of Maryland and an M.B.A. from Loyola University of Maryland.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Dividend Growth Fund. Mr. Harrington joined Invesco in 2001. He earned a B.A. in history and philosophy from Dartmouth College and an M.B.A. from the Kellogg Graduate School of Management at Northwestern University.
Average Annual Total Returns | ||||
As of 12/31/10 | ||||
Series I Shares | ||||
Inception (3/1/90) | 6.94 | % | ||
10 Years | 1.43 | |||
5 Years | 0.24 | |||
1 Year | 10.48 | |||
Series II Shares | ||||
Inception (6/5/00) | 1.82 | % | ||
10 Years | 1.17 | |||
5 Years | -0.01 | |||
1 Year | 10.20 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks–94.22% | ||||||||
Aerospace & Defense–3.52% | ||||||||
General Dynamics Corp. | 66,605 | $ | 4,726,291 | |||||
Raytheon Co. | 73,580 | 3,409,697 | ||||||
8,135,988 | ||||||||
Apparel Retail–0.50% | ||||||||
Ross Stores, Inc. | 18,356 | 1,161,017 | ||||||
Apparel, Accessories & Luxury Goods–0.36% | ||||||||
VF Corp. | 9,642 | 830,948 | ||||||
Asset Management & Custody Banks–3.00% | ||||||||
Federated Investors, Inc.–Class B | 141,076 | 3,691,959 | ||||||
State Street Corp. | 69,649 | 3,227,535 | ||||||
6,919,494 | ||||||||
Auto Parts & Equipment–1.73% | ||||||||
Johnson Controls, Inc. | 104,500 | 3,991,900 | ||||||
Brewers–1.80% | ||||||||
Heineken N.V. (Netherlands) | 84,561 | 4,145,956 | ||||||
Building Products–1.77% | ||||||||
Masco Corp. | 322,697 | 4,085,344 | ||||||
Casinos & Gaming–1.44% | ||||||||
International Game Technology | 188,216 | 3,329,541 | ||||||
Construction, Farm Machinery & Heavy Trucks–1.00% | ||||||||
Caterpillar Inc. | 24,596 | 2,303,661 | ||||||
Consumer Finance–2.91% | ||||||||
American Express Co. | 51,618 | 2,215,444 | ||||||
Capital One Financial Corp. | 105,894 | 4,506,849 | ||||||
6,722,293 | ||||||||
Data Processing & Outsourced Services–2.17% | ||||||||
Automatic Data Processing, Inc. | 108,090 | 5,002,405 | ||||||
Department Stores–0.37% | ||||||||
Nordstrom, Inc. | 20,085 | 851,202 | ||||||
Distributors–0.79% | ||||||||
Genuine Parts Co. | 35,348 | 1,814,766 | ||||||
Diversified Banks–1.98% | ||||||||
Societe Generale (France) | 51,832 | 2,791,179 | ||||||
U.S. Bancorp. | 65,659 | 1,770,823 | ||||||
4,562,002 | ||||||||
Diversified Chemicals–1.68% | ||||||||
E. I. du Pont de Nemours and Co. | 77,811 | 3,881,213 | ||||||
Drug Retail–1.40% | ||||||||
Walgreen Co. | 82,776 | 3,224,953 | ||||||
Electric Utilities–2.90% | ||||||||
American Electric Power Co., Inc. | 126,237 | 4,542,007 | ||||||
Entergy Corp. | 30,398 | 2,153,091 | ||||||
6,695,098 | ||||||||
Electrical Components & Equipment–1.24% | ||||||||
Emerson Electric Co. | 50,179 | 2,868,733 | ||||||
Electronic Components–0.93% | ||||||||
Corning Inc. | 111,336 | 2,151,012 | ||||||
Food Distributors–1.67% | ||||||||
Sysco Corp. | 131,375 | 3,862,425 | ||||||
General Merchandise Stores–1.51% | ||||||||
Target Corp. | 58,093 | 3,493,132 | ||||||
Health Care Equipment–1.60% | ||||||||
Stryker Corp. | 68,934 | 3,701,756 | ||||||
Hotels, Resorts & Cruise Lines–1.12% | ||||||||
Accor S.A. (France) | 21,365 | 952,324 | ||||||
Marriott International Inc.–Class A | 39,183 | 1,627,662 | ||||||
2,579,986 | ||||||||
Household Appliances–0.72% | ||||||||
Whirlpool Corp. | 18,752 | 1,665,740 | ||||||
Household Products–4.21% | ||||||||
Kimberly-Clark Corp. | 94,728 | 5,971,653 | ||||||
Procter & Gamble Co. (The) | 58,214 | 3,744,907 | ||||||
9,716,560 | ||||||||
Industrial Machinery–4.32% | ||||||||
Eaton Corp. | 12,704 | 1,289,583 | ||||||
Pentair, Inc. | 115,615 | 4,221,104 | ||||||
Snap-on, Inc. | 78,824 | 4,459,862 | ||||||
9,970,549 | ||||||||
Insurance Brokers–0.81% | ||||||||
Marsh & McLennan Cos., Inc. | 68,075 | 1,861,170 | ||||||
Integrated Oil & Gas–4.60% | ||||||||
Chevron Corp. | 14,501 | 1,323,216 | ||||||
Eni S.p.A. (Italy) | 134,484 | 2,936,497 | ||||||
Exxon Mobil Corp. | 56,488 | 4,130,403 | ||||||
Total S.A. (France) | 42,021 | 2,231,457 | ||||||
10,621,573 | ||||||||
Shares | Value | |||||||
Integrated Telecommunication Services–0.98% | ||||||||
AT&T Inc. | 77,368 | $ | 2,273,072 | |||||
Investment Banking & Brokerage–1.42% | ||||||||
Charles Schwab Corp. (The) | 191,811 | 3,281,886 | ||||||
IT Consulting & Other Services–0.77% | ||||||||
International Business Machines Corp. | 12,052 | 1,768,752 | ||||||
Life & Health Insurance–1.64% | ||||||||
Lincoln National Corp. | 80,107 | 2,227,776 | ||||||
StanCorp Financial Group, Inc. | 34,500 | 1,557,330 | ||||||
3,785,106 | ||||||||
Motorcycle Manufacturers–0.67% | ||||||||
Harley-Davidson, Inc. | 44,323 | 1,536,678 | ||||||
Movies & Entertainment–1.44% | ||||||||
Time Warner, Inc. | 103,496 | 3,329,466 | ||||||
Multi-Utilities–1.74% | ||||||||
Dominion Resources, Inc. | 43,336 | 1,851,314 | ||||||
DTE Energy Co. | 47,592 | 2,156,869 | ||||||
4,008,183 | ||||||||
Office Services & Supplies–0.39% | ||||||||
Pitney Bowes Inc. | 37,746 | 912,698 | ||||||
Oil & Gas Equipment & Services–1.56% | ||||||||
Baker Hughes Inc. | 63,005 | 3,601,996 | ||||||
Oil & Gas Storage & Transportation–0.50% | ||||||||
Southern Union Co. | 48,440 | 1,165,951 | ||||||
Other Diversified Financial Services–0.54% | ||||||||
JPMorgan Chase & Co. | 29,199 | 1,238,622 | ||||||
Packaged Foods & Meats–5.36% | ||||||||
Campbell Soup Co. | 70,510 | 2,450,222 | ||||||
General Mills, Inc. | 123,879 | 4,408,854 | ||||||
Kraft Foods, Inc.–Class A | 130,888 | 4,124,281 | ||||||
Mead Johnson Nutrition Co. | 22,372 | 1,392,657 | ||||||
12,376,014 | ||||||||
Paper Products–1.87% | ||||||||
International Paper Co. | 158,962 | 4,330,125 | ||||||
Pharmaceuticals–4.35% | ||||||||
Bristol-Myers Squibb Co. | 111,070 | 2,941,134 | ||||||
Eli Lilly and Co. | 45,741 | 1,602,765 | ||||||
Johnson & Johnson | 68,463 | 4,234,436 | ||||||
Pfizer, Inc. | 73,036 | 1,278,860 | ||||||
10,057,195 | ||||||||
Property & Casualty Insurance–1.49% | ||||||||
Travelers Cos., Inc. (The) | 61,908 | 3,448,895 | ||||||
Regional Banks–5.51% | ||||||||
Fifth Third Bancorp | 248,341 | 3,645,646 | ||||||
SunTrust Banks, Inc. | 194,940 | 5,752,679 | ||||||
Zions Bancorp. | 137,553 | 3,332,909 | ||||||
12,731,234 | ||||||||
Restaurants–1.64% | ||||||||
Brinker International, Inc. | 181,089 | 3,781,138 | ||||||
Semiconductors–1.24% | ||||||||
Texas Instruments Inc. | 88,442 | 2,874,365 | ||||||
Soft Drinks–1.51% | ||||||||
Coca-Cola Co. (The) | 52,920 | 3,480,548 | ||||||
Specialized Consumer Services–0.36% | ||||||||
H&R Block, Inc. | 69,823 | 831,592 | ||||||
Specialty Chemicals–0.88% | ||||||||
Lubrizol Corp. (The) | 19,052 | 2,036,278 | ||||||
Systems Software–1.73% | ||||||||
Microsoft Corp. | 85,342 | 2,382,748 | ||||||
Oracle Corp. | 51,429 | 1,609,728 | ||||||
3,992,476 | ||||||||
Thrifts & Mortgage Finance–1.50% | ||||||||
Hudson City Bancorp, Inc. | 271,878 | 3,463,726 | ||||||
Tobacco–3.08% | ||||||||
Altria Group, Inc. | 148,289 | 3,650,875 | ||||||
Philip Morris International Inc. | 59,035 | 3,455,319 | ||||||
7,106,194 | ||||||||
Total Common Stocks & Other Equity Interests (Cost $194,051,918) | 217,562,607 | |||||||
Money Market Funds–6.08% | ||||||||
Liquid Assets Portfolio–Institutional Class(b) | 7,024,571 | 7,024,571 | ||||||
Premier Portfolio–Institutional Class(b) | 7,024,571 | 7,024,571 | ||||||
Total Money Market Funds (Cost $14,049,142) | 14,049,142 | |||||||
TOTAL INVESTMENTS–100.30% (Cost $208,101,060) | 231,611,749 | |||||||
OTHER ASSETS LESS LIABILITIES–(0.30)% | (700,136 | ) | ||||||
NET ASSETS–100.00% | $ | 230,911,613 | ||||||
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $194,051,918) | $ | 217,562,607 | ||
Investments in affiliated money market funds, at value and cost | 14,049,142 | |||
Total investments, at value (Cost $208,101,060) | 231,611,749 | |||
Foreign currencies, at value | 3,116 | |||
Receivable for: | ||||
Investments sold | 223,049 | |||
Dividends | 376,567 | |||
Investment for trustee deferred compensation and retirement plans | 1,203 | |||
Total assets | 232,215,684 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 791,740 | |||
Fund shares reacquired | 108,006 | |||
Accrued fees to affiliates | 360,234 | |||
Accrued other operating expenses | 24,020 | |||
Trustee deferred compensation and retirement plans | 20,071 | |||
Total liabilities | 1,304,071 | |||
Net assets applicable to shares outstanding | $ | 230,911,613 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 308,449,711 | ||
Undistributed net investment income | 3,539,933 | |||
Undistributed net realized gain (loss) | (104,586,294 | ) | ||
Unrealized appreciation | 23,508,263 | |||
$ | 230,911,613 | |||
Net Assets: | ||||
Series I | $ | 179,517,854 | ||
Series II | $ | 51,393,759 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 12,609,011 | |||
Series II | 3,619,831 | |||
Series I: | ||||
Net asset value per share | $ | 14.24 | ||
Series II: | ||||
Net asset value per share | $ | 14.20 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $16,961) | $ | 5,276,282 | ||
Dividends from affiliated money market funds | 2,580 | |||
Total investment income | 5,278,862 | |||
Expenses: | ||||
Advisory fees | 1,269,638 | |||
Administrative services fees | 443,592 | |||
Custodian fees | 11,425 | |||
Distribution fees — Series II | 133,926 | |||
Transfer agent fees | 1,990 | |||
Trustees’ and officers’ fees and benefits | 15,095 | |||
Other | 89,910 | |||
Total expenses | 1,965,576 | |||
Less: Fees waived | (258,126 | ) | ||
Net expenses | 1,707,450 | |||
Net investment income | 3,571,412 | |||
Realized and unrealized gain from: | ||||
Net realized gain (loss) from: | ||||
Investment securities (includes net gains (losses) from securities sold to affiliates of $(7,576,291)) | 3,435,671 | |||
Foreign currencies | (21,372 | ) | ||
Option contracts written | 55,163 | |||
3,469,462 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | 15,639,042 | |||
Foreign currencies | (2,190 | ) | ||
Foreign currency contracts | (234 | ) | ||
Option contracts written | (8,235 | ) | ||
15,628,383 | ||||
Net realized and unrealized gain | 19,097,845 | |||
Net increase in net assets resulting from operations | $ | 22,669,257 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 3,571,412 | $ | 4,066,768 | ||||
Net realized gain | 3,469,462 | (15,201,281 | ) | |||||
Change in net unrealized appreciation | 15,628,383 | 62,262,637 | ||||||
Net increase in net assets resulting from operations | 22,669,257 | 51,128,124 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (3,255,974 | ) | (3,466,136 | ) | ||||
Series II | (803,719 | ) | (986,235 | ) | ||||
Total distributions from net investment income | (4,059,693 | ) | (4,452,371 | ) | ||||
Share transactions–net: | ||||||||
Series I | (27,025,327 | ) | (27,292,079 | ) | ||||
Series II | (17,414,065 | ) | (6,251,855 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (44,439,392 | ) | (33,543,934 | ) | ||||
Net increase (decrease) in net assets | (25,829,828 | ) | 13,131,819 | |||||
Net assets: | ||||||||
Beginning of year | 256,741,441 | 243,609,622 | ||||||
End of year (includes undistributed net investment income of $3,539,932 and $4,049,585, respectively) | $ | 230,911,613 | $ | 256,741,441 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the |
security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to |
federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | ||
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
J. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. | |
K. | Call Options Written — The Fund may write call options. A call option gives the purchaser of such option the right to buy, and the writer (the Fund) the obligation to sell, the underlying security at the stated exercise price during the option period. Written call options are recorded as a liability in the Statement of Assets and Liabilities. The amount of the liability is subsequently valued to reflect the current market value of the option written. If a written call option expires on the stipulated expiration date, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or a loss if the closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a written option is exercised, the Fund realizes a gain or a loss from the sale of the underlying security and the proceeds of the sale are increased by the premium originally received. Realized gains and losses on these contracts are included in the Statement of Operations. A risk in writing a covered call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. | |
L. | Collateral — To the extent the Fund has pledged or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day. |
Average Net Assets | Rate | |||
First $250 million | 0 | .545% | ||
Next $750 million | 0 | .42% | ||
Next $1 billion | 0 | .395% | ||
Over $2 billion | 0 | .37% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 225,636,789 | $ | 5,974,960 | $ | — | $ | 231,611,749 | ||||||||
Location of Gain on | ||||
Statement of Operations | ||||
Options* | ||||
Realized Gain | ||||
Equity risk | $ | 55,163 | ||
Change in Unrealized Appreciation (Depreciation) | ||||
Equity risk | (8,235 | ) | ||
Total | $ | 46,928 | ||
* | The average value of options outstanding during the period was $2,872. |
Transactions During the Period | ||||||||
Call Option Contracts | ||||||||
Number of | Premiums | |||||||
Contracts | Received | |||||||
Options written, outstanding at beginning of period | 58 | $ | 11,657 | |||||
Written | 498 | 111,121 | ||||||
Closed | (253 | ) | (52,636 | ) | ||||
Expired | (303 | ) | (70,142 | ) | ||||
End of period | 0 | $ | 0 | |||||
2010 | 2009 | |||||||
Ordinary income | $ | 4,059,693 | $ | 4,452,371 | ||||
2010 | ||||||||
Undistributed ordinary income | $ | 3,554,972 | ||||||
Net unrealized appreciation — investments | 23,510,689 | |||||||
Net unrealized appreciation (depreciation)–other investments | (2,426 | ) | ||||||
Temporary book/tax differences | (11,431 | ) | ||||||
Post-October deferrals | (3,441 | ) | ||||||
Capital loss carryforward | (104,586,461 | ) | ||||||
Shares of beneficial interest | 308,449,711 | |||||||
Total net assets | $ | 230,911,613 | ||||||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2011 | $ | 48,222,156 | ||
December 31, 2016 | 19,116,895 | |||
December 31, 2017 | 37,247,410 | |||
Total capital loss carryforward | $ | 104,586,461 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 27,087,142 | ||
Aggregate unrealized (depreciation) of investment securities | (3,576,453 | ) | ||
Net unrealized appreciation of investment securities | $ | 23,510,689 | ||
Cost of investments for tax purposes is $208,101,060. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 42,162 | $ | 556,286 | 40,020 | $ | 445,763 | ||||||||||
Series II | 41,409 | 523,697 | 64,575 | 656,925 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 254,971 | 3,255,974 | 321,236 | 3,466,136 | ||||||||||||
Series II | 63,037 | 803,719 | 91,572 | 986,235 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (2,334,157 | ) | (30,837,587 | ) | (2,833,291 | ) | (31,203,978 | ) | ||||||||
Series II | (1,409,722 | ) | (18,741,481 | ) | (723,234 | ) | (7,895,015 | ) | ||||||||
Net increase (decrease) in share activity | (3,342,300 | ) | $ | (44,439,392 | ) | (3,039,122 | ) | $ | (33,543,934 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 93% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||
Net asset | (losses) on | Dividends | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||
value, | Net | securities (both | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | |||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 13.13 | $ | 0.21 | $ | 1.14 | $ | 1.35 | $ | (0.24 | ) | $ | 14.24 | 10.48 | % | $ | 179,518 | 0.68 | %(d) | 0.79 | %(d) | 1.59 | %(d) | 78 | % | |||||||||||||||||||||||
Year ended 12/31/09 | 10.78 | 0.20 | 2.37 | 2.57 | (0.22 | ) | 13.13 | 24.30 | 192,279 | 0.67 | 0.67 | 1.80 | 44 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 17.01 | 0.25 | (6.41 | ) | (6.16 | ) | (0.07 | ) | 10.78 | (36.35 | ) | 184,579 | 0.63 | 0.63 | 1.72 | 61 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 16.53 | 0.22 | 0.48 | 0.70 | (0.22 | ) | 17.01 | 4.22 | 368,737 | 0.58 | 0.58 | 1.27 | 48 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 15.09 | 0.21 | 1.45 | 1.66 | (0.22 | ) | 16.53 | 11.09 | 471,931 | 0.59 | 0.59 | 1.37 | 114 | |||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 13.09 | 0.19 | 1.12 | 1.31 | (0.20 | ) | 14.20 | 10.20 | 51,394 | 0.93 | (d) | 1.04 | (d) | 1.34 | (d) | 78 | ||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 10.75 | 0.17 | 2.36 | 2.53 | (0.19 | ) | 13.09 | 23.94 | 64,463 | 0.92 | 0.92 | 1.55 | 44 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 16.98 | 0.21 | (6.38 | ) | (6.17 | ) | (0.06 | ) | 10.75 | (36.46 | ) | 59,030 | 0.88 | 0.88 | 1.47 | 61 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 16.51 | 0.17 | 0.48 | 0.65 | (0.18 | ) | 16.98 | 3.90 | 116,271 | 0.83 | 0.83 | 1.02 | 48 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 15.07 | 0.17 | 1.45 | 1.62 | (0.18 | ) | 16.51 | 10.83 | 136,660 | 0.84 | 0.84 | 1.12 | 114 | |||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $179,391 and $53,570 for Series I and Series II shares, respectively. |
and Shareholders of Invesco V.I. Dividend Growth Fund:
HYPOTHETICAL | ||||||||||||||||||||||||||||||
ACTUAL | (5% annual return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,189.60 | $ | 3.64 | $ | 1,021.88 | $ | 3.36 | 0.66 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,187.30 | 5.02 | 1,020.62 | 4.63 | 0.91 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 100.00% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 12.07 | % | ||
Series II Shares | 11.88 | |||
MSCI World Index▼ (Broad Market and Style-Specific Index) | 11.76 | |||
▼ | Lipper Inc. |
Financials | 18.8 | % | ||
Energy | 14.6 | |||
Health Care | 10.9 | |||
Consumer Discretionary | 10.1 | |||
Information Technology | 9.9 | |||
Industrials | 8.8 | |||
Materials | 8.2 | |||
Consumer Staples | 7.8 | |||
Telecommunication Services | 5.4 | |||
Utilities | 3.8 | |||
Money Market Funds Plus | ||||
Other Assets Less Liabilities | 1.7 |
1. | Royal Dutch Shell PLC | 2.3 | % | |||||
2. | ACE Ltd. | 2.2 | ||||||
3. | Chevron Corp. | 2.2 | ||||||
4. | BHP Billiton PLC | 2.1 | ||||||
5. | General Dynamics Corp. | 2.0 | ||||||
6. | Archer-Daniels-Midland Co. | 2.0 | ||||||
7. | Oracle Corp. | 1.9 | ||||||
8. | Coach, Inc. | 1.9 | ||||||
9. | Nissan Motor Co., Ltd. | 1.9 | ||||||
10. | ConocoPhillips | 1.8 |
1. | United States | 37.7 | % | |||||
2. | Japan | 13.8 | ||||||
3. | United Kingdom | 8.6 | ||||||
4. | Switzerland | 5.7 | ||||||
5. | France | 4.5 |
Total Net Assets | $85.6 million | |||
Total Number of Holdings* | 112 |
*Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Dividend Growth Fund. Ms. Baker joined Invesco in 1999. She earned a B.A. in international politics from Oberlin College and an M.B.A. from the University of Navarra.
Portfolio manager, is manager of Invesco V.I. Global Dividend Growth Fund. Mr. Davidson joined Invesco in 1983. He began his investment career in 1974. Mr. Davidson earned a degree in economics with honors from Edinburgh University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Dividend Growth Fund. Mr. McGowan joined Invesco in 2002. He began his investment career in 1996. Mr. McGowan earned a B.S. in commerce from the University of Virginia and an M.B.A. in investment management from the University of North Carolina.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Dividend Growth Fund. Ms. Singha joined Invesco in 1998. She earned a B.A. in economics from Mills College and a Ph.D. in economics from Emory University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. Global Dividend Growth Fund. Mr. Thomas joined Invesco in 2000. He began his investment career in 1997. Mr. Thomas earned a B.B.A. in banking/ finance and an M.B.A. from the University of Mississippi.
Series I Shares | ||||||||
Inception (2/23/94) | 6.07 | % | ||||||
10 | Years | 2.91 | ||||||
5 | Years | 0.12 | ||||||
1 | Year | 12.07 | ||||||
Series II Shares | ||||||||
Inception (6/5/00) | 2.52 | % | ||||||
10 | Years | 2.66 | ||||||
5 | Years | -0.13 | ||||||
1 | Year | 11.88 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–96.74% | ||||||||
Australia–2.64% | ||||||||
Australia & New Zealand Banking Group Ltd. | 33,468 | $ | 799,294 | |||||
Macquarie Group Ltd. | 18,441 | 698,061 | ||||||
Telstra Corp. Ltd. | 267,603 | 763,634 | ||||||
2,260,989 | ||||||||
Bermuda–0.88% | ||||||||
PartnerRe Ltd. | 9,379 | 753,603 | ||||||
Brazil–1.49% | ||||||||
Banco Santander Brasil S.A.(a) | 19,300 | 262,573 | ||||||
Companhia Energetica de Minas Gerais–ADR | 13,391 | 222,157 | ||||||
PDG Realty S.A. Empreendimentos e Participacoes | 45,100 | 276,034 | ||||||
Petroleo Brasileiro S.A.–ADR | 6,836 | 258,674 | ||||||
Vale S.A.–ADR | 7,461 | 257,927 | ||||||
1,277,365 | ||||||||
Canada–2.30% | ||||||||
Nexen Inc. | 46,162 | 1,058,527 | ||||||
Toronto-Dominion Bank (The) | 12,188 | 910,147 | ||||||
1,968,674 | ||||||||
China–1.05% | ||||||||
China Construction Bank Corp.–Class H | 158,000 | 141,454 | ||||||
China Minsheng Banking Corp., Ltd.–Class H | 186,000 | 159,132 | ||||||
China Unicom (Hong Kong) Ltd. | 128,000 | 182,540 | ||||||
CNOOC Ltd. | 80,000 | 190,350 | ||||||
Renhe Commercial Holdings Co., Ltd. | 1,260,000 | 220,461 | ||||||
893,937 | ||||||||
Finland–0.89% | ||||||||
Nokia Oyj–ADR | 73,450 | 758,004 | ||||||
France–4.52% | ||||||||
BNP Paribas | 15,934 | 1,017,237 | ||||||
Bouygues S.A. | 21,230 | 916,768 | ||||||
Sanofi-Aventis S.A. | 14,051 | 902,281 | ||||||
Total S.A. | 19,349 | 1,027,497 | ||||||
3,863,783 | ||||||||
Germany–1.28% | ||||||||
Salzgitter AG | 14,197 | 1,095,988 | ||||||
Hong Kong–2.76% | ||||||||
Chaoda Modern Agriculture (Holdings) Ltd. | 158,000 | 118,508 | ||||||
Cheung Kong (Holdings) Ltd. | 58,000 | 892,708 | ||||||
China Dongxiang Group Co. | 301,000 | 130,115 | ||||||
Esprit Holdings Ltd. | 255,900 | 1,218,132 | ||||||
2,359,463 | ||||||||
Indonesia–0.17% | ||||||||
PT Telekomunikasi Indonesia Tbk | 166,500 | 147,307 | ||||||
Ireland–0.21% | ||||||||
Dragon Oil PLC(b) | 21,795 | 182,814 | ||||||
Italy–1.01% | ||||||||
Eni S.p.A. | 39,600 | 864,677 | ||||||
Japan–13.77% | ||||||||
Canon Inc. | 16,900 | 866,373 | ||||||
FUJIFILM Holdings Corp. | 24,500 | 885,971 | ||||||
Mitsubishi Corp. | 48,000 | 1,299,470 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 235,900 | 1,275,528 | ||||||
Murata Manufacturing Co., Ltd. | 12,300 | 862,015 | ||||||
Nippon Telegraph & Telephone Corp. | 28,400 | 1,299,307 | ||||||
Nippon Yusen Kabushiki Kaisha | 251,000 | 1,112,945 | ||||||
Nissan Motor Co., Ltd. | 166,400 | 1,584,274 | ||||||
Seven & I Holdings Co., Ltd. | 29,300 | 783,114 | ||||||
Sumitomo Chemical Co., Ltd. | 210,000 | 1,034,610 | ||||||
Takeda Pharmaceutical Co., Ltd. | 15,800 | 777,448 | ||||||
11,781,055 | ||||||||
Mexico–0.49% | ||||||||
America Movil S.A.B. de C.V.–Series L | 72,600 | 208,100 | ||||||
Desarrolladora Homex S.A.B. de C.V.–ADR(b) | 6,128 | 207,188 | ||||||
415,288 | ||||||||
Netherlands–1.77% | ||||||||
TNT N.V. | 30,750 | 812,875 | ||||||
Unilever N.V. | 22,605 | 703,829 | ||||||
1,516,704 | ||||||||
Norway–2.09% | ||||||||
Statoil A.S.A. | 32,500 | 771,973 | ||||||
Yara International A.S.A. | 17,596 | 1,017,755 | ||||||
1,789,728 | ||||||||
Poland–0.31% | ||||||||
KGHM Polska Miedz S.A. | 4,556 | 266,944 | ||||||
Shares | Value | |||||||
Russia–0.67% | ||||||||
Gazprom OAO–ADR | 7,933 | $ | 200,308 | |||||
Magnitogorsk Iron & Steel Works–GDR | 13,466 | 195,930 | ||||||
Rosneft Oil Co.–GDR | 24,509 | 175,485 | ||||||
571,723 | ||||||||
South Africa–1.33% | ||||||||
Barloworld Ltd. | 26,350 | 268,000 | ||||||
Sasol Ltd. | 3,911 | 205,586 | ||||||
Standard Bank Group Ltd. | 13,901 | 226,953 | ||||||
Steinhoff International Holdings Ltd.(b) | 67,410 | 250,709 | ||||||
Tiger Brands Ltd. | 6,330 | 186,061 | ||||||
1,137,309 | ||||||||
South Korea–2.21% | ||||||||
Dongbu Insurance Co., Ltd. | 3,680 | 145,916 | ||||||
Hyundai Mipo Dockyard Co., Ltd. | 1,451 | 286,390 | ||||||
Hyundai Mobis | 1,430 | 358,476 | ||||||
LG Electronics Inc. | 1,140 | 119,721 | ||||||
Lotte Shopping Co., Ltd. | 222 | 92,524 | ||||||
POSCO | 571 | 244,542 | ||||||
Samsung Electronics Co., Ltd. | 401 | 335,315 | ||||||
Shinhan Financial Group Co., Ltd. | 4,150 | 193,440 | ||||||
SK Telecom Co., Ltd.–ADR | 6,166 | 114,873 | ||||||
1,891,197 | ||||||||
Spain–3.12% | ||||||||
Banco Santander S.A. | 85,354 | 906,919 | ||||||
Iberdrola S.A. | 122,623 | 945,157 | ||||||
Telefonica S.A. | 35,902 | 815,377 | ||||||
2,667,453 | ||||||||
Switzerland–5.71% | ||||||||
ACE Ltd. | 30,673 | 1,909,394 | ||||||
Holcim Ltd. | 12,746 | 963,107 | ||||||
Swisscom AG | 2,485 | 1,093,139 | ||||||
Zurich Financial Services AG | 3,555 | 920,878 | ||||||
4,886,518 | ||||||||
Taiwan–0.91% | ||||||||
AU Optronics Corp.–ADR | 16,186 | 168,658 | ||||||
HTC Corp. | 9,600 | 296,332 | ||||||
Powertech Technology Inc. | 70,000 | 232,211 | ||||||
U-Ming Marine Transport Corp. | 39,000 | 84,938 | ||||||
782,139 | ||||||||
Thailand–0.37% | ||||||||
Bangkok Bank PCL–NVDR | 37,900 | 184,817 | ||||||
PTT PCL | 12,000 | 127,384 | ||||||
312,201 | ||||||||
Turkey–0.19% | ||||||||
Asya Katilim Bankasi A.S. | 89,738 | 165,301 | ||||||
United Kingdom–8.59% | ||||||||
Barclays PLC | 149,058 | 613,228 | ||||||
BHP Billiton PLC | 44,987 | 1,793,559 | ||||||
GlaxoSmithKline PLC | 38,702 | 751,764 | ||||||
Imperial Tobacco Group PLC | 47,736 | 1,464,678 | ||||||
National Grid PLC | 83,980 | 732,195 | ||||||
Royal Dutch Shell PLC–Class A | 59,650 | 1,991,076 | ||||||
7,346,500 | ||||||||
United States–36.01% | ||||||||
3M Co. | 11,954 | 1,031,630 | ||||||
Apache Corp. | 8,113 | 967,313 | ||||||
Archer-Daniels-Midland Co. | 55,232 | 1,661,379 | ||||||
Avon Products, Inc. | 24,441 | 710,255 | ||||||
Bank of America Corp. | 81,874 | 1,092,199 | ||||||
Bank of New York Mellon Corp. (The) | 30,694 | 926,959 | ||||||
Best Buy Co., Inc. | 18,073 | 619,723 | ||||||
Chevron Corp. | 20,609 | 1,880,571 | ||||||
Coach, Inc. | 28,961 | 1,601,833 | ||||||
ConocoPhillips | 22,739 | 1,548,526 | ||||||
CVS Caremark Corp. | 31,283 | 1,087,710 | ||||||
Energen Corp. | 27,473 | 1,325,847 | ||||||
GameStop Corp.–Class A(b) | 41,113 | 940,665 | ||||||
General Dynamics Corp. | 24,511 | 1,739,301 | ||||||
Gilead Sciences, Inc.(b) | 21,827 | 791,010 | ||||||
Johnson & Johnson | 24,466 | 1,513,222 | ||||||
Merck & Co., Inc. | 42,510 | 1,532,060 | ||||||
Microsoft Corp. | 32,662 | 911,923 | ||||||
Morgan Stanley | 36,835 | 1,002,280 | ||||||
Oracle Corp. | 52,179 | 1,633,203 | ||||||
Pfizer, Inc. | 44,601 | 780,964 | ||||||
Stryker Corp. | 15,272 | 820,106 | ||||||
Valero Energy Corp. | 43,866 | 1,014,182 | ||||||
W. R. Berkley Corp. | 25,376 | 694,795 | ||||||
WellPoint Inc.(b) | 26,346 | 1,498,034 | ||||||
Western Digital Corp.(b) | 43,755 | 1,483,295 | ||||||
30,808,985 | ||||||||
Total Common Stocks & Other Equity Interests (Cost $70,490,051) | 82,765,649 | |||||||
Preferred Stocks–1.60% | ||||||||
Brazil–0.18% | ||||||||
Usinas Siderurgicas de Minas Gerais S.A.–Class A–2.67% Pfd. | 13,300 | 153,511 | ||||||
Shares | Value | |||||||
Germany–1.42% | ||||||||
Porsche Automobil Holding SE–0.14% Pfd. | 15,202 | $ | 1,211,967 | |||||
Total Preferred Stocks (Cost $832,810) | 1,365,478 | |||||||
Money Market Funds–1.73% | ||||||||
Liquid Assets Portfolio–Institutional Class(c) | 742,180 | 742,180 | ||||||
Premier Portfolio–Institutional Class(c) | 742,180 | 742,180 | ||||||
Total Money Market Funds (Cost $1,484,360) | 1,484,360 | |||||||
TOTAL INVESTMENTS–100.07% (Cost $72,807,221) | 85,615,487 | |||||||
OTHER ASSETS LESS LIABILITIES–(0.07)% | (56,958 | ) | ||||||
NET ASSETS–100.00% | $ | 85,558,529 | ||||||
ADR | – American Depositary Receipt | |
GDR | – Global Depositary Receipt | |
NVDR | – Non-Voting Depositary Receipt | |
Pfd. | – Preferred |
(a) | Consists of one or more class of securities traded together as a unit; stocks with attached warrants. | |
(b) | Non-income producing security. | |
(c) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $71,322,861) | $ | 84,131,127 | ||
Investments in affiliated money market funds, at value and cost | 1,484,360 | |||
Total investments, at value (Cost $72,807,221) | 85,615,487 | |||
Foreign currencies, at value (Cost $11,144) | 11,366 | |||
Receivable for: | ||||
Fund shares sold | 2,850 | |||
Dividends | 140,900 | |||
Investment for trustee deferred compensation and retirement plans | 1,147 | |||
Total assets | 85,771,750 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 10,091 | |||
Accrued fees to affiliates | 144,917 | |||
Accrued other operating expenses | 53,411 | |||
Trustee deferred compensation and retirement plans | 4,802 | |||
Total liabilities | 213,221 | |||
Net assets applicable to shares outstanding | $ | 85,558,529 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 82,667,230 | ||
Undistributed net investment income | 2,734,801 | |||
Undistributed net realized gain (loss) | (12,653,101 | ) | ||
Unrealized appreciation | 12,809,599 | |||
$ | 85,558,529 | |||
Net Assets: | ||||
Series I | $ | 56,996,368 | ||
Series II | $ | 28,562,161 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 6,080,652 | |||
Series II | 3,075,790 | |||
Series I: | ||||
Net asset value per share | $ | 9.37 | ||
Series II: | ||||
Net asset value per share | $ | 9.29 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $186,983) | $ | 2,649,292 | ||
Dividends from affiliated money market funds (includes securities lending income of $20,238) | 22,893 | |||
Total investment income | 2,672,185 | |||
Expenses: | ||||
Advisory fees | 565,371 | |||
Administrative services fees | 178,513 | |||
Custodian fees | 42,756 | |||
Distribution fees — Series II | 70,731 | |||
Transfer agent fees | 1,659 | |||
Trustees’ and officers’ fees and benefits | 15,272 | |||
Other | 92,014 | |||
Total expenses | 966,316 | |||
Less: Fees waived | (101,244 | ) | ||
Net expenses | 865,072 | |||
Net investment income | 1,807,113 | |||
Realized and unrealized gain from: | ||||
Net realized gain (loss) from: | ||||
Investment securities | 7,882,795 | |||
Foreign currencies | (99,379 | ) | ||
Foreign currency contracts | 1,448,689 | |||
9,232,105 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | (1,338,996 | ) | ||
Foreign currencies | (414,142 | ) | ||
(1,753,138 | ) | |||
Net realized and unrealized gain | 7,478,967 | |||
Net increase in net assets resulting from operations | $ | 9,286,080 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 1,807,113 | $ | 3,048,064 | ||||
Net realized gain | 9,232,105 | 3,073,323 | ||||||
Change in net unrealized appreciation (depreciation) | (1,753,138 | ) | 6,730,620 | |||||
Net increase in net assets resulting from operations | 9,286,080 | 12,852,007 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (1,056,638 | ) | (2,992,150 | ) | ||||
Series II | (465,368 | ) | (1,372,445 | ) | ||||
Total distributions from net investment income | (1,522,006 | ) | (4,364,595 | ) | ||||
Share transactions–net: | ||||||||
Series I | (8,688,410 | ) | (7,388,490 | ) | ||||
Series II | (4,277,405 | ) | (2,195,301 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (12,965,815 | ) | (9,583,791 | ) | ||||
Net increase (decrease) in net assets | (5,201,741 | ) | (1,096,379 | ) | ||||
Net assets: | ||||||||
Beginning of year | 90,760,270 | 91,856,649 | ||||||
End of year (includes undistributed net investment income of $2,734,801 and $1,096,960, respectively) | $ | 85,558,529 | $ | 90,760,270 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
K. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $1 billion | 0 | .67% | ||
Next $500 million | 0 | .645% | ||
Next $1 billion | 0 | .62% | ||
Next $1 billion | 0 | .595% | ||
Next $1 billion | 0 | .57% | ||
Over $4.5 billion | 0 | .545% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1* | Level 2* | Level 3 | Total | |||||||||||||
Australia | $ | 2,260,989 | $ | — | $ | — | $ | 2,260,989 | ||||||||
Bermuda | 753,603 | — | — | 753,603 | ||||||||||||
Brazil | 1,168,303 | 262,573 | — | 1,430,876 | ||||||||||||
Canada | 1,968,674 | — | — | 1,968,674 | ||||||||||||
China | 379,593 | 514,344 | — | 893,937 | ||||||||||||
Finland | 758,004 | — | 758,004 | |||||||||||||
France | — | 3,863,783 | — | 3,863,783 | ||||||||||||
Germany | 2,307,955 | — | — | 2,307,955 | ||||||||||||
Hong Kong | 1,466,755 | 892,708 | — | 2,359,463 | ||||||||||||
Indonesia | — | 147,307 | — | 147,307 | ||||||||||||
Ireland | 182,814 | — | — | 182,814 | ||||||||||||
Italy | 864,677 | — | — | 864,677 | ||||||||||||
Japan | 9,615,375 | 2,165,680 | — | 11,781,055 | ||||||||||||
Mexico | 415,288 | — | — | 415,288 | ||||||||||||
Netherlands | 703,829 | 812,875 | — | 1,516,704 | ||||||||||||
Norway | 1,789,728 | — | — | 1,789,728 | ||||||||||||
Poland | — | 266,944 | — | 266,944 | ||||||||||||
Russia | 571,723 | — | 571,723 | |||||||||||||
South Africa | 1,137,309 | — | — | 1,137,309 | ||||||||||||
South Korea | 1,526,934 | 364,263 | — | 1,891,197 | ||||||||||||
Spain | 945,157 | 1,722,296 | — | 2,667,453 | ||||||||||||
Switzerland | 4,886,518 | — | — | 4,886,518 | ||||||||||||
Taiwan | 549,928 | 232,211 | — | 782,139 | ||||||||||||
Thailand | 312,201 | — | — | 312,201 | ||||||||||||
Turkey | — | 165,301 | — | 165,301 | ||||||||||||
United Kingdom | 1,464,678 | 5,881,822 | — | 7,346,500 | ||||||||||||
United States | 32,293,345 | — | — | 32,293,345 | ||||||||||||
Total Investments | $ | 68,323,380 | $ | 17,292,107 | $ | — | $ | 85,615,487 | ||||||||
* | Transfers occurred between Level 1 and Level 2 due to foreign fair value adjustments. |
2010 | 2009 | |||||||
Ordinary income | $ | 1,522,006 | $ | 4,364,595 | ||||
2010 | ||||
Undistributed ordinary income | $ | 2,744,260 | ||
Net unrealized appreciation — investments | 12,764,628 | |||
Net unrealized appreciation — other investments | 1,333 | |||
Temporary book/tax differences | (4,695 | ) | ||
Post-October deferrals | (4,761 | ) | ||
Capital loss carryforward | (12,609,466 | ) | ||
Shares of beneficial interest | 82,667,230 | |||
Total net assets | $ | 85,558,529 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2017 | $ | 12,609,466 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 13,314,137 | ||
Aggregate unrealized (depreciation) of investment securities | (549,509 | ) | ||
Net unrealized appreciation of investment securities | $ | 12,764,628 | ||
Cost of investments for tax purposes is $72,850,859. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 51,886 | $ | 437,630 | 39,028 | $ | 300,376 | ||||||||||
Series II | 30,122 | 252,482 | 120,372 | 854,130 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 134,262 | 1,056,638 | 412,142 | 2,992,150 | ||||||||||||
Series II | 59,586 | 465,368 | 190,617 | 1,372,445 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (1,197,882 | ) | (10,182,678 | ) | (1,414,208 | ) | (10,681,016 | ) | ||||||||
Series II | (590,989 | ) | (4,995,255 | ) | (590,289 | ) | (4,421,876 | ) | ||||||||
Net increase (decrease) in share activity | (1,513,015 | ) | $ | (12,965,815 | ) | (1,242,338 | ) | $ | (9,583,791 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 94% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | (losses) on | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | securities (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 8.53 | $ | 0.19 | $ | 0.81 | $ | 1.00 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | $ | 9.37 | 12.07 | % | $ | 56,996 | 0.94 | %(d) | 1.06 | %(d) | 2.23 | %(d) | 130 | % | ||||||||||||||||||||||||||
Year ended 12/31/09 | 7.74 | 0.28 | 0.92 | 1.20 | (0.41 | ) | — | (0.41 | ) | 8.53 | 16.44 | 60,521 | 0.93 | (e) | 0.93 | (e) | 3.64 | (e) | 79 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 16.87 | 0.00 | (5.94 | ) | (5.94 | ) | (0.40 | ) | (2.79 | ) | (3.19 | ) | 7.74 | (40.94 | ) | 62,333 | 0.86 | (e) | 0.86 | (e) | 3.04 | (e) | 88 | |||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 17.81 | 0.31 | 1.01 | 1.32 | (0.36 | ) | (1.90 | ) | (2.26 | ) | 16.87 | 7.02 | 136,495 | 0.82 | 0.82 | 1.72 | 38 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 15.12 | 0.29 | 2.94 | 3.23 | (0.33 | ) | (0.21 | ) | (0.54 | ) | 17.81 | 21.94 | 165,864 | 0.83 | 0.83 | 1.80 | 24 | |||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 8.45 | 0.17 | 0.81 | 0.98 | (0.14 | ) | — | (0.14 | ) | 9.29 | 11.88 | 28,562 | 1.19 | (d) | 1.31 | (d) | 1.98 | (d) | 130 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 7.66 | 0.26 | 0.91 | 1.17 | (0.38 | ) | — | (0.38 | ) | 8.45 | 16.11 | 30,239 | 1.18 | (e) | 1.18 | (e) | 3.39 | (e) | 79 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 16.70 | 0.00 | (5.90 | ) | (5.90 | ) | (0.35 | ) | (2.79 | ) | (3.14 | ) | 7.66 | (41.09 | ) | 29,524 | 1.11 | (e) | 1.11 | (e) | 2.79 | (e) | 88 | |||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 17.66 | 0.26 | 1.00 | 1.26 | (0.32 | ) | (1.90 | ) | (2.22 | ) | 16.70 | 6.77 | 65,364 | 1.07 | 1.07 | 1.47 | 38 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 15.00 | 0.25 | 2.91 | 3.16 | (0.29 | ) | (0.21 | ) | (0.50 | ) | 17.66 | 21.60 | 74,749 | 1.08 | 1.08 | 1.55 | 24 | |||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $56,095 and $28,289 for Series I and Series II shares, respectively | |
(e) | Ratios reflect the rebate of certain Fund expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios was less than 0.005%. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,234.50 | $ | 5.29 | $ | 1,020.47 | $ | 4.79 | 0.94 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,233.70 | 6.70 | 1,019.21 | 6.06 | 1.19 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 32.60% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 10.22 | % | ||
Series II Shares | 9.95 | |||
Barclays Capital U.S. Corporate High Yield 2% Issuer Cap Index▼ | ||||
(Broad Market and Style-Specific Index) | 14.94 | |||
▼ | Lipper Inc. |
n | Low equity value to debt, high subordination and negative free cash flow coupled with negative news, declining expectations, or an increasing risk profile. | |
n | Very low yields. | |
n | Presentation of a better relative value opportunity. |
A | 0.7 | % | ||
BBB | 3.0 | |||
BB | 35.4 | |||
B | 44.5 | |||
CCC | 10.9 | |||
Non-Rated | 3.5 | |||
Cash | 2.0 |
1. | CIT Group Inc. | 1.9 | % | |||||
2. | Sprint Capital Corp. | 1.7 | ||||||
3. | MGM Resorts International | 1.7 | ||||||
4. | International Lease Finance Corp. | 1.5 | ||||||
5. | Nielsen Finance LLC/Co. | 1.4 | ||||||
6. | Intelsat Jackson Holdings S.A. | 1.4 | ||||||
7. | Freescale Semiconductor Inc. | 1.4 | ||||||
8. | Vangent Inc. | 1.3 | ||||||
9. | Ply Gem Industries Inc. | 1.2 | ||||||
10. | Continental Airlines Inc. | 1.2 |
Total Net Assets | $32.2 million | |||
Total Number of Holdings* | 287 |
*Excluding money market fund holdings.
† | Source: Standard and Poor’s. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations, including specific securities, money market instruments or other debts. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest); ratings are subject to change without notice. “Non-Rated” indicates the debtor was not rated, and should not be interpreted as indicating low quality. For more information on Standard and Poor’s rating methodology, please visit www.standardandpoors.com and select ‘Understanding Ratings’ under Rating Resources on the homepage. |
2 U.S. Federal Reserve
3 Barclays Capital
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco V.I. High Yield Securities Fund. Mr. Ehret joined Invesco in 2001. He graduated cum laude with a B.S. in economics from the University of Minnesota. He also earned an M.S. in real estate appraisal and investment analysis from the University of Wisconsin-Madison.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. High Yield Securities Fund. He joined Invesco in 1992. Mr. Hughes earned a B.B.A. in finance and economics from Baylor University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. High Yield Securities Fund. He joined Invesco in 2000. Mr. Roberts earned a B.B.A. in finance from the University of Houston.
Series I Shares | ||||||||
Inception (3/9/84) | 4.15 | % | ||||||
10 | Years | 2.09 | ||||||
5 | Years | 6.88 | ||||||
1 | Year | 10.22 | ||||||
Series II Shares | ||||||||
Inception (6/5/00) | -1.62 | % | ||||||
10 | Years | 1.86 | % | |||||
5 | Years | 6.65 | ||||||
1 | Year | 9.95 |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Principal | ||||||||
Amount | Value | |||||||
U.S. Dollar Denominated Bonds & Notes–86.92% | ||||||||
Advertising–0.23% | ||||||||
Lamar Media Corp., Sr. Gtd. Sub. Global Notes, 7.88%, 04/15/18 | $ | 70,000 | $ | 74,463 | ||||
Aerospace & Defense–1.34% | ||||||||
Alliant Techsystems Inc., Sr. Unsec. Gtd. Sub. Notes, 6.88%, 09/15/20 | 15,000 | 15,487 | ||||||
BE Aerospace, Inc., Sr. Unsec. Notes, 6.88%, 10/01/20 | 85,000 | 87,975 | ||||||
Hexcel Corp., Sr. Unsec. Sub. Global Notes, 6.75%, 02/01/15 | 145,000 | 148,625 | ||||||
Triumph Group, Inc., Sr. Unsec. Gtd. Sub. Global Notes, 8.00%, 11/15/17 | 170,000 | 179,775 | ||||||
431,862 | ||||||||
Airlines–1.75% | ||||||||
American Airlines,–Series 1991-A2, Sec. Pass Through Ctfs., 10.18%, 01/02/13 | 34,838 | 35,317 | ||||||
Continental Airlines Inc., Series 2007-1, Class C, Sec. Sub. Global Pass | ||||||||
Through Ctfs., 7.34%, 04/19/14 | 242,972 | 245,402 | ||||||
Series 2009-1, Class B, Sec. Global Pass | ||||||||
Through Ctfs., 9.25%, 05/10/17 | 128,231 | 139,131 | ||||||
UAL Corp., Series 2007-1A, Sec. Gtd. Global Pass Through | ||||||||
Ctfs., 6.64%, 07/02/22 | 39,098 | 39,856 | ||||||
Series 2009-2B, Sec. Gtd. Pass Through | ||||||||
Ctfs., 12.00%, 01/15/16(b) | 92,107 | 103,620 | ||||||
563,326 | ||||||||
Aluminum–0.28% | ||||||||
Century Aluminum Co., Sr. Sec. Notes, 8.00%, 05/15/14 | 85,000 | 89,941 | ||||||
Apparel, Accessories & Luxury Goods–2.14% | ||||||||
Hanesbrands Inc., Sr. Unsec. Gtd. Notes, 6.38%, 12/15/20(b) | 80,000 | 77,200 | ||||||
Levi Strauss & Co., Sr. Unsec. Global Notes, 7.63%, 05/15/20 | 165,000 | 171,187 | ||||||
Oxford Industries Inc., Sr. Sec. Gtd. Global Notes, 11.38%, 07/15/15 | 150,000 | 169,125 | ||||||
Phillips-Van Heusen Corp., Sr. Unsec. Notes, 7.38%, 05/15/20 | 55,000 | 58,438 | ||||||
Quiksilver Inc., Sr. Unsec. Gtd. Global Notes, 6.88%, 04/15/15 | 200,000 | 196,500 | ||||||
Visant Corp., Sr. Notes, 10.00%, 10/01/17(b) | 15,000 | 15,975 | ||||||
688,425 | ||||||||
Asset Management & Custody Banks–0.04% | ||||||||
Accellent Inc., Sr. Gtd. Sub. Notes, 10.00%, 11/01/17(b) | 15,000 | 14,175 | ||||||
Auto Parts & Equipment–0.21% | ||||||||
Tenneco Inc., Sr. Gtd. Notes, 6.88%, 12/15/20(b) | 25,000 | 25,500 | ||||||
Sr. Notes, 7.75%, 08/15/18(b) | 40,000 | 42,600 | ||||||
68,100 | ||||||||
Automobile Manufacturers–0.69% | ||||||||
Ford Motor Co., Sr. Unsec. Global Notes, 7.45%, 07/16/31 | 115,000 | 124,200 | ||||||
Motors Liquidation Co., Sr. Unsec. Notes, 8.38%, 07/15/33(c) | 265,000 | 96,394 | ||||||
220,594 | ||||||||
Broadcasting–2.19% | ||||||||
Allbritton Communications Co., Sr. Unsec. Global Notes, 8.00%, 05/15/18 | 90,000 | 91,350 | ||||||
Nielsen Finance LLC/Co., Sr. Unsec. Gtd. Notes, 7.75%, 10/15/18(b) | 355,000 | 369,200 | ||||||
Sr. Unsec. Gtd. Sub. Disc. Global Notes, 12.50%, 08/01/16(d) | 80,000 | 84,400 | ||||||
XM Satellite Radio Inc., Sr. Unsec. Gtd. Notes, 13.00%, 08/01/13(b) | 135,000 | 161,325 | ||||||
706,275 | ||||||||
Building Products–4.16% | ||||||||
Associated Materials LLC, Sr. Sec. Gtd. Notes, 9.13%, 11/01/17(b) | 120,000 | 126,600 | ||||||
Building Materials Corp. of America, Sr. Gtd. Notes, 7.50%, 03/15/20(b) | 160,000 | 164,400 | ||||||
Gibraltar Industries Inc., Series B, Sr. Unsec. Gtd. Sub. Global Notes, 8.00%, 12/01/15 | 105,000 | 106,444 | ||||||
Nortek Inc., Sr. Sec. Gtd. Global Notes, 11.00%, 12/01/13 | 220,000 | 235,400 | ||||||
Sr. Unsec. Gtd. Notes, 10.00%, 12/01/18(b) | 75,000 | 78,563 | ||||||
Ply Gem Industries Inc., | ||||||||
Sr. Sec. Gtd. First & Second Lien Global Notes, 11.75%, 06/15/13 | 315,000 | 337,837 | ||||||
Sr. Unsec. Gtd. Sub. Global Notes, 13.13%, 07/15/14 | 55,000 | 58,575 | ||||||
Roofing Supply Group LLC/Roofing Supply Finance Inc., Sr. Sec. Notes, 8.63%, 12/01/17(b) | 190,000 | 198,075 | ||||||
USG Corp., Sr. Gtd. Notes, 8.38%, 10/15/18(b) | 10,000 | 9,850 | ||||||
Sr. Unsec. Gtd. Notes, 9.75%, 08/01/14(b) | 20,000 | 21,250 | ||||||
1,336,994 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Cable & Satellite–1.05% | ||||||||
CSC Holdings LLC, Sr. Unsec. Global Notes, 8.63%, 02/15/19 | $ | 140,000 | $ | 160,300 | ||||
Hughes Network Systems LLC/HNS Finance Corp., Sr. Unsec. Gtd. Global Notes, 9.50%, 04/15/14 | 45,000 | 46,631 | ||||||
9.50%, 04/15/14 | 125,000 | 129,531 | ||||||
336,462 | ||||||||
Casinos & Gaming–5.68% | ||||||||
Boyd Gaming Corp., Sr. Notes, 9.13%, 12/01/18(b) | 15,000 | 15,000 | ||||||
Caesars Entertainment Operating Co. Inc., | ||||||||
Sr. Sec. Gtd. Global Notes, 10.00%, 12/15/18 | 30,000 | 27,450 | ||||||
11.25%, 06/01/17 | 135,000 | 152,550 | ||||||
Sr. Sec. Notes, 12.75%, 04/15/18(b) | 85,000 | 87,550 | ||||||
Sr. Unsec. Gtd. Global Bonds, 5.63%, 06/01/15 | 115,000 | 95,737 | ||||||
Great Canadian Gaming Corp. (Canada), Sr. Unsec. Gtd. Sub. Notes, 7.25%, 02/15/15(b) | 20,000 | 20,600 | ||||||
Las Vegas Sands Corp., Sr. Sec. Gtd. Global Notes, 6.38%, 02/15/15 | 100,000 | 102,250 | ||||||
Mandalay Resort Group, Sr. Unsec. Gtd. Sub. Notes, 7.63%, 07/15/13 | 100,000 | 95,000 | ||||||
MGM Resorts International, | ||||||||
Sr. Sec. Gtd. Notes, 13.00%, 11/15/13 | 90,000 | 106,650 | ||||||
Sr. Unsec. Gtd. Global Notes, 6.75%, 04/01/13 | 455,000 | 448,175 | ||||||
Pinnacle Entertainment Inc., Sr. Unsec. Gtd. Global Notes, 8.63%, 08/01/17 | 90,000 | 98,325 | ||||||
Resort at Summerlin L.P., Series B, Sr. Unsec. Sub. Notes, 13.00%, 12/15/07(c) | 7,210,050 | 0 | ||||||
Scientific Games Corp., Sr. Sub. Notes, 8.13%, 09/15/18(b) | 15,000 | 15,188 | ||||||
Scientific Games International Inc., Sr. Unsec. Gtd. Sub. Global Notes, 9.25%, 06/15/19 | 125,000 | 129,687 | ||||||
Seneca Gaming Corp., Sr. Unsec. Gtd. Notes, 8.25%, 12/01/18(b) | 35,000 | 35,175 | ||||||
Snoqualmie Entertainment Authority, | ||||||||
Sr. Sec. Floating Rate Notes, 4.43%, 02/01/14(b)(e) | 55,000 | 47,850 | ||||||
Sr. Sec. Notes, 9.13%, 02/01/15(b) | 115,000 | 106,950 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | ||||||||
Sec. Gtd. First Mortgage Global Notes, 7.75%, 08/15/20 | 50,000 | 54,500 | ||||||
Sr. Sec. Gtd. First Mortgage Global Notes, 7.88%, 05/01/20 | 175,000 | 189,219 | ||||||
1,827,856 | ||||||||
Coal & Consumable Fuels–0.12% | ||||||||
CONSOL Energy Inc., Sr. Unsec. Gtd. Notes, 8.25%, 04/01/20(b) | 35,000 | 37,975 | ||||||
Computer & Electronics Retail–0.06% | ||||||||
Rent-A-Center Inc., Sr. Unsec. Notes, 6.63%, 11/15/20(b) | 20,000 | 20,050 | ||||||
Computer Storage & Peripherals–0.29% | ||||||||
Seagate HDD Cayman (Cayman Islands), Sr. Unsec. Gtd. Notes, 7.75%, 12/15/18(b) | 90,000 | 91,913 | ||||||
Construction & Engineering–1.38% | ||||||||
American Residential Services LLC, Sr. Sec. Notes, 12.00%, 04/15/15(b) | 35,000 | 36,837 | ||||||
Dycom Investments Inc., Sr. Unsec. Gtd. Sub. Global Notes, 8.13%, 10/15/15 | 40,000 | 40,900 | ||||||
MasTec, Inc., Sr. Unsec. Gtd. Global Notes, 7.63%, 02/01/17 | 110,000 | 111,925 | ||||||
Tutor Perini Corp., Sr. Unsec. Gtd. Notes, 7.63%, 11/01/18(b) | 250,000 | 253,125 | ||||||
442,787 | ||||||||
Construction Materials–1.07% | ||||||||
Cemex Finance LLC, Sr. Sec. Gtd. Bonds, 9.50%, 12/14/16(b) | 100,000 | 103,551 | ||||||
Texas Industries Inc., Sr. Unsec. Gtd. Notes, 9.25%, 08/15/20(b) | 225,000 | 240,187 | ||||||
343,738 | ||||||||
Construction, Farm Machinery & Heavy Trucks–1.89% | ||||||||
Case New Holland Inc., Sr. Notes, 7.88%, 12/01/17(b) | 75,000 | 82,875 | ||||||
Sr. Unsec. Gtd. Global Notes, 7.75%, 09/01/13 | 135,000 | 145,800 | ||||||
Manitowoc Co. Inc. (The), Sr. Unsec. Gtd. Notes, 8.50%, 11/01/20 | 50,000 | 53,562 | ||||||
Navistar International Corp., Sr. Unsec. Gtd. Notes, 8.25%, 11/01/21 | 180,000 | 194,850 | ||||||
Oshkosh Corp., Sr. Unsec. Gtd. Global Notes, 8.50%, 03/01/20 | 80,000 | 88,200 | ||||||
Titan International Inc., Sr. Sec. Gtd. Notes, 7.88%, 10/01/17(b) | 40,000 | 42,500 | ||||||
607,787 | ||||||||
Consumer Finance–2.77% | ||||||||
Ally Financial Inc., | ||||||||
Sr. Unsec. Gtd. Global Notes, 8.00%, 03/15/20 | 195,000 | 214,500 | ||||||
8.00%, 11/01/31 | 15,000 | 16,050 | ||||||
Sr. Unsec. Gtd. Notes, 7.50%, 09/15/20(b) | 140,000 | 149,100 | ||||||
Capital One Capital VI, Jr. Ltd. Gtd. Sub., 8.88%, 05/15/40 | 115,000 | 120,031 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Consumer Finance–(continued) | ||||||||
Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 8.00%, 12/15/16 | $ | 95,000 | $ | 106,400 | ||||
8.13%, 01/15/20 | 150,000 | 174,750 | ||||||
National Money Mart Co. (Canada), Sr. Unsec. Gtd. Global Notes, 10.38%, 12/15/16 | 100,000 | 109,000 | ||||||
889,831 | ||||||||
Data Processing & Outsourced Services–0.58% | ||||||||
SunGard Data Systems Inc., Sr. Unsec. Gtd. Global Notes, 10.63%, 05/15/15 | 65,000 | 72,475 | ||||||
Sr. Unsec. Gtd. Sub. Global Notes, 10.25%, 08/15/15 | 60,000 | 63,150 | ||||||
Sr. Unsec. Notes, 7.38%, 11/15/18(b) | 25,000 | 25,250 | ||||||
7.63%, 11/15/20(b) | 25,000 | 25,437 | ||||||
186,312 | ||||||||
Department Stores–0.46% | ||||||||
Sears Holdings Corp., Sr. Unsec. Notes, 6.63%, 10/15/18(b) | 155,000 | 146,475 | ||||||
Distillers & Vintners–0.58% | ||||||||
Constellation Brands Inc., Sr. Unsec. Gtd. Global Notes, 7.25%, 05/15/17 | 175,000 | 185,500 | ||||||
Diversified Support Services–0.05% | ||||||||
Mobile Mini, Inc., Sr. Unsec. Gtd. Notes, 7.88%, 12/01/20(b) | 15,000 | 15,638 | ||||||
Drug Retail–0.26% | ||||||||
General Nutrition Centers Inc., Sr. Unsec. Gtd. PIK Floating Rate Global Notes, 5.75%, 03/15/14(e) | 85,000 | 84,150 | ||||||
Electrical Components & Equipment–0.08% | ||||||||
Polypore International Inc., Sr. Unsec. Gtd. Notes, 7.50%, 11/15/17(b) | 25,000 | 25,750 | ||||||
Environmental & Facilities Services–0.12% | ||||||||
EnergySolutions Inc./LLC, Sr. Unsec. Gtd. Notes, 10.75%, 08/15/18(b) | 35,000 | 38,413 | ||||||
Fertilizers & Agricultural Chemicals–0.72% | ||||||||
CF Industries Inc., Sr. Unsec. Gtd. Notes, 7.13%, 05/01/20 | 210,000 | 230,475 | ||||||
Food Retail–0.27% | ||||||||
Simmons Foods Inc., Sr. Sec. Notes, 10.50%, 11/01/17(b) | 80,000 | 85,800 | ||||||
Forest Products–0.03% | ||||||||
Sino-Forest Corp. (Canada), Gtd. Notes, 6.25%, 10/21/17(b) | 10,000 | 10,041 | ||||||
Gas Utilities–0.52% | ||||||||
Ferrellgas L.P./Ferrellgas Finance Corp., Sr. Unsec. Notes, 6.50%, 05/01/21(b) | 90,000 | 87,975 | ||||||
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., Sr. Unsec. Notes, 7.38%, 03/15/20 | 75,000 | 80,437 | ||||||
168,412 | ||||||||
Health Care Equipment–0.34% | ||||||||
DJO Finance LLC/Corp., Sr. Unsec. Gtd. Global Notes, 10.88%, 11/15/14 | 100,000 | 109,500 | ||||||
Health Care Facilities–2.97% | ||||||||
Community Health Systems Inc., Sr. Unsec. Gtd. Global Notes, 8.88%, 07/15/15 | 175,000 | 184,625 | ||||||
Hanger Orthopedic Group Inc., Sr. Unsec. Gtd. Global Notes, 7.13%, 11/15/18 | 25,000 | 25,062 | ||||||
HCA, Inc., Sr. Sec. Gtd. Global Notes, 7.88%, 02/15/20 | 105,000 | 112,875 | ||||||
Sr. Unsec. Notes, 5.75%, 03/15/14 | 255,000 | 252,450 | ||||||
Health Management Associates Inc., Sr. Sec. Notes, 6.13%, 04/15/16 | 30,000 | 30,375 | ||||||
Healthsouth Corp., Sr. Unsec. Gtd. Notes, 7.25%, 10/01/18 | 50,000 | 51,125 | ||||||
7.75%, 09/15/22 | 25,000 | 25,875 | ||||||
Select Medical Holdings Corp., Sr. Unsec. Floating Rate Global Notes, 6.24%, 09/15/15(e) | 60,000 | 55,800 | ||||||
Tenet Healthcare Corp., Sr. Sec. Gtd. Global Notes, 10.00%, 05/01/18 | 135,000 | 158,625 | ||||||
Sr. Unsec. Global Notes, 9.25%, 02/01/15 | 55,000 | 58,850 | ||||||
955,662 | ||||||||
Health Care Services–0.77% | ||||||||
Apria Healthcare Group Inc., Sr. Sec. Gtd. Global Notes, 12.38%, 11/01/14 | 95,000 | 105,331 | ||||||
DaVita Inc., Sr. Unsec. Gtd. Notes, 6.38%, 11/01/18 | 25,000 | 24,938 | ||||||
Fresenius US Finance II Inc., Sr. Unsec. Gtd. Notes, 9.00%, 07/15/15(b) | 80,000 | 92,000 | ||||||
Universal Hospital Services Inc., Sr. Sec. PIK Global Notes, 8.50%, 06/01/15 | 25,000 | 25,812 | ||||||
248,081 | ||||||||
Health Care Technology–0.39% | ||||||||
MedAssets Inc., Sr. Notes, 8.00%, 11/15/18(b) | 125,000 | 126,250 | ||||||
Homebuilding–0.78% | ||||||||
K Hovnanian Enterprises Inc., Sr. Sec. Gtd. Global Notes, 10.63%, 10/15/16 | 175,000 | 181,125 | ||||||
M/I Homes Inc., Sr. Unsec. Notes, 8.63%, 11/15/18(b) | 35,000 | 35,262 | ||||||
Standard Pacific Corp., Sr. Unsec. Gtd. Notes, 8.38%, 05/15/18(b) | 35,000 | 35,175 | ||||||
251,562 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Hotels, Resorts & Cruise Lines–0.25% | ||||||||
Royal Caribbean Cruises Ltd., Sr. Unsec. Global Notes, 6.88%, 12/01/13 | $ | 75,000 | $ | 80,250 | ||||
Household Products–0.22% | ||||||||
Central Garden and Pet Co., Sr. Gtd. Sub. Notes, 8.25%, 03/01/18 | 70,000 | 71,925 | ||||||
Housewares & Specialties–0.03% | ||||||||
Jarden Corp., Sr. Unsec. Gtd. Notes, 6.13%, 11/15/22 | 10,000 | 9,588 | ||||||
Independent Power Producers & Energy Traders–1.65% | ||||||||
AES Corp. (The), Sr. Unsec. Notes, 7.75%, 03/01/14 | 270,000 | 289,575 | ||||||
NRG Energy, Inc., | ||||||||
Sr. Unsec. Gtd. Notes, 7.38%, 02/01/16 | 155,000 | 158,875 | ||||||
7.38%, 01/15/17 | 50,000 | 51,250 | ||||||
Sr. Unsec. Notes, 8.50%, 06/15/19 | 30,000 | 31,050 | ||||||
530,750 | ||||||||
Industrial Conglomerates–0.79% | ||||||||
RBS Global Inc./ Rexnord LLC, Sr. Unsec. Gtd. Global Notes, 8.50%, 05/01/18 | 240,000 | 255,000 | ||||||
Industrial Gases–0.15% | ||||||||
Airgas Inc., Sr. Unsec. Gtd. Sub. Global Notes, 7.13%, 10/01/18 | 45,000 | 49,838 | ||||||
Industrial Machinery–0.23% | ||||||||
Mueller Water Products Inc., Sr. Unsec. Gtd. Global Notes, 8.75%, 09/01/20 | 15,000 | 16,725 | ||||||
SPX Corp., Sr. Unsec. Gtd. Notes, 6.88%, 09/01/17(b) | 55,000 | 58,713 | ||||||
75,438 | ||||||||
Integrated Telecommunication Services–1.39% | ||||||||
Intelsat Jackson Holdings S.A. (Luxembourg), Sr. Unsec. Gtd. Global Notes, 9.50%, 06/15/16 | 30,000 | 31,800 | ||||||
Sr. Unsec. Notes, 7.25%, 10/15/20(b) | 410,000 | 416,150 | ||||||
447,950 | ||||||||
Internet Retail–0.85% | ||||||||
Travelport LLC, Sr. Unsec. Gtd. Global Notes, 9.88%, 09/01/14 | 18,000 | 17,640 | ||||||
Sr. Unsec. Gtd. Sub. Global Notes, 11.88%, 09/01/16 | 140,000 | 138,250 | ||||||
Travelport LLC/Inc., Sr. Unsec. Gtd. Global Notes, 9.00%, 03/01/16 | 120,000 | 116,700 | ||||||
272,590 | ||||||||
Investment Banking & Brokerage–0.69% | ||||||||
Cantor Fitzgerald L.P., Bonds, 7.88%, 10/15/19(b) | 105,000 | 106,153 | ||||||
E*Trade Financial Corp., Sr. Unsec. Notes, 7.88%, 12/01/15 | 115,000 | 114,713 | ||||||
220,866 | ||||||||
Leisure Facilities–0.52% | ||||||||
Universal City Development Partners Ltd./UCDP Finance Inc., Sr. Unsec. Gtd. Global Notes, 8.88%, 11/15/15 | 155,000 | 165,850 | ||||||
Leisure Products–0.05% | ||||||||
Toys R Us Delaware Inc., Sr. Sec. Gtd. Notes, 7.38%, 09/01/16(b) | 15,000 | 15,638 | ||||||
Life Sciences Tools & Services–0.20% | ||||||||
Patheon Inc. (Canada), Sr. Sec. Notes, 8.63%, 04/15/17(b) | 65,000 | 65,163 | ||||||
Marine–0.12% | ||||||||
Stena A.B. (Sweden), Sr. Unsec. Global Notes, 7.00%, 12/01/16 | 40,000 | 40,050 | ||||||
Metal & Glass Containers–0.50% | ||||||||
Ball Corp., Sr. Unsec. Gtd. Notes, 5.75%, 05/15/21 | 40,000 | 39,000 | ||||||
Owens-Brockway Glass Container Inc., Sr. Unsec. Gtd. Global Notes, 7.38%, 05/15/16 | 115,000 | 123,050 | ||||||
162,050 | ||||||||
Movies & Entertainment–1.52% | ||||||||
AMC Entertainment Holdings Inc., Sr. Sub. Notes, 9.75%, 12/01/20(b) | 40,000 | 41,650 | ||||||
Sr. Unsec. Gtd. Global Notes, 8.75%, 06/01/19 | 195,000 | 208,650 | ||||||
Cinemark USA Inc., Sr. Unsec. Gtd. Global Notes, 8.63%, 06/15/19 | 60,000 | 65,250 | ||||||
NAI Entertainment Holdings LLC, Sr. Sec. Notes, 8.25%, 12/15/17(b) | 165,000 | 174,075 | ||||||
489,625 | ||||||||
Multi-Line Insurance–2.24% | ||||||||
American International Group, Inc., | ||||||||
Jr. Sub. Variable Rate Global Deb., 8.18%, 05/15/58(e) | 170,000 | 180,625 | ||||||
Sr. Unsec. Global Notes, 6.40%, 12/15/20 | 30,000 | 31,313 | ||||||
Hartford Financial Services Group Inc. (The), Jr. | ||||||||
Unsec. Sub. Variable Rate Deb., 8.13%, 06/15/38(e) | 80,000 | 85,848 | ||||||
Liberty Mutual Group Inc., Jr. Unsec. Gtd. Sub. Bonds, 7.80%, 03/15/37(b) | 230,000 | 228,275 | ||||||
Nationwide Mutual Insurance Co., Sub. Notes, 9.38%, 08/15/39(b) | 165,000 | 193,180 | ||||||
719,241 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Multi-Sector Holdings–0.32% | ||||||||
Reynolds Group Issuer Inc./LLC, Sr. Sec. Gtd. Notes, 7.13%, 04/15/19(b) | $ | 100,000 | $ | 103,250 | ||||
Office Services & Supplies–0.17% | ||||||||
IKON Office Solutions, Inc., Sr. Unsec. Notes, 6.75%, 12/01/25 | 35,000 | 33,775 | ||||||
Interface Inc., Sr. Notes, 7.63%, 12/01/18(b) | 20,000 | 20,700 | ||||||
54,475 | ||||||||
Oil & Gas Drilling–0.25% | ||||||||
Precision Drilling Corp. (Canada), Sr. Unsec. Gtd. Notes, 6.63%, 11/15/20(b) | 55,000 | 56,238 | ||||||
Trinidad Drilling Ltd. (Canada), Sr. Unsec. Notes, 7.88%, 01/15/19(b) | 25,000 | 25,763 | ||||||
82,001 | ||||||||
Oil & Gas Equipment & Services–1.07% | ||||||||
Bristow Group, Inc., Sr. Unsec. Gtd. Global Notes, 7.50%, 09/15/17 | 60,000 | 63,000 | ||||||
Calfrac Holdings L.P., Sr. Unsec. Notes, 7.50%, 12/01/20(b) | 30,000 | 30,206 | ||||||
Cie Generale de Geophysique-Veritas (France), Sr. Unsec. Gtd. Global Notes, 7.50%, 05/15/15 | 35,000 | 35,919 | ||||||
Complete Production Services, Inc., Sr. Unsec. Gtd. Global Notes, 8.00%, 12/15/16 | 65,000 | 67,600 | ||||||
Key Energy Services Inc., Sr. Unsec. Gtd. Global Notes, 8.38%, 12/01/14 | 140,000 | 148,400 | ||||||
345,125 | ||||||||
Oil & Gas Exploration & Production–8.05% | ||||||||
Berry Petroleum Co., Sr. Unsec. Notes, 6.75%, 11/01/20 | 35,000 | 35,350 | ||||||
Chaparral Energy Inc., | ||||||||
Sr. Unsec. Gtd. Global Notes, 8.50%, 12/01/15 | 50,000 | 51,125 | ||||||
8.88%, 02/01/17 | 140,000 | 143,150 | ||||||
Chesapeake Energy Corp., Sr. Unsec. Gtd. Global Notes, 6.88%, 11/15/20 | 30,000 | 30,413 | ||||||
Sr. Unsec. Gtd. Notes, 6.63%, 08/15/20 | 90,000 | 88,538 | ||||||
Cimarex Energy Co., Sr. Unsec. Gtd. Notes, 7.13%, 05/01/17 | 220,000 | 229,075 | ||||||
Concho Resources Inc., Sr. Notes, 7.00%, 01/15/21 | 25,000 | 25,750 | ||||||
Continental Resources Inc., | ||||||||
Sr. Unsec. Gtd. Global Notes, 7.38%, 10/01/20 | 70,000 | 74,025 | ||||||
8.25%, 10/01/19 | 50,000 | 54,875 | ||||||
Sr. Unsec. Gtd. Notes, 7.13%, 04/01/21(b) | 30,000 | 31,650 | ||||||
Delta Petroleum Corp., Sr. Unsec. Gtd. Global Notes, 7.00%, 04/01/15 | 95,000 | 63,175 | ||||||
Encore Acquisition Co., Sr. Gtd. Sub. Notes, 9.50%, 05/01/16 | 90,000 | 100,238 | ||||||
EXCO Resources Inc., Sr. Unsec. Gtd. Notes, 7.50%, 09/15/18 | 130,000 | 127,400 | ||||||
Forest Oil Corp., Sr. Unsec. Gtd. Global Notes, 7.25%, 06/15/19 | 265,000 | 269,637 | ||||||
Harvest Operations Corp., Sr. Unsec. Gtd. Notes, 6.88%, 10/01/17(b) | 80,000 | 82,600 | ||||||
McMoRan Exploration Co., Sr. Unsec. Gtd. Notes, 11.88%, 11/15/14 | 230,000 | 255,012 | ||||||
Newfield Exploration Co., Sr. Unsec. Gtd. Global Notes, 7.13%, 05/15/18 | 60,000 | 63,450 | ||||||
Petrohawk Energy Corp. | ||||||||
Sr. Unsec. Gtd. Global Notes, 7.25%, 08/15/18 | 65,000 | 65,894 | ||||||
7.88%, 06/01/15 | 175,000 | 182,656 | ||||||
Pioneer Natural Resources Co., Sr. Sec. Notes, 6.65%, 03/15/17 | 215,000 | 229,585 | ||||||
Plains Exploration & Production Co., Sr. Unsec. Gtd. Notes, 7.63%, 06/01/18 | 225,000 | 237,937 | ||||||
Range Resources Corp., Sr. Unsec. Notes, 7.50%, 05/15/16 | 90,000 | 93,600 | ||||||
Whiting Petroleum Corp., Sr. Unsec. Gtd. Sub. Notes, 6.50%, 10/01/18 | 55,000 | 55,825 | ||||||
2,590,960 | ||||||||
Oil & Gas Refining & Marketing–1.07% | ||||||||
Tesoro Corp., Sr. Unsec. Gtd. Global Bonds, 6.50%, 06/01/17 | 170,000 | 171,063 | ||||||
United Refining Co., Series 2, Sr. Unsec. Gtd. Global Notes, 10.50%, 08/15/12 | 175,000 | 172,156 | ||||||
343,219 | ||||||||
Oil & Gas Storage & Transportation–2.52% | ||||||||
Copano Energy LLC/Copano Energy Finance Corp., Sr. Unsec. Gtd. Global Notes, 8.13%, 03/01/16 | 175,000 | 182,000 | ||||||
Genesis Energy L.P./Genesis Energy Finance Corp., Sr. Unsec. Gtd. Notes, 7.88%, 12/15/18(b) | 40,000 | 39,800 | ||||||
Inergy L.P./Inergy Finance Corp., Sr. Unsec. Gtd. Global Notes, 8.25%, 03/01/16 | 190,000 | 199,025 | ||||||
MarkWest Energy Partners L.P./MarkWest Energy Finance Corp., Sr. Unsec. Gtd. Notes, 6.75%, 11/01/20 | 35,000 | 34,956 | ||||||
Series B, Sr. Unsec. Gtd. Global Notes, 8.75%, 04/15/18 | 210,000 | 228,112 | ||||||
Overseas Shipholding Group, Inc., Sr. Unsec. Notes, 8.13%, 03/30/18 | 50,000 | 50,375 | ||||||
Regency Energy Partners L.P./Regency Energy Finance Corp., Sr. Unsec. Gtd. Notes, 6.88%, 12/01/18 | 75,000 | 76,313 | ||||||
810,581 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Other Diversified Financial Services–1.47% | ||||||||
International Lease Finance Corp., | ||||||||
Sr. Sec. Notes, 6.75%, 09/01/16(b) | $ | 65,000 | $ | 68,697 | ||||
7.13%, 09/01/18(b) | 65,000 | 69,387 | ||||||
Sr. Unsec. Notes, 8.25%, 12/15/20 | 45,000 | 46,688 | ||||||
8.63%, 09/15/15(b) | 235,000 | 253,212 | ||||||
8.75%, 03/15/17(b) | 34,000 | 36,635 | ||||||
474,619 | ||||||||
Packaged Foods & Meats–0.72% | ||||||||
Chiquita Brands International, Inc., Sr. Unsec. Global Notes, 8.88%, 12/01/15 | 65,000 | 66,544 | ||||||
JBS USA LLC/JBS USA Finance Inc., Sr. Unsec. Gtd. Global Notes, 11.63%, 05/01/14 | 140,000 | 164,150 | ||||||
230,694 | ||||||||
Paper Packaging–0.46% | ||||||||
Cascades Inc. (Canada), Sr. Unsec. Gtd. Global Notes, 7.88%, 01/15/20 | 145,000 | 149,350 | ||||||
Paper Products–0.97% | ||||||||
Clearwater Paper Corp., Sr. Gtd. Notes, 7.13%, 11/01/18(b) | 35,000 | 36,312 | ||||||
Mercer International Inc., Sr. Unsec. Notes, 9.50%, 12/01/17(b) | 50,000 | 51,750 | ||||||
Neenah Paper, Inc., Sr. Unsec. Gtd. Global Notes, 7.38%, 11/15/14 | 65,000 | 66,300 | ||||||
P.H. Glatfelter Co., Sr. Unsec. Gtd. Global Notes, 7.13%, 05/01/16 | 110,000 | 113,889 | ||||||
Sappi Papier Holding AG, Unsec. Gtd. Unsub. Notes, 6.75%, 06/15/12(b) | 45,000 | 45,049 | ||||||
313,300 | ||||||||
Personal Products–0.18% | ||||||||
NBTY Inc., Sr. Gtd. Notes, 9.00%, 10/01/18(b) | 35,000 | 37,363 | ||||||
Sabra Health Care L.P./Sabra Capital Corp., Sr. Gtd. Notes, 8.13%, 11/01/18(b) | 20,000 | 20,725 | ||||||
58,088 | ||||||||
Pharmaceuticals–0.93% | ||||||||
Axcan Intermediate Holdings Inc., Sr. Unsec. Global Notes, 12.75%, 03/01/16 | 110,000 | 113,575 | ||||||
Elan Finance PLC/Elan Finance Corp., Sr. Gtd. Notes, 8.75%, 10/15/16(b) | 100,000 | 101,750 | ||||||
Endo Pharmaceuticals Holdings Inc., Sr. Unsec. Gtd. Notes, 7.00%, 12/15/20(b) | 15,000 | 15,375 | ||||||
Mylan Inc., Sr. Gtd. Notes, 6.00%, 11/15/18(b) | 50,000 | 49,375 | ||||||
Valeant Pharmaceuticals International (Canada), Sr. Unsec. Gtd. Notes, 6.75%, 10/01/17(b) | 10,000 | 9,975 | ||||||
7.00%, 10/01/20(b) | 10,000 | 9,900 | ||||||
299,950 | ||||||||
Property & Casualty Insurance–0.64% | ||||||||
Crum & Forster Holdings Corp., Sr. Unsec. Global Notes, 7.75%, 05/01/17 | 125,000 | 131,250 | ||||||
XL Group PLC (Ireland), Series E, Jr. Sub. Variable Rate Global Bonds, 6.50%(e)(f) | 85,000 | 73,525 | ||||||
204,775 | ||||||||
Publishing–0.80% | ||||||||
Gannett Co. Inc., Sr. Unsec. Gtd. Global Notes, 8.75%, 11/15/14 | 10,000 | 11,225 | ||||||
9.38%, 11/15/17 | 220,000 | 245,300 | ||||||
256,525 | ||||||||
Railroads–0.37% | ||||||||
Kansas City Southern de Mexico S.A. de C.V. (Mexico), Sr. Unsec. Global Notes, 8.00%, 02/01/18 | 110,000 | 118,689 | ||||||
Real Estate Services–0.25% | ||||||||
CB Richard Ellis Services Inc., Sr. Unsec. Gtd. Notes, 6.63%, 10/15/20(b) | 80,000 | 80,300 | ||||||
Regional Banks–1.06% | ||||||||
Regions Financial Corp., Unsec. Sub. Notes, 7.38%, 12/10/37 | 150,000 | 141,000 | ||||||
Zions Bancorp., Unsec. Sub. Notes, 5.50%, 11/16/15 | 205,000 | 199,875 | ||||||
340,875 | ||||||||
Research & Consulting Services–0.16% | ||||||||
FTI Consulting Inc., Sr. Gtd. Notes, 6.75%, 10/01/20(b) | 50,000 | 49,875 | ||||||
Restaurants–0.05% | ||||||||
Dunkin Finance Corp., Sr. Notes, 9.63%, 12/01/18(b) | 15,000 | 15,300 | ||||||
Semiconductor Equipment–0.49% | ||||||||
Amkor Technology Inc., Sr. Unsec. Global Notes, 7.38%, 05/01/18 | 150,000 | 156,375 | ||||||
Semiconductors–1.84% | ||||||||
Advanced Micro Devices Inc., Sr. Unsec. Notes, 7.75%, 08/01/20(b) | 30,000 | 31,200 | ||||||
Freescale Semiconductor Inc., Sr. Sec. Gtd. Notes, 9.25%, 04/15/18(b) | 109,000 | 120,445 | ||||||
Sr. Unsec. Gtd. Notes, 10.75%, 08/01/20(b) | 105,000 | 115,237 | ||||||
Sr. Unsec. Gtd. PIK Global Notes, 9.13%, 12/15/14 | 190,000 | 199,025 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Semiconductors–(continued) | ||||||||
NXP B.V./NXP Funding LLC (Netherlands), Sr. Sec. Gtd. Global Notes, 7.88%, 10/15/14 | $ | 120,000 | $ | 125,550 | ||||
591,457 | ||||||||
Specialized Finance–1.84% | ||||||||
CIT Group Inc., Sr. Sec. Bonds, 7.00%, 05/01/17 | 590,000 | 592,950 | ||||||
Specialized REIT’s–0.40% | ||||||||
Host Hotels & Resorts Inc., Sr. Gtd. Notes, 6.00%, 11/01/20(b) | 75,000 | 73,875 | ||||||
Omega Healthcare Investors Inc., Sr. Unsec. Gtd. Notes, 6.75%, 10/15/22(b) | 55,000 | 54,588 | ||||||
128,463 | ||||||||
Specialty Chemicals–1.21% | ||||||||
Ferro Corp., Sr. Unsec. Notes, 7.88%, 08/15/18 | 105,000 | 111,037 | ||||||
Huntsman International LLC, Sr. Unsec. Gtd. Sub. Global Notes, 7.38%, 01/01/15 | 105,000 | 107,888 | ||||||
Nalco Co., Sr. Notes, 6.63%, 01/15/19(b) | 25,000 | 25,625 | ||||||
PolyOne Corp., Sr. Unsec. Notes, 7.38%, 09/15/20 | 140,000 | 145,600 | ||||||
390,150 | ||||||||
Specialty Stores–0.61% | ||||||||
Michaels Stores Inc., | ||||||||
Sr. Notes, 7.75%, 11/01/18(b) | 25,000 | 24,938 | ||||||
Sr. Unsec. Gtd. Sub. Disc. Global Notes, 13.00%, 11/01/16(d) | 175,000 | 172,812 | ||||||
197,750 | ||||||||
Steel–0.92% | ||||||||
AK Steel Corp., Sr. Unsec. Gtd. Notes, 7.63%, 05/15/20 | 110,000 | 111,100 | ||||||
FMG Resources Ltd., Sr. Notes, 6.38%, 02/01/16(b) | 65,000 | 65,188 | ||||||
Steel Dynamics Inc., Sr. Unsec. Gtd. Global Notes, 7.75%, 04/15/16 | 40,000 | 42,400 | ||||||
United States Steel Corp., Sr. Unsec. Notes, 7.00%, 02/01/18 | 55,000 | 55,550 | ||||||
7.38%, 04/01/20 | 20,000 | 20,400 | ||||||
294,638 | ||||||||
Systems Software–1.95% | ||||||||
Allen Systems Group Inc., Sr. Sec. Notes, 10.50%, 11/15/16(b) | 205,000 | 210,125 | ||||||
Vangent Inc., Sr. Unsec. Gtd. Sub. Global Notes, 9.63%, 02/15/15 | 460,000 | 418,600 | ||||||
628,725 | ||||||||
Tires & Rubber–0.54% | ||||||||
Cooper Tire & Rubber Co., Sr. Unsec. Notes, 8.00%, 12/15/19 | 170,000 | 174,250 | ||||||
Trading Companies & Distributors–2.37% | ||||||||
Ashtead Capital Inc., Sr. Sec. Gtd. Notes, 9.00%, 08/15/16(b) | 200,000 | 209,500 | ||||||
Avis Budget Car Rental LLC/Avis Budget Finance Inc., Sr. Unsec. Gtd. Notes, 8.25%, 01/15/19(b) | 160,000 | 162,000 | ||||||
H&E Equipment Services Inc., Sr. Unsec. Gtd. Global Notes, 8.38%, 07/15/16 | 185,000 | 189,625 | ||||||
Hertz Corp. (The), Sr. Unsec. Gtd. Notes, 7.38%, 01/15/21(b) | 125,000 | 128,125 | ||||||
7.50%, 10/15/18(b) | 70,000 | 73,325 | ||||||
762,575 | ||||||||
Wireless Telecommunication Services–5.58% | ||||||||
Clearwire Communications LLC/Clearwire Finance Inc., Sr. Sec. Gtd. Notes, 12.00%, 12/01/15(b) | 295,000 | 320,075 | ||||||
Sr. Unsec. Gtd. Conv. Putable Notes, 8.25%, 12/01/17(b) | 35,000 | 35,700 | ||||||
Cricket Communications, Inc., Sr. Sec. Gtd. Global Notes, 7.75%, 05/15/16 | 115,000 | 120,031 | ||||||
Sr. Unsec. Gtd. Notes, 7.75%, 10/15/20(b) | 105,000 | 100,800 | ||||||
Digicel Group Ltd. (Bermuda), Sr. Unsec. Notes, 8.88%, 01/15/15(b) | 150,000 | 152,437 | ||||||
MetroPCS Wireless Inc., Sr. Unsec. Gtd. Notes, 6.63%, 11/15/20 | 95,000 | 90,725 | ||||||
7.88%, 09/01/18 | 65,000 | 67,316 | ||||||
SBA Telecommunications Inc., Sr. Unsec. Gtd. Global Notes, 8.25%, 08/15/19 | 90,000 | 98,550 | ||||||
Sprint Capital Corp., Sr. Unsec. Gtd. Global Notes, 6.88%, 11/15/28 | 175,000 | 153,344 | ||||||
6.90%, 05/01/19 | 405,000 | 404,494 | ||||||
Sprint Nextel Corp., Sr. Unsec. Notes, 8.38%, 08/15/17 | 25,000 | 26,687 | ||||||
Wind Acquisition Finance S.A. (Luxembourg), Sr. Sec. Gtd. Sub. Notes, 11.75%, 07/15/17(b) | 200,000 | 225,000 | ||||||
1,795,159 | ||||||||
Total U.S. Dollar Denominated Bonds & Notes (Cost $33,641,053) | 27,966,830 | |||||||
Non-U.S. Dollar Denominated Bonds & Notes–7.15%(g) | ||||||||
Canada–0.19% | ||||||||
Gateway Casinos & Entertainment Ltd., Sr. Sec. Gtd. Notes, 8.88%, 11/15/17(b) | CAD | 60,000 | $ | 62,381 | ||||
Czech Republic–0.22% | ||||||||
CET 21 spol sro, Sr. Sec. Notes, 9.00%, 11/01/17(b) | EUR | 50,000 | 69,154 | |||||
Ireland–0.80% | ||||||||
Ardagh Packaging Finance PLC, Sr. Gtd. Notes, 9.25%, 10/15/20(b) | EUR | 100,000 | 137,640 | |||||
Bord Gais Eireann, Sr. Unsec. Medium-Term Euro Notes, 5.75%, 06/16/14 | EUR | 95,000 | 120,340 | |||||
257,980 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Luxembourg–2.12% | ||||||||
Calcipar S.A., Sr. Unsec. Gtd. Floating Rate Notes, 2.09%, 07/01/14(b)(e) | EUR | 100,000 | $ | 120,936 | ||||
Codere Finance Luxembourg S.A., Sr. Sec. Gtd. Notes, 8.25%, 06/15/15(b) | EUR | 100,000 | 133,631 | |||||
ConvaTec Healthcare S.A., Sr. Sec. Notes, 7.38%, 12/15/17(b) | EUR | 100,000 | 135,969 | |||||
TMD Friction Finance S.A., Sr. Sec. Gtd. Bonds, 10.75%, 05/15/17(b) | EUR | 115,000 | 157,502 | |||||
Wind Acquisition Finance S.A., Sr. Sec. Gtd. Notes, 7.38%, 02/15/18(b) | EUR | 100,000 | 134,633 | |||||
682,671 | ||||||||
Netherlands–1.75% | ||||||||
Carlson Wagonlit B.V., Sr. Gtd. Floating Rate Notes, 6.80%, 05/01/15(b)(e) | EUR | 100,000 | 128,954 | |||||
EN Germany Holdings B.V., Sr. Sec. Gtd. Notes, 10.75%, 11/15/15(b) | EUR | 100,000 | 137,511 | |||||
Polish Television Holding B.V., Sr. Sec. Bonds, 11.25%, 05/15/17(b)(d) | EUR | 50,000 | 69,157 | |||||
Ziggo Bond Co. B.V., Sr. Sec. Gtd. Notes, 8.00%, 05/15/18(b) | EUR | 165,000 | 228,208 | |||||
563,830 | ||||||||
Spain–0.20% | ||||||||
Inaer Aviation Finance Ltd., Sr. Sec. Bonds, 9.50%, 08/01/17(b) | EUR | 50,000 | 64,143 | |||||
Sweden–0.23% | ||||||||
TVN Finance Corp II A.B., Sr. Unsec. Gtd. Notes, 10.75%, 11/15/17(b) | EUR | 50,000 | 73,831 | |||||
United Kingdom–1.64% | ||||||||
ITV PLC, | ||||||||
Series 2005-1, Unsec. Gtd. Unsub. Medium-Term | ||||||||
Euro Notes, 5.38%, 10/19/15 | GBP | 50,000 | 76,005 | |||||
Series 2006-1 Tranche 1, Unsec. Gtd. Unsub. | ||||||||
Medium-Term Euro Notes, 7.38%, 01/05/17 | GBP | 50,000 | 79,903 | |||||
Kerling PLC, Sr. Sec. Gtd. Notes, 10.63%, 02/01/17(b) | EUR | 50,000 | 72,495 | |||||
Pipe Holdings PLC, Sr. Sec. Bonds, 9.50%, 11/01/15(b) | GBP | 100,000 | 159,417 | |||||
R&R Ice Cream Ltd., Sr. Sec. Notes, 8.38%, 11/15/17(b) | EUR | 100,000 | 140,316 | |||||
528,136 | ||||||||
Total Non-U.S. Dollar Denominated Bonds & Notes (Cost $2,307,513) | 2,302,126 | |||||||
Shares | ||||||||
Preferred Stocks–1.30% | ||||||||
Automobile Manufacturers–0.26% | ||||||||
General Motors Co., Series B, 4.75%–Pfd. | 1,520 | 82,247 | ||||||
Diversified Banks–0.74% | ||||||||
Ally Financial, Inc., Series G, 7.00%–Pfd.(b) | 252 | 238,179 | ||||||
Other Diversified Financial Services–0.30% | ||||||||
Citigroup Capital XIII, 7.88% Variable Rate Pfd.(e) | 3,600 | 96,702 | ||||||
Total Preferred Stocks (Cost $312,761) | 417,128 | |||||||
Principal | ||||||||
Amount | ||||||||
Senior Secured Floating Rate Interest Loans–1.19% | ||||||||
Casinos & Gaming–0.97% | ||||||||
CCM Merger Inc. Sr. Sec. First Lien Term Loans, 8.50%, 07/13/12 | $ | 310,720 | 311,573 | |||||
Electric Utilities–0.22% | ||||||||
Calpine Corp. Floating Rate First Priority Lien Term Loan, 3.17%, 03/29/14 | 69,685 | 69,698 | ||||||
Total Senior Secured Floating Rate Interest Loans (Cost $339,765) | 381,271 | |||||||
Shares | ||||||||
Common Stocks & Other Equity Interests–0.08% | ||||||||
Communications Equipment–0.05% | ||||||||
Orbcomm, Inc.(h) | 6,198 | 16,053 | ||||||
Wireless Telecommunication Services–0.03% | ||||||||
USA Mobility, Inc. | 554 | 9,845 | ||||||
Total Common Stocks & Other Equity Interests (Cost $0) | 25,898 | |||||||
Money Market Funds–1.79% | ||||||||
Liquid Assets Portfolio–Institutional Class(i) | 288,644 | 288,644 | ||||||
Premier Portfolio–Institutional Class(i) | 288,644 | 288,644 | ||||||
Total Money Market Funds (Cost $577,288) | 577,288 | |||||||
TOTAL INVESTMENTS–98.43% (Cost $37,178,380) | 31,670,541 | |||||||
OTHER ASSETS LESS LIABILITIES–1.57% | 506,010 | |||||||
NET ASSETS–100.00% | $ | 32,176,551 | ||||||
CAD | – Canadian Dollar | |
Conv. | – Convertible | |
Ctfs. | – Certificates | |
Deb. | – Debentures | |
Disc. | – Discounted | |
EUR | – Euro | |
GBP | – British Pound | |
Gtd. | – Guaranteed | |
Jr. | – Junior | |
Pfd. | – Preferred | |
PIK | – Payment in Kind | |
REIT | – Real Estate Investment Trust | |
Sec. | – Secured | |
Sr. | – Senior | |
Sub. | – Subordinated | |
Unsec. | – Unsecured | |
Unsub. | – Unsubordinated |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at December 31, 2010 was $10,576,649, which represented 32.87% of the Fund’s Net Assets. | |
(c) | Defaulted security. Currently, the issuer is partially or fully in default with respect to interest payments. The aggregate value of these securities at December 31, 2010 was $96,394, which represented 0.30% of the Fund’s Net Assets. | |
(d) | Step coupon bond. The interest rate represents the coupon rate at which the bond will accrue at a specified future date. | |
(e) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on December 31, 2010. | |
(f) | Perpetual bond with no specified maturity date. | |
(g) | Foreign denominated security. Principal amount is denominated in currency indicated. | |
(h) | Non-income producing security. | |
(i) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $36,601,092) | $ | 31,093,253 | ||
Investments in affiliated money market funds, at value and cost | 577,288 | |||
Total investments, at value (Cost $37,178,380) | 31,670,541 | |||
Cash | 6,680 | |||
Receivable for: | ||||
Investments sold | 143,929 | |||
Fund shares sold | 535 | |||
Dividends and interest | 811,770 | |||
Investment for trustee deferred compensation and retirement plans | 1,084 | |||
Other assets | 1,539 | |||
Total assets | 32,636,078 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 83,592 | |||
Fund shares reacquired | 5,022 | |||
Amount due custodian — foreign (Cost $5,419) | 5,512 | |||
Accrued fees to affiliates | 30,976 | |||
Accrued other operating expenses | 332,046 | |||
Trustee deferred compensation and retirement plans | 2,379 | |||
Total liabilities | 459,527 | |||
Net assets applicable to shares outstanding | $ | 32,176,551 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 219,408,208 | ||
Undistributed net investment income | 1,946,344 | |||
Undistributed net realized gain (loss) | (183,669,959 | ) | ||
Unrealized appreciation (depreciation) | (5,508,042 | ) | ||
$ | 32,176,551 | |||
Net Assets: | ||||
Series I | $ | 16,048,762 | ||
Series II | $ | 16,127,789 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 13,974,880 | |||
Series II | 14,055,937 | |||
Series I: | ||||
Net asset value per share | $ | 1.15 | ||
Series II: | ||||
Net asset value per share | $ | 1.15 | ||
Investment income: | ||||
Interest | $ | 3,040,540 | ||
Dividends (net of foreign withholding taxes of $488) | 12,629 | |||
Dividends from affiliated money market funds (includes securities lending income of $4,371) | 5,481 | |||
Total investment income | 3,058,650 | |||
Expenses: | ||||
Advisory fees | 137,515 | |||
Administrative services fees | 60,820 | |||
Custodian fees | 4,909 | |||
Distribution fees — Series II | 41,191 | |||
Transfer agent fees | 1,603 | |||
Trustees’ and officers’ fees and benefits | 9,204 | |||
Professional services fees | 394,931 | |||
Other | 40,038 | |||
Total expenses | 690,211 | |||
Less: Fees waived | (1,804 | ) | ||
Net expenses | 688,407 | |||
Net investment income | 2,370,243 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain (loss) from: | ||||
Investment securities | (43,906,031 | ) | ||
Foreign currencies | 5,375 | |||
(43,900,656 | ) | |||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | 44,931,228 | |||
Foreign currencies | (203 | ) | ||
44,931,025 | ||||
Net realized and unrealized gain | 1,030,369 | |||
Net increase in net assets resulting from operations | $ | 3,400,612 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 2,370,243 | $ | 2,629,901 | ||||
Net realized gain (loss) | (43,900,656 | ) | (2,347,089 | ) | ||||
Change in net unrealized appreciation | 44,931,025 | 10,752,985 | ||||||
Net increase in net assets resulting from operations | 3,400,612 | 11,035,797 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (1,323,198 | ) | (1,215,369 | ) | ||||
Series II | (1,325,494 | ) | (1,195,423 | ) | ||||
Total distributions from net investment income | (2,648,692 | ) | (2,410,792 | ) | ||||
Share transactions–net: | ||||||||
Series I | (1,163,101 | ) | (697,591 | ) | ||||
Series II | (958,872 | ) | (1,580,466 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (2,121,973 | ) | (2,278,057 | ) | ||||
Net increase in net assets | (1,370,053 | ) | 6,346,948 | |||||
Net assets: | ||||||||
Beginning of year | 33,546,604 | 27,199,656 | ||||||
End of year (includes undistributed net investment income of $1,946,344 and $2,239,958, respectively) | $ | 32,176,551 | $ | 33,546,604 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity |
are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
J. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $500 million | 0 | .42% | ||
Next $250 million | 0 | .345% | ||
Next $250 billion | 0 | .295% | ||
Next $1 billion | 0 | .27% | ||
Next $1 billion | 0 | .245% | ||
Over $3 billion | 0 | .22% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 685,433 | $ | 334,881 | $ | — | $ | 1,020,314 | ||||||||
Corporate Debt Securities | — | 30,650,227 | 0 | 30,650,227 | ||||||||||||
Total Investments | $ | 685,433 | $ | 30,985,108 | $ | 0 | $ | 316,670,541 | ||||||||
2010 | 2009 | |||||||
Ordinary Income | $ | 2,648,692 | $ | 2,410,792 | ||||
2010 | ||||
Undistributed ordinary income | $ | 2,239,436 | ||
Net unrealized appreciation (depreciation) — investments | (5,795,852 | ) | ||
Net unrealized appreciation (depreciation) — other investments | (203 | ) | ||
Temporary book/tax differences | (2,281 | ) | ||
Post-October deferrals | (4,695 | ) | ||
Capital loss carryforward | (183,668,062 | ) | ||
Shares of beneficial interest | 219,408,208 | |||
Total net assets | $ | 32,176,551 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2011 | $ | 81,457,642 | ||
December 31, 2012 | 24,097,704 | |||
December 31, 2013 | 15,736,680 | |||
December 31, 2014 | 6,219,062 | |||
December 31, 2016 | 1,794,343 | |||
December 31, 2017 | 10,401,018 | |||
December 31, 2018 | 43,961,613 | |||
Total capital loss carryforward | $ | 183,668,062 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 1,840,539 | ||
Aggregate unrealized (depreciation) of investment securities | (7,636,391 | ) | ||
Net unrealized (depreciation) appreciation of investment securities | $ | (5,795,852 | ) | |
Cost of investments for tax purposes is $37,466,393. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 685,783 | $ | 764,001 | 885,547 | $ | 849,248 | ||||||||||
Series II | 598,859 | 659,318 | 408,859 | 415,103 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 1,272,306 | 1,323,198 | 1,279,336 | 1,215,369 | ||||||||||||
Series II | 1,274,514 | 1,325,494 | 1,258,340 | 1,195,423 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (2,886,241 | ) | (3,250,300 | ) | (2,812,285 | ) | (2,762,208 | ) | ||||||||
Series II | (2,643,132 | ) | (2,943,684 | ) | (3,277,685 | ) | (3,190,992 | ) | ||||||||
Net increase (decrease) in share activity | (1,697,911 | ) | $ | (2,121,973 | ) | (2,257,888 | ) | $ | (2,278,057 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 93% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | |||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | of period | Return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 1.13 | $ | 0.08 | $ | 0.04 | $ | 0.12 | $ | (0.10 | ) | $ | 1.15 | 10.19 | % | $ | 16,049 | 1.97 | %(d) | 1.98 | %(d) | 7.37 | %(d) | 116 | % | |||||||||||||||||||||||
Year ended 12/31/09 | 0.85 | 0.09 | 0.27 | 0.36 | (0.08 | ) | 1.13 | 44.56 | 16,824 | 1.74 | (e) | 1.75 | (e) | 8.76 | (e) | 75 | ||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 1.13 | 0.07 | (0.33 | ) | (0.26 | ) | (0.02 | ) | 0.85 | (23.13 | ) | 13,226 | 1.48 | (e) | 1.48 | (e) | 6.90 | (e) | 44 | |||||||||||||||||||||||||||||
Year ended 12/31/07 | 1.16 | 0.08 | (0.03 | ) | 0.05 | (0.08 | ) | 1.13 | 4.17 | 21,625 | 1.18 | 1.18 | 6.48 | 26 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 1.14 | 0.08 | 0.02 | 0.10 | (0.08 | ) | 1.16 | 9.29 | 27,907 | 0.95 | 0.95 | 6.78 | 23 | |||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 1.13 | 0.08 | 0.03 | 0.11 | (0.09 | ) | 1.15 | 10.36 | 16,128 | 2.22 | (d) | 2.23 | (d) | 7.12 | (d) | 116 | ||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 0.85 | 0.08 | 0.28 | 0.36 | (0.08 | ) | 1.13 | 44.27 | 16,723 | 1.99 | (e) | 2.00 | (e) | 8.51 | (e) | 75 | ||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 1.13 | 0.07 | (0.33 | ) | (0.26 | ) | (0.02 | ) | 0.85 | (23.20 | ) | 13,973 | 1.73 | (e) | 1.73 | (e) | 6.65 | (e) | 44 | |||||||||||||||||||||||||||||
Year ended 12/31/07 | 1.16 | 0.07 | (0.03 | ) | 0.04 | (0.07 | ) | 1.13 | 3.90 | 24,433 | 1.43 | 1.43 | 6.23 | 26 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 1.14 | 0.08 | 0.02 | 0.10 | (0.08 | ) | 1.16 | 9.01 | 30,764 | 1.20 | 1.20 | 6.53 | 23 | |||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $16,265 and $16,476 for Series I and Series II shares, respectively. | |
(e) | The ratios reflect the rebate of certain Fund expenses in connection with investments in a Morgan Stanley affiliate during the period. The effect of the ratios are 0.01% and less than 0.005% for the years ended December 31, 2009 and 2008, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,075.50 | $ | 11.56 | $ | 1,014.06 | $ | 11.22 | 2.21 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,075.50 | 12.87 | 1,012.80 | 12.48 | 2.46 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 0.00% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 12.37 | % | ||
Series II Shares | 12.14 | |||
Russell 1000 Value Index▼ | 15.51 | |||
Barclays Capital U.S. Government/Credit Index▼ | 6.59 | |||
▼ | Lipper Inc. |
Financials | 18.1 | % | ||
Consumer Discretionary | 15.9 | |||
Consumer Staples | 12.8 | |||
Information Technology | 12.5 | |||
Energy | 11.1 | |||
Industrials | 8.1 | |||
Health Care | 7.4 | |||
Materials | 6.3 | |||
Utilities | 3.0 | |||
Telecommunication Services | 2.1 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | 2.7 |
1. | JPMorgan Chase & Co. | 3.6 | % | |||||
2. | General Electric Co. | 3.0 | ||||||
3. | Marsh & McLennan Cos., Inc. | 2.5 | ||||||
4. | Viacom Inc.— Class B | 2.3 | ||||||
5. | Occidental Petroleum Corp. | 1.9 | ||||||
6. | Anadarko Petroleum Corp. | 1.8 | ||||||
7. | eBay Inc. | 1.8 | ||||||
8. | Tyco International Ltd. | 1.6 | ||||||
9. | Royal Dutch Shell PLC-ADR | 1.6 | ||||||
10. | Equity Residential | 1.6 |
1. | Hotels, Resorts & Cruise Lines | 6.7 | % | |||||
2. | Integrated Oil & Gas | 6.3 | ||||||
3. | Other Diversified Financial Services | 6.1 | ||||||
4. | Semiconductors | 5.3 | ||||||
5. | Industrial Conglomerates | 4.5 |
Total Net Assets | $31.8 million | |||
Total Number of Holdings* | 83 |
Invesco V.I. Income Builder Fund |
Invesco V.I. Income Builder Fund |
Series I Shares | ||||||||
Inception (1/21/97) | 5.97 | % | ||||||
10 | Years | 5.17 | ||||||
5 | Years | 4.09 | ||||||
1 | Year | 12.37 | ||||||
Series II Shares | ||||||||
Inception (6/5/00) | 4.75 | % | ||||||
10 | Years | 4.92 | ||||||
5 | Years | 3.85 | ||||||
1 | Year | 12.14 |
1 | Total annual fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
Invesco V.I. Income Builder Fund |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Invesco V.I. Income Builder Fund |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–77.16% | ||||||||
Air Freight & Logistics–0.40% | ||||||||
FedEx Corp. | 1,384 | $ | 128,726 | |||||
Asset Management & Custody Banks–0.85% | ||||||||
State Street Corp. | 5,820 | 269,699 | ||||||
Automobile Manufacturers–1.28% | ||||||||
Ford Motor Co.(b) | 13,142 | 220,654 | ||||||
General Motors Co.(b) | 5,041 | 185,811 | ||||||
406,465 | ||||||||
Cable & Satellite–2.36% | ||||||||
Comcast Corp.–Class A | 19,422 | 426,701 | ||||||
Time Warner Cable Inc. | 4,897 | 323,349 | ||||||
750,050 | ||||||||
Communications Equipment–0.79% | ||||||||
Cisco Systems, Inc.(b) | 12,488 | 252,632 | ||||||
Computer Hardware–2.09% | ||||||||
Dell Inc.(b) | 22,233 | 301,257 | ||||||
Hewlett-Packard Co. | 8,624 | 363,071 | ||||||
664,328 | ||||||||
Consumer Electronics–0.90% | ||||||||
Sony Corp.–ADR (Japan) | 8,055 | 287,644 | ||||||
Data Processing & Outsourced Services–0.83% | ||||||||
Western Union Co. (The) | 14,238 | 264,400 | ||||||
Diversified Banks–1.26% | ||||||||
U.S. Bancorp | 6,010 | 162,090 | ||||||
Wells Fargo & Co. | 7,703 | 238,716 | ||||||
400,806 | ||||||||
Diversified Chemicals–1.46% | ||||||||
Dow Chemical Co. (The) | 6,737 | 230,001 | ||||||
PPG Industries, Inc. | 2,800 | 235,396 | ||||||
465,397 | ||||||||
Diversified Support Services–0.41% | ||||||||
Cintas Corp. | 4,637 | 129,651 | ||||||
Drug Retail–1.15% | ||||||||
Walgreen Co. | 9,436 | 367,627 | ||||||
Electric Utilities–3.03% | ||||||||
American Electric Power Co., Inc. | 13,481 | 485,046 | ||||||
Edison International | 3,999 | 154,362 | ||||||
Entergy Corp. | 2,139 | 151,505 | ||||||
FirstEnergy Corp. | 4,705 | 174,179 | ||||||
965,092 | ||||||||
Food Distributors–0.71% | ||||||||
Sysco Corp. | 7,685 | 225,939 | ||||||
Health Care Distributors–0.51% | ||||||||
Cardinal Health, Inc. | 4,210 | 161,285 | ||||||
Health Care Equipment–0.94% | ||||||||
Covidien PLC (Ireland)(b) | 6,572 | 300,077 | ||||||
Home Improvement Retail–1.09% | ||||||||
Home Depot, Inc. (The) | 9,853 | 345,446 | ||||||
Household Products–1.47% | ||||||||
Procter & Gamble Co. (The) | 7,281 | 468,387 | ||||||
Human Resource & Employment Services–0.90% | ||||||||
Manpower Inc. | 2,592 | 162,674 | ||||||
Robert Half International, Inc. | 4,067 | 124,450 | ||||||
287,124 | ||||||||
Hypermarkets & Super Centers–0.78% | ||||||||
Wal-Mart Stores, Inc. | 4,594 | 247,754 | ||||||
Industrial Conglomerates–4.54% | ||||||||
General Electric Co. | 51,737 | 946,270 | ||||||
Tyco International Ltd. | 12,073 | 500,305 | ||||||
1,446,575 | ||||||||
Industrial Machinery–1.32% | ||||||||
Dover Corp. | 2,228 | 130,227 | ||||||
Ingersoll-Rand PLC (Ireland)(b) | 6,123 | 288,332 | ||||||
418,559 | ||||||||
Insurance Brokers–2.49% | ||||||||
Marsh & McLennan Cos., Inc. | 29,053 | 794,309 | ||||||
Integrated Oil & Gas–6.26% | ||||||||
ConocoPhillips | 2,904 | 197,762 | ||||||
Exxon Mobil Corp. | 3,557 | 260,088 | ||||||
Hess Corp. | 5,478 | 419,286 | ||||||
Occidental Petroleum Corp. | 6,298 | 617,834 | ||||||
Royal Dutch Shell PLC–ADR (United Kingdom) | 7,467 | 498,646 | ||||||
1,993,616 | ||||||||
Integrated Telecommunication Services–0.86% | ||||||||
Verizon Communications Inc. | 7,652 | 273,789 | ||||||
Shares | Value | |||||||
Internet Software & Services–2.64% | ||||||||
eBay Inc.(b) | 20,167 | $ | 561,247 | |||||
Yahoo! Inc.(b) | 16,833 | 279,933 | ||||||
841,180 | ||||||||
Investment Banking & Brokerage–2.26% | ||||||||
Charles Schwab Corp. (The) | 20,965 | 358,711 | ||||||
LPL Investment Holdings, Inc.(b) | 752 | 27,350 | ||||||
Morgan Stanley | 12,287 | 334,330 | ||||||
720,391 | ||||||||
IT Consulting & Other Services–0.68% | ||||||||
Amdocs Ltd.(b) | 7,900 | 217,013 | ||||||
Life & Health Insurance–0.66% | ||||||||
Principal Financial Group, Inc. | 6,495 | 211,477 | ||||||
Managed Health Care–1.43% | ||||||||
UnitedHealth Group Inc. | 12,636 | 456,286 | ||||||
Movies & Entertainment–3.61% | ||||||||
Time Warner Inc. | 13,178 | 423,936 | ||||||
Viacom Inc.–Class B | 18,327 | 725,933 | ||||||
1,149,869 | ||||||||
Office Services & Supplies–0.49% | ||||||||
Avery Dennison Corp. | 3,690 | 156,235 | ||||||
Oil & Gas Equipment & Services–1.60% | ||||||||
Cameron International Corp.(b) | 1,900 | 96,387 | ||||||
Schlumberger Ltd. | 4,950 | 413,325 | ||||||
509,712 | ||||||||
Oil & Gas Exploration & Production–2.98% | ||||||||
Anadarko Petroleum Corp. | 7,421 | 565,183 | ||||||
Devon Energy Corp. | 3,178 | 249,505 | ||||||
Noble Energy, Inc. | 1,575 | 135,576 | ||||||
950,264 | ||||||||
Oil & Gas Storage & Transportation–0.25% | ||||||||
Williams Cos., Inc. (The) | 3,166 | 78,264 | ||||||
Other Diversified Financial Services–6.14% | ||||||||
Bank of America Corp. | 35,470 | 473,170 | ||||||
Citigroup Inc.(b) | 71,064 | 336,133 | ||||||
JPMorgan Chase & Co. | 27,022 | 1,146,273 | ||||||
1,955,576 | ||||||||
Packaged Foods & Meats–2.08% | ||||||||
Kraft Foods Inc.–Class A | 11,051 | 348,217 | ||||||
Unilever N.V.–New York Shares (Netherlands) | 9,985 | 313,529 | ||||||
661,746 | ||||||||
Personal Products–1.22% | ||||||||
Avon Products, Inc. | 13,336 | 387,544 | ||||||
Pharmaceuticals–4.52% | ||||||||
Abbott Laboratories | 3,367 | 161,313 | ||||||
Bristol-Myers Squibb Co. | 14,623 | 387,217 | ||||||
Merck & Co., Inc. | 6,068 | 218,691 | ||||||
Pfizer Inc. | 25,100 | 439,501 | ||||||
Roche Holdings AG–ADR (Switzerland) | 6,363 | 233,808 | ||||||
1,440,530 | ||||||||
Property & Casualty Insurance–0.59% | ||||||||
Chubb Corp. (The) | 3,150 | 187,866 | ||||||
Regional Banks–2.29% | ||||||||
BB&T Corp. | 5,281 | 138,837 | ||||||
Fifth Third Bancorp | 9,567 | 140,444 | ||||||
PNC Financial Services Group, Inc. | 7,399 | 449,267 | ||||||
728,548 | ||||||||
Residential REIT’s–1.55% | ||||||||
Equity Residential | 9,515 | 494,304 | ||||||
Semiconductors–0.72% | ||||||||
Intel Corp. | 10,884 | 228,890 | ||||||
Soft Drinks–0.97% | ||||||||
Coca-Cola Co. (The) | 2,867 | 188,563 | ||||||
Coca-Cola Enterprises Inc. | 4,842 | 121,195 | ||||||
309,758 | ||||||||
Specialty Chemicals–0.32% | ||||||||
LyondellBasell Industries N.V.–Class A (Netherlands)(b) | 2,961 | 101,858 | ||||||
Systems Software–0.20% | ||||||||
Microsoft Corp. | 2,256 | 62,988 | ||||||
Wireless Telecommunication Services–1.28% | ||||||||
Vodafone Group PLC–ADR (United Kingdom) | 15,474 | 408,978 | ||||||
Total Common Stocks & Other Equity Interests (Cost $21,930,906) | 24,574,654 | |||||||
Principal | ||||||||
Amount | ||||||||
Bonds & Notes–20.17% | ||||||||
Brewers–4.38% | ||||||||
Molson Coors Brewing Co., Sr. Unsec. Gtd. Conv. Notes, 2.50%, 07/30/13 | $ | 1,200,000 | 1,395,000 | |||||
Gold–4.52% | ||||||||
Newmont Mining Corp.–Series A, Sr. Unsec. Gtd. Conv. Notes, 1.25%, 07/15/14 | 1,000,000 | 1,438,750 | ||||||
Hotels, Resorts & Cruise Lines–6.71% | ||||||||
Starwood Hotels & Resorts Worldwide, Inc., Sr. Unsec. Gtd. Global Notes, 7.88%, 05/01/12 | 2,000,000 | 2,137,129 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Semiconductors–4.56% | ||||||||
Intel Corp., Jr. Unsec. Sub. Conv. Deb., 2.95%, 12/15/35(c) | $ | 1,450,000 | $ | 1,451,812 | ||||
Total Bonds & Notes (Cost $5,734,481) | 6,422,691 | |||||||
Shares | ||||||||
Money Market Funds–2.67% | ||||||||
Liquid Assets Portfolio–Institutional Class(d) | 425,628 | 425,628 | ||||||
Premier Portfolio–Institutional Class(d) | 425,628 | 425,628 | ||||||
Total Money Market Funds (Cost $851,256) | 851,256 | |||||||
TOTAL INVESTMENTS–100.00% (Cost $28,516,643) | 31,848,601 | |||||||
OTHER ASSETS LESS LIABILITIES–0.00% | 1,220 | |||||||
NET ASSETS–100.00% | $ | 31,849,821 | ||||||
ADR | – American Depositary Receipt | |
Conv. | – Convertible | |
Deb. | – Debentures | |
Gtd. | – Guaranteed | |
Jr. | – Junior | |
REIT | – Real Estate Investment Trust | |
Sr. | – Senior | |
Sub. | – Subordinate | |
Unsec. | – Unsecured |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The value of this security at December 31, 2010 represented 4.56% of the Fund’s Net Assets. | |
(d) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $27,665,387) | $ | 30,997,345 | ||
Investments in affiliated money market funds, at value and cost | 851,256 | |||
Total investments, at value (Cost $28,516,643) | 31,848,601 | |||
Receivable for: | ||||
Fund shares sold | 5,574 | |||
Dividends and interest | 84,296 | |||
Investment for trustee deferred compensation and retirement plans | 1,082 | |||
Other assets | 681 | |||
Total assets | 31,940,234 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 1,059 | |||
Accrued fees to affiliates | 54,249 | |||
Accrued other operating expenses | 32,747 | |||
Trustee deferred compensation and retirement plans | 2,358 | |||
Total liabilities | 90,413 | |||
Net assets applicable to shares outstanding | $ | 31,849,821 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 31,248,781 | ||
Undistributed net investment income | 382,364 | |||
Undistributed net realized gain (loss) | (3,113,282 | ) | ||
Unrealized appreciation | 3,331,958 | |||
$ | 31,849,821 | |||
Net Assets: | ||||
Series I | $ | 16,704,980 | ||
Series II | $ | 15,144,841 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 1,585,907 | |||
Series II | 1,444,046 | |||
Series I: | ||||
Net asset value per share | $ | 10.53 | ||
Series II: | ||||
Net asset value per share | $ | 10.49 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $9,268) | $ | 494,994 | ||
Dividends from affiliated money market funds | 897 | |||
Interest | 365,939 | |||
Total investment income | 861,830 | |||
Expenses: | ||||
Advisory fees | 212,064 | |||
Administrative services fees | 85,234 | |||
Custodian fees | 8,852 | |||
Distribution fees — Series II | 37,809 | |||
Transfer agent fees | 1,582 | |||
Trustees’ and officers’ fees and benefits | 7,973 | |||
Reports to shareholders | 27,726 | |||
Professional services fees | 41,904 | |||
Other | 7,105 | |||
Total expenses | 430,249 | |||
Less: Fees waived | (68,687 | ) | ||
Net expenses | 361,562 | |||
Net investment income | 500,268 | |||
Net realized and unrealized gain from: | ||||
Net realized gain from investment securities (includes net gains from securities sold to affiliates of $232) | 1,897,933 | |||
Change in net unrealized appreciation of investment securities | 1,204,952 | |||
Net realized and unrealized gain | 3,102,885 | |||
Net increase in net assets resulting from operations | $ | 3,603,153 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 500,268 | $ | 697,812 | ||||
Net realized gain (loss) | 1,897,933 | (3,563,908 | ) | |||||
Change in net unrealized appreciation | 1,204,952 | 9,679,080 | ||||||
Net increase in net assets resulting from operations | 3,603,153 | 6,812,984 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (411,145 | ) | (528,794 | ) | ||||
Series II | (334,921 | ) | (448,809 | ) | ||||
Total distributions from net investment income | (746,066 | ) | (977,603 | ) | ||||
Distributions to shareholders from net realized gains: | ||||||||
Series I | — | (8,092 | ) | |||||
Series II | — | (7,525 | ) | |||||
Total distributions from net realized gains | — | (15,617 | ) | |||||
Share transactions–net: | ||||||||
Series I | (1,881,850 | ) | (2,039,090 | ) | ||||
Series II | (2,239,961 | ) | (2,346,524 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (4,121,811 | ) | (4,385,614 | ) | ||||
Net increase (decrease) in net assets | (1,264,724 | ) | 1,434,150 | |||||
Net assets: | ||||||||
Beginning of year | 33,114,545 | 31,680,395 | ||||||
End of year (includes undistributed net investment income of $382,364 and $655,381, respectively) | $ | 31,849,821 | $ | 33,114,545 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, |
maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Senior secured floating rate loans and senior secured floating rate debt securities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, tranche type, industry, company performance, spread, individual trading characteristics, institution-size trading in similar groups of securities and other market data. | ||
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees |
and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | ||
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. |
Average Net Assets | Rate | |||
First $500 million | 0 | .67% | ||
Over $500 million | 0 | .645% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 25,192,102 | $ | 233,808 | $ | — | $ | 25,425,910 | ||||||||
Corporate Debt Securities | — | 6,422,691 | — | 6,422,691 | ||||||||||||
$ | 25,192,102 | $ | 6,656,499 | $ | — | $ | 31,848,601 | |||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 746,066 | $ | 977,624 | ||||
Long-term capital gain | — | 15,596 | ||||||
Total distributions | $ | 746,066 | $ | 993,220 | ||||
2010 | ||||
Undistributed ordinary income | $ | 467,828 | ||
Net unrealized appreciation — investments | 3,063,192 | |||
Temporary book/tax differences | (2,260 | ) | ||
Capital loss carryforward | (2,927,720 | ) | ||
Shares of beneficial interest | 31,248,781 | |||
Total net assets | $ | 31,849,821 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2017 | $ | 2,927,720 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 3,731,891 | ||
Aggregate unrealized (depreciation) of investment securities | (668,699 | ) | ||
Net unrealized appreciation of investment securities | $ | 3,063,192 | ||
Cost of investments for tax purposes is $28,785,409. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 75,038 | $ | 742,424 | 84,206 | $ | 700,726 | ||||||||||
Series II | 64,271 | 615,894 | 46,979 | 393,492 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 43,739 | 411,145 | 68,133 | 536,886 | ||||||||||||
Series II | 35,706 | 334,921 | 58,058 | 456,334 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (313,383 | ) | (3,035,419 | ) | (402,407 | ) | (3,276,702 | ) | ||||||||
Series II | (327,379 | ) | (3,190,776 | ) | (392,269 | ) | (3,196,350 | ) | ||||||||
Net increase (decrease) in share activity | (422,008 | ) | $ | (4,121,811 | ) | (537,300 | ) | $ | (4,385,614 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 92% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | (losses) on | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | securities (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 9.61 | $ | 0.17 | $ | 0.99 | $ | 1.16 | $ | (0.24 | ) | $ | — | $ | (0.24 | ) | $ | 10.53 | 12.37 | % | $ | 16,705 | 1.02 | %(d) | 1.24 | %(d) | 1.70 | %(d) | 23 | % | ||||||||||||||||||||||||||
Year ended 12/31/09 | 7.96 | 0.20 | 1.73 | 1.93 | (0.28 | ) | 0.00 | (e) | (0.28 | ) | 9.61 | 25.16 | 17,116 | 1.01 | (f) | 1.01 | (f) | 2.40 | (f) | 47 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 12.86 | 0.31 | (3.33 | ) | (3.02 | ) | (0.09 | ) | (1.79 | ) | (1.88 | ) | 7.96 | (26.29 | ) | 16,164 | 0.90 | (f) | 0.90 | (f) | 2.95 | (f) | 35 | |||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.59 | 0.31 | 0.15 | 0.46 | (0.38 | ) | (0.81 | ) | (1.19 | ) | 12.86 | 3.21 | 28,244 | 0.85 | 0.85 | 2.31 | 32 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 12.22 | 0.33 | 1.38 | 1.71 | (0.34 | ) | — | (0.34 | ) | 13.59 | 14.21 | 35,195 | 0.83 | 0.83 | 2.61 | 19 | ||||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 9.57 | 0.14 | 1.00 | 1.14 | (0.22 | ) | — | (0.22 | ) | 10.49 | 12.14 | 15,145 | 1.27 | (d) | 1.49 | (d) | 1.45 | (d) | 23 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 7.92 | 0.18 | 1.73 | 1.91 | (0.26 | ) | 0.00 | (e) | (0.26 | ) | 9.57 | 24.90 | 15,998 | 1.26 | (f) | 1.26 | (f) | 2.15 | (f) | 47 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 12.82 | 0.29 | (3.32 | ) | (3.03 | ) | (0.08 | ) | (1.79 | ) | (1.87 | ) | 7.92 | �� | (26.44 | ) | 15,517 | 1.15 | (f) | 1.15 | (f) | 2.70 | (f) | 35 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.56 | 0.28 | 0.14 | 0.42 | (0.35 | ) | (0.81 | ) | (1.16 | ) | 12.82 | 2.86 | 34,717 | 1.10 | 1.10 | 2.06 | 32 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 12.20 | 0.30 | 1.37 | 1.67 | (0.31 | ) | — | (0.31 | ) | 13.56 | 13.96 | 45,371 | 1.08 | 1.08 | 2.36 | 19 | ||||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $16,527 and $15,124 for Series I and Series II shares, respectively. | |
(e) | Amount is less than $0.005. | |
(f) | The ratios reflect the rebate of certain fund expenses in connection with investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios was 0.01% and less than 0.005% for the years ended December 31, 2009 and 2008, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
ACTUAL | (5% annual return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,183.10 | $ | 5.58 | $ | 1,020.10 | $ | 5.16 | 1.01 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,182.60 | 6.95 | 1,018.84 | 6.43 | 1.26 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 58.19 | % |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 14.87 | % | ||
Series II Shares | 14.58 | |||
S&P 500 Index▼ (Broad Market/Style-Specific Index) | 15.08 |
▼ | Lipper Inc. |
Information Technology | 18.4 | % | ||
Financials | 15.7 | |||
Energy | 11.9 | |||
Industrials | 10.8 | |||
Health Care | 10.6 | |||
Consumer Discretionary | 10.5 | |||
Consumer Staples | 10.5 | |||
Materials | 3.8 | |||
Utilities | 3.2 | |||
Telecommunication Services | 3.1 | |||
Other Assets Less Liabilities | 1.5 |
1. | Exxon Mobil Corp. | 3.2 | % | |||||
2. | Apple Inc. | 2.5 | ||||||
3. | Microsoft Corp. | 1.8 | ||||||
4. | General Electric Co. | 1.7 | ||||||
5. | Chevron Corp. | 1.6 | ||||||
6. | International Business Machines Corp. | 1.6 | ||||||
7. | Procter & Gamble Co. (The) | 1.5 | ||||||
8. | AT&T Inc. | 1.5 | ||||||
9. | Johnson & Johnson | 1.5 | ||||||
10. | JPMorgan Chase & Co. | 1.4 |
1. | Integrated Oil & Gas | 6.9 | % | |||||
2. | Pharmaceuticals | 5.4 | ||||||
3. | Computer Hardware | 5.1 | ||||||
4. | Other Diversified Financial Services | 3.8 | ||||||
5. | Systems Software | 3.3 |
Total Net Assets | $126.1 million | |||
Total Number of Holdings | 500 |
1 | Bloomberg |
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. S&P 500 Index Fund. Mr. Murphy joined Invesco in 1995. He earned a B.A. in business administration from the University of Massachusetts at Amherst and an M.S. in finance from Boston College.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. S&P 500 Index Fund. He joined Invesco in 1987. Mr. Orlando earned a B.A. in business administration from Merrimack College and an M.B.A. from Boston University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. S&P 500 Index Fund. He joined Invesco in 2000. Mr. Munchak earned a B.S. and M.S. in finance from Boston College and M.B.A. from Bentley College.
Chartered Financial Analyst, portfolio manager, is manager of Invesco V.I. S&P 500 Index Fund. Mr. Tsai joined Invesco in 2000. He earned a B.S. in mechanical engineering from National Taiwan University and an M.S. in mechanical engineering from the University of Michigan. He also earned an M.S. in computer science from Wayne State University.
Portfolio manager, is manager of Invesco V.I. S&P 500 Index Fund. Ms. Unflat joined Invesco in 1988. She graduated magna cum laude from Queens College with a B.A. in economics. She earned an M.B.A. in finance from St. John’s University.
Series I Shares | ||||||||
Inception (5/18/98) | 2.51 | % | ||||||
10 | Years | 1.12 | ||||||
5 | Years | 2.12 | ||||||
1 | Year | 14.87 | ||||||
Series II Shares | ||||||||
Inception (6/5/00) | –0.16 | % | ||||||
10 | Years | 0.86 | ||||||
5 | Years | 1.86 | ||||||
1 | Year | 14.58 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–98.51% | ||||||||
Advertising–0.16% | ||||||||
Interpublic Group of Cos., Inc. (The)(b) | 5,307 | $ | 56,360 | |||||
Omnicom Group Inc. | 3,271 | 149,812 | ||||||
206,172 | ||||||||
Aerospace & Defense–2.61% | ||||||||
Boeing Co. (The) | 7,967 | 519,927 | ||||||
General Dynamics Corp. | 4,102 | 291,078 | ||||||
Goodrich Corp. | 1,361 | 119,863 | ||||||
Honeywell International Inc. | 8,474 | 450,478 | ||||||
ITT Corp. | 1,993 | 103,855 | ||||||
L-3 Communications Holdings, Inc. | 1,228 | 86,562 | ||||||
Lockheed Martin Corp. | 3,207 | 224,201 | ||||||
Northrop Grumman Corp. | 3,171 | 205,417 | ||||||
Precision Castparts Corp. | 1,548 | 215,497 | ||||||
Raytheon Co. | 3,959 | 183,460 | ||||||
Rockwell Collins, Inc. | 1,703 | 99,217 | ||||||
United Technologies Corp. | 10,030 | 789,562 | ||||||
3,289,117 | ||||||||
Agricultural Products–0.17% | ||||||||
Archer-Daniels-Midland Co. | 6,939 | 208,725 | ||||||
Air Freight & Logistics–1.09% | ||||||||
C.H. Robinson Worldwide, Inc. | 1,802 | 144,502 | ||||||
Expeditors International of Washington, Inc. | 2,306 | 125,908 | ||||||
FedEx Corp. | 3,417 | 317,815 | ||||||
United Parcel Service, Inc.–Class B | 10,741 | 779,582 | ||||||
1,367,807 | ||||||||
Airlines–0.08% | ||||||||
Southwest Airlines Co. | 8,114 | 105,320 | ||||||
Aluminum–0.14% | ||||||||
Alcoa Inc. | 11,094 | 170,737 | ||||||
Apparel Retail–0.46% | ||||||||
Abercrombie & Fitch Co.–Class A | 973 | 56,074 | ||||||
Gap, Inc. (The) | 4,772 | 105,652 | ||||||
Limited Brands, Inc. | 2,872 | 88,257 | ||||||
Ross Stores, Inc. | 1,328 | 83,996 | ||||||
TJX Cos., Inc. | 4,295 | 190,655 | ||||||
Urban Outfitters, Inc.(b) | 1,420 | 50,850 | ||||||
575,484 | ||||||||
Apparel, Accessories & Luxury Goods–0.27% | ||||||||
Coach, Inc. | 3,219 | 178,043 | ||||||
Polo Ralph Lauren Corp. | 701 | 77,755 | ||||||
VF Corp. | 941 | 81,095 | ||||||
336,893 | ||||||||
Application Software–0.60% | ||||||||
Adobe Systems Inc.(b) | 5,521 | 169,936 | ||||||
Autodesk, Inc.(b) | 2,485 | 94,927 | ||||||
Citrix Systems, Inc.(b) | 2,039 | 139,488 | ||||||
Compuware Corp.(b) | 2,387 | 27,856 | ||||||
Intuit Inc.(b) | 3,036 | 149,675 | ||||||
Salesforce.com, Inc.(b) | 1,283 | 169,356 | ||||||
751,238 | ||||||||
Asset Management & Custody Banks–1.23% | ||||||||
Ameriprise Financial, Inc. | 2,692 | 154,925 | ||||||
Bank of New York Mellon Corp. (The) | 13,473 | 406,885 | ||||||
Federated Investors, Inc.–Class B | 1,012 | 26,484 | ||||||
Franklin Resources, Inc. | 1,580 | 175,712 | ||||||
Invesco Ltd.(c) | 5,018 | 120,733 | ||||||
Janus Capital Group Inc. | 2,026 | 26,277 | ||||||
Legg Mason, Inc. | 1,690 | 61,296 | ||||||
Northern Trust Corp. | 2,630 | 145,728 | ||||||
State Street Corp. | 5,447 | 252,414 | ||||||
T. Rowe Price Group Inc. | 2,785 | 179,744 | ||||||
1,550,198 | ||||||||
Auto Parts & Equipment–0.22% | ||||||||
Johnson Controls, Inc. | 7,324 | 279,777 | ||||||
Automobile Manufacturers–0.54% | ||||||||
Ford Motor Co.(b) | 40,697 | 683,303 | ||||||
Automotive Retail–0.22% | ||||||||
AutoNation, Inc.(b) | 718 | 20,248 | ||||||
AutoZone, Inc.(b) | 299 | 81,504 | ||||||
CarMax, Inc.(b) | 2,469 | 78,712 | ||||||
O’Reilly Automotive, Inc.(b) | 1,531 | 92,503 | ||||||
272,967 | ||||||||
Biotechnology–1.28% | ||||||||
Amgen Inc.(b) | 10,262 | 563,384 | ||||||
Biogen Idec Inc.(b) | 2,588 | 173,525 | ||||||
Celgene Corp.(b) | 5,101 | 301,673 | ||||||
Cephalon Inc.(b) | 816 | 50,364 | ||||||
Shares | Value | |||||||
Biotechnology–(continued) | ||||||||
Genzyme Corp.(b) | 2,812 | $ | 200,215 | |||||
Gilead Sciences, Inc.(b) | 8,818 | 319,564 | ||||||
1,608,725 | ||||||||
Brewers–0.07% | ||||||||
Molson Coors Brewing Co.–Class B | 1,743 | 87,481 | ||||||
Broadcasting–0.25% | ||||||||
CBS Corp.–Class B | 7,395 | 140,874 | ||||||
Discovery Communications, Inc.–Class A(b) | 3,087 | 128,728 | ||||||
Scripps Networks Interactive Inc.–Class A | 977 | 50,560 | ||||||
320,162 | ||||||||
Building Products–0.04% | ||||||||
Masco Corp. | 3,882 | 49,146 | ||||||
Cable & Satellite–1.09% | ||||||||
Cablevision Systems Corp.–Class A | 2,606 | 88,187 | ||||||
Comcast Corp.–Class A | 30,307 | 665,845 | ||||||
DIRECTV–Class A(b) | 9,055 | 361,566 | ||||||
Time Warner Cable Inc. | 3,863 | 255,074 | ||||||
1,370,672 | ||||||||
Casinos & Gaming–0.11% | ||||||||
International Game Technology | 3,259 | 57,652 | ||||||
Wynn Resorts Ltd. | 830 | 86,187 | ||||||
143,839 | ||||||||
Coal & Consumable Fuels–0.29% | ||||||||
CONSOL Energy, Inc. | 2,452 | 119,511 | ||||||
Massey Energy Co. | 1,108 | 59,444 | ||||||
Peabody Energy Corp. | 2,928 | 187,333 | ||||||
366,288 | ||||||||
Commercial Printing–0.03% | ||||||||
R. R. Donnelley & Sons Co. | 2,263 | 39,535 | ||||||
Communications Equipment–2.46% | ||||||||
Cisco Systems, Inc.(b) | 60,207 | 1,217,988 | ||||||
Corning Inc. | 16,975 | 327,957 | ||||||
F5 Networks, Inc.(b) | 877 | 114,150 | ||||||
Harris Corp. | 1,417 | 64,190 | ||||||
JDS Uniphase Corp.(b) | 2,381 | 34,477 | ||||||
Juniper Networks, Inc.(b) | 5,681 | 209,743 | ||||||
Motorola Solutions, Inc.(b) | 25,519 | 231,457 | ||||||
QUALCOMM, Inc. | 17,571 | 869,589 | ||||||
Tellabs, Inc. | 3,977 | 26,964 | ||||||
3,096,515 | ||||||||
Computer & Electronics Retail–0.14% | ||||||||
Best Buy Co., Inc. | 3,550 | 121,730 | ||||||
GameStop Corp.–Class A(b) | 1,624 | 37,157 | ||||||
RadioShack Corp. | 1,255 | 23,205 | ||||||
182,092 | ||||||||
Computer Hardware–5.14% | ||||||||
Apple Inc.(b) | 9,964 | 3,213,988 | ||||||
Dell, Inc.(b) | 18,241 | 247,166 | ||||||
Hewlett-Packard Co. | 24,632 | 1,037,007 | ||||||
International Business Machines Corp. | 13,494 | 1,980,379 | ||||||
6,478,540 | ||||||||
Computer Storage & Peripherals–0.79% | ||||||||
EMC Corp.(b) | 22,380 | 512,502 | ||||||
Lexmark International, Inc.–Class A(b) | 852 | 29,667 | ||||||
NetApp, Inc.(b) | 3,925 | 215,718 | ||||||
QLogic Corp.(b) | 1,132 | 19,267 | ||||||
SanDisk Corp.(b) | 2,572 | 128,240 | ||||||
Western Digital Corp.(b) | 2,495 | 84,580 | ||||||
989,974 | ||||||||
Construction & Engineering–0.19% | ||||||||
Fluor Corp. | 1,941 | 128,611 | ||||||
Jacobs Engineering Group Inc.(b) | 1,387 | 63,594 | ||||||
Quanta Services, Inc.(b) | 2,319 | 46,194 | ||||||
238,399 | ||||||||
Construction Materials–0.05% | ||||||||
Vulcan Materials Co. | 1,415 | 62,769 | ||||||
Construction, Farm Machinery & Heavy Trucks–1.18% | ||||||||
Caterpillar Inc. | 6,893 | 645,598 | ||||||
Cummins Inc. | 2,148 | 236,302 | ||||||
Deere & Co. | 4,604 | 382,362 | ||||||
PACCAR Inc. | 3,961 | 227,441 | ||||||
1,491,703 | ||||||||
Consumer Electronics–0.03% | ||||||||
Harman International Industries, Inc.(b) | 779 | 36,068 | ||||||
Consumer Finance–0.69% | ||||||||
American Express Co. | 11,375 | 488,215 | ||||||
Capital One Financial Corp. | 4,941 | 210,289 | ||||||
Discover Financial Services | 5,879 | 108,938 | ||||||
SLM Corp.(b) | 5,260 | 66,223 | ||||||
873,665 | ||||||||
Data Processing & Outsourced Services–1.10% | ||||||||
Automatic Data Processing, Inc. | 5,349 | 247,552 | ||||||
Computer Sciences Corp. | 1,703 | 84,469 | ||||||
Shares | Value | |||||||
Data Processing & Outsourced Services–(continued) | ||||||||
Fidelity National Information Services, Inc. | 2,910 | $ | 79,705 | |||||
Fiserv, Inc.(b) | 1,614 | 94,516 | ||||||
MasterCard, Inc.–Class A | 1,051 | 235,540 | ||||||
Paychex, Inc. | 3,496 | 108,061 | ||||||
Total System Services, Inc. | 1,791 | 27,545 | ||||||
Visa Inc.–Class A | 5,292 | 372,451 | ||||||
Western Union Co. (The) | 7,123 | 132,274 | ||||||
1,382,113 | ||||||||
Department Stores–0.39% | ||||||||
JC Penney Co., Inc. | 2,567 | 82,940 | ||||||
Kohl’s Corp.(b) | 3,175 | 172,529 | ||||||
Macy’s, Inc. | 4,640 | 117,392 | ||||||
Nordstrom, Inc. | 1,827 | 77,428 | ||||||
Sears Holdings Corp.(b) | 486 | 35,843 | ||||||
486,132 | ||||||||
Distillers & Vintners–0.10% | ||||||||
Brown-Forman Corp.–Class B | 1,144 | 79,645 | ||||||
Constellation Brands, Inc.–Class A(b) | 1,921 | 42,550 | ||||||
122,195 | ||||||||
Distributors–0.07% | ||||||||
Genuine Parts Co. | 1,710 | 87,791 | ||||||
Diversified Banks–1.91% | ||||||||
Comerica, Inc. | 1,916 | 80,932 | ||||||
U.S. Bancorp. | 20,837 | 561,974 | ||||||
Wells Fargo & Co. | 57,013 | 1,766,833 | ||||||
2,409,739 | ||||||||
Diversified Chemicals–0.95% | ||||||||
Dow Chemical Co. (The) | 12,607 | 430,403 | ||||||
E. I. du Pont de Nemours and Co. | 9,916 | 494,610 | ||||||
Eastman Chemical Co. | 782 | 65,751 | ||||||
FMC Corp. | 787 | 62,873 | ||||||
PPG Industries, Inc. | 1,770 | 148,804 | ||||||
1,202,441 | ||||||||
Diversified Metals & Mining–0.50% | ||||||||
Freeport-McMoRan Copper & Gold Inc. | 5,114 | 614,140 | ||||||
Titanium Metals Corp.(b) | 1,008 | 17,318 | ||||||
631,458 | ||||||||
Diversified REIT’s–0.12% | ||||||||
Vornado Realty Trust | 1,765 | 147,077 | ||||||
Diversified Support Services–0.07% | ||||||||
Cintas Corp. | 1,367 | 38,221 | ||||||
Iron Mountain Inc. | 2,199 | 54,997 | ||||||
93,218 | ||||||||
Drug Retail–0.72% | ||||||||
CVS Caremark Corp. | 14,759 | 513,170 | ||||||
Walgreen Co. | 10,055 | 391,743 | ||||||
904,913 | ||||||||
Education Services–0.07% | ||||||||
Apollo Group, Inc.–Class A(b) | 1,380 | 54,496 | ||||||
DeVry, Inc. | 676 | 32,435 | ||||||
86,931 | ||||||||
Electric Utilities–1.74% | ||||||||
Allegheny Energy, Inc. | 1,824 | 44,214 | ||||||
American Electric Power Co., Inc. | 5,191 | 186,772 | ||||||
Duke Energy Corp. | 14,387 | 256,232 | ||||||
Edison International | 3,538 | 136,567 | ||||||
Entergy Corp. | 1,964 | 139,110 | ||||||
Exelon Corp. | 7,183 | 299,100 | ||||||
FirstEnergy Corp. | 3,310 | 122,536 | ||||||
NextEra Energy, Inc. | 4,516 | 234,787 | ||||||
Northeast Utilities | 1,943 | 61,943 | ||||||
Pepco Holdings, Inc. | 2,466 | 45,004 | ||||||
Pinnacle West Capital Corp. | 1,180 | 48,911 | ||||||
PPL Corp. | 5,208 | 137,075 | ||||||
Progress Energy, Inc. | 3,181 | 138,310 | ||||||
Southern Co. | 9,109 | 348,237 | ||||||
2,198,798 | ||||||||
Electrical Components & Equipment–0.52% | ||||||||
Emerson Electric Co. | 8,175 | 467,365 | ||||||
Rockwell Automation, Inc. | 1,539 | 110,362 | ||||||
Roper Industries, Inc. | 1,038 | 79,334 | ||||||
657,061 | ||||||||
Electronic Components–0.08% | ||||||||
Amphenol Corp.–Class A | 1,917 | 101,179 | ||||||
Electronic Equipment & Instruments–0.04% | ||||||||
FLIR Systems, Inc.(b) | 1,730 | 51,467 | ||||||
Electronic Manufacturing Services–0.06% | ||||||||
Jabil Circuit, Inc. | 2,113 | 42,450 | ||||||
Molex Inc. | 1,520 | 34,535 | ||||||
76,985 | ||||||||
Shares | Value | |||||||
Environmental & Facilities Services–0.29% | ||||||||
Republic Services, Inc. | 3,338 | $ | 99,672 | |||||
Stericycle, Inc.(b) | 940 | 76,065 | ||||||
Waste Management, Inc. | 5,148 | 189,807 | ||||||
365,544 | ||||||||
Fertilizers & Agricultural Chemicals–0.40% | ||||||||
CF Industries Holdings, Inc. | 771 | 104,201 | ||||||
Monsanto Co. | 5,825 | 405,653 | ||||||
509,854 | ||||||||
Food Distributors–0.15% | ||||||||
Sysco Corp. | 6,354 | 186,808 | ||||||
Food Retail–0.28% | ||||||||
Kroger Co. (The) | 6,926 | 154,865 | ||||||
Safeway Inc. | 4,019 | 90,387 | ||||||
SUPERVALU Inc. | 2,334 | 22,477 | ||||||
Whole Foods Market, Inc.(b) | 1,612 | 81,551 | ||||||
349,280 | ||||||||
Footwear–0.28% | ||||||||
NIKE, Inc.–Class B | 4,152 | 354,664 | ||||||
Gas Utilities–0.07% | ||||||||
Nicor Inc. | 509 | 25,409 | ||||||
ONEOK, Inc. | 1,155 | 64,068 | ||||||
89,477 | ||||||||
General Merchandise Stores–0.44% | ||||||||
Big Lots, Inc.(b) | 862 | 26,256 | ||||||
Family Dollar Stores, Inc. | 1,387 | 68,948 | ||||||
Target Corp. | 7,690 | 462,400 | ||||||
557,604 | ||||||||
Gold–0.26% | ||||||||
Newmont Mining Corp. | 5,347 | 328,466 | ||||||
Health Care Distributors–0.38% | ||||||||
AmerisourceBergen Corp. | 2,976 | 101,541 | ||||||
Cardinal Health, Inc. | 3,790 | 145,195 | ||||||
McKesson Corp. | 2,748 | 193,404 | ||||||
Patterson Cos. Inc. | 1,062 | 32,529 | ||||||
472,669 | ||||||||
Health Care Equipment–1.52% | ||||||||
Baxter International Inc. | 6,329 | 320,374 | ||||||
Becton, Dickinson and Co. | 2,497 | 211,046 | ||||||
Boston Scientific Corp.(b) | 16,510 | 124,981 | ||||||
C.R. Bard, Inc. | 1,008 | 92,504 | ||||||
CareFusion Corp.(b) | 2,436 | 62,605 | ||||||
Intuitive Surgical, Inc.(b) | 425 | 109,544 | ||||||
Medtronic, Inc. | 11,729 | 435,029 | ||||||
St. Jude Medical, Inc.(b) | 3,723 | 159,158 | ||||||
Stryker Corp. | 3,709 | 199,173 | ||||||
Varian Medical Systems, Inc.(b) | 1,291 | 89,441 | ||||||
Zimmer Holdings, Inc.(b) | 2,144 | 115,090 | ||||||
1,918,945 | ||||||||
Health Care Facilities–0.03% | ||||||||
Tenet Healthcare Corp.(b) | 5,236 | 35,029 | ||||||
Health Care Services–0.67% | ||||||||
DaVita, Inc.(b) | 1,072 | 74,493 | ||||||
Express Scripts, Inc.(b) | 5,724 | 309,382 | ||||||
Laboratory Corp. of America Holdings(b) | 1,103 | 96,976 | ||||||
Medco Health Solutions, Inc.(b) | 4,590 | 281,229 | ||||||
Quest Diagnostics Inc. | 1,535 | 82,844 | ||||||
844,924 | ||||||||
Health Care Supplies–0.04% | ||||||||
DENTSPLY International Inc. | 1,575 | 53,818 | ||||||
Health Care Technology–0.06% | ||||||||
Cerner Corp.(b) | 782 | 74,087 | ||||||
Home Entertainment Software–0.05% | ||||||||
Electronic Arts Inc.(b) | 3,604 | 59,034 | ||||||
Home Furnishings–0.03% | ||||||||
Leggett & Platt, Inc. | 1,568 | 35,688 | ||||||
Home Improvement Retail–0.79% | ||||||||
Home Depot, Inc. (The) | 17,800 | 624,068 | ||||||
Lowe’s Cos., Inc. | 14,990 | 375,949 | ||||||
1,000,017 | ||||||||
Homebuilding–0.08% | ||||||||
D.R. Horton, Inc. | 3,004 | 35,838 | ||||||
Lennar Corp.–Class A | 1,692 | 31,725 | ||||||
PulteGroup, Inc.(b) | 3,643 | 27,395 | ||||||
94,958 | ||||||||
Homefurnishing Retail–0.11% | ||||||||
Bed Bath & Beyond Inc.(b) | 2,814 | 138,308 | ||||||
Hotels, Resorts & Cruise Lines–0.42% | ||||||||
Carnival Corp. | 4,659 | 214,826 | ||||||
Marriott International Inc.–Class A | 3,125 | 129,812 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 2,070 | 125,815 | ||||||
Wyndham Worldwide Corp. | 1,904 | 57,044 | ||||||
527,497 | ||||||||
Shares | Value | |||||||
Household Appliances–0.15% | ||||||||
Stanley Black & Decker, Inc. | 1,801 | $ | 120,433 | |||||
Whirlpool Corp. | 839 | 74,528 | ||||||
194,961 | ||||||||
Household Products–2.18% | ||||||||
Clorox Co. | 1,532 | 96,945 | ||||||
Colgate-Palmolive Co. | 5,234 | 420,656 | ||||||
Kimberly-Clark Corp. | 4,417 | 278,448 | ||||||
Procter & Gamble Co. (The) | 30,405 | 1,955,954 | ||||||
2,752,003 | ||||||||
Housewares & Specialties–0.12% | ||||||||
Fortune Brands, Inc. | 1,656 | 99,774 | ||||||
Newell Rubbermaid, Inc. | 3,107 | 56,485 | ||||||
156,259 | ||||||||
Human Resource & Employment Services–0.06% | ||||||||
Monster Worldwide, Inc.(b) | 1,405 | 33,200 | ||||||
Robert Half International, Inc. | 1,591 | 48,685 | ||||||
81,885 | ||||||||
Hypermarkets & Super Centers–1.18% | ||||||||
Costco Wholesale Corp. | 4,696 | 339,098 | ||||||
Wal-Mart Stores, Inc. | 21,279 | 1,147,577 | ||||||
1,486,675 | ||||||||
Independent Power Producers & Energy Traders–0.16% | ||||||||
AES Corp. (The)(b) | 7,190 | 87,574 | ||||||
Constellation Energy Group Inc. | 2,204 | 67,509 | ||||||
NRG Energy, Inc.(b) | 2,648 | 51,742 | ||||||
206,825 | ||||||||
Industrial Conglomerates–2.44% | ||||||||
3M Co. | 7,764 | 670,033 | ||||||
General Electric Co.(d) | 115,735 | 2,116,793 | ||||||
Textron Inc. | 2,963 | 70,045 | ||||||
Tyco International Ltd. | 5,315 | 220,254 | ||||||
3,077,125 | ||||||||
Industrial Gases–0.46% | ||||||||
Air Products & Chemicals, Inc. | 2,326 | 211,550 | ||||||
Airgas, Inc. | 821 | 51,279 | ||||||
Praxair, Inc. | 3,327 | 317,629 | ||||||
580,458 | ||||||||
Industrial Machinery–1.07% | ||||||||
Danaher Corp. | 5,804 | 273,775 | ||||||
Dover Corp. | 2,028 | 118,537 | ||||||
Eaton Corp. | 1,827 | 185,459 | ||||||
Flowserve Corp. | 616 | 73,439 | ||||||
Illinois Tool Works Inc. | 5,380 | 287,292 | ||||||
Ingersoll-Rand PLC (Ireland) | 3,519 | 165,710 | ||||||
Pall Corp. | 1,272 | 63,066 | ||||||
Parker Hannifin Corp. | 1,751 | 151,111 | ||||||
Snap-On, Inc. | 630 | 35,645 | ||||||
1,354,034 | ||||||||
Industrial REIT’s–0.07% | ||||||||
ProLogis | 6,180 | 89,239 | ||||||
Insurance Brokers–0.26% | ||||||||
Aon Corp. | 3,583 | 164,854 | ||||||
Marsh & McLennan Cos., Inc. | 5,902 | 161,360 | ||||||
326,214 | ||||||||
Integrated Oil & Gas–6.86% | ||||||||
Chevron Corp. | 21,858 | 1,994,543 | ||||||
ConocoPhillips | 15,958 | 1,086,740 | ||||||
Exxon Mobil Corp. | 54,773 | 4,005,002 | ||||||
Hess Corp. | 3,258 | 249,367 | ||||||
Marathon Oil Corp. | 7,710 | 285,501 | ||||||
Murphy Oil Corp. | 2,088 | 155,660 | ||||||
Occidental Petroleum Corp. | 8,826 | 865,831 | ||||||
8,642,644 | ||||||||
Integrated Telecommunication Services–2.74% | ||||||||
AT&T Inc. | 64,196 | 1,886,078 | ||||||
CenturyLink, Inc. | 3,293 | 152,038 | ||||||
Frontier Communications Corp. | 10,794 | 105,026 | ||||||
Qwest Communications International Inc. | 18,929 | 144,050 | ||||||
Verizon Communications, Inc. | 30,705 | 1,098,625 | ||||||
Windstream Corp. | 5,232 | 72,934 | ||||||
3,458,751 | ||||||||
Internet Retail–0.83% | ||||||||
Amazon.com, Inc.(b) | 3,851 | 693,180 | ||||||
Expedia, Inc. | 2,230 | 55,951 | ||||||
Netflix Inc.(b) | 470 | 82,579 | ||||||
Priceline.com Inc.(b) | 532 | 212,560 | ||||||
1,044,270 | ||||||||
Internet Software & Services–1.86% | ||||||||
Akamai Technologies, Inc.(b) | 2,004 | 94,288 | ||||||
eBay, Inc.(b) | 12,461 | 346,790 | ||||||
Google Inc.–Class A(b) | 2,708 | 1,608,471 | ||||||
VeriSign, Inc. | 1,867 | 60,995 | ||||||
Yahoo! Inc.(b) | 14,158 | 235,447 | ||||||
2,345,991 | ||||||||
Shares | Value | |||||||
Investment Banking & Brokerage–1.27% | ||||||||
Charles Schwab Corp. (The) | 10,771 | $ | 184,292 | |||||
E*TRADE Financial Corp.(b) | 2,164 | 34,624 | ||||||
Goldman Sachs Group, Inc. (The) | 5,552 | 933,624 | ||||||
Morgan Stanley | 16,432 | 447,115 | ||||||
1,599,655 | ||||||||
IT Consulting & Other Services–0.29% | ||||||||
Cognizant Technology Solutions Corp.–Class A(b) | 3,296 | 241,564 | ||||||
SAIC, Inc.(b) | 3,189 | 50,578 | ||||||
Teradata Corp.(b) | 1,846 | 75,981 | ||||||
368,123 | ||||||||
Leisure Products–0.14% | ||||||||
Hasbro, Inc. | 1,504 | 70,959 | ||||||
Mattel, Inc. | 3,936 | 100,092 | ||||||
171,051 | ||||||||
Life & Health Insurance–1.09% | ||||||||
Aflac, Inc. | 5,119 | 288,865 | ||||||
Lincoln National Corp. | 3,414 | 94,943 | ||||||
MetLife, Inc. | 9,844 | 437,468 | ||||||
Principal Financial Group, Inc. | 3,479 | 113,276 | ||||||
Prudential Financial, Inc. | 5,263 | 308,991 | ||||||
Torchmark Corp. | 868 | 51,854 | ||||||
Unum Group | 3,467 | 83,971 | ||||||
1,379,368 | ||||||||
Life Sciences Tools & Services–0.49% | ||||||||
Agilent Technologies, Inc.(b) | 3,755 | 155,570 | ||||||
Life Technologies Corp.(b) | 2,027 | 112,498 | ||||||
PerkinElmer, Inc. | 1,307 | 33,747 | ||||||
Thermo Fisher Scientific, Inc.(b) | 4,317 | 238,989 | ||||||
Waters Corp.(b) | 991 | 77,011 | ||||||
617,815 | ||||||||
Managed Health Care–0.84% | ||||||||
Aetna Inc. | 4,321 | 131,834 | ||||||
CIGNA Corp. | 2,942 | 107,854 | ||||||
Coventry Health Care, Inc.(b) | 1,566 | 41,342 | ||||||
Humana Inc.(b) | 1,827 | 100,010 | ||||||
UnitedHealth Group, Inc. | 11,947 | 431,406 | ||||||
WellPoint Inc.(b) | 4,275 | 243,076 | ||||||
1,055,522 | ||||||||
Metal & Glass Containers–0.10% | ||||||||
Ball Corp. | 975 | 66,349 | ||||||
Owens-Illinois, Inc.(b) | 1,769 | 54,308 | ||||||
120,657 | ||||||||
Motorcycle Manufacturers–0.07% | ||||||||
Harley-Davidson, Inc. | 2,557 | 88,651 | ||||||
Movies & Entertainment–1.41% | ||||||||
News Corp.–Class A | 24,805 | 361,161 | ||||||
Time Warner, Inc. | 12,048 | 387,584 | ||||||
Viacom Inc.–Class B | 6,565 | 260,039 | ||||||
Walt Disney Co. (The) | 20,568 | 771,506 | ||||||
1,780,290 | ||||||||
Multi-Line Insurance–0.37% | ||||||||
American International Group, Inc.(b) | 1,520 | 87,582 | ||||||
Assurant, Inc. | 1,156 | 44,529 | ||||||
Genworth Financial Inc.–Class A(b) | 5,299 | 69,629 | ||||||
Hartford Financial Services Group, Inc. | 4,785 | 126,755 | ||||||
Loews Corp. | 3,407 | 132,566 | ||||||
461,061 | ||||||||
Multi-Sector Holdings–0.05% | ||||||||
Leucadia National Corp. | 2,166 | 63,204 | ||||||
Multi-Utilities–1.27% | ||||||||
Ameren Corp. | 2,646 | 74,591 | ||||||
CenterPoint Energy, Inc. | 4,554 | 71,589 | ||||||
CMS Energy Corp. | 2,699 | 50,201 | ||||||
Consolidated Edison, Inc. | 3,155 | 156,393 | ||||||
Dominion Resources, Inc. | 6,301 | 269,179 | ||||||
DTE Energy Co. | 1,862 | 84,386 | ||||||
Integrys Energy Group Inc. | 851 | 41,282 | ||||||
NiSource Inc. | 3,012 | 53,072 | ||||||
PG&E Corp. | 4,258 | 203,703 | ||||||
Public Service Enterprise Group Inc. | 5,483 | 174,414 | ||||||
SCANA Corp. | 1,229 | 49,897 | ||||||
Sempra Energy | 2,607 | 136,815 | ||||||
TECO Energy, Inc. | 2,354 | 41,901 | ||||||
Wisconsin Energy Corp. | 1,289 | 75,871 | ||||||
Xcel Energy, Inc. | 4,957 | 116,737 | ||||||
1,600,031 | ||||||||
Office Electronics–0.14% | ||||||||
Xerox Corp. | 15,068 | 173,583 | ||||||
Office REIT’s–0.10% | ||||||||
Boston Properties, Inc. | 1,521 | 130,958 | ||||||
Office Services & Supplies–0.08% | ||||||||
Avery Dennison Corp. | 1,192 | 50,469 | ||||||
Pitney Bowes Inc. | 2,177 | 52,640 | ||||||
103,109 | ||||||||
Shares | Value | |||||||
Oil & Gas Drilling–0.18% | ||||||||
Diamond Offshore Drilling, Inc. | 754 | $ | 50,420 | |||||
Helmerich & Payne, Inc. | 1,167 | 56,576 | ||||||
Nabors Industries Ltd.(b) | 3,106 | 72,867 | ||||||
Rowan Cos., Inc.(b) | 1,370 | 47,827 | ||||||
227,690 | ||||||||
Oil & Gas Equipment & Services–1.95% | ||||||||
Baker Hughes Inc. | 4,684 | 267,784 | ||||||
Cameron International Corp.(b) | 2,634 | 133,623 | ||||||
FMC Technologies, Inc.(b) | 1,299 | 115,494 | ||||||
Halliburton Co. | 9,879 | 403,360 | ||||||
National Oilwell Varco Inc. | 4,558 | 306,525 | ||||||
Schlumberger Ltd. | 14,820 | 1,237,470 | ||||||
2,464,256 | ||||||||
Oil & Gas Exploration & Production–2.05% | ||||||||
Anadarko Petroleum Corp. | 5,382 | 409,893 | ||||||
Apache Corp. | 4,151 | 494,924 | ||||||
Cabot Oil & Gas Corp. | 1,148 | 43,452 | ||||||
Chesapeake Energy Corp. | 7,102 | 184,013 | ||||||
Denbury Resources Inc.(b) | 4,367 | 83,366 | ||||||
Devon Energy Corp. | 4,691 | 368,290 | ||||||
EOG Resources, Inc. | 2,758 | 252,109 | ||||||
EQT Corp. | 1,645 | 73,762 | ||||||
Newfield Exploration Co.(b) | 1,453 | 104,776 | ||||||
Noble Energy, Inc. | 1,901 | 163,638 | ||||||
Pioneer Natural Resources Co. | 1,260 | 109,393 | ||||||
QEP Resources Inc. | 1,932 | 70,151 | ||||||
Range Resources Corp. | 1,765 | 79,390 | ||||||
Southwestern Energy Co.(b) | 3,766 | 140,961 | ||||||
2,578,118 | ||||||||
Oil & Gas Refining & Marketing–0.18% | ||||||||
Sunoco, Inc. | 1,309 | 52,766 | ||||||
Tesoro Corp.(b) | 1,587 | 29,423 | ||||||
Valero Energy Corp. | 6,128 | 141,679 | ||||||
223,868 | ||||||||
Oil & Gas Storage & Transportation–0.35% | ||||||||
El Paso Corp. | 7,648 | 105,236 | ||||||
Spectra Energy Corp. | 7,040 | 175,930 | ||||||
Williams Cos., Inc. (The) | 6,351 | 156,997 | ||||||
438,163 | ||||||||
Other Diversified Financial Services–3.77% | ||||||||
Bank of America Corp. | 109,548 | 1,461,370 | ||||||
Citigroup, Inc.(b) | 315,554 | 1,492,571 | ||||||
JPMorgan Chase & Co. | 42,462 | 1,801,238 | ||||||
4,755,179 | ||||||||
Packaged Foods & Meats–1.54% | ||||||||
Campbell Soup Co. | 2,117 | 73,566 | ||||||
ConAgra Foods, Inc. | 4,817 | 108,768 | ||||||
Dean Foods Co.(b) | 1,972 | 17,432 | ||||||
General Mills, Inc. | 6,954 | 247,493 | ||||||
H.J. Heinz Co. | 3,483 | 172,269 | ||||||
Hershey Co. (The) | 1,704 | 80,344 | ||||||
Hormel Foods Corp. | 763 | 39,111 | ||||||
JM Smucker Co. (The) | 1,297 | 85,148 | ||||||
Kellogg Co. | 2,759 | 140,930 | ||||||
Kraft Foods, Inc.–Class A | 18,973 | 597,839 | ||||||
McCormick & Co., Inc. | 1,470 | 68,399 | ||||||
Mead Johnson Nutrition Co. | 2,221 | 138,257 | ||||||
Sara Lee Corp. | 6,943 | 121,572 | ||||||
Tyson Foods, Inc.–Class A | 3,244 | 55,862 | ||||||
1,946,990 | ||||||||
Paper Packaging–0.07% | ||||||||
Bemis Co., Inc. | 1,203 | 39,290 | ||||||
Sealed Air Corp. | 1,704 | 43,367 | ||||||
82,657 | ||||||||
Paper Products–0.14% | ||||||||
International Paper Co. | 4,751 | 129,417 | ||||||
MeadWestvaco Corp. | 1,840 | 48,135 | ||||||
177,552 | ||||||||
Personal Products–0.19% | ||||||||
Avon Products, Inc. | 4,661 | 135,449 | ||||||
Estee Lauder Cos. Inc. (The)–Class A | 1,232 | 99,422 | ||||||
234,871 | ||||||||
Pharmaceuticals–5.44% | ||||||||
Abbott Laboratories | 16,790 | 804,409 | ||||||
Allergan, Inc. | 3,339 | 229,289 | ||||||
Bristol-Myers Squibb Co. | 18,592 | 492,316 | ||||||
Eli Lilly and Co. | 11,021 | 386,176 | ||||||
Forest Laboratories, Inc.(b) | 3,102 | 99,202 | ||||||
Hospira, Inc.(b) | 1,814 | 101,022 | ||||||
Johnson & Johnson | 29,830 | 1,844,985 | ||||||
Merck & Co., Inc. | 33,465 | 1,206,079 | ||||||
Mylan Inc.(b) | 4,762 | 100,621 | ||||||
Shares | Value | |||||||
Pharmaceuticals–(continued) | ||||||||
Pfizer, Inc. | 87,006 | $ | 1,523,475 | |||||
Watson Pharmaceuticals, Inc.(b) | 1,377 | 71,122 | ||||||
6,858,696 | ||||||||
Property & Casualty Insurance–2.12% | ||||||||
ACE Ltd. (Switzerland) | 3,686 | 229,453 | ||||||
Allstate Corp. (The) | 5,811 | 185,255 | ||||||
Berkshire Hathaway Inc.–Class B(b) | 18,796 | 1,505,748 | ||||||
Chubb Corp. | 3,311 | 197,468 | ||||||
Cincinnati Financial Corp. | 1,795 | 56,884 | ||||||
Progressive Corp. (The) | 7,206 | 143,183 | ||||||
Travelers Cos., Inc. (The) | 4,972 | 276,990 | ||||||
XL Group PLC (Ireland) | 3,466 | 75,628 | ||||||
2,670,609 | ||||||||
Publishing–0.16% | ||||||||
Gannett Co., Inc. | 2,644 | 39,898 | ||||||
McGraw-Hill Cos., Inc. (The) | 3,334 | 121,391 | ||||||
Meredith Corp. | 410 | 14,207 | ||||||
Washington Post Co. (The)–Class B | 61 | 26,809 | ||||||
202,305 | ||||||||
Railroads–0.80% | ||||||||
CSX Corp. | 4,064 | 262,575 | ||||||
Norfolk Southern Corp. | 3,946 | 247,888 | ||||||
Union Pacific Corp. | 5,348 | 495,545 | ||||||
1,006,008 | ||||||||
Real Estate Services–0.05% | ||||||||
CB Richard Ellis Group, Inc.–Class A(b) | 3,204 | 65,618 | ||||||
Regional Banks–1.04% | ||||||||
BB&T Corp. | 7,535 | 198,095 | ||||||
Fifth Third Bancorp | 8,649 | 126,967 | ||||||
First Horizon National Corp.(b) | 2,834 | 33,380 | ||||||
Huntington Bancshares Inc. | 9,375 | 64,406 | ||||||
KeyCorp | 9,563 | 84,633 | ||||||
M&T Bank Corp. | 1,295 | 112,730 | ||||||
Marshall & Ilsley Corp. | 5,688 | 39,361 | ||||||
PNC Financial Services Group, Inc. | 5,692 | 345,618 | ||||||
Regions Financial Corp. | 13,643 | 95,501 | ||||||
SunTrust Banks, Inc. | 5,429 | 160,210 | ||||||
Zions Bancorp. | 1,967 | 47,660 | ||||||
1,308,561 | ||||||||
Research & Consulting Services–0.07% | ||||||||
Dun & Bradstreet Corp. | 540 | 44,328 | ||||||
Equifax Inc. | 1,363 | 48,523 | ||||||
92,851 | ||||||||
Residential REIT’s–0.24% | ||||||||
Apartment Investment & Management Co.–Class A | 1,295 | 33,463 | ||||||
AvalonBay Communities, Inc. | 925 | 104,109 | ||||||
Equity Residential | 3,089 | 160,473 | ||||||
298,045 | ||||||||
Restaurants–1.16% | ||||||||
Darden Restaurants, Inc. | 1,502 | 69,753 | ||||||
McDonald’s Corp. | 11,475 | 880,821 | ||||||
Starbucks Corp. | 8,049 | 258,614 | ||||||
Yum! Brands, Inc. | 5,089 | 249,616 | ||||||
1,458,804 | ||||||||
Retail REIT’s–0.31% | ||||||||
Kimco Realty Corp. | 4,443 | 80,152 | ||||||
Simon Property Group, Inc. | 3,181 | 316,477 | ||||||
396,629 | ||||||||
Semiconductor Equipment–0.29% | ||||||||
Applied Materials, Inc. | 14,512 | 203,894 | ||||||
KLA-Tencor Corp. | 1,846 | 71,329 | ||||||
MEMC Electronic Materials, Inc.(b) | 2,516 | 28,330 | ||||||
Novellus Systems, Inc.(b) | 996 | 32,191 | ||||||
Teradyne, Inc.(b) | 1,952 | 27,406 | ||||||
363,150 | ||||||||
Semiconductors–2.19% | ||||||||
Advanced Micro Devices, Inc.(b) | 6,219 | 50,871 | ||||||
Altera Corp. | 3,394 | 120,759 | ||||||
Analog Devices, Inc. | 3,243 | 122,164 | ||||||
Broadcom Corp.–Class A | 4,946 | 215,398 | ||||||
First Solar, Inc.(b) | 585 | 76,132 | ||||||
Intel Corp. | 60,590 | 1,274,208 | ||||||
Linear Technology Corp. | 2,477 | 85,679 | ||||||
LSI Corp.(b) | 6,696 | 40,109 | ||||||
Microchip Technology Inc. | 2,051 | 70,165 | ||||||
Micron Technology, Inc.(b) | 9,306 | 74,634 | ||||||
National Semiconductor Corp. | 2,552 | 35,116 | ||||||
NVIDIA Corp.(b) | 6,310 | 97,174 | ||||||
Texas Instruments Inc. | 12,753 | 414,472 | ||||||
Xilinx, Inc. | 2,848 | 82,535 | ||||||
2,759,416 | ||||||||
Shares | Value | |||||||
Soft Drinks–2.35% | ||||||||
Coca-Cola Co. (The) | 25,222 | $ | 1,658,851 | |||||
Coca-Cola Enterprises, Inc. | 3,679 | 92,085 | ||||||
Dr Pepper Snapple Group, Inc. | 2,466 | 86,704 | ||||||
PepsiCo, Inc. | 17,214 | 1,124,591 | ||||||
2,962,231 | ||||||||
Specialized Consumer Services–0.03% | ||||||||
H&R Block, Inc. | 3,319 | 39,529 | ||||||
Specialized Finance–0.41% | ||||||||
CME Group Inc. | 727 | 233,912 | ||||||
IntercontinentalExchange Inc.(b) | 793 | 94,486 | ||||||
Moody’s Corp. | 2,249 | 59,689 | ||||||
NASDAQ OMX Group, Inc. (The)(b) | 1,640 | 38,884 | ||||||
NYSE Euronext | 2,875 | 86,193 | ||||||
513,164 | ||||||||
Specialized REIT’s–0.61% | ||||||||
HCP, Inc. | 3,925 | 144,401 | ||||||
Health Care REIT, Inc. | 1,603 | 76,367 | ||||||
Host Hotels & Resorts Inc. | 7,233 | 129,254 | ||||||
Plum Creek Timber Co., Inc. | 1,754 | 65,687 | ||||||
Public Storage | 1,516 | 153,753 | ||||||
Ventas, Inc. | 1,705 | 89,478 | ||||||
Weyerhaeuser Co. | 5,809 | 109,964 | ||||||
768,904 | ||||||||
Specialty Chemicals–0.27% | ||||||||
Ecolab Inc. | 2,521 | 127,109 | ||||||
International Flavors & Fragrances Inc. | 880 | 48,919 | ||||||
Sherwin-Williams Co. (The) | 972 | 81,405 | ||||||
Sigma-Aldrich Corp. | 1,316 | 87,593 | ||||||
345,026 | ||||||||
Specialty Stores–0.21% | ||||||||
Staples, Inc. | 7,855 | 178,858 | ||||||
Tiffany & Co. | 1,372 | 85,435 | ||||||
264,293 | ||||||||
Steel–0.35% | ||||||||
AK Steel Holding Corp. | 1,212 | 19,840 | ||||||
Allegheny Technologies, Inc. | 1,070 | 59,042 | ||||||
Cliffs Natural Resources Inc. | 1,470 | 114,675 | ||||||
Nucor Corp. | 3,429 | 150,259 | ||||||
United States Steel Corp. | 1,559 | 91,077 | ||||||
434,893 | ||||||||
Systems Software–3.27% | ||||||||
BMC Software, Inc.(b) | 1,929 | 90,933 | ||||||
CA, Inc. | 4,142 | 101,230 | ||||||
McAfee Inc.(b) | 1,678 | 77,708 | ||||||
Microsoft Corp. | 81,781 | 2,283,326 | ||||||
Novell, Inc.(b) | 3,776 | 22,354 | ||||||
Oracle Corp. | 42,047 | 1,316,071 | ||||||
Red Hat, Inc.(b) | 2,084 | 95,135 | ||||||
Symantec Corp.(b) | 8,431 | 141,135 | ||||||
4,127,892 | ||||||||
Thrifts & Mortgage Finance–0.10% | ||||||||
Hudson City Bancorp, Inc. | 5,708 | 72,720 | ||||||
People’s United Financial Inc. | 3,961 | 55,494 | ||||||
128,214 | ||||||||
Tires & Rubber–0.02% | ||||||||
Goodyear Tire & Rubber Co. (The)(b) | 2,600 | 30,810 | ||||||
Tobacco–1.56% | ||||||||
Altria Group, Inc. | 22,678 | 558,332 | ||||||
Lorillard, Inc. | 1,624 | 133,266 | ||||||
Philip Morris International Inc. | 19,708 | 1,153,509 | ||||||
Reynolds American Inc. | 3,673 | 119,813 | ||||||
1,964,920 | ||||||||
Trading Companies & Distributors–0.15% | ||||||||
Fastenal Co. | 1,600 | 95,856 | ||||||
W.W. Grainger, Inc. | 629 | 86,871 | ||||||
182,727 | ||||||||
Trucking–0.02% | ||||||||
Ryder System, Inc. | 571 | 30,057 | ||||||
Wireless Telecommunication Services–0.31% | ||||||||
American Tower Corp.–Class A(b) | 4,326 | 223,395 | ||||||
MetroPCS Communications, Inc.(b) | 2,820 | 35,617 | ||||||
Sprint Nextel Corp.(b) | 32,445 | 137,242 | ||||||
396,254 | ||||||||
TOTAL INVESTMENTS–98.51% (Cost $82,199,939) | 124,178,842 | |||||||
OTHER ASSETS LESS LIABILITIES–1.49% | 1,879,043 | |||||||
NET ASSETS–100.00% | $ | 126,057,885 | ||||||
REIT | – Real Estate Investment Trust |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | Affiliated company. The Fund’s Adviser is a subsidiary of Invesco Ltd. and therefore, Invesco Ltd. is considered to be affiliated with the Fund. See Note 4. | |
(d) | All or portion of the value was pledged as collateral to cover margin requirements for open futures contracts. See Note 1I and Note 5. |
Assets: | ||||
Investments, at value (Cost $82,072,312) | $ | 124,058,109 | ||
Investments in affiliates, at value (Cost $127,627) | 120,733 | |||
Total Investments, at value (Cost $82,199,939) | 124,178,842 | |||
Receivable for: | ||||
Investments sold | 2,115,469 | |||
Dividends | 148,589 | |||
Fund expenses absorbed | 7,373 | |||
Investment for trustee deferred compensation and retirement plans | 1,194 | |||
Total assets | 126,451,467 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 15,019 | |||
Fund shares reacquired | 6,402 | |||
Amount due custodian | 91,736 | |||
Variation margin | 1,998 | |||
Accrued fees to affiliates | 230,596 | |||
Accrued other operating expenses | 41,079 | |||
Trustee deferred compensation and retirement plans | 6,752 | |||
Total liabilities | 393,582 | |||
Net assets applicable to shares outstanding | $ | 126,057,885 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 107,629,539 | ||
Undistributed net investment income | 2,009,166 | |||
Undistributed net realized gain (loss) | (25,573,105 | ) | ||
Unrealized appreciation | 41,992,285 | |||
$ | 126,057,885 | |||
Net Assets: | ||||
Series I | $ | 37,651,104 | ||
Series II | $ | 88,406,781 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 3,297,518 | |||
Series II | 7,789,613 | |||
Series I: | ||||
Net asset value per share | $ | 11.42 | ||
Series II: | ||||
Net asset value per share | $ | 11.35 | ||
Investment income: | ||||
Dividends | $ | 2,560,732 | ||
Dividends from affiliates | 2,443 | |||
Total investment income | 2,563,175 | |||
Expenses: | ||||
Advisory fees | 148,710 | |||
Administrative services fees | 248,054 | |||
Custodian fees | 19,140 | |||
Distribution fees — Series II | 216,536 | |||
Transfer agent fees | 1,810 | |||
Trustees’ and officers’ fees and benefits | 17,212 | |||
Reports to shareholders | 37,096 | |||
Other | 52,487 | |||
Total expenses | 741,045 | |||
Less: Fees waived and expenses reimbursed | (173,858 | ) | ||
Net expenses | 567,187 | |||
Net investment income | 1,995,988 | |||
Realized and unrealized gain from: | ||||
Net realized gain from: | ||||
Investment securities | 584,580 | |||
Futures contracts | 216,173 | |||
800,753 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | 14,027,032 | |||
Futures contracts | (6,862 | ) | ||
14,020,170 | ||||
Net realized and unrealized gain | 14,820,923 | |||
Net increase in net assets resulting from operations | $ | 16,816,911 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 1,995,988 | $ | 2,206,337 | ||||
Net realized gain (loss) | 800,753 | (1,087,362 | ) | |||||
Change in net unrealized appreciation | 14,020,170 | 26,688,201 | ||||||
Net increase in net assets resulting from operations | 16,816,911 | 27,807,176 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (728,755 | ) | (976,649 | ) | ||||
Series II | (1,463,002 | ) | (2,074,490 | ) | ||||
Total distributions from net investment income | (2,191,757 | ) | (3,051,139 | ) | ||||
Share transactions–net: | ||||||||
Series I | (5,557,429 | ) | (2,195,479 | ) | ||||
Series II | (13,397,694 | ) | (6,088,957 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (18,955,123 | ) | (8,284,436 | ) | ||||
Net increase (decrease) in net assets | (4,329,969 | ) | 16,471,601 | |||||
Net assets: | ||||||||
Beginning of year | 130,387,854 | 113,916,253 | ||||||
End of year (includes undistributed net investment income of $2,009,166 and $2,208,382, respectively) | $ | 126,057,885 | $ | 130,387,854 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an |
independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to |
federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | ||
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Futures Contracts — The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal counterparty risk since the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. | |
J. | Collateral — To the extent the Fund has pledged or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day. |
Average Net Assets | Rate | |||
First $2 billion | 0 | .12% | ||
Over $2 billion | 0 | .10% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 124,178,842 | $ | — | $ | — | $ | 124,178,842 | ||||||||
Futures* | 13,382 | — | — | 13,382 | ||||||||||||
Total Investments | $ | 124,192,224 | $ | — | $ | — | $ | 124,192,224 | ||||||||
* | Unrealized appreciation . |
Change in | ||||||||||||||||||||||||||||
Value | Purchases | Proceeds | Unrealized | Realized | Value | Dividend | ||||||||||||||||||||||
December 31, 2009 | at Cost | from Sales | Appreciation | Gain (Loss) | December 31, 2010 | Income | ||||||||||||||||||||||
Invesco Ltd. | $ | 127,692 | $ | 4,858 | $ | (14,020 | ) | $ | 5,353 | $ | (3,150 | ) | $ | 120,733 | $ | 2,325 | ||||||||||||
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Interest rate risk | ||||||||
Futures contracts(a) | $ | 13,382 | $ | — | ||||
(a) | Includes cumulative appreciation of futures contracts. Only current day’s variation margin receivable (payable) is reported within the Statement of Assets & Liabilities. |
Location of Gain (Loss) on | ||||
Statement of Operations | ||||
Futures* | ||||
Realized Gain | ||||
Interest rate risk | $ | 216,173 | ||
Change in Unrealized Appreciation (Depreciation) | ||||
Interest rate risk | (6,862 | ) | ||
Total | $ | 209,311 | ||
* | The average value of futures outstanding during the period was $1,726,542. |
Open Futures Contracts | ||||||||||||||||
Number of | Month/ | Unrealized | ||||||||||||||
Contract | Contracts | Commitment | Value | Appreciation | ||||||||||||
S&P 500 E-Mini | 34 | March-2011/Long | $ | 2,131,300 | $ | 13,382 | ||||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 2,191,757 | $ | 3,051,139 | ||||
2010 | ||||
Undistributed ordinary income | $ | 1,996,976 | ||
Net unrealized appreciation — investments | 36,444,242 | |||
Temporary book/tax differences | (6,098 | ) | ||
Capital loss carryforward | (20,006,774 | ) | ||
Shares of beneficial interest | 107,629,539 | |||
Total net assets | $ | 126,057,885 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2012 | $ | 3,449,848 | ||
December 31, 2013 | 9,726,077 | |||
December 31, 2014 | 5,449,556 | |||
December 31, 2017 | 1,381,293 | |||
Total capital loss carryforward | $ | 20,006,774 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 44,286,000 | ||
Aggregate unrealized (depreciation) of investment securities | (7,841,758 | ) | ||
Net unrealized appreciation of investment securities | $ | 36,444,242 | ||
Cost of investments for tax purposes is $87,734,600. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 114,148 | $ | 1,178,964 | 227,397 | $ | 1,896,482 | ||||||||||
Series II | 141,688 | 1,423,360 | 584,015 | 5,084,799 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 73,537 | 728,755 | 117,952 | 976,649 | ||||||||||||
Series II | 148,378 | 1,463,002 | 251,759 | 2,074,490 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (723,269 | ) | (7,465,148 | ) | (600,690 | ) | (5,068,610 | ) | ||||||||
Series II | (1,577,214 | ) | (16,284,056 | ) | (1,515,796 | ) | (13,248,246 | ) | ||||||||
Net increase (decrease) in share activity | (1,822,732 | ) | $ | (18,955,123 | ) | (935,363 | ) | $ | (8,284,436 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 95% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or advisor, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | |||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(e) | |||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 10.14 | $ | 0.19 | $ | 1.29 | $ | 1.48 | $ | (0.20 | ) | $ | 11.42 | 14.87 | % | $ | 37,651 | 0.28 | %(c) | 0.42 | %(c) | 1.79 | %(c) | 6 | % | |||||||||||||||||||||||
Year ended 12/31/09 | 8.27 | 0.18 | 1.94 | 2.12 | (0.25 | ) | 10.14 | 26.34 | 38,873 | 0.28 | (d) | 0.28 | (d) | 2.09 | (d) | 5 | ||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 13.46 | 0.23 | (5.14 | ) | (4.91 | ) | (0.28 | ) | 8.27 | (37.07 | ) | 33,801 | 0.30 | (d) | 0.30 | (d) | 2.01 | (d) | 14 | |||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.02 | 0.23 | 0.45 | 0.68 | (0.24 | ) | 13.46 | 5.23 | 66,275 | 0.27 | 0.27 | 1.71 | 3 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 11.46 | 0.20 | 1.56 | 1.76 | (0.20 | ) | 13.02 | 15.56 | 84,545 | 0.28 | 0.28 | 1.67 | 4 | |||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 10.08 | 0.16 | 1.28 | 1.44 | (0.17 | ) | 11.35 | 14.58 | 88,407 | 0.53 | (c) | 0.67 | (c) | 1.54 | (c) | 6 | ||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 8.21 | 0.16 | 1.93 | 2.09 | (0.22 | ) | 10.08 | 26.06 | 91,515 | 0.53 | (d) | 0.53 | (d) | 1.84 | (d) | 5 | ||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 13.36 | 0.20 | (5.11 | ) | (4.91 | ) | (0.24 | ) | 8.21 | (37.27 | ) | 80,115 | 0.55 | (d) | 0.55 | (d) | 1.76 | (d) | 14 | |||||||||||||||||||||||||||||
Year ended 12/31/07 | 12.92 | 0.20 | 0.45 | 0.65 | (0.21 | ) | 13.36 | 5.00 | 152,984 | 0.52 | 0.52 | 1.46 | 3 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 11.38 | 0.17 | 1.54 | 1.71 | (0.17 | ) | 12.92 | 15.21 | 176,883 | 0.53 | 0.53 | 1.42 | 4 | |||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Ratios are based on average daily net assets (000’s omitted) of $37,311 and $86,615 for Series I and Series II shares, respectively. | |
(d) | The ratios reflect the rebate of certain Fund expenses in connection with investments in an affiliate during the period. The effect of the rebate on the ratios is less than 0.005% | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for the periods less than one year, if applicable. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,231.90 | $ | 1.56 | $ | 1,023.80 | $ | 1.42 | 0.28 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,231.00 | 2.97 | 1,022.54 | 2.69 | 0.53 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Qualified Dividend Income* | 0.00% | |||
Corporate Dividends Received Deduction* | 100% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
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Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
Annual Report to Shareholders § December 31, 2010
Invesco V.I. Select Dimensions Balanced Fund
Invesco V.I. Select Dimensions Dividend Growth Fund
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | ||||||||
Inception (11/9/94) | 7.49 | % | ||||||
10 | Years | 4.42 | ||||||
5 | Years | 3.64 | ||||||
1 | Year | 10.37 | ||||||
Series II Shares | ||||||||
Inception (7/24/00) | 4.98 | % | ||||||
10 | Years | 4.15 | ||||||
5 | Years | 3.38 | ||||||
1 | Year | 10.15 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
Invesco V.I. Select Dimensions Funds |
Series I Shares | ||||||||
Inception (11/9/94) | 7.47 | % | ||||||
10 | Years | 1.38 | ||||||
5 | Years | 0.24 | ||||||
1 | Year | 10.67 | ||||||
Series II Shares | ||||||||
Inception (7/24/00) | 2.28 | % | ||||||
10 | Years | 1.13 | ||||||
5 | Years | -0.01 | ||||||
1 | Year | 10.41 | ||||||
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
Invesco V.I. Select Dimensions Funds |
Series I Shares | ||||||||
Inception (11/9/94) | 10.01 | % | ||||||
10 | Years | 5.85 | ||||||
5 | Years | 4.42 | ||||||
1 | Year | 21.51 | ||||||
Series II Shares | ||||||||
Inception (7/24/00) | 6.37 | % | ||||||
10 | Years | 5.59 | ||||||
5 | Years | 4.15 | ||||||
1 | Year | 21.19 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
Invesco V.I. Select Dimensions Funds |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 10.37 | % | ||
Series II Shares | 10.15 | |||
Russell 1000 Value Index▼ (Broad Market Index) | 15.51 | |||
Barclays Capital U.S. Government/Credit Index▼ (Style-Specific Index) | 6.59 | |||
▼ | Lipper Inc. |
Common Stocks & Other Equity Interests | 65.3 | % | ||
U.S. Treasury Securities | 17.6 | |||
Bonds & Notes | 13.1 | |||
U.S. Government Sponsored | ||||
Agency Securities | 1.6 | |||
Foreign Sovereign Debts | 0.4 | |||
Municipal Obligations | 0.1 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | 1.9 |
1. | JPMorgan Chase & Co. | 3.1 | % | |||||
2. | General Electric Co. | 2.5 | ||||||
3. | Marsh & McLennan Cos., Inc. | 2.2 | ||||||
4. | Viacom Inc.-Class B | 1.9 | ||||||
5. | Occidental Petroleum Corp. | 1.7 | ||||||
6. | Anadarko Petroleum Corp. | 1.6 | ||||||
7. | eBay Inc. | 1.5 | ||||||
8. | American Electric Power Co., Inc. | 1.4 | ||||||
9. | Royal Dutch Shell PLC-ADR | 1.4 | ||||||
10. | Tyco International Ltd. | 1.3 |
Total Net Assets | $38.2 million | |||
Total Number of Holdings* | 230 |
Invesco V.I. Select Dimensions Funds |
Invesco V.I. Select Dimensions Funds |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 10.67 | % | ||
Series II Shares | 10.41 | |||
S&P 500 Index▼ (Broad Market/Style-Specific Index) | 15.08 | |||
▼ | Lipper Inc. |
n | A stock reaches its fair valuation (target price). | |
n | The company’s fundamental business prospects deteriorate. | |
n | A more attractive investment opportunity presents itself. |
Financials | 20.7 | % | ||
Consumer Staples | 19.1 | |||
Consumer Discretionary | 12.8 | |||
Industrials | 12.4 | |||
Information Technology | 6.9 | |||
Energy | 6.2 | |||
Health Care | 6.1 | |||
Utilities | 5.2 | |||
Materials | 4.5 | |||
Telecommunication Services | 1.0 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | 5.1 |
1. | Kimberly-Clark Corp. | 2.6 | % | |||||
2. | SunTrust Banks, Inc. | 2.5 | ||||||
3. | Automatic Data Processing, Inc. | 2.2 | ||||||
4. | General Dynamics Corp. | 2.1 | ||||||
5. | American Electric Power Co., Inc. | 2.0 | ||||||
6. | Capital One Financial Corp. | 2.0 | ||||||
7. | Snap-on, Inc. | 2.0 | ||||||
8. | International Paper Co. | 1.9 | ||||||
9. | Johnson & Johnson | 1.9 | ||||||
10. | Pentair, Inc. | 1.8 |
Total Net Assets | $90.1 million | |||
Total Number of Holdings* | 76 |
Invesco V.I. Select Dimensions Funds |
Invesco V.I. Select Dimensions Funds |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 21.51 | % | ||
Series II Shares | 21.19 | |||
S&P 500 Equal Weight Index▼ (Broad Market/Style-Specific Index) | 21.91 | |||
▼ | Invesco, Bloomberg L.P. |
Financials | 16.2 | % | ||
Consumer Discretionary | 15.8 | |||
Information Technology | 15.0 | |||
Industrials | 11.7 | |||
Health Care | 9.8 | |||
Energy | 8.2 | |||
Consumer Staples | 8.1 | |||
Utilities | 6.7 | |||
Materials | 6.2 | |||
Telecommunication Services | 1.8 | |||
Money Market Funds Plus | ||||
Other Assets Less Liabilities | 0.5 |
1. | Anadarko Petroleum | 0.3 | % | |||||
2. | Jabil Circuit, Inc. | 0.3 | ||||||
3. | CONSOL Energy, Inc. | 0.2 | ||||||
4. | Regions Financial Corp. | 0.2 | ||||||
5. | Chesapeake Energy Corp. | 0.2 | ||||||
6. | Huntington Bancshares Inc. | 0.2 | ||||||
7. | SUPERVALU, Inc. | 0.2 | ||||||
8. | Dean Foods Co. | 0.2 | ||||||
9. | Valero Energy Corp. | 0.2 | ||||||
10. | American International Group | 0.2 |
Total Net Assets | $99.3 million | |||
Total Number of Holdings* | 500 |
Invesco V.I. Select Dimensions Funds |
1 | Bloomberg |
Invesco V.I. Select Dimensions Funds |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Invesco V.I. Select Dimensions Funds |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Invesco V.I. Select Dimensions Funds |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Invesco V.I. Select Dimensions Funds |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–65.27% | ||||||||
Air Freight & Logistics–0.35% | ||||||||
FedEx Corp. | 1,439 | $ | 133,841 | |||||
Asset Management & Custody Banks–0.72% | ||||||||
State Street Corp. | 5,937 | 275,121 | ||||||
Automobile Manufacturers–1.06% | ||||||||
Ford Motor Co.(b) | 13,167 | 221,074 | ||||||
General Motors Co.(b) | 5,015 | 184,853 | ||||||
405,927 | ||||||||
Cable & Satellite–2.11% | ||||||||
Comcast Corp.–Class A | 20,902 | 459,217 | ||||||
Time Warner Cable, Inc. | 5,256 | 347,054 | ||||||
806,271 | ||||||||
Communications Equipment–0.69% | ||||||||
Cisco Systems, Inc.(b) | 12,991 | 262,808 | ||||||
Computer Hardware–1.82% | ||||||||
Dell Inc.(b) | 22,500 | 304,875 | ||||||
Hewlett-Packard Co. | 9,289 | 391,067 | ||||||
695,942 | ||||||||
Consumer Electronics–0.79% | ||||||||
Sony Corp.–ADR (Japan) | 8,464 | 302,249 | ||||||
Data Processing & Outsourced Services–0.73% | ||||||||
Western Union Co. | 14,924 | 277,139 | ||||||
Diversified Banks–1.10% | ||||||||
U.S. Bancorp | 6,319 | 170,423 | ||||||
Wells Fargo & Co. | 8,053 | 249,563 | ||||||
419,986 | ||||||||
Diversified Chemicals–1.24% | ||||||||
Dow Chemical Co. (The) | 6,749 | 230,411 | ||||||
PPG Industries, Inc. | 2,885 | 242,542 | ||||||
472,953 | ||||||||
Diversified Support Services–0.36% | ||||||||
Cintas Corp. | 4,963 | 138,765 | ||||||
Drug Retail–0.95% | ||||||||
Walgreen Co. | 9,357 | 364,549 | ||||||
Electric Utilities–2.66% | ||||||||
American Electric Power Co., Inc. | 14,718 | 529,554 | ||||||
Edison International | 4,192 | 161,811 | ||||||
Entergy Corp. | 2,127 | 150,655 | ||||||
FirstEnergy Corp. | 4,682 | 173,328 | ||||||
1,015,348 | ||||||||
Food Distributors–0.62% | ||||||||
Sysco Corp. | 7,988 | 234,847 | ||||||
Health Care Distributors–0.45% | ||||||||
Cardinal Health, Inc. | 4,534 | 173,698 | ||||||
Health Care Equipment–0.84% | ||||||||
Covidien PLC (Ireland) | 7,007 | 319,940 | ||||||
Home Improvement Retail–0.95% | ||||||||
Home Depot, Inc. (The) | 10,341 | 362,555 | ||||||
Household Products–1.24% | ||||||||
Procter & Gamble Co. (The) | 7,348 | 472,697 | ||||||
Human Resource & Employment Services–0.80% | ||||||||
Manpower Inc. | 2,765 | 173,531 | ||||||
Robert Half International, Inc. | 4,363 | 133,508 | ||||||
307,039 | ||||||||
Hypermarkets & Super Centers–0.65% | ||||||||
Wal-Mart Stores, Inc. | 4,630 | 249,696 | ||||||
Industrial Conglomerates–3.86% | ||||||||
General Electric Co. | 52,934 | 968,163 | ||||||
Tyco International Ltd. | 12,176 | 504,573 | ||||||
1,472,736 | ||||||||
Industrial Machinery–1.09% | ||||||||
Dover Corp. | 2,214 | 129,409 | ||||||
Ingersoll-Rand PLC (Ireland) | 6,080 | 286,307 | ||||||
415,716 | ||||||||
Insurance Brokers–2.23% | ||||||||
Marsh & McLennan Cos., Inc. | 31,163 | 851,996 | ||||||
Integrated Oil & Gas–5.51% | ||||||||
ConocoPhillips | 2,928 | 199,397 | ||||||
Exxon Mobil Corp. | 3,781 | 276,467 | ||||||
Hess Corp. | 5,712 | 437,196 | ||||||
Occidental Petroleum Corp. | 6,766 | 663,744 | ||||||
Royal Dutch Shell PLC–ADR (United Kingdom) | 7,888 | 526,761 | ||||||
2,103,565 | ||||||||
Shares | Value | |||||||
Integrated Telecommunication Services–0.75% | ||||||||
Verizon Communications Inc. | 7,986 | $ | 285,739 | |||||
Internet Software & Services–2.21% | ||||||||
eBay Inc.(b) | 19,808 | 551,257 | ||||||
Yahoo! Inc.(b) | 17,630 | 293,187 | ||||||
844,444 | ||||||||
Investment Banking & Brokerage–1.93% | ||||||||
Charles Schwab Corp. (The) | 21,858 | 373,990 | ||||||
LPL Investment Holdings, Inc.(b) | 738 | 26,841 | ||||||
Morgan Stanley | 12,400 | 337,404 | ||||||
738,235 | ||||||||
IT Consulting & Other Services–0.60% | ||||||||
Amdocs Ltd.(b) | 8,391 | 230,501 | ||||||
Life & Health Insurance–0.58% | ||||||||
Principal Financial Group, Inc. | 6,750 | 219,780 | ||||||
Managed Health Care–1.21% | ||||||||
UnitedHealth Group Inc. | 12,810 | 462,569 | ||||||
Movies & Entertainment–3.09% | ||||||||
Time Warner Inc. | 14,155 | 455,366 | ||||||
Viacom Inc.–Class B | 18,337 | 726,329 | ||||||
1,181,695 | ||||||||
Office Services & Supplies–0.45% | ||||||||
Avery Dennison Corp. | 4,021 | 170,249 | ||||||
Oil & Gas Equipment & Services–1.38% | ||||||||
Cameron International Corp.(b) | 2,117 | 107,395 | ||||||
Schlumberger Ltd. | 5,040 | 420,840 | ||||||
528,235 | ||||||||
Oil & Gas Exploration & Production–2.62% | ||||||||
Anadarko Petroleum Corp. | 7,724 | 588,260 | ||||||
Devon Energy Corp. | 3,509 | 275,491 | ||||||
Noble Energy, Inc. | 1,596 | 137,384 | ||||||
1,001,135 | ||||||||
Oil & Gas Storage & Transportation–0.21% | ||||||||
Williams Cos., Inc. (The) | 3,214 | 79,450 | ||||||
Other Diversified Financial Services–5.33% | ||||||||
Bank of America Corp. | 37,314 | 497,769 | ||||||
Citigroup Inc.(b) | 72,182 | 341,421 | ||||||
JPMorgan Chase & Co. | 28,201 | 1,196,286 | ||||||
2,035,476 | ||||||||
Packaged Foods & Meats–1.73% | ||||||||
Kraft Foods Inc.–Class A | 11,063 | 348,595 | ||||||
Unilever N.V.- New York Shares (Netherlands) | 9,997 | 313,906 | ||||||
662,501 | ||||||||
Personal Products–1.02% | ||||||||
Avon Products, Inc. | 13,399 | 389,375 | ||||||
Pharmaceuticals–3.85% | ||||||||
Abbott Laboratories | 3,566 | 170,847 | ||||||
Bristol-Myers Squibb Co. | 14,651 | 387,958 | ||||||
Merck & Co., Inc. | 6,257 | 225,502 | ||||||
Pfizer Inc. | 25,125 | 439,939 | ||||||
Roche Holdings AG–ADR (Switzerland) | 6,684 | 245,604 | ||||||
1,469,850 | ||||||||
Property & Casualty Insurance–0.50% | ||||||||
Chubb Corp. (The) | 3,170 | 189,059 | ||||||
Regional Banks–1.99% | ||||||||
BB&T Corp. | 5,565 | 146,304 | ||||||
Fifth Third Bancorp | 9,950 | 146,066 | ||||||
PNC Financial Services Group, Inc. | 7,721 | 468,819 | ||||||
761,189 | ||||||||
Semiconductors–0.64% | ||||||||
Intel Corp. | 11,561 | 243,128 | ||||||
Soft Drinks–0.80% | ||||||||
Coca-Cola Co. (The) | 2,814 | 185,077 | ||||||
Coca-Cola Enterprises Inc. | 4,751 | 118,917 | ||||||
303,994 | ||||||||
Specialty Chemicals–0.27% | ||||||||
LyondellBasell Industries N.V.–Class A (Netherlands)(b) | 3,003 | 103,303 | ||||||
Systems Software–0.17% | ||||||||
Microsoft Corp. | 2,272 | 63,434 | ||||||
Wireless Telecommunication Services–1.12% | ||||||||
Vodafone Group PLC–ADR (United Kingdom) | 16,146 | 426,739 | ||||||
Total Common Stocks & Other Equity Interests (Cost $23,197,642) | 24,925,464 | |||||||
Principal | ||||||||
Amount | ||||||||
U.S. Treasury Securities–17.56% | ||||||||
U.S. Treasury Bills–0.04% | ||||||||
0.17%, 04/28/11(c)(d) | $ | 15,000 | 14,994 | |||||
Principal | ||||||||
Amount | Value | |||||||
U.S. Treasury Notes–15.95% | ||||||||
0.88%, 02/29/12 | $ | 500,000 | $ | 502,852 | ||||
1.00%, 04/30/12 | 400,000 | 403,094 | ||||||
1.38%, 09/15/12 | 1,700,000 | 1,724,039 | ||||||
1.50%, 12/31/13 | 500,000 | 507,109 | ||||||
2.63%, 07/31/14 | 100,000 | 104,563 | ||||||
2.38%, 10/31/14 | 1,620,000 | 1,676,447 | ||||||
2.13%, 11/30/14 | 550,000 | 563,320 | ||||||
2.50%, 03/31/15 | 275,000 | 284,582 | ||||||
3.63%, 08/15/19 | 265,000 | 276,718 | ||||||
3.63%, 02/15/20 | 46,000 | 47,732 | ||||||
6,090,456 | ||||||||
U.S. Treasury Bonds–1.57% | ||||||||
4.25%, 05/15/39 | 555,000 | 546,502 | ||||||
4.63%, 02/15/40 | 50,000 | 52,359 | ||||||
598,861 | ||||||||
Total U.S. Treasury Securities (Cost $6,015,660) | 6,704,311 | |||||||
Bonds & Notes–13.13% | ||||||||
Aerospace & Defense–0.04% | ||||||||
Raytheon Co., Sr. Unsec. Notes, 1.63%, 10/15/15 | 15,000 | 14,414 | ||||||
Agricultural Products–0.07% | ||||||||
Corn Products International, Inc., Sr. Unsec. Notes, 6.63%, 04/15/37 | 25,000 | 26,148 | ||||||
Airlines–0.12% | ||||||||
Continental Airlines, Inc.–Series 2010-1, Class A, Sec. Pass Through Ctfs., 4.75%, 01/12/21 | 25,000 | 25,047 | ||||||
Delta Air Lines, Inc.–Series 2010-1, Class A, Sec. Pass Through Ctfs., 6.20%, 07/02/18 | 20,000 | 21,475 | ||||||
46,522 | ||||||||
Automobile Manufacturers–0.06% | ||||||||
Daimler Finance North America LLC, Unsec. Gtd. Unsub. Global Notes, 7.30%, 01/15/12 | 20,000 | 21,308 | ||||||
Automotive Retail–0.24% | ||||||||
Advance Auto Parts, Inc., Sr. Unsec. Gtd. Notes, 5.75%, 05/01/20 | 50,000 | 51,938 | ||||||
AutoZone, Inc., Sr. Unsec. Global Notes, 6.50%, 01/15/14 | 35,000 | 38,858 | ||||||
90,796 | ||||||||
Brewers–0.29% | ||||||||
Anheuser-Busch InBev Worldwide Inc., Sr. Unsec. Gtd. Global Notes, 2.50%, 03/26/13 | 15,000 | 15,328 | ||||||
3.63%, 04/15/15 | 35,000 | 36,236 | ||||||
Sr. Unsec. Gtd. Notes, 7.20%, 01/15/14(e) | 25,000 | 28,637 | ||||||
FBG Financial Ltd. (Australia), Sr. Unsec. Gtd. Notes, 5.13%, 06/15/15(e) | 30,000 | 32,367 | ||||||
112,568 | ||||||||
Cable & Satellite–0.50% | ||||||||
Comcast Corp., Sr. Unsec. Gtd. Global Notes, 5.70%, 05/15/18 | 45,000 | 49,385 | ||||||
Sr. Unsec. Gtd. Notes, 5.15%, 03/01/20 | 15,000 | 15,795 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Sr. Unsec. Gtd. Global Notes, 7.63%, 05/15/16 | 40,000 | 44,500 | ||||||
Time Warner Cable Inc., Sr. Unsec. Gtd. Global Notes, 8.75%, 02/14/19 | 15,000 | 19,153 | ||||||
Sr. Unsec. Gtd. Notes, 8.25%, 04/01/19 | 10,000 | 12,388 | ||||||
6.75%, 06/15/39 | 10,000 | 11,062 | ||||||
5.88%, 11/15/40 | 40,000 | 39,762 | ||||||
192,045 | ||||||||
Construction Materials–0.04% | ||||||||
Holcim U.S. Finance Sarl & Cie SCS (Switzerland),Unsec. Unsub. Gtd. Notes, 6.00%, 12/30/19(e) | 15,000 | 15,652 | ||||||
Consumer Finance–0.32% | ||||||||
American Express Co., Sr. Unsec. Notes, 8.13%, 05/20/19 | 20,000 | 24,747 | ||||||
American Express Credit Corp.–Series C, Sr. Unsec. Medium-Term Global Notes, 7.30%, 08/20/13 | 35,000 | 39,509 | ||||||
Capital One Financial Corp., Sr. Unsec. Notes, 6.75%, 09/15/17 | 50,000 | 56,988 | ||||||
121,244 | ||||||||
Department Stores–0.27% | ||||||||
Macy’s Retail Holdings, Inc., Sr. Unsec. Gtd. Notes, 5.35%, 03/15/12 | 100,000 | 103,750 | ||||||
Diversified Banks–1.43% | ||||||||
Abbey National Treasury Services PLC, Sr. Unsec. Gtd. Notes, 3.88%, 11/10/14(e) | 100,000 | 98,864 | ||||||
Ally Financial, Inc., Gtd. Notes, 2.20%, 12/19/12 | 50,000 | 51,415 | ||||||
Bank of Nova Scotia (Canada), Sr. Unsec. Global Notes, 2.38%, 12/17/13 | 35,000 | 35,980 | ||||||
Barclays Bank PLC (United Kingdom), Sr. Unsec. Global Notes, 6.75%, 05/22/19 | 25,000 | 28,321 | ||||||
Commonwealth Bank of Australia (Australia), Sr. Unsec. Notes, 5.00%, 10/15/19(e) | 35,000 | 36,423 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Diversified Banks–(continued) | ||||||||
Credit Suisse AG, Sub. Global Notes, 5.40%, 01/14/20 | $ | 10,000 | $ | 10,233 | ||||
Unsec. Sub. Global Notes, (Switzerland) | ||||||||
6.00%, 02/15/18 | 5,000 | 5,387 | ||||||
HSBC Finance Corp., Sr. Unsec. Global Notes, 6.75%, 05/15/11 | 45,000 | 45,984 | ||||||
6.38%, 10/15/11 | 25,000 | 26,116 | ||||||
US Bancorp, Sr. Unsec. Notes, 2.00%, 06/14/13 | 50,000 | 50,767 | ||||||
Wells Fargo & Co., Sr. Unsec. Notes, 5.63%, 12/11/17 | 105,000 | 116,966 | ||||||
Westpac Banking Corp., (Australia), Sr. Unsec. Global Notes, 2.10%, 08/02/13 | 40,000 | 40,375 | ||||||
546,831 | ||||||||
Diversified Capital Markets–0.07% | ||||||||
UBS AG (Switzerland), Sr. Unsec. Medium-Term Notes, 5.88%, 12/20/17 | 25,000 | 27,547 | ||||||
Diversified Metals & Mining–0.23% | ||||||||
Freeport-McMoRan Copper & Gold Inc., Sr. Unsec. Notes, 8.38%, 04/01/17 | 30,000 | 33,140 | ||||||
Rio Tinto Finance USA Ltd. (Australia), Sr. Unsec. Gtd. Global Notes, 9.00%, 05/01/19 | 30,000 | 40,350 | ||||||
Southern Copper Corp., Sr. Unsec. Global Notes, 5.38%, 04/16/20 | 5,000 | 5,090 | ||||||
6.75%, 04/16/40 | 10,000 | 10,524 | ||||||
89,104 | ||||||||
Drug Retail–0.11% | ||||||||
CVS Caremark Corp., Sec. Global Pass Through Ctfs., 6.04%, 12/10/28 | 40,538 | 41,010 | ||||||
Electric Utilities–0.77% | ||||||||
Electricite de France S.A., Sr. Unsec. Notes, 4.60%, 01/27/20(e) | 25,000 | 26,018 | ||||||
Enel Finance International S.A. (Luxembourg), Sr. Unsec. Gtd. Notes, 5.13%, 10/07/19(e) | 100,000 | 99,081 | ||||||
Iberdola Finance Ireland Ltd. (Ireland), Unsec. Unsub. Gtd. Notes, 3.80%, 09/11/14(e) | 75,000 | 74,881 | ||||||
Ohio Power Co.–Series M, Sr. Unsec. Notes, 5.38%, 10/01/21 | 50,000 | 53,364 | ||||||
Progress Energy Inc., Sr. Unsec. Notes, 7.05%, 03/15/19 | 35,000 | 41,729 | ||||||
295,073 | ||||||||
Electronic Components–0.02% | ||||||||
Corning, Inc., Sr. Unsec. Notes, 7.25%, 08/15/36 | 5,000 | 5,678 | ||||||
Environmental & Facilities Services–0.10% | ||||||||
Waste Management, Inc., Sr. Unsec. Gtd. Notes, 5.00%, 03/15/14 | 35,000 | 37,852 | ||||||
Food Retail–0.35% | ||||||||
Delhaize Group S.A. (Belgium), Sr. Unsec. Gtd. Bonds, 5.88%, 02/01/14 | 15,000 | 16,520 | ||||||
Safeway, Inc., Sr. Unsec. Global Notes, 3.95%, 08/15/20 | 55,000 | 52,218 | ||||||
WM Wrigley Jr. Co., Sr. Sec. Gtd. Floating Rate Notes, 1.66%, 06/28/11(e)(f) | 65,000 | 65,101 | ||||||
133,839 | ||||||||
Health Care Equipment–0.19% | ||||||||
Boston Scientific Corp., Sr. Unsec. Notes, 5.45%, 06/15/14 | 40,000 | 42,450 | ||||||
CareFusion Corp., Sr. Unsec. Global Notes, 4.13%, 08/01/12 | 30,000 | 31,242 | ||||||
73,692 | ||||||||
Health Care Services–0.29% | ||||||||
Express Scripts Inc., Sr. Unsec. Gtd. Global Notes, 5.25%, 06/15/12 | 85,000 | 89,891 | ||||||
Medco Health Solutions Inc., Sr. Unsec. Notes, 2.75%, 09/15/15 | 20,000 | 19,889 | ||||||
109,780 | ||||||||
Home Improvement Retail–0.07% | ||||||||
Home Depot, Inc., Sr. Unsec. Global Notes, 5.88%, 12/16/36 | 25,000 | 26,117 | ||||||
Hypermarkets & Super Centers–0.04% | ||||||||
Wal-Mart Stores, Inc., Sr. Unsec. Global Notes, 5.25%, 09/01/35 | 10,000 | 10,114 | ||||||
6.50%, 08/15/37 | 5,000 | 5,912 | ||||||
16,026 | ||||||||
Industrial Conglomerates–1.46% | ||||||||
General Electric Capital Corp., Sr. Unsec. Medium-Term Global Notes, 5.63%, 05/01/18 | 35,000 | 38,139 | ||||||
Sr. Unsec. Gtd. Medium-Term Global Notes, 2.20%, 06/08/12 | 80,000 | 81,816 | ||||||
Sr. Unsec. Medium-Term Global Notes, 5.88%, 01/14/38 | 15,000 | 15,639 | ||||||
Series G, Sr. Gtd. Medium-Term Global Notes, 2.63%, 12/28/12 | 300,000 | 311,100 | ||||||
General Electric Co., Sr. Unsec. Global Notes, 5.25%, 12/06/17 | 45,000 | 48,448 | ||||||
Koninklije Philips Electronics N.V. (Netherlands), Sr. Unsec. Global Noted, 5.75%, 03/11/18 | 25,000 | 28,089 | ||||||
NBC Universal, Inc., Sr. Unsec. Notes, 2.10%, 04/01/14(e) | 20,000 | 19,996 | ||||||
5.95%, 04/01/41(e) | 15,000 | 15,066 | ||||||
558,293 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Integrated Oil & Gas–0.08% | ||||||||
Hess Corp., Sr. Unsec. Global Notes, 5.60%, 02/15/41 | $ | 25,000 | $ | 24,932 | ||||
Shell International Finance B.V. (Finland), Sr. Unsec. Gtd. Global Notes, 3.10%, 06/28/15 | 5,000 | 5,138 | ||||||
30,070 | ||||||||
Integrated Telecommunication Services–0.55% | ||||||||
AT&T Corp., Sr. Unsec. Gtd. Global Notes, 8.00%, 11/15/31 | 1,000 | 1,263 | ||||||
AT&T, Inc., Sr. Unsec. Global Notes, 6.15%, 09/15/34 | 15,000 | 15,660 | ||||||
6.30%, 01/15/38 | 50,000 | 53,051 | ||||||
Sr. Unsec. Notes, 5.35%, 09/01/40(e) | 4,000 | 3,759 | ||||||
Deutsche Telekom International Finance B.V. (Netherlands), Sr. Unsec. Gtd. Global Bonds, 8.75%, 06/15/30 | 15,000 | 20,165 | ||||||
Telecom Italia Capital S.A. (Luxembourg), Sr. Unsec. Gtd. Global Notes, 7.00%, 06/04/18 | 35,000 | 37,031 | ||||||
7.18%, 06/18/19 | 20,000 | 21,388 | ||||||
Verizon Communications, Inc., Sr. Unsec. Global Notes, 6.35%, 04/01/19 | 25,000 | 28,943 | ||||||
8.95%, 03/01/39 | 20,000 | 28,666 | ||||||
209,926 | ||||||||
Internet Retail–0.12% | ||||||||
Expedia Inc., Sr. Unsec. Gtd. Global Notes, 5.95%, 08/15/20 | 45,000 | 45,305 | ||||||
Investment Banking & Brokerage–0.78% | ||||||||
Bear Stearns Cos. LLC (The), Sr. Unsec. Global Notes, 7.25%, 02/01/18 | 55,000 | 65,281 | ||||||
Charles Schwab Corp. (The), Sr. Unsec. Notes, 4.45%, 07/22/20 | 45,000 | 45,387 | ||||||
Goldman Sachs Group Inc. (The), Sr. Unsec. Global Notes, 6.15%, 04/01/18 | 100,000 | 109,971 | ||||||
Unsec. Sub. Global Notes, 6.75%, 10/01/37 | 20,000 | 20,642 | ||||||
Jefferies Group Inc., Sr. Unsec. Notes, 6.88%, 04/15/21 | 55,000 | 57,917 | ||||||
299,198 | ||||||||
Life & Health Insurance–0.39% | ||||||||
Aegon N.V. (Netherlands), Sr. Unsec. Global Bonds, 4.63%, 12/01/15 | 25,000 | 25,860 | ||||||
Aflac Inc., Sr. Unsec. Notes, 6.45%, 08/15/40 | 30,000 | 31,145 | ||||||
Pacific LifeCorp., Sr. Notes, 6.00%, 02/10/20(e) | 40,000 | 42,245 | ||||||
Prudential Financial Inc., Series D, Sr. Unsec. Disc. Medium-Term Notes, 4.75%, 09/17/15(c) | 25,000 | 26,624 | ||||||
Sr. Unsec. Medium-Term Notes, 7.38%, 06/15/19 | 5,000 | 5,879 | ||||||
6.63%, 12/01/37 | 15,000 | 16,525 | ||||||
148,278 | ||||||||
Managed Health Care–0.23% | ||||||||
Aetna Inc, Sr. Unsec. Notes, 3.95%, 09/01/20 | 55,000 | 52,826 | ||||||
WellPoint Inc, Sr. Unsec. Notes, 4.35%, 08/15/20 | 35,000 | 34,705 | ||||||
87,531 | ||||||||
Movies & Entertainment–0.03% | ||||||||
Time Warner Inc., Sr. Unsec. Gtd. Notes, 5.88%, 11/15/16 | 10,000 | 11,273 | ||||||
Multi-Line Insurance–0.08% | ||||||||
CNA Financial Corp., Sr. Unsec. Global Bonds, 5.88%, 08/15/20 | 30,000 | 29,975 | ||||||
Multi-Utilities–0.03% | ||||||||
Nisource Finance Corp., Sr. Unsec. Gtd. Bonds, 6.80%, 01/15/19 | 10,000 | 11,346 | ||||||
Office REIT’s–0.08% | ||||||||
Digital Realty Trust L.P., Sr. Unsec. Gtd. Notes, 4.50%, 07/15/15(e) | 30,000 | 30,313 | ||||||
Oil & Gas Exploration & Production–0.09% | ||||||||
Petroleos Mexicanos (Mexico), Sr. Unsec. Gtd. Notes, 5.50%, 01/21/21 | 35,000 | 35,571 | ||||||
Oil & Gas Storage & Transportation–0.18% | ||||||||
Enterprise Products Operating LLC, Sr. Unsec. Global Notes, 5.25%, 01/31/20 | 15,000 | 15,593 | ||||||
Series N, Sr. Unsec. Gtd. Notes, 6.50%, 01/31/19 | 25,000 | 28,413 | ||||||
Texas Eastern Transmission LP, Sr. Unsec. Notes, 7.00%, 07/15/32 | 20,000 | 23,485 | ||||||
67,491 | ||||||||
Other Diversified Financial Services–2.02% | ||||||||
Bank of America Corp., Sr. Unsec. Global Notes, 5.75%, 12/01/17 | 110,000 | 114,049 | ||||||
Bear Stearns Cos. LLC (The), Sr. Unsec. Global Notes, 6.40%, 10/02/17 | 5,000 | 5,718 | ||||||
Citigroup Funding Inc., Unsec. Gtd. Unsub. Global Notes, 2.25%, 12/10/12 | 360,000 | 370,269 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Other Diversified Financial Services–(continued) | ||||||||
Citigroup Inc., Sr. Unsec. Global Notes, 6.13%, 11/21/17 | $ | 35,000 | $ | 38,609 | ||||
6.13%, 05/15/18 | 25,000 | 27,407 | ||||||
8.50%, 05/22/19 | 40,000 | 49,837 | ||||||
5.88%, 05/29/37 | 25,000 | 24,747 | ||||||
ERAC USA Finance LLC, Sr. Unsec. Gtd. Notes, 2.75%, 07/01/13(e) | 30,000 | 30,518 | ||||||
JPMorgan Chase & Co., Sr. Unsec. Global Notes, 4.40%, 07/22/20 | 40,000 | 39,515 | ||||||
Sr. Unsec. Notes, 6.00%, 01/15/18 | 25,000 | 27,942 | ||||||
Merrill Lynch & Co., Inc., Sr. Unsec. Medium-Term Notes, 6.88%, 04/25/18 | 40,000 | 43,752 | ||||||
772,363 | ||||||||
Packaged Foods & Meats–0.20% | ||||||||
Kraft Foods Inc., Sr. Unsec. Global Notes, 5.38%, 02/10/20 | 15,000 | 16,192 | ||||||
7.00%, 08/11/37 | 30,000 | 35,348 | ||||||
Sr. Unsec. Notes, 6.88%, 01/26/39 | 20,000 | 23,360 | ||||||
74,900 | ||||||||
Property & Casualty Insurance–0.04% | ||||||||
Travelers Cos., Inc. (The), Sr. Unsec. Notes, 5.35%, 11/01/40 | 15,000 | 14,739 | ||||||
Railroads–0.16% | ||||||||
CSX Corp., Sr. Unsec. Global Notes, 6.15%, 05/01/37 | 5,000 | 5,327 | ||||||
Sr. Unsec. Notes, 5.50%, 04/15/41 | 50,000 | 49,141 | ||||||
Union Pacific Corp., Sr. Unsec. Notes, 6.13%, 02/15/20 | 5,000 | 5,738 | ||||||
60,206 | ||||||||
Real Estate Management & Development–0.03% | ||||||||
Brookfield Asset Management, Inc. (Canada), Sr. Unsec. Yankee Notes, 7.13%, 06/15/12 | 10,000 | 10,547 | ||||||
Regional Banks–0.14% | ||||||||
PNC Funding Corp., Sr. Unsec. Gtd. Global Notes, 5.13%, 02/08/20 | 30,000 | 31,481 | ||||||
Sr. Unsec. Gtd. Notes, 6.70%, 06/10/19 | 20,000 | 23,110 | ||||||
54,591 | ||||||||
Reinsurance–0.07% | ||||||||
Reinsurance Group of America, Inc., Sr. Unsec. Notes, 6.45%, 11/15/19 | 25,000 | 26,532 | ||||||
Restaurants–0.09% | ||||||||
Yum! Brands, Inc., Sr. Unsec. Global Bonds, 6.25%, 03/15/18 | 10,000 | 11,347 | ||||||
Sr. Unsec. Notes, 5.30%, 09/15/19 | 20,000 | 21,414 | ||||||
32,761 | ||||||||
Retail REIT’s–0.07% | ||||||||
WEA Finance LLC/WT Finance Australia Pty Ltd., Sr. Unsec. Gtd. Notes, 6.75%, 09/02/19(e) | 25,000 | 27,829 | ||||||
Specialized Finance–0.07% | ||||||||
NASDAQ OMX Group Inc. (The), Sr. Unsec. Notes, 5.55%, 01/15/20 | 25,000 | 25,151 | ||||||
Specialized REIT’s–0.10% | ||||||||
Health Care REIT Inc., Sr. Unsec. Notes, 4.95%, 01/15/21 | 40,000 | 38,651 | ||||||
Steel–0.36% | ||||||||
ArcelorMittal (Luxembourg), Sr. Unsec. Global Bonds, 3.75%, 08/05/15 | 50,000 | 50,429 | ||||||
9.85%, 06/01/19 | 36,000 | 45,654 | ||||||
Vale Overseas Ltd. (Brazil), 6.88%, 11/10/39 | 15,000 | 16,363 | ||||||
Sr. Unsec. Gtd. Global Notes, 5.63%, 09/15/19 | 25,000 | 26,754 | ||||||
139,200 | ||||||||
Wireless Telecommunication Services–0.06% | ||||||||
American Tower Corp., Sr. Unsec. Notes, 4.50%, 01/15/18 | 25,000 | 24,758 | ||||||
Total Bonds & Notes (Cost $5,362,107) | 5,013,794 | |||||||
U.S. Government Sponsored Agency Securities–1.61% | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC)–1.09% | ||||||||
Federal Home Loan Mortgage Corp., Sr. Unsec. Global Bonds, 6.75%, 03/15/31 | 100,000 | 128,280 | ||||||
Sr. Unsec. Global Notes, 3.00%, 07/28/14 | 120,000 | 126,441 | ||||||
5.50%, 08/23/17 | 140,000 | 162,388 | ||||||
417,109 | ||||||||
Federal National Mortgage Association (FNMA)–0.52% | ||||||||
Federal National Mortgage Association, Sr. Unsec. Global Notes, 4.38%, 10/15/15 | 180,000 | 197,980 | ||||||
Total U.S. Government Sponsored Agency Securities (Cost $582,310) | 615,089 | |||||||
Principal | ||||||||
Amount | Value | |||||||
Foreign Sovereign Debts–0.41% | ||||||||
Sovereign Debts–0.41% | ||||||||
Brazilian Government (Brazil), Sr. Unsec. Global Bonds, 6.00%, 01/17/17 | $ | 100,000 | $ | 113,500 | ||||
Republic of Italy (Italy), Sr. Unsec. Global Notes, 6.88%, 09/27/23 | 30,000 | 33,184 | ||||||
Republic of Peru (Peru), Sr. Unsec. Global Notes, 7.13%, 03/30/19 | 10,000 | 11,937 | ||||||
Total Foreign Sovereign Debts (Cost $145,142) | 158,621 | |||||||
Municipal Obligations–0.09% | ||||||||
Texas (State of) Transportation Commission, Series 2010B, Taxable First Tier Build America RB, 5.03%, 04/01/26 (Cost $35,000) | 35,000 | 34,623 | ||||||
Shares | ||||||||
Money Market Funds–1.94% | ||||||||
Liquid Assets Portfolio–Institutional Class(g) | 370,002 | 370,002 | ||||||
Premier Portfolio–Institutional Class(g) | 370,002 | 370,002 | ||||||
Total Money Market Funds (Cost $740,004) | 740,004 | |||||||
TOTAL INVESTMENTS–100.01% (Cost $36,077,865) | 38,191,906 | |||||||
OTHER ASSETS LESS LIABILITIES–(0.01)% | (5,070 | ) | ||||||
NET ASSETS–100.00% | $ | 38,186,836 | ||||||
ADR | – American Depositary Receipt | |
Ctfs. | – Certificates | |
Disc. | – Discounted | |
Gtd. | – Guaranteed | |
Jr. | – Junior | |
RB | – Revenue Bonds | |
REIT | – Real Estate Investment Trust | |
Sec. | – Secured | |
Sr. | – Senior | |
Sub. | – Subordinated | |
Unsec. | – Unsecured | |
Unsub. | – Unsubordinated |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. | |
(d) | All or a portion of the value was pledged as collateral to cover margin requirements for open futures contracts. See Note 1K and Note 4. | |
(e) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at December 31, 2010 was $646,751, which represented 1.69% of the Fund’s Net Assets. | |
(f) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on December 31, 2010. | |
(g) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Shares | Value | |||||||
Common Stocks–94.95% | ||||||||
Aerospace & Defense–3.57% | ||||||||
General Dynamics Corp. | 26,383 | $ | 1,872,138 | |||||
Raytheon Co. | 28,999 | 1,343,813 | ||||||
3,215,951 | ||||||||
Apparel Retail–0.50% | ||||||||
Ross Stores, Inc. | 7,175 | 453,819 | ||||||
Apparel, Accessories & Luxury Goods–0.36% | ||||||||
VF Corp. | 3,769 | 324,812 | ||||||
Asset Management & Custody Banks–3.05% | ||||||||
Federated Investors, Inc.–Class B | 56,141 | 1,469,210 | ||||||
State Street Corp. | 27,664 | 1,281,950 | ||||||
2,751,160 | ||||||||
Auto Parts & Equipment–1.78% | ||||||||
Johnson Controls, Inc. | 41,860 | 1,599,052 | ||||||
Brewers–1.80% | ||||||||
Heineken N.V. (Netherlands) | 33,033 | 1,619,581 | ||||||
Building Products–1.80% | ||||||||
Masco Corp. | 127,904 | 1,619,265 | ||||||
Casinos & Gaming–1.47% | ||||||||
International Game Technology | 74,704 | 1,321,514 | ||||||
Construction, Farm Machinery & Heavy Trucks–1.00% | ||||||||
Caterpillar Inc. | 9,614 | 900,447 | ||||||
Consumer Finance–2.94% | ||||||||
American Express Co. | 20,175 | 865,911 | ||||||
Capital One Financial Corp. | 41,767 | 1,777,603 | ||||||
2,643,514 | ||||||||
Data Processing & Outsourced Services–2.21% | ||||||||
Automatic Data Processing, Inc. | 43,023 | 1,991,104 | ||||||
Department Stores–0.37% | ||||||||
Nordstrom, Inc. | 7,850 | 332,683 | ||||||
Distributors–0.80% | ||||||||
Genuine Parts Co. | 14,074 | 722,559 | ||||||
Diversified Banks–2.00% | ||||||||
Societe Generale (France) | 20,370 | 1,096,935 | ||||||
U.S. Bancorp | 26,080 | 703,377 | ||||||
1,800,312 | ||||||||
Diversified Chemicals–1.70% | ||||||||
E. I. du Pont de Nemours and Co. | 30,635 | 1,528,074 | ||||||
Drug Retail–1.42% | ||||||||
Walgreen Co. | 32,777 | 1,276,992 | ||||||
Electric Utilities–2.96% | ||||||||
American Electric Power Co., Inc. | 50,269 | 1,808,678 | ||||||
Entergy Corp. | 12,078 | 855,485 | ||||||
2,664,163 | ||||||||
Electrical Components & Equipment–1.27% | ||||||||
Emerson Electric Co. | 19,973 | 1,141,856 | ||||||
Electronic Components–0.93% | ||||||||
Corning Inc. | 43,516 | 840,729 | ||||||
Food Distributors–1.71% | ||||||||
Sysco Corp. | 52,288 | 1,537,267 | ||||||
General Merchandise Stores–1.52% | ||||||||
Target Corp. | 22,702 | 1,365,071 | ||||||
Health Care Equipment–1.64% | ||||||||
Stryker Corp. | 27,450 | 1,474,065 | ||||||
Hotels, Resorts & Cruise Lines–1.13% | ||||||||
Accor S.A. (France) | 8,350 | 372,193 | ||||||
Marriott International Inc.–Class A | 15,438 | 641,295 | ||||||
1,013,488 | ||||||||
Household Appliances–0.72% | ||||||||
Whirlpool Corp. | 7,319 | 650,147 | ||||||
Household Products–4.21% | ||||||||
Kimberly-Clark Corp. | 36,936 | 2,328,445 | ||||||
Procter & Gamble Co. (The) | 22,754 | 1,463,765 | ||||||
3,792,210 | ||||||||
Industrial Machinery–4.39% | ||||||||
Eaton Corp. | 5,045 | 512,118 | ||||||
Pentair, Inc. | 45,796 | 1,672,012 | ||||||
Snap-on Inc. | 31,313 | 1,771,689 | ||||||
3,955,819 | ||||||||
Insurance Brokers–0.68% | ||||||||
Marsh & McLennan Cos., Inc. | 22,534 | 616,080 | ||||||
Integrated Oil & Gas–4.67% | ||||||||
Chevron Corp. | 5,660 | 516,475 | ||||||
Eni S.p.A. (Italy) | 53,553 | 1,169,345 | ||||||
Exxon Mobil Corp. | 22,368 | 1,635,548 | ||||||
Total S.A. (France) | 16,691 | 886,349 | ||||||
4,207,717 | ||||||||
Integrated Telecommunication Services–0.99% | ||||||||
AT&T Inc. | 30,308 | 890,449 | ||||||
Shares | Value | |||||||
Investment Banking & Brokerage–1.45% | ||||||||
Charles Schwab Corp. (The) | 76,252 | $ | 1,304,672 | |||||
IT Consulting & Other Services–0.78% | ||||||||
International Business Machines Corp. | 4,787 | 702,540 | ||||||
Life & Health Insurance–1.66% | ||||||||
Lincoln National Corp. | 31,567 | 877,878 | ||||||
StanCorp Financial Group, Inc. | 13,705 | 618,644 | ||||||
1,496,522 | ||||||||
Motorcycle Manufacturers–0.68% | ||||||||
Harley-Davidson, Inc. | 17,638 | 611,509 | ||||||
Movies & Entertainment–1.42% | ||||||||
Time Warner Inc. | 39,880 | 1,282,940 | ||||||
Multi-Utilities–1.75% | ||||||||
Dominion Resources, Inc. | 16,956 | 724,360 | ||||||
DTE Energy Co. | 18,836 | 853,648 | ||||||
1,578,008 | ||||||||
Office Services & Supplies–0.40% | ||||||||
Pitney Bowes Inc. | 14,753 | 356,728 | ||||||
Oil & Gas Equipment & Services–1.56% | ||||||||
Baker Hughes Inc. | 24,621 | 1,407,583 | ||||||
Oil & Gas Storage & Transportation–0.50% | ||||||||
Southern Union Co. | 18,581 | 447,245 | ||||||
Other Diversified Financial Services–0.54% | ||||||||
JPMorgan Chase & Co. | 11,421 | 484,479 | ||||||
Packaged Foods & Meats–5.35% | ||||||||
Campbell Soup Co. | 27,781 | 965,390 | ||||||
General Mills, Inc. | 46,830 | 1,666,680 | ||||||
Kraft Foods Inc.–Class A | 51,809 | 1,632,501 | ||||||
Mead Johnson Nutrition Co. | 8,859 | 551,473 | ||||||
4,816,044 | ||||||||
Paper Products–1.92% | ||||||||
International Paper Co. | 63,470 | 1,728,923 | ||||||
Pharmaceuticals–4.43% | ||||||||
Bristol-Myers Squibb Co. | 44,228 | 1,171,157 | ||||||
Eli Lilly and Co. | 17,890 | 626,866 | ||||||
Johnson & Johnson | 27,240 | 1,684,794 | ||||||
Pfizer Inc. | 29,038 | 508,455 | ||||||
3,991,272 | ||||||||
Property & Casualty Insurance–1.27% | ||||||||
Travelers Cos., Inc. (The) | 20,561 | 1,145,453 | ||||||
Regional Banks–5.60% | ||||||||
Fifth Third Bancorp | 98,577 | 1,447,110 | ||||||
SunTrust Banks, Inc. | 77,393 | 2,283,867 | ||||||
Zions Bancorp. | 54,072 | 1,310,165 | ||||||
5,041,142 | ||||||||
Restaurants–1.67% | ||||||||
Brinker International, Inc. | 72,061 | 1,504,634 | ||||||
Semiconductors–1.26% | ||||||||
Texas Instruments Inc. | 35,004 | 1,137,630 | ||||||
Soft Drinks–1.54% | ||||||||
Coca-Cola Co. (The) | 21,069 | 1,385,708 | ||||||
Specialized Consumer Services–0.36% | ||||||||
H&R Block, Inc. | 27,513 | 327,680 | ||||||
Specialty Chemicals–0.88% | ||||||||
Lubrizol Corp. (The) | 7,447 | 795,935 | ||||||
Systems Software–1.75% | ||||||||
Microsoft Corp. | 33,956 | 948,052 | ||||||
Oracle Corp. | 20,101 | 629,161 | ||||||
1,577,213 | ||||||||
Thrifts & Mortgage Finance–1.51% | ||||||||
Hudson City Bancorp, Inc. | 107,020 | 1,363,435 | ||||||
Tobacco–3.08% | ||||||||
Altria Group, Inc. | 57,949 | 1,426,704 | ||||||
Philip Morris International Inc. | 22,971 | 1,344,493 | ||||||
2,771,197 | ||||||||
Total Common Stocks (Cost $75,977,061) | 85,508,392 | |||||||
Money Market Funds–5.18% | ||||||||
Liquid Assets Portfolio–Institutional Class(b) | 2,334,095 | 2,334,095 | ||||||
Premier Portfolio–Institutional Class(b) | 2,334,095 | 2,334,095 | ||||||
Total Money Market Funds (Cost $4,668,190) | 4,668,190 | |||||||
TOTAL INVESTMENTS–100.13% (Cost $80,645,251) | 90,176,582 | |||||||
OTHER ASSETS LESS LIABILITIES–(0.13)% | (115,175 | ) | ||||||
NET ASSETS–100.00% | $ | 90,061,407 | ||||||
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–99.50% | ||||||||
Advertising–0.39% | ||||||||
Interpublic Group of Cos., Inc. (The)(b) | 18,108 | $ | 192,307 | |||||
Omnicom Group Inc. | 4,213 | 192,955 | ||||||
385,262 | ||||||||
Aerospace & Defense–2.38% | ||||||||
Boeing Co. (The) | 3,008 | 196,302 | ||||||
General Dynamics Corp. | 2,770 | 196,559 | ||||||
Goodrich Corp. | 2,254 | 198,510 | ||||||
Honeywell International Inc. | 3,691 | 196,214 | ||||||
ITT Corp. | 3,800 | 198,018 | ||||||
L-3 Communications Holdings, Inc. | 2,777 | 195,751 | ||||||
Lockheed Martin Corp. | 2,791 | 195,119 | ||||||
Northrop Grumman Corp. | 3,050 | 197,579 | ||||||
Precision Castparts Corp. | 1,391 | 193,641 | ||||||
Raytheon Co. | 4,331 | 200,698 | ||||||
Rockwell Collins, Inc. | 3,353 | 195,346 | ||||||
United Technologies Corp. | 2,482 | 195,383 | ||||||
2,359,120 | ||||||||
Agricultural Products–0.20% | ||||||||
Archer-Daniels-Midland Co. | 6,515 | 195,971 | ||||||
Air Freight & Logistics–0.79% | ||||||||
C.H. Robinson Worldwide, Inc. | 2,476 | 198,550 | ||||||
Expeditors International of Washington, Inc. | 3,534 | 192,956 | ||||||
FedEx Corp. | 2,101 | 195,414 | ||||||
United Parcel Service, Inc.–Class B | 2,677 | 194,297 | ||||||
781,217 | ||||||||
Airlines–0.20% | ||||||||
Southwest Airlines Co. | 15,132 | 196,413 | ||||||
Aluminum–0.21% | ||||||||
Alcoa Inc. | 13,439 | 206,826 | ||||||
Apparel Retail–1.19% | ||||||||
Abercrombie & Fitch Co.–Class A | 3,425 | 197,383 | ||||||
Gap, Inc. (The) | 9,187 | 203,400 | ||||||
Limited Brands, Inc. | 6,263 | 192,462 | ||||||
Ross Stores, Inc. | 3,107 | 196,518 | ||||||
TJX Cos., Inc. (The) | 4,504 | 199,932 | ||||||
Urban Outfitters, Inc.(b) | 5,381 | 192,694 | ||||||
1,182,389 | ||||||||
Apparel, Accessories & Luxury Goods–0.57% | ||||||||
Coach, Inc. | 3,359 | 185,786 | ||||||
Polo Ralph Lauren Corp. | 1,713 | 190,006 | ||||||
VF Corp. | 2,192 | 188,907 | ||||||
564,699 | ||||||||
Application Software–1.18% | ||||||||
Adobe Systems Inc.(b) | 6,796 | 209,181 | ||||||
Autodesk, Inc.(b) | 5,000 | 191,000 | ||||||
Citrix Systems, Inc.(b) | 2,826 | 193,327 | ||||||
Compuware Corp.(b) | 16,710 | 195,006 | ||||||
Intuit Inc.(b) | 3,981 | 196,263 | ||||||
Salesforce.com, Inc.(b) | 1,433 | 189,156 | ||||||
1,173,933 | ||||||||
Asset Management & Custody Banks–2.01% | ||||||||
Ameriprise Financial, Inc. | 3,543 | 203,900 | ||||||
Bank of New York Mellon Corp. (The) | 6,657 | 201,041 | ||||||
Federated Investors, Inc.–Class B | 7,366 | 192,768 | ||||||
Franklin Resources, Inc. | 1,707 | 189,836 | ||||||
Invesco Ltd.(c) | 8,589 | 206,651 | ||||||
Janus Capital Group Inc. | 15,690 | 203,499 | ||||||
Legg Mason, Inc. | 5,384 | 195,278 | ||||||
Northern Trust Corp. | 3,605 | 199,753 | ||||||
State Street Corp. | 4,303 | 199,401 | ||||||
T. Rowe Price Group Inc. | 3,105 | 200,397 | ||||||
1,992,524 | ||||||||
Auto Parts & Equipment–0.19% | ||||||||
Johnson Controls, Inc. | 5,062 | 193,368 | ||||||
Automobile Manufacturers–0.20% | ||||||||
Ford Motor Co.(b) | 11,646 | 195,536 | ||||||
Automotive Retail–0.77% | ||||||||
AutoNation, Inc.(b) | 7,198 | 202,983 | ||||||
AutoZone, Inc.(b) | 724 | 197,355 | ||||||
CarMax, Inc.(b) | 5,510 | 175,659 | ||||||
O’Reilly Automotive, Inc.(b) | 3,116 | 188,269 | ||||||
764,266 | ||||||||
Biotechnology–1.16% | ||||||||
Amgen Inc.(b) | 3,406 | 186,989 | ||||||
Biogen Idec Inc.(b) | 2,870 | 192,433 | ||||||
Celgene Corp.(b) | 3,300 | 195,162 | ||||||
Cephalon Inc.(b) | 2,998 | 185,037 | ||||||
Shares | Value | |||||||
Biotechnology–(continued) | ||||||||
Genzyme Corp.(b) | 2,803 | $ | 199,574 | |||||
Gilead Sciences, Inc.(b) | 5,261 | 190,659 | ||||||
1,149,854 | ||||||||
Brewers–0.19% | ||||||||
Molson Coors Brewing Co.–Class B | 3,850 | 193,231 | ||||||
Broadcasting–0.59% | ||||||||
CBS Corp.–Class B | 10,424 | 198,577 | ||||||
Discovery Communications, Inc.–Class A(b) | 4,607 | 192,112 | ||||||
Scripps Networks Interactive Inc.–Class A | 3,756 | 194,373 | ||||||
585,062 | ||||||||
Building Products–0.19% | ||||||||
Masco Corp. | 14,982 | 189,672 | ||||||
Cable & Satellite–0.80% | ||||||||
Cablevision Systems Corp.–Class A | 5,717 | 193,463 | ||||||
Comcast Corp.,–Class A | 9,139 | 200,784 | ||||||
DIRECTV–Class A(b) | 4,983 | 198,971 | ||||||
Time Warner Cable Inc. | 2,995 | 197,760 | ||||||
790,978 | ||||||||
Casinos & Gaming–0.40% | ||||||||
International Game Technology | 11,537 | 204,089 | ||||||
Wynn Resorts Ltd. | 1,864 | 193,558 | ||||||
397,647 | ||||||||
Coal & Consumable Fuels–0.64% | ||||||||
CONSOL Energy Inc. | 4,560 | 222,255 | ||||||
Massey Energy Co. | 3,825 | 205,211 | ||||||
Peabody Energy Corp. | 3,231 | 206,719 | ||||||
634,185 | ||||||||
Commercial Printing–0.20% | ||||||||
R. R. Donnelley & Sons Co. | 11,161 | 194,983 | ||||||
Communications Equipment–1.58% | ||||||||
Cisco Systems, Inc.(b) | 10,034 | 202,988 | ||||||
F5 Networks, Inc.(b) | 1,438 | 187,170 | ||||||
Harris Corp. | 4,217 | 191,030 | ||||||
JDS Uniphase Corp.(b) | 13,607 | 197,029 | ||||||
Juniper Networks, Inc.(b) | 5,362 | 197,965 | ||||||
Motorola Solutions, Inc.(b) | 22,035 | 199,858 | ||||||
QUALCOMM, Inc. | 3,967 | 196,327 | ||||||
Tellabs, Inc. | 29,118 | 197,420 | ||||||
1,569,787 | ||||||||
Computer & Electronics Retail–0.60% | ||||||||
Best Buy Co., Inc. | 5,709 | 195,762 | ||||||
GameStop Corp.–Class A(b) | 9,067 | 207,453 | ||||||
RadioShack Corp. | 10,686 | 197,584 | ||||||
600,799 | ||||||||
Computer Hardware–0.59% | ||||||||
Apple Inc.(b) | 610 | 196,762 | ||||||
Dell Inc.(b) | 14,345 | 194,375 | ||||||
Hewlett-Packard Co. | 4,663 | 196,312 | ||||||
587,449 | ||||||||
Computer Storage & Peripherals–1.19% | ||||||||
EMC Corp.(b) | 8,544 | 195,658 | ||||||
Lexmark International, Inc.–Class A(b) | 5,601 | 195,027 | ||||||
NetApp, Inc.(b) | 3,641 | 200,109 | ||||||
QLogic Corp.(b) | 11,415 | 194,283 | ||||||
SanDisk Corp.(b) | 4,004 | 199,639 | ||||||
Western Digital Corp.(b) | 5,934 | 201,163 | ||||||
1,185,879 | ||||||||
Construction & Engineering–0.61% | ||||||||
Fluor Corp. | 3,068 | 203,286 | ||||||
Jacobs Engineering Group Inc.(b) | 4,496 | 206,141 | ||||||
Quanta Services, Inc.(b) | 10,049 | 200,176 | ||||||
609,603 | ||||||||
Construction Materials–0.19% | ||||||||
Vulcan Materials Co. | 4,248 | 188,441 | ||||||
Construction, Farm Machinery & Heavy Trucks–0.80% | ||||||||
Caterpillar Inc. | 2,112 | 197,810 | ||||||
Cummins Inc. | 1,812 | 199,338 | ||||||
Deere & Co. | 2,397 | 199,071 | ||||||
PACCAR Inc. | 3,462 | 198,788 | ||||||
795,007 | ||||||||
Consumer Electronics–0.19% | ||||||||
Harman International Industries, Inc.(b) | 4,093 | 189,506 | ||||||
Consumer Finance–0.81% | ||||||||
American Express Co. | 4,446 | 190,822 | ||||||
Capital One Financial Corp. | 4,832 | 205,650 | ||||||
Discover Financial Services | 10,858 | 201,199 | ||||||
SLM Corp.(b) | 16,225 | 204,273 | ||||||
801,944 | ||||||||
Data Processing & Outsourced Services–1.79% | ||||||||
Automatic Data Processing, Inc. | 4,175 | 193,219 | ||||||
Computer Sciences Corp. | 4,042 | 200,483 | ||||||
Shares | Value | |||||||
Data Processing & Outsourced Services–(continued) | ||||||||
Fidelity National Information Services, Inc. | 7,130 | $ | 195,291 | |||||
Fiserv, Inc.(b) | 3,243 | 189,910 | ||||||
MasterCard, Inc.–Class A | 884 | 198,113 | ||||||
Paychex, Inc. | 6,311 | 195,073 | ||||||
Total System Services, Inc. | 12,805 | 196,941 | ||||||
Visa Inc.,–Class A | 2,924 | 205,791 | ||||||
Western Union Co. (The) | 10,703 | 198,755 | ||||||
1,773,576 | ||||||||
Department Stores–0.99% | ||||||||
JC Penney Co., Inc. | 5,805 | 187,560 | ||||||
Kohl’s Corp.(b) | 3,636 | 197,580 | ||||||
Macy’s, Inc. | 7,557 | 191,192 | ||||||
Nordstrom, Inc. | 4,624 | 195,965 | ||||||
Sears Holdings Corp.(b) | 2,886 | 212,842 | ||||||
985,139 | ||||||||
Distillers & Vintners–0.39% | ||||||||
Brown-Forman Corp.–Class B | 2,794 | 194,518 | ||||||
Constellation Brands, Inc.–Class A(b) | 8,833 | 195,651 | ||||||
390,169 | ||||||||
Distributors–0.20% | ||||||||
Genuine Parts Co. | 3,826 | 196,427 | ||||||
Diversified Banks–0.61% | ||||||||
Comeric Inc. | 4,733 | 199,922 | ||||||
US Bancorp | 7,467 | 201,385 | ||||||
Wells Fargo & Co. | 6,530 | 202,365 | ||||||
603,672 | ||||||||
Diversified Chemicals–1.00% | ||||||||
Dow Chemical Co. (The) | 5,763 | 196,749 | ||||||
E. I. du Pont de Nemours and Co. | 3,923 | 195,679 | ||||||
Eastman Chemical Co. | 2,437 | 204,903 | ||||||
FMC Corp. | 2,453 | 195,970 | ||||||
PPG Industries, Inc. | 2,385 | 200,507 | ||||||
993,808 | ||||||||
Diversified Metals & Mining–0.40% | ||||||||
Freeport-McMoRan Copper & Gold Inc. | 1,720 | 206,555 | ||||||
Titanium Metals Corp.(b) | 10,822 | 185,922 | ||||||
392,477 | ||||||||
Diversified REIT’s–0.21% | ||||||||
Vornado Realty Trust | 2,448 | 203,992 | ||||||
Diversified Support Services–0.38% | ||||||||
Cintas Corp. | 6,702 | 187,388 | ||||||
Iron Mountain, Inc. | 7,727 | 193,252 | ||||||
380,640 | ||||||||
Drug Retail–0.40% | ||||||||
CVS Caremark Corp. | 5,687 | 197,737 | ||||||
Walgreen Co. | 5,206 | 202,826 | ||||||
400,563 | ||||||||
Education Services–0.41% | ||||||||
Apollo Group, Inc.–Class A(b) | 5,084 | 200,767 | ||||||
DeVry, Inc. | 4,250 | 203,915 | ||||||
404,682 | ||||||||
Electric Utilities–2.77% | ||||||||
Allegheny Energy, Inc. | 8,266 | 200,368 | ||||||
American Electric Power Co., Inc. | 5,436 | 195,587 | ||||||
Duke Energy Corp. | 11,029 | 196,426 | ||||||
Edison International | 5,058 | 195,239 | ||||||
Entergy Corp. | 2,774 | 196,482 | ||||||
Exelon Corp. | 4,763 | 198,331 | ||||||
FirstEnergy Corp. | 5,393 | 199,649 | ||||||
NextEra Energy, Inc. | 3,786 | 196,834 | ||||||
Northeast Utilities | 6,137 | 195,648 | ||||||
Pepco Holdings, Inc. | 10,686 | 195,020 | ||||||
Pinnacle West Capital Corp. | 4,713 | 195,354 | ||||||
PPL Corp. | 7,516 | 197,821 | ||||||
Progress Energy, Inc. | 4,481 | 194,834 | ||||||
Southern Co. | 5,162 | 197,343 | ||||||
2,754,936 | ||||||||
Electrical Components & Equipment–0.58% | ||||||||
Emerson Electric Co. | 3,353 | 191,691 | ||||||
Rockwell Automation, Inc. | 2,714 | 194,621 | ||||||
Roper Industries, Inc. | 2,504 | 191,381 | ||||||
577,693 | ||||||||
Electronic Components–0.40% | ||||||||
Amphenol Corp.–Class A | 3,668 | 193,597 | ||||||
Corning Inc. | 10,316 | 199,305 | ||||||
392,902 | ||||||||
Electronic Equipment & Instruments–0.21% | ||||||||
FLIR Systems, Inc.(b) | 6,877 | 204,591 | ||||||
Shares | Value | |||||||
Electronic Manufacturing Services–0.42% | ||||||||
Jabil Circuit, Inc. | 11,199 | $ | 224,988 | |||||
Molex Inc. | 8,658 | 196,710 | ||||||
421,698 | ||||||||
Environmental & Facilities Services–0.60% | ||||||||
Republic Services, Inc. | 6,434 | 192,119 | ||||||
Stericycle, Inc.(b) | 2,482 | 200,844 | ||||||
Waste Management, Inc. | 5,393 | 198,840 | ||||||
591,803 | ||||||||
Fertilizers & Agricultural Chemicals–0.43% | ||||||||
CF Industries Holdings, Inc. | 1,565 | 211,510 | ||||||
Monsanto Co. | 3,028 | 210,870 | ||||||
422,380 | ||||||||
Food Distributors–0.20% | ||||||||
Sysco Corp. | 6,677 | 196,304 | ||||||
Food Retail–0.82% | ||||||||
Kroger Co. (The) | 9,017 | 201,620 | ||||||
Safeway Inc. | 9,075 | 204,097 | ||||||
SUPERVALU Inc. | 22,337 | 215,105 | ||||||
Whole Foods Market, Inc.(b) | 3,848 | 194,670 | ||||||
815,492 | ||||||||
Footwear–0.19% | ||||||||
NIKE, Inc.–Class B | 2,172 | 185,532 | ||||||
Gas Utilities–0.40% | ||||||||
Nicor Inc. | 3,930 | 196,185 | ||||||
ONEOK, Inc. | 3,612 | 200,358 | ||||||
396,543 | ||||||||
General Merchandise Stores–0.60% | ||||||||
Big Lots, Inc.(b) | 6,621 | 201,676 | ||||||
Family Dollar Stores, Inc. | 3,946 | 196,156 | ||||||
Target Corp. | 3,342 | 200,954 | ||||||
598,786 | ||||||||
Gold–0.20% | ||||||||
Newmont Mining Corp. | 3,293 | 202,289 | ||||||
Health Care Distributors–0.79% | ||||||||
AmerisourceBergen Corp. | 5,896 | 201,172 | ||||||
Cardinal Health, Inc. | 5,054 | 193,619 | ||||||
McKesson Corp. | 2,843 | 200,090 | ||||||
Patterson Cos. Inc. | 6,334 | 194,010 | ||||||
788,891 | ||||||||
Health Care Equipment–2.14% | ||||||||
Baxter International Inc. | 3,815 | 193,115 | ||||||
Becton, Dickinson and Co. | 2,295 | 193,973 | ||||||
Boston Scientific Corp.(b) | 25,578 | 193,625 | ||||||
C.R. Bard, Inc. | 2,043 | 187,486 | ||||||
CareFusion Corp.(b) | 7,871 | 202,285 | ||||||
Intuitive Surgical, Inc.(b) | 736 | 189,704 | ||||||
Medtronic, Inc. | 5,231 | 194,018 | ||||||
St. Jude Medical, Inc.(b) | 4,589 | 196,180 | ||||||
Stryker Corp. | 3,587 | 192,622 | ||||||
Varian Medical Systems, Inc.(b) | 2,779 | 192,529 | ||||||
Zimmer Holdings, Inc.(b) | 3,589 | 192,658 | ||||||
2,128,195 | ||||||||
Health Care Facilities–0.20% | ||||||||
Tenet Healthcare Corp.(b) | 29,031 | 194,217 | ||||||
Health Care Services–0.97% | ||||||||
DaVita, Inc.(b) | 2,794 | 194,155 | ||||||
Express Scripts, Inc.(b) | 3,562 | 192,526 | ||||||
Laboratory Corp. of America Holdings(b) | 2,200 | 193,424 | ||||||
Medco Health Solutions, Inc.(b) | 3,147 | 192,817 | ||||||
Quest Diagnostics Inc. | 3,599 | 194,238 | ||||||
967,160 | ||||||||
Health Care Supplies–0.19% | ||||||||
DENTSPLY International Inc. | 5,659 | 193,368 | ||||||
Health Care Technology–0.19% | ||||||||
Cerner Corp.(b) | 2,017 | 191,091 | ||||||
Home Entertainment Software–0.20% | ||||||||
Electronic Arts Inc.(b) | 12,298 | 201,441 | ||||||
Home Furnishings–0.19% | ||||||||
Leggett & Platt, Inc. | 8,423 | 191,707 | ||||||
Home Improvement Retail–0.39% | ||||||||
Home Depot, Inc. (The) | 5,574 | 195,424 | ||||||
Lowe’s Cos., Inc. | 7,773 | 194,947 | ||||||
390,371 | ||||||||
Homebuilding–0.63% | ||||||||
D.R. Horton, Inc. | 17,179 | 204,946 | ||||||
Lennar Corp.–Class A | 11,296 | 211,800 | ||||||
Pulte Group Inc.(b) | 27,716 | 208,424 | ||||||
625,170 | ||||||||
Homefurnishing Retail–0.20% | ||||||||
Bed Bath & Beyond Inc.(b) | 4,100 | 201,515 | ||||||
Shares | Value | |||||||
Hotels, Resorts & Cruise Lines–0.80% | ||||||||
Carnival Corp. | 4,602 | $ | 212,198 | |||||
Marriott International Inc.–Class A | 4,697 | 195,113 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 3,274 | 198,994 | ||||||
Wyndham Worldwide Corp. | 6,398 | 191,684 | ||||||
797,989 | ||||||||
Household Appliances–0.40% | ||||||||
Stanley Black & Decker Inc. | 3,087 | 206,428 | ||||||
Whirlpool Corp. | 2,171 | 192,850 | ||||||
399,278 | ||||||||
Household Products–0.79% | ||||||||
Clorox Co. (The) | 3,128 | 197,940 | ||||||
Colgate-Palmolive Co. | 2,415 | 194,093 | ||||||
Kimberly-Clark Corp. | 3,118 | 196,559 | ||||||
Procter & Gamble Co. (The) | 3,018 | 194,148 | ||||||
782,740 | ||||||||
Housewares & Specialties–0.39% | ||||||||
Fortune Brands, Inc. | 3,182 | 191,715 | ||||||
Newell Rubbermaid Inc. | 10,870 | 197,617 | ||||||
389,332 | ||||||||
Human Resource & Employment Services–0.39% | ||||||||
Monster Worldwide, Inc.(b) | 7,935 | 187,504 | ||||||
Robert Half International, Inc. | 6,431 | 196,789 | ||||||
384,293 | ||||||||
Hypermarkets & Super Centers–0.39% | ||||||||
Costco Wholesale Corp. | 2,723 | 196,628 | ||||||
Wal-Mart Stores Inc. | 3,595 | 193,878 | ||||||
390,506 | ||||||||
Independent Power Producers & Energy Traders–0.63% | ||||||||
AES Corp. (The)(b) | 17,104 | 208,327 | ||||||
Constellation Energy Group Inc. | 6,805 | 208,437 | ||||||
NRG Energy, Inc.(b) | 10,480 | 204,779 | ||||||
621,543 | ||||||||
Industrial Conglomerates–0.80% | ||||||||
3M Co. | 2,265 | 195,469 | ||||||
General Electric Co. | 11,054 | 202,178 | ||||||
Textron Inc. | 8,401 | 198,600 | ||||||
Tyco International Ltd. | 4,686 | 194,188 | ||||||
790,435 | ||||||||
Industrial Gases–0.60% | ||||||||
Air Products & Chemicals, Inc. | 2,189 | 199,090 | ||||||
Airgas, Inc. | 3,103 | 193,813 | ||||||
Praxair, Inc. | 2,091 | 199,628 | ||||||
592,531 | ||||||||
Industrial Machinery–1.79% | ||||||||
Danaher Corp. | 4,160 | 196,227 | ||||||
Dover Corp. | 3,410 | 199,315 | ||||||
Eaton Corp. | 1,955 | 198,452 | ||||||
Flowserve Corp. | 1,684 | 200,766 | ||||||
Illinois Tool Works Inc. | 3,761 | 200,837 | ||||||
Ingersoll-Rand PLC (Ireland) | 4,163 | 196,036 | ||||||
Pall Corp. | 3,912 | 193,957 | ||||||
Parker Hannifin Corp. | 2,306 | 199,008 | ||||||
Snap-on Inc. | 3,419 | 193,447 | ||||||
1,778,045 | ||||||||
Industrial REIT’s–0.20% | ||||||||
ProLogis | 14,006 | 202,247 | ||||||
Insurance Brokers–0.40% | ||||||||
Aon Corp. | 4,338 | 199,591 | ||||||
Marsh & McLennan Cos., Inc. | 7,259 | 198,461 | ||||||
398,052 | ||||||||
Integrated Oil & Gas–1.42% | ||||||||
Chevron Corp. | 2,214 | 202,028 | ||||||
ConocoPhillips | 3,006 | 204,709 | ||||||
Exxon Mobil Corp. | 2,710 | 198,155 | ||||||
Hess Corp. | 2,593 | 198,468 | ||||||
Marathon Oil Corp. | 5,583 | 206,738 | ||||||
Murphy Oil Corp. | 2,712 | 202,180 | ||||||
Occidental Petroleum Corp. | 2,054 | 201,497 | ||||||
1,413,775 | ||||||||
Integrated Telecommunication Services–1.21% | ||||||||
AT&T Inc. | 6,698 | 196,787 | ||||||
CenturyLink, Inc. | 4,335 | 200,147 | ||||||
Frontier Communications Corp. | 21,154 | 205,828 | ||||||
Qwest Communications International Inc. | 26,406 | 200,950 | ||||||
Verizon Communications Inc. | 5,648 | 202,085 | ||||||
Windstream Corp. | 13,989 | 195,007 | ||||||
1,200,804 | ||||||||
Internet Retail–0.77% | ||||||||
Amazon.com, Inc.(b) | 1,101 | 198,180 | ||||||
Expedia, Inc. | 7,292 | 182,956 | ||||||
Shares | Value | |||||||
Internet Retail–(continued) | ||||||||
Netflix Inc.(b) | 1,086 | $ | 190,810 | |||||
Priceline.com Inc.(b) | 488 | 194,981 | ||||||
766,927 | ||||||||
Internet Software & Services–0.95% | ||||||||
Akamai Technologies, Inc.(b) | 3,845 | 180,907 | ||||||
eBay Inc.(b) | 6,570 | 182,843 | ||||||
Google Inc.,–Class A(b) | 331 | 196,604 | ||||||
VeriSign, Inc. | 5,707 | 186,448 | ||||||
Yahoo! Inc.(b) | 11,990 | 199,394 | ||||||
946,196 | ||||||||
Investment Banking & Brokerage–0.81% | ||||||||
Charles Schwab Corp. (The) | 11,639 | 199,143 | ||||||
E*TRADE Financial Corp.(b) | 12,689 | 203,024 | ||||||
Goldman Sachs Group, Inc. (The) | 1,192 | 200,447 | ||||||
Morgan Stanley | 7,456 | 202,878 | ||||||
805,492 | ||||||||
IT Consulting & Other Services–0.78% | ||||||||
Cognizant Technology Solutions Corp.,–Class A(b) | 2,709 | 198,543 | ||||||
International Business Machines Corp. | 1,349 | 197,979 | ||||||
SAIC, Inc.(b) | 12,463 | 197,663 | ||||||
Teradata Corp.(b) | 4,498 | 185,138 | ||||||
779,323 | ||||||||
Leisure Products–0.38% | ||||||||
Hasbro, Inc. | 3,957 | 186,691 | ||||||
Mattel, Inc. | 7,624 | 193,879 | ||||||
380,570 | ||||||||
Life & Health Insurance–1.39% | ||||||||
Aflac, Inc. | 3,521 | 198,690 | ||||||
Lincoln National Corp. | 6,882 | 191,388 | ||||||
MetLife, Inc. | 4,454 | 197,936 | ||||||
Principal Financial Group, Inc. | 6,127 | 199,495 | ||||||
Prudential Financial, Inc. | 3,367 | 197,677 | ||||||
Torchmark Corp. | 3,229 | 192,901 | ||||||
Unum Group | 8,211 | 198,870 | ||||||
1,376,957 | ||||||||
Life Sciences Tools & Services–0.98% | ||||||||
Agilent Technologies, Inc.(b) | 4,826 | 199,941 | ||||||
Life Technologies Corp.(b) | 3,526 | 195,693 | ||||||
PerkinElmer, Inc. | 7,513 | 193,986 | ||||||
Thermo Fisher Scientific, Inc.(b) | 3,507 | 194,148 | ||||||
Waters Corp.(b) | 2,440 | 189,612 | ||||||
973,380 | ||||||||
Managed Health Care–1.19% | ||||||||
Aetna Inc. | 6,442 | 196,545 | ||||||
CIGNA Corp. | 5,331 | 195,435 | ||||||
Coventry Health Care, Inc.(b) | 7,344 | 193,882 | ||||||
Humana Inc.(b) | 3,549 | 194,272 | ||||||
UnitedHealth Group Inc. | 5,582 | 201,566 | ||||||
WellPoint Inc.(b) | 3,497 | 198,839 | ||||||
1,180,539 | ||||||||
Metal & Glass Containers–0.40% | ||||||||
Ball Corp. | 2,855 | 194,283 | ||||||
Owens-Illinois, Inc.(b) | 6,528 | 200,409 | ||||||
394,692 | ||||||||
Motorcycle Manufacturers–0.20% | ||||||||
Harley-Davidson, Inc. | 5,671 | 196,614 | ||||||
Movies & Entertainment–0.80% | ||||||||
News Corp.–Class A | 13,522 | 196,880 | ||||||
Time Warner Inc. | 6,209 | 199,744 | ||||||
Viacom Inc.–Class B | 5,067 | 200,704 | ||||||
Walt Disney Co. (The) | 5,281 | 198,090 | ||||||
795,418 | ||||||||
Multi-Line Insurance–1.02% | ||||||||
American International Group, Inc.(b) | 3,722 | 214,462 | ||||||
Assurant, Inc. | 5,259 | 202,577 | ||||||
Genworth Financial Inc.–Class A(b) | 15,238 | 200,227 | ||||||
Hartford Financial Services Group, Inc. (The) | 7,476 | 198,039 | ||||||
Loews Corp. | 5,062 | 196,962 | ||||||
1,012,267 | ||||||||
Multi-Sector Holdings–0.20% | ||||||||
Leucadia National Corp. | 6,850 | 199,883 | ||||||
Multi-Utilities–2.95% | ||||||||
Ameren Corp. | 6,889 | 194,201 | ||||||
CenterPoint Energy, Inc. | 12,329 | 193,812 | ||||||
CMS Energy Corp. | 10,249 | 190,631 | ||||||
Consolidated Edison, Inc. | 3,965 | 196,545 | ||||||
Dominion Resources, Inc. | 4,596 | 196,341 | ||||||
DTE Energy Co. | 4,312 | 195,420 | ||||||
Integrys Energy Group, Inc. | 3,973 | 192,730 | ||||||
NiSource Inc. | 11,435 | 201,485 | ||||||
PG&E Corp. | 4,068 | 194,613 | ||||||
Shares | Value | |||||||
Multi-Utilities–(continued) | ||||||||
Public Service Enterprise Group Inc. | 6,183 | $ | 196,681 | |||||
SCANA Corp. | 4,800 | 194,880 | ||||||
Sempra Energy | 3,728 | 195,645 | ||||||
TECO Energy, Inc. | 11,187 | 199,129 | ||||||
Wisconsin Energy Corp. | 3,308 | 194,709 | ||||||
Xcel Energy, Inc. | 8,245 | 194,170 | ||||||
2,930,992 | ||||||||
Office Electronics–0.19% | ||||||||
Xerox Corp. | 16,653 | 191,843 | ||||||
Office REIT’s–0.20% | ||||||||
Boston Properties, Inc. | 2,353 | 202,593 | ||||||
Office Services & Supplies–0.39% | ||||||||
Avery Dennison Corp. | 4,625 | 195,823 | ||||||
Pitney Bowes Inc. | 7,973 | 192,787 | ||||||
388,610 | ||||||||
Oil & Gas Drilling–0.81% | ||||||||
Diamond Offshore Drilling, Inc. | 3,056 | 204,355 | ||||||
Helmerich & Payne, Inc. | 4,014 | 194,599 | ||||||
Nabors Industries Ltd. (Bermuda)(b) | 8,959 | 210,178 | ||||||
Rowan Cos., Inc.(b) | 5,689 | 198,603 | ||||||
807,735 | ||||||||
Oil & Gas Equipment & Services–1.22% | ||||||||
Baker Hughes Inc. | 3,477 | 198,780 | ||||||
Cameron International Corp.(b) | 3,949 | 200,333 | ||||||
FMC Technologies, Inc.(b) | 2,263 | 201,203 | ||||||
Halliburton Co. | 4,905 | 200,271 | ||||||
National Oilwell Varco Inc. | 3,076 | 206,861 | ||||||
Schlumberger Ltd. | 2,405 | 200,818 | ||||||
1,208,266 | ||||||||
Oil & Gas Exploration & Production–2.87% | ||||||||
Anadarko Petroleum Corp. | 2,964 | 225,738 | ||||||
Apache Corp. | 1,679 | 200,187 | ||||||
Cabot Oil & Gas Corp. | 5,341 | 202,157 | ||||||
Chesapeake Energy Corp. | 8,398 | 217,592 | ||||||
Denbury Resources Inc.(b) | 10,441 | 199,319 | ||||||
Devon Energy Corp. | 2,676 | 210,093 | ||||||
EOG Resources, Inc. | 2,134 | 195,069 | ||||||
EQT Corp. | 4,442 | 199,179 | ||||||
Newfield Exploration Co.(b) | 2,754 | 198,591 | ||||||
Noble Energy, Inc. | 2,300 | 197,984 | ||||||
Pioneer Natural Resources Co. | 2,299 | 199,599 | ||||||
QEP Resources Inc. | 5,330 | 193,532 | ||||||
Range Resources Corp. | 4,581 | 206,054 | ||||||
Southwestern Energy Co.(b) | 5,470 | 204,742 | ||||||
2,849,836 | ||||||||
Oil & Gas Refining & Marketing–0.63% | ||||||||
Sunoco, Inc. | 5,051 | 203,606 | ||||||
Tesoro Corp.(b) | 11,219 | 208,000 | ||||||
Valero Energy Corp. | 9,282 | 214,600 | ||||||
626,206 | ||||||||
Oil & Gas Storage & Transportation–0.61% | ||||||||
El Paso Corp. | 14,823 | 203,964 | ||||||
Spectra Energy Corp. | 8,047 | 201,095 | ||||||
Williams Cos., Inc. (The) | 8,187 | 202,383 | ||||||
607,442 | ||||||||
Other Diversified Financial Services–0.62% | ||||||||
Bank of America Corp. | 15,566 | 207,650 | ||||||
Citigroup Inc.(b) | 41,633 | 196,924 | ||||||
JPMorgan Chase & Co. | 4,932 | 209,216 | ||||||
613,790 | ||||||||
Packaged Foods & Meats–2.75% | ||||||||
Campbell Soup Co. | 5,528 | 192,098 | ||||||
ConAgra Foods, Inc. | 8,700 | 196,446 | ||||||
Dean Foods Co.(b) | 24,277 | 214,609 | ||||||
General Mills, Inc. | 5,378 | 191,403 | ||||||
H.J. Heinz Co. | 3,854 | 190,619 | ||||||
Hershey Co. (The) | 4,051 | 191,005 | ||||||
Hormel Foods Corp. | 3,794 | 194,480 | ||||||
J. M. Smucker Co. (The) | 2,970 | 194,981 | ||||||
Kellogg Co. | 3,818 | 195,023 | ||||||
Kraft Foods Inc.–Class A | 6,127 | 193,062 | ||||||
McCormick & Co., Inc. | 4,101 | 190,820 | ||||||
Mead Johnson Nutrition Co. | 3,129 | 194,780 | ||||||
Sara Lee Corp. | 11,336 | 198,493 | ||||||
Tyson Foods, Inc.–Class A | 11,388 | 196,101 | ||||||
2,733,920 | ||||||||
Paper Packaging–0.39% | ||||||||
Bemis Co., Inc. | 5,911 | 193,053 | ||||||
Sealed Air Corp. | 7,822 | 199,070 | ||||||
392,123 | ||||||||
Shares | Value | |||||||
Paper Products–0.41% | ||||||||
International Paper Co. | 7,542 | $ | 205,444 | |||||
MeadWestvaco Corp. | 7,770 | 203,263 | ||||||
408,707 | ||||||||
Personal Products–0.40% | ||||||||
Avon Products, Inc. | 6,784 | 197,143 | ||||||
Estee Lauder Cos. Inc. (The)–Class A | 2,466 | 199,006 | ||||||
396,149 | ||||||||
Pharmaceuticals–2.15% | ||||||||
Abbott Laboratories | 4,042 | 193,652 | ||||||
Allergan, Inc. | 2,763 | 189,735 | ||||||
Bristol-Myers Squibb Co. | 7,385 | 195,555 | ||||||
Eli Lilly and Co. | 5,588 | 195,804 | ||||||
Forest Laboratories, Inc.(b) | 5,981 | 191,272 | ||||||
Hospira, Inc.(b) | 3,405 | 189,624 | ||||||
Johnson & Johnson | 3,128 | 193,467 | ||||||
Merck & Co., Inc. | 5,363 | 193,283 | ||||||
Mylan Inc.(b) | 9,143 | 193,192 | ||||||
Pfizer Inc. | 11,489 | 201,172 | ||||||
Watson Pharmaceuticals, Inc.(b) | 3,790 | 195,753 | ||||||
2,132,509 | ||||||||
Property & Casualty Insurance–1.59% | ||||||||
ACE Ltd. (Switzerland) | 3,204 | 199,449 | ||||||
Allstate Corp. (The) | 6,249 | 199,218 | ||||||
Berkshire Hathaway Inc.–Class B(b) | 2,446 | 195,949 | ||||||
Chubb Corp. (The) | 3,304 | 197,051 | ||||||
Cincinnati Financial Corp. | 6,150 | 194,893 | ||||||
Progressive Corp. (The) | 9,972 | 198,144 | ||||||
Travelers Cos., Inc. (The) | 3,545 | 197,492 | ||||||
XL Group PLC (Ireland) | 9,017 | 196,751 | ||||||
1,578,947 | ||||||||
Publishing–0.79% | ||||||||
Gannett Co., Inc. | 12,640 | 190,738 | ||||||
McGraw-Hill Cos., Inc. (The) | 5,390 | 196,250 | ||||||
Meredith Corp. | 5,517 | 191,164 | ||||||
Washington Post Co. (The)–Class B | 462 | 203,049 | ||||||
781,201 | ||||||||
Railroads–0.60% | ||||||||
CSX Corp. | 3,065 | 198,030 | ||||||
Norfolk Southern Corp. | 3,121 | 196,061 | ||||||
Union Pacific Corp. | 2,145 | 198,756 | ||||||
592,847 | ||||||||
Real Estate Services–0.20% | ||||||||
CB Richard Ellis Group, Inc.–Class A(b) | 9,514 | 194,847 | ||||||
Regional Banks–2.30% | ||||||||
BB&T Corp. | 7,444 | 195,703 | ||||||
Fifth Third Bancorp | 13,906 | 204,140 | ||||||
First Horizon National Corp.(b) | 17,984 | 211,857 | ||||||
Huntington Bancshares Inc. | 31,408 | 215,773 | ||||||
KeyCorp | 23,238 | 205,656 | ||||||
M&T Bank Corp. | 2,364 | 205,786 | ||||||
Marshall & Ilsley Corp. | 28,565 | 197,670 | ||||||
PNC Financial Services Group, Inc. | 3,344 | 203,048 | ||||||
Regions Financial Corp. | 31,357 | 219,499 | ||||||
SunTrust Banks, Inc. | 7,235 | 213,505 | ||||||
Zions Bancorp. | 8,786 | 212,885 | ||||||
2,285,522 | ||||||||
Research & Consulting Services–0.39% | ||||||||
Dun & Bradstreet Corp. (The) | 2,393 | 196,442 | ||||||
Equifax Inc. | 5,457 | 194,269 | ||||||
390,711 | ||||||||
Residential REIT’s–0.62% | ||||||||
Apartment Investment & Management Co.–Class A | 7,980 | 206,203 | ||||||
AvalonBay Communities, Inc. | 1,795 | 202,027 | ||||||
Equity Residential | 3,925 | 203,904 | ||||||
612,134 | ||||||||
Restaurants–0.77% | ||||||||
Darden Restaurants, Inc. | 3,921 | 182,091 | ||||||
McDonald’s Corp. | 2,546 | 195,431 | ||||||
Starbucks Corp. | 5,972 | 191,880 | ||||||
Yum! Brands, Inc. | 3,908 | 191,688 | ||||||
761,090 | ||||||||
Retail REIT’s–0.42% | ||||||||
Kimco Realty Corp. | 11,570 | 208,723 | ||||||
Simon Property Group, Inc. | 2,049 | 203,855 | ||||||
412,578 | ||||||||
Semiconductor Equipment–0.99% | ||||||||
Applied Materials, Inc. | 14,376 | 201,983 | ||||||
KLA-Tencor Corp. | 4,912 | 189,800 | ||||||
MEMC Electronic Materials, Inc.(b) | 17,660 | 198,852 | ||||||
Novellus Systems, Inc.(b) | 5,958 | 192,562 | ||||||
Teradyne, Inc.(b) | 14,107 | 198,062 | ||||||
981,259 | ||||||||
Shares | Value | |||||||
Semiconductors–2.76% | ||||||||
Advanced Micro Devices, Inc.(b) | 24,157 | $ | 197,604 | |||||
Altera Corp. | 5,344 | 190,140 | ||||||
Analog Devices, Inc. | 5,219 | 196,600 | ||||||
Broadcom Corp.,–Class A | 4,465 | 194,451 | ||||||
First Solar, Inc.(b) | 1,468 | 191,045 | ||||||
Intel Corp. | 9,117 | 191,730 | ||||||
Linear Technology Corp. | 5,603 | 193,808 | ||||||
LSI Corp.(b) | 32,612 | 195,346 | ||||||
Microchip Technology Inc. | 5,737 | 196,263 | ||||||
Micron Technology, Inc.(b) | 23,834 | 191,149 | ||||||
National Semiconductor Corp. | 14,178 | 195,089 | ||||||
NVIDIA Corp.(b) | 13,616 | 209,686 | ||||||
Texas Instruments Inc. | 6,014 | 195,455 | ||||||
Xilinx, Inc. | 6,935 | 200,976 | ||||||
2,739,342 | ||||||||
Soft Drinks–0.77% | ||||||||
Coca-Cola Co. (The) | 2,977 | 195,797 | ||||||
Coca-Cola Enterprises Inc. | 7,748 | 193,932 | ||||||
Dr Pepper Snapple Group, Inc. | 5,153 | 181,180 | ||||||
PepsiCo, Inc. | 2,965 | 193,704 | ||||||
764,613 | ||||||||
Specialized Consumer Services–0.18% | ||||||||
H&R Block, Inc. | 15,062 | 179,388 | ||||||
Specialized Finance–0.99% | ||||||||
CME Group Inc. | 612 | 196,911 | ||||||
IntercontinentalExchange Inc.(b) | 1,640 | 195,406 | ||||||
Moody’s Corp. | 7,425 | 197,060 | ||||||
NASDAQ OMX Group, Inc. (The)(b) | 8,326 | 197,409 | ||||||
NYSE Euronext | 6,554 | 196,489 | ||||||
983,275 | ||||||||
Specialized REIT’s–1.45% | ||||||||
HCP, Inc. | 5,632 | 207,201 | ||||||
Health Care REIT, Inc. | 4,337 | 206,615 | ||||||
Host Hotels & Resorts Inc. | 11,342 | 202,681 | ||||||
Plum Creek Timber Co., Inc. | 5,497 | 205,863 | ||||||
Public Storage | 1,992 | 202,028 | ||||||
Ventas, Inc. | 3,941 | 206,824 | ||||||
Weyerhaeuser Co. | 10,774 | 203,952 | ||||||
1,435,164 | ||||||||
Specialty Chemicals–0.80% | ||||||||
Ecolab Inc. | 3,907 | 196,991 | ||||||
International Flavors & Fragrances Inc. | 3,550 | 197,344 | ||||||
Sherwin-Williams Co. (The) | 2,396 | 200,665 | ||||||
Sigma-Aldrich Corp. | 2,930 | 195,021 | ||||||
790,021 | ||||||||
Specialty Stores–0.39% | ||||||||
Staples, Inc. | 8,685 | 197,757 | ||||||
Tiffany & Co. | 3,002 | 186,935 | ||||||
384,692 | ||||||||
Steel–0.98% | ||||||||
AK Steel Holding Corp. | 12,019 | 196,751 | ||||||
Allegheny Technologies, Inc. | 3,395 | 187,336 | ||||||
Cliffs Natural Resources Inc. | 2,570 | 200,485 | ||||||
Nucor Corp. | 4,384 | 192,107 | ||||||
United States Steel Corp. | 3,321 | 194,013 | ||||||
970,692 | ||||||||
Systems Software–1.55% | ||||||||
BMC Software, Inc.(b) | 4,054 | 191,106 | ||||||
CA, Inc. | 7,861 | 192,123 | ||||||
McAfee Inc.(b) | 4,219 | 195,382 | ||||||
Microsoft Corp.(b) | 7,040 | 196,557 | ||||||
Novell, Inc.(b) | 32,612 | 193,063 | ||||||
Oracle Corp. | 6,226 | 194,874 | ||||||
Red Hat, Inc.(b) | 4,091 | 186,754 | ||||||
Symantec Corp.(b) | 11,598 | 194,150 | ||||||
1,544,009 | ||||||||
Thrifts & Mortgage Finance–0.40% | ||||||||
Hudson City Bancorp, Inc. | 15,640 | 199,253 | ||||||
People’s United Financial Inc. | 14,376 | 201,408 | ||||||
400,661 | ||||||||
Tires & Rubber–0.20% | ||||||||
Goodyear Tire & Rubber Co. (The)(b) | 16,810 | 199,198 | ||||||
Tobacco–0.78% | ||||||||
Altria Group, Inc. | 7,829 | 192,750 | ||||||
Lorillard, Inc. | 2,374 | 194,810 | ||||||
Philip Morris International Inc. | 3,277 | 191,803 | ||||||
Reynolds American Inc. | 6,043 | 197,123 | ||||||
776,486 | ||||||||
Trading Companies & Distributors–0.40% | ||||||||
Fastenal Co. | 3,272 | 196,025 | ||||||
W.W. Grainger, Inc. | 1,436 | 198,326 | ||||||
394,351 | ||||||||
Shares | Value | |||||||
Trucking–0.20% | ||||||||
Ryder System, Inc. | 3,864 | $ | 203,401 | |||||
Wireless Telecommunication Services–0.61% | ||||||||
American Tower Corp.,–Class A(b) | 3,944 | 203,668 | ||||||
MetroPCS Communications, Inc.(b) | 16,198 | 204,581 | ||||||
Sprint Nextel Corp.(b) | 47,037 | 198,966 | ||||||
607,215 | ||||||||
Total Common Stocks & Other Equity Interests (Cost $51,398,648) | 98,818,964 | |||||||
Money Market Funds–0.68% | ||||||||
Liquid Assets Portfolio–Institutional Class(d) | 338,979 | 338,979 | ||||||
Premier Portfolio–Institutional Class(d) | 338,979 | 338,979 | ||||||
Total Money Market Funds (Cost $677,958) | 677,958 | |||||||
TOTAL INVESTMENTS–100.18% (Cost $52,076,606) | 99,496,922 | |||||||
OTHER ASSETS LESS LIABILITIES–(0.18)% | (181,337 | ) | ||||||
NET ASSETS–100.00% | $ | 99,315,585 | ||||||
REIT | – Real Estate Investment Trust |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | The Fund’s Adviser is a subsidiary of Invesco Ltd. and therefore, Invesco Ltd. is considered to be affiliated with the Fund. See Note 5. | |
(d) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Invesco V.I. | Invesco V.I. | |||||||||||
Invesco V.I. | Select Dimensions | Select Dimensions | ||||||||||
Select Dimensions | Dividend | Equally-Weighted | ||||||||||
Balanced Fund | Growth Fund | S&P 500 Fund | ||||||||||
Assets: | ||||||||||||
Investments, at value | $ | 37,451,902 | $ | 85,508,392 | $ | 98,612,313 | ||||||
Investments in affiliates | 740,004 | 4,668,190 | 884,609 | |||||||||
Total investments | 38,191,906 | 90,176,582 | 99,496,922 | |||||||||
Receivables for: | ||||||||||||
Investments sold | — | 88,764 | — | |||||||||
Variation margin | 1,016 | — | — | |||||||||
Dividends and Interest | 129,305 | 148,870 | 106,441 | |||||||||
Other assets | 772 | 1,218 | — | |||||||||
Total assets | 38,322,999 | 90,415,434 | 99,603,363 | |||||||||
Liabilities: | ||||||||||||
Payable for: | ||||||||||||
Investments purchased | — | 154,945 | — | |||||||||
Fund shares reacquired | 2,058 | 23,012 | 63,693 | |||||||||
Variation margin | — | — | 940 | |||||||||
Accrued fees to affiliates | 93,667 | 144,396 | 171,657 | |||||||||
Accrued operating expenses | 40,438 | 31,269 | 51,056 | |||||||||
Trustee deferred compensation and retirement plans | — | 405 | 432 | |||||||||
Total liabilities | 136,163 | 354,027 | 287,778 | |||||||||
Net assets applicable to shares outstanding | $ | 38,186,836 | $ | 90,061,407 | $ | 99,315,585 | ||||||
Net assets consist of: | ||||||||||||
Shares of beneficial interest | $ | 36,444,308 | $ | 126,227,516 | $ | 53,383,959 | ||||||
Undistributed net investment income | 576,340 | 1,354,272 | 1,403,702 | |||||||||
Undistributed net realized gain (loss) | (950,341 | ) | (47,050,765 | ) | (2,907,642 | ) | ||||||
Unrealized appreciation | 2,116,529 | 9,530,384 | 47,435,566 | |||||||||
$ | 38,186,836 | $ | 90,061,407 | $ | 99,315,585 | |||||||
Net Assets: | ||||||||||||
Series I | $ | 23,699,254 | $ | 69,355,252 | $ | 43,669,269 | ||||||
Series II | $ | 14,487,582 | $ | 20,706,155 | $ | 55,646,316 | ||||||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||||||||||
Series I | 1,714,710 | 4,448,003 | 2,325,292 | |||||||||
Series II | 1,053,495 | 1,331,765 | 3,003,064 | |||||||||
Series I: | ||||||||||||
Net asset value per share | $ | 13.82 | $ | 15.59 | $ | 18.78 | ||||||
Series II: | ||||||||||||
Net asset value per share | $ | 13.75 | $ | 15.55 | $ | 18.53 | ||||||
Cost of Investments | $ | 35,337,861 | $ | 75,977,061 | $ | 51,211,852 | ||||||
Cost of Investments in affiliates | $ | 740,004 | $ | 4,668,190 | $ | 864,754 | ||||||
Total Investments, at cost | $ | 36,077,865 | $ | 80,645,251 | $ | 52,076,606 | ||||||
Invesco V.I. | Invesco V.I. | |||||||||||
Invesco V.I. | Select Dimensions | Select Dimensions | ||||||||||
Select Dimensions | Dividend | Equally-Weighted | ||||||||||
Balanced Fund | Growth Fund | S&P 500 Fund | ||||||||||
Investment income: | ||||||||||||
Dividends† | $ | 545,895 | $ | 2,073,926 | $ | 1,875,072 | ||||||
Dividends from affiliates | 684 | 4,650 | 4,798 | |||||||||
Interest | 395,506 | — | — | |||||||||
Total investment income | 942,085 | 2,078,576 | 1,879,870 | |||||||||
† Net of foreign withholding taxes | 13,985 | 7,926 | 156 | |||||||||
Expenses: | ||||||||||||
Advisory fees | 206,627 | 500,961 | 116,921 | |||||||||
Administrative services fees | 99,143 | 190,550 | 201,733 | |||||||||
Custodian fees | 9,885 | 5,557 | 11,275 | |||||||||
Distribution fees — Series II | 38,311 | 53,857 | 137,699 | |||||||||
Transfer agent fees | 1,315 | 1,357 | 1,347 | |||||||||
Trustees’ and officers’ fees and benefits | 10,307 | 14,105 | 9,436 | |||||||||
Professional services fees | 48,615 | 36,959 | 32,041 | |||||||||
Other | 24,449 | 9,149 | 13,250 | |||||||||
Total expenses | 438,652 | 812,495 | 523,702 | |||||||||
Less: Fees waived | (71,481 | ) | (97,025 | ) | (52,573 | ) | ||||||
Net expenses | 367,171 | 715,470 | 471,129 | |||||||||
Net investment income | 574,914 | 1,363,106 | 1,408,741 | |||||||||
Realized and unrealized gain (loss) from: | ||||||||||||
Net realized gain (losses) from: | ||||||||||||
Investment securities (includes net gains (losses) from securities sold to affiliates of $438, $(2,924,687) and $0, respectively) | 2,231,441 | 1,750,137 | 8,669,505 | |||||||||
Foreign currencies | — | (8,357 | ) | — | ||||||||
Futures contracts | (18,430 | ) | — | 76,343 | ||||||||
Option contracts written | — | 18,761 | — | |||||||||
2,213,011 | 1,760,541 | 8,745,848 | ||||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investment securities | 1,037,730 | 5,912,303 | 8,587,621 | |||||||||
Foreign currencies | — | (947 | ) | — | ||||||||
Futures contracts | (19,310 | ) | — | 25,614 | ||||||||
Option contracts written | — | (3,124 | ) | — | ||||||||
Swap agreements | (38 | ) | — | — | ||||||||
1,018,382 | 5,908,232 | 8,613,235 | ||||||||||
Net realized and unrealized gain | 3,231,393 | 7,668,773 | 17,359,083 | |||||||||
Net increase in net assets resulting from operations | $ | 3,806,307 | $ | 9,031,879 | $ | 18,767,824 | ||||||
Invesco V.I. | Invesco V.I. | |||||||||||||||||||||||
Invesco V.I. | Select Dimensions | Select Dimensions | ||||||||||||||||||||||
Select Dimensions | Dividend | Equally-Weighted | ||||||||||||||||||||||
Balanced Fund | Growth Fund | S&P 500 Fund | ||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2010 | 2009 | |||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 574,914 | $ | 730,484 | $ | 1,363,106 | $ | 1,545,831 | $ | 1,408,741 | $ | 1,385,144 | ||||||||||||
Net realized gain (loss) | 2,213,011 | (194,630 | ) | 1,760,541 | (8,551,653 | ) | 8,745,848 | (7,590,340 | ) | |||||||||||||||
Change in net unrealized appreciation | 1,018,382 | 6,485,933 | 5,908,232 | 26,820,219 | 8,613,235 | 39,237,550 | ||||||||||||||||||
Net increase in net assets resulting from operations | 3,806,307 | 7,021,787 | 9,031,879 | 19,814,397 | 18,767,824 | 33,032,354 | ||||||||||||||||||
Distributions to shareholders from net investment income: | ||||||||||||||||||||||||
Series I | (509,670 | ) | (750,282 | ) | (1,223,469 | ) | (1,414,595 | ) | (629,718 | ) | (960,460 | ) | ||||||||||||
Series II | (286,007 | ) | (437,618 | ) | (321,048 | ) | (386,002 | ) | (710,006 | ) | (1,118,274 | ) | ||||||||||||
Total distributions from net investment income | (795,677 | ) | (1,187,900 | ) | (1,544,517 | ) | (1,800,597 | ) | (1,339,724 | ) | (2,078,734 | ) | ||||||||||||
Distributions to shareholders from net realized gains: | ||||||||||||||||||||||||
Series I | — | — | — | — | — | (1,537,281 | ) | |||||||||||||||||
Series II | — | — | — | — | — | (2,093,569 | ) | |||||||||||||||||
Total distributions from net realized gains | — | — | — | — | — | (3,630,850 | ) | |||||||||||||||||
Share transactions–net: | ||||||||||||||||||||||||
Series I | (4,132,965 | ) | (2,832,832 | ) | (12,366,018 | ) | (15,204,477 | ) | (7,540,299 | ) | (5,014,093 | ) | ||||||||||||
Series II | (2,861,029 | ) | (3,103,936 | ) | (4,382,589 | ) | (5,269,866 | ) | (11,702,914 | ) | (4,439,590 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (6,993,994 | ) | (5,936,768 | ) | (16,748,607 | ) | (20,474,343 | ) | (19,243,213 | ) | (9,453,683 | ) | ||||||||||||
Net increase (decrease) in net assets | (3,983,364 | ) | (102,881 | ) | (9,261,245 | ) | (2,460,543 | ) | (1,815,113 | ) | 17,869,087 | |||||||||||||
Net assets: | ||||||||||||||||||||||||
Beginning of year | 42,170,200 | 42,273,081 | 99,322,652 | 101,783,195 | 101,130,698 | 83,261,611 | ||||||||||||||||||
End of year* | $ | 38,186,836 | $ | 42,170,200 | $ | 90,061,407 | $ | 99,322,652 | $ | 99,315,585 | $ | 101,130,698 | ||||||||||||
* Includes accumulated undistributed net investment income | $ | 576,340 | $ | 783,495 | $ | 1,354,272 | $ | 1,544,040 | $ | 1,403,702 | $ | 1,361,039 | ||||||||||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Funds may periodically participate in litigation related to Fund investments. As such, each Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. |
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
Each Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Funds will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Funds file tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Funds are subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Funds and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, each Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Funds enter into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. Each Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Funds may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
J. | Foreign Currency Contracts — The Funds may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Funds may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. | |
K. | Futures Contracts — The Funds may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties to purchase or sell a specified underlying security, currency or commodity (or |
delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Funds currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal counterparty risk since the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. | ||
L. | Call Options Written — The Funds may write call options, including options on futures. A call option gives the purchaser of such option the right to buy, and the writer (the Fund) the obligation to sell, the underlying security at the stated exercise price during the option period. Written call options are recorded as a liability in the Statement of Assets and Liabilities. The amount of the liability is subsequently “marked-to-market” to reflect the current market value of the option written. If a written call option expires on the stipulated expiration date, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or a loss if the closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a written option is exercised, the Fund realizes a gain or a loss from the sale of the underlying security and the proceeds of the sale are increased by the premium originally received. Realized gains and losses on these contracts are included in the Statement of Operations. A risk in writing a covered call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. | |
An option on a futures contract gives the holder the right to receive a cash “exercise settlement amount” equal to the difference between the exercise price of the option and the value of the underlying futures contract on the exercise date. The value of a futures contract fluctuates with changes in the market values of the securities underlying the futures contract. In writing covered futures contract options, the principal risk is that the Fund could bear a loss on the options that would be only partially offset (or not offset at all) by the increased value or reduced cost of underlying portfolio securities. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. | ||
M. | Collateral — To the extent each Fund has pledged or segregated a security as collateral and that security is subsequently sold, it is such Fund’s practice to replace such collateral no later than the next business day. |
Average Net Assets | Rate | |||
First $500 million | 0 | .52% | ||
Over $500 million | 0 | .495% | ||
Average Net Assets | Rate | |||
First $250 million | 0 | .545% | ||
Next $750 million | 0 | .42% | ||
Next $1 billion | 0 | .395% | ||
Over $2 billion | 0 | .37% | ||
Average Net Assets | Rate | |||
First $2 billion | 0 | .12% | ||
Over $2 billion | 0 | .10% | ||
Invesco V.I. Select Dimensions Balanced Fund | $ | 90,265 | ||
Invesco V.I. Select Dimensions Dividend Growth Fund | 219,791 | |||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | 50,210 | |||
Series I | Series II | |||||||
Invesco V.I. Select Dimensions Balanced Fund | 0.82 | % | 1.07 | % | ||||
Invesco V.I. Select Dimensions Dividend Growth Fund | 0.72 | % | 0.97 | % | ||||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | 0.37 | % | 0.62 | % | ||||
Paid to Adviser | Paid to MSIA | |||||||
Invesco V.I. Select Dimensions Balanced Fund | $ | 70,756 | $ | 725 | ||||
Invesco V.I. Select Dimensions Dividend Growth Fund | 96,622 | 403 | ||||||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | 52,293 | 280 | ||||||
Paid to insurance | ||||||||||||
Paid to Invesco | MSSCI | companies | ||||||||||
Invesco V.I. Select Dimensions Balanced Fund | $ | 29,315 | $ | 13,887 | $ | 55,941 | ||||||
Invesco V.I. Select Dimensions Dividend Growth Fund | 29,315 | 32,266 | 128,969 | |||||||||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | 29,315 | 33,473 | 138,945 | |||||||||
Invesco V.I. Select Dimensions Balanced Fund | $ | — | ||
Invesco V.I. Select Dimensions Dividend Growth Fund | 501 | |||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | 212 | |||
Invesco V.I. Select Dimensions Balanced Fund | $ | 16,714 | ||
Invesco V.I. Select Dimensions Dividend Growth Fund | 23,339 | |||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | 71,465 | |||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 25,419,864 | $ | 245,604 | $ | — | $ | 25,665,468 | ||||||||
U.S. Treasury Securities | — | 6,704,311 | — | 6,704,311 | ||||||||||||
Corporate Debt Securities | — | 5,013,794 | — | 5,013,794 | ||||||||||||
U.S. Government Sponsored Securities | — | 615,089 | — | 615,089 | ||||||||||||
Foreign Government Debt Securities | — | 158,621 | — | 158,621 | ||||||||||||
Municipal Obligations | — | 34,623 | — | 34,623 | ||||||||||||
$ | 25,419,864 | $ | 12,772,042 | $ | — | $ | 38,191,906 | |||||||||
Futures* | 2,488 | — | — | 2,488 | ||||||||||||
Total Investments | $ | 25,422,352 | $ | 12,772,042 | $ | — | $ | 38,194,394 | ||||||||
* | Unrealized appreciation. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 87,821,105 | $ | 2,355,477 | $ | — | $ | 90,176,582 | ||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 99,496,922 | $ | — | $ | — | $ | 99,496,922 | ||||||||
Futures* | 15,251 | — | — | 15,251 | ||||||||||||
Total Investments | $ | 99,512,173 | $ | — | $ | — | $ | 99,512,173 | ||||||||
* | Unrealized appreciation. |
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Interest rate risk | ||||||||
Futures contracts(a) | $ | 17,630 | $ | (15,142 | ) | |||
(a) | Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s variation margin receivable (payable) is reported within the Statement of Assets & Liabilities. |
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Interest rate risk | ||||||||
Futures contracts(a) | $ | 16,714 | $ | (1,463 | ) | |||
(a) | Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s variation margin receivable (payable) is reported within the Statement of Assets & Liabilities. |
Location of Gain (Loss) on | ||||||||
Statement of Operations | ||||||||
Futures* | Swap Agreements* | |||||||
Realized Gain (Loss) | ||||||||
Interest rate risk | $ | (18,430 | ) | $ | — | |||
Change in Unrealized Appreciation (Depreciation) | ||||||||
Credit risk | $ | — | $ | (38 | ) | |||
Interest rate risk | (19,310 | ) | — | |||||
Total | $ | (37,740 | ) | $ | (38 | ) | ||
* | The average value of futures and swap agreements outstanding during the period was $2,331,571 and $6,667, respectively. |
Location of Gain (Loss) on | ||||
Statement of Operations | ||||
Options* | ||||
Realized Gain | ||||
Equity risk | $ | 18,761 | ||
Change in Unrealized Appreciation (Depreciation) | ||||
Equity risk | $ | (3,124 | ) | |
Total | $ | 15,637 | ||
* | The average value of options outstanding during the period was $1,092. |
Location of Gain (Loss) on | ||||
Statement of Operations | ||||
Futures* | ||||
Realized Gain | ||||
Interest rate risk | $ | 76,343 | ||
Change in Unrealized Appreciation | ||||
Interest rate risk | $ | 25,614 | ||
Total | $ | 101,957 | ||
* | The average value of futures outstanding during the period was $928,109. |
Open Futures Contracts | ||||||||||||||||
Unrealized | ||||||||||||||||
Number of | Month/ | Appreciation | ||||||||||||||
Contract | Contracts | Commitment | Value | (Depreciation) | ||||||||||||
U.S. Treasury 30 Year Bonds | 3 | March-2011/Long | $ | 366,375 | $ | (10,834 | ) | |||||||||
U.S. Treasury 10 Year Notes | 1 | March-2011/Long | 120,438 | (4,307 | ) | |||||||||||
Subtotal | $ | 486,813 | $ | (15,141 | ) | |||||||||||
U.S. Treasury 5 Year Notes | 9 | March-2011/Short | (1,059,469 | ) | 17,629 | |||||||||||
Total | $ | (572,656 | ) | $ | 2,488 | |||||||||||
Option Contracts Written Transactions During the Period | ||||||||
Number of | ||||||||
Contracts | Premium | |||||||
Options written, outstanding at beginning of period | 22 | $ | 4,422 | |||||
Options written | 192 | 41,002 | ||||||
Options expired | (122 | ) | (28,098 | ) | ||||
Options closed | (92 | ) | (17,326 | ) | ||||
Options written, outstanding at end of period | — | $ | — | |||||
Open Futures Contracts | ||||||||||||||||
Number of | Month/ | Unrealized | ||||||||||||||
Contract | Contracts | Commitment | Value | Appreciation | ||||||||||||
E-Mini S&P 500 Index | 13 | March-2011/Long | $ | 814,450 | $ | 15,251 | ||||||||||
Change in | ||||||||||||||||||||||||||||
Value | Purchases | Proceeds | Unrealized | Realized | Value | Dividend | ||||||||||||||||||||||
12/31/09 | at Cost | from Sales | Appreciation | Gain (Loss) | 12/31/10 | Income | ||||||||||||||||||||||
Invesco Ltd. | $ | 210,705 | $ | 28,651 | $ | (37,001 | ) | $ | 12,036 | $ | (7,740 | ) | $ | 206,651 | $ | 4,027 | ||||||||||||
Securities | Net Realized | |||||||||||
Purchases | Securities Sales | Gains/(Losses) | ||||||||||
Invesco V.I. Select Dimensions Balanced Fund | $ | 20,385 | $ | 2,265 | $ | 438 | ||||||
Invesco V.I. Select Dimensions Dividend Growth Fund | 993,302 | 5,341,838 | (2,924,687 | ) | ||||||||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | — | — | — | |||||||||
2010 | 2009 | |||||||||||||||||||||||
Long-term | Long-term | |||||||||||||||||||||||
Ordinary | Capital | Total | Ordinary | Capital | Total | |||||||||||||||||||
Income | Gain | Distributions | Income | Gain | Distributions | |||||||||||||||||||
Invesco V.I. Select Dimensions Balanced Fund | $ | 795,677 | $ | — | $ | 795,677 | $ | 1,187,900 | $ | — | $ | 1,187,900 | ||||||||||||
Invesco V.I. Select Dimensions Dividend Growth Fund | 1,544,517 | — | 1,544,517 | 1,800,597 | — | 1,800,597 | ||||||||||||||||||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | 1,339,724 | — | 1,339,724 | 2,078,765 | 3,630,819 | 5,709,584 | ||||||||||||||||||
Net Unrealized | ||||||||||||||||||||||||||||||||
Undistributed | Net Unrealized | Appreciation | Temporary | Shares of | Total | |||||||||||||||||||||||||||
Ordinary | Appreciation | (Depreciation) - | Book/Tax | Capital Loss | Post-October | Beneficial | Net | |||||||||||||||||||||||||
Income | Investments | Other Investments | Differences | Carryforward | Deferrals | Interest | Assets | |||||||||||||||||||||||||
Invesco V.I. Select Dimensions Balanced Fund | $ | 608,480 | $ | 1,979,109 | $ | — | $ | (993 | ) | $ | (844,068 | ) | $ | — | $ | 36,444,308 | $ | 38,186,836 | ||||||||||||||
Invesco V.I. Select Dimensions Dividend Growth Fund | 1,356,152 | 9,531,331 | (947 | ) | (405 | ) | (47,050,765 | ) | (1,475 | ) | 126,227,516 | 90,061,407 | ||||||||||||||||||||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | 1,371,321 | 45,230,994 | — | (432 | ) | (670,257 | ) | — | 53,383,959 | 99,315,585 | ||||||||||||||||||||||
Capital Loss | ||||
Carryforward | ||||
Utilized | ||||
Invesco V.I. Select Dimensions Balanced Fund | $ | 2,218,719 | ||
Invesco V.I. Select Dimensions Dividend Growth Fund | 627,940 | |||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | 8,518,615 | |||
2011* | 2016* | 2017* | Total | |||||||||||||
Invesco V.I. Select Dimensions Balanced Fund | $ | — | $ | — | $ | 844,068 | $ | 844,068 | ||||||||
Invesco V.I. Select Dimensions Dividend Growth Fund | 21,221,549 | 7,857,133 | 17,972,083 | 47,050,765 | ||||||||||||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | — | — | 670,257 | 670,257 | ||||||||||||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
For the year ended December 31, | At December 31, 2010 | |||||||||||||||||||||||
2010* | Federal Tax | Unrealized | Unrealized | Net Unrealized | ||||||||||||||||||||
Purchases | Sales | Cost** | Appreciation | (Depreciation) | Appreciation | |||||||||||||||||||
Invesco V.I. Select Dimensions Balanced Fund | $ | 13,882,694 | $ | 19,992,883 | $ | 36,212,797 | $ | 3,126,609 | $ | (1,147,500 | ) | $ | 1,979,109 | |||||||||||
Invesco V.I. Select Dimensions Dividend Growth Fund | 68,896,534 | 89,418,960 | 80,645,251 | *** | 10,658,355 | (1,127,024 | ) | 9,531,331 | ||||||||||||||||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | 20,525,040 | 39,295,261 | 54,265,928 | 45,782,294 | (551,300 | ) | 45,230,994 | |||||||||||||||||
* | Excludes U.S. Treasury obligations and money market funds, if any. |
** | Cost of investments on a tax basis includes the adjustments for financial reporting purposes as of the most recently completed Federal income tax reporting period end. |
*** | Cost of investments is the same for tax and financial statement purposes. |
Undistributed Net | ||||||||||||
Undistributed Net | Realized | Shares of | ||||||||||
Investment Income | Gain (Loss) | Beneficial Interest | ||||||||||
Invesco V.I. Select Dimensions Balanced Fund | $ | 13,608 | $ | (10,876 | ) | $ | (2,732 | ) | ||||
Invesco V.I. Select Dimensions Dividend Growth Fund | (8,357 | ) | 37,037,327 | (37,028,970 | ) | |||||||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | (26,354 | ) | 26,354 | — | ||||||||
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 7,971 | $ | 103,298 | 205,613 | $ | 2,288,162 | ||||||||||
Series II | 27,367 | 360,964 | 32,359 | 351,813 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 40,482 | 509,670 | 69,989 | 750,282 | ||||||||||||
Series II | 22,807 | 286,007 | 40,975 | 437,618 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (363,972 | ) | (4,745,933 | ) | (527,590 | ) | (5,871,276 | ) | ||||||||
Series II | (270,698 | ) | (3,508,000 | ) | (349,414 | ) | (3,893,367 | ) | ||||||||
Net increase (decrease) in share activity | (536,043 | ) | $ | (6,993,994 | ) | (528,068 | ) | $ | (5,936,768 | ) | ||||||
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 40,486 | $ | 595,439 | 65,164 | $ | 821,495 | ||||||||||
Series II | 19,130 | 272,480 | 57,615 | 653,317 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 87,641 | 1,223,469 | 119,678 | 1,414,595 | ||||||||||||
Series II | 23,031 | 321,048 | 32,712 | 386,002 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (975,783 | ) | (14,184,926 | ) | (1,465,877 | ) | (17,440,567 | ) | ||||||||
Series II | (343,764 | ) | (4,976,117 | ) | (532,525 | ) | (6,309,185 | ) | ||||||||
Net increase (decrease) in share activity | (1,149,259 | ) | $ | (16,748,607 | ) | (1,723,233 | ) | $ | (20,474,343 | ) | ||||||
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 36,273 | $ | 613,769 | 85,681 | $ | 1,108,596 | ||||||||||
Series II | 70,709 | 1,148,335 | 143,074 | 1,655,307 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 39,137 | 629,719 | 205,238 | 2,497,741 | ||||||||||||
Series II | 44,654 | 710,006 | 267,208 | 3,211,843 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (525,472 | ) | (8,783,787 | ) | (687,136 | ) | (8,620,430 | ) | ||||||||
Series II | (829,357 | ) | (13,561,255 | ) | (749,130 | ) | (9,306,740 | ) | ||||||||
Net increase (decrease) in share activity | (1,164,056 | ) | $ | (19,243,213 | ) | (735,065 | ) | $ | (9,453,683 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of each Fund and in the aggregate own 97%, 99% and 91% of the outstanding shares of Invesco V.I. Select Dimensions Balanced Fund, Invesco V.I. Select Dimensions Dividend Growth Fund and Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund, respectively. The Funds and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Funds. The Funds, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Funds, for providing services to the Funds, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | Rebate | income | |||||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | from | to average | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | affiliates | net assets | turnover(c) | ||||||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 12.79 | $ | 0.20 | $ | 1.10 | $ | 1.30 | $ | (0.27 | ) | $ | — | $ | (0.27 | ) | $ | 13.82 | 10.37 | % | $ | 23,699 | 0.83 | %(d) | 1.01 | %(d) | — | % | 1.54 | %(d) | 36 | % | ||||||||||||||||||||||||||||
Year ended 12/31/09 | 11.05 | 0.22 | 1.87 | 2.09 | (0.35 | ) | — | (0.35 | ) | 12.79 | 19.48 | 25,961 | 0.82 | (e) | 0.82 | (e) | 0.01 | 1.91 | (e) | 77 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 16.40 | 0.36 | (3.77 | ) | (3.41 | ) | (0.11 | ) | (1.83 | ) | (1.94 | ) | 11.05 | (22.51 | ) | 25,225 | 0.84 | (e) | 0.84 | (e) | 0.01 | 2.65 | (e) | 65 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 17.57 | 0.42 | 0.28 | 0.70 | (0.45 | ) | (1.42 | ) | (1.87 | ) | 16.40 | 3.86 | 42,488 | 0.78 | 0.78 | — | 2.44 | 86 | ||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 16.88 | 0.41 | �� | 1.60 | 2.01 | (0.44 | ) | (0.88 | ) | (1.32 | ) | 17.57 | 12.67 | 54,204 | 0.74 | 0.74 | — | 2.42 | 45 | |||||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 12.72 | 0.17 | 1.10 | 1.27 | (0.24 | ) | — | (0.24 | ) | 13.75 | 10.15 | 14,488 | 1.08 | (d) | 1.26 | (d) | — | % | 1.29 | (d) | 36 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 11.00 | 0.19 | 1.85 | 2.04 | (0.32 | ) | — | (0.32 | ) | 12.72 | 19.07 | 16,210 | 1.07 | (e) | 1.07 | (e) | 0.01 | 1.66 | (e) | 77 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 16.36 | 0.33 | (3.76 | ) | (3.43 | ) | (0.10 | ) | (1.83 | ) | (1.93 | ) | 11.00 | (22.64 | ) | 17,048 | 1.09 | (e) | 1.09 | (e) | 0.01 | 2.40 | (e) | 65 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 17.52 | 0.38 | 0.29 | 0.67 | (0.41 | ) | (1.42 | ) | (1.83 | ) | 16.36 | 3.60 | 27,535 | 1.03 | 1.03 | — | 2.19 | 86 | ||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 16.84 | 0.37 | 1.59 | 1.96 | (0.40 | ) | (0.88 | ) | (1.28 | ) | 17.52 | 12.37 | 30,562 | 0.99 | 0.99 | — | 2.17 | 45 | ||||||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $24,412 and $15,324 for Series I and Series II shares, respectively. | |
(e) | The ratios reflect the rebate of certain Fund expenses in connection with investments in an affiliated during the period. The effect of the rebate on the ratios is disclosed in the above table as “Rebate from affiliate”. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | Rebate | income | ||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | value, end | Total | end of period | and/or expenses | and/or expenses | from | to average | Portfolio | ||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | of period | return(b) | (000s omitted) | absorbed | absorbed | affiliates | net assets | turnover(c) | ||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 14.34 | $ | 0.22 | $ | 1.28 | $ | 1.50 | $ | (0.25 | ) | $ | 15.59 | 10.67 | % | $ | 69,355 | 0.72 | %(d) | 0.83 | %(d) | — | % | 1.54 | %(d) | 78 | % | |||||||||||||||||||||||||
Year ended 12/31/09 | 11.77 | 0.21 | 2.61 | 2.82 | (0.25 | ) | 14.34 | 24.39 | 75,962 | 0.72 | (e) | 0.72 | (e) | 0.00 | (f) | 1.72 | (e) | 44 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 18.64 | 0.26 | (7.06 | ) | (6.80 | ) | (0.07 | ) | 11.77 | (36.60 | ) | 77,428 | 0.71 | (e) | 0.71 | (e) | 0.01 | 1.63 | (e) | 61 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 18.09 | 0.22 | 0.55 | 0.77 | (0.22 | ) | 18.64 | 4.27 | 153,676 | 0.67 | 0.67 | — | 1.18 | 48 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 16.48 | 0.22 | 1.62 | 1.84 | �� | (0.23 | ) | 18.09 | 11.25 | 201,169 | 0.67 | 0.67 | — | 1.31 | 115 | |||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 14.30 | 0.19 | 1.27 | 1.46 | (0.21 | ) | 15.55 | 10.41 | 20,706 | 0.97 | (d) | 1.08 | (d) | — | 1.29 | (d) | 78 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 11.73 | 0.18 | 2.60 | 2.78 | (0.21 | ) | 14.30 | 24.11 | 23,361 | 0.97 | (e) | 0.97 | (e) | 0.00 | (f) | 1.47 | (e) | 44 | ||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 18.61 | 0.22 | (7.04 | ) | (6.82 | ) | (0.06 | ) | 11.73 | (36.76 | ) | 24,355 | 0.96 | (e) | 0.96 | (e) | 0.01 | 1.38 | (e) | 61 | ||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 18.07 | 0.17 | 0.55 | 0.72 | (0.18 | ) | 18.61 | 3.95 | 49,021 | 0.92 | 0.92 | — | 0.93 | 48 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 16.45 | 0.18 | 1.62 | 1.80 | (0.18 | ) | 18.07 | 10.98 | 54,255 | 0.92 | 0.92 | — | 1.06 | 115 | ||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $70,377 and $21,543 for Series I and Series II shares, respectively. | |
(e) | The ratios reflect the rebate of certain Fund expenses in connection with investments in an affiliated during the period. The effect of the rebate on the ratios is disclosed in the above table as “Rebate from affiliate”. | |
(f) | Amount is less than 0.005% |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | Rebate | income | |||||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | from | to average | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | affiliates | net assets | turnover(c) | ||||||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 15.69 | $ | 0.26 | $ | 3.07 | $ | 3.33 | $ | (0.24 | ) | $ | — | $ | (0.24 | ) | $ | 18.78 | 21.51 | % | $ | 43,669 | 0.35 | %(d) | 0.40 | %(d) | — | 1.59 | %(d) | 21 | % | |||||||||||||||||||||||||||||
Year ended 12/31/09 | 11.61 | 0.22 | 4.75 | 4.97 | (0.34 | ) | (0.55 | ) | (0.89 | ) | 15.69 | 45.08 | 43,553 | 0.37 | (e) | 0.37 | (e) | 0.00 | (f) | 1.72 | (e) | 13 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 25.37 | 0.32 | (8.73 | ) | (8.41 | ) | (0.45 | ) | (4.90 | ) | (5.35 | ) | 11.61 | (40.02 | ) | 36,814 | 0.31 | (e) | 0.31 | (e) | 0.00 | (f) | 1.70 | (e) | 32 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 27.75 | 0.41 | 0.20 | 0.61 | (0.42 | ) | (2.57 | ) | (2.99 | ) | 25.37 | 1.47 | 77,688 | 0.28 | 0.28 | — | 1.48 | 17 | ||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 25.71 | 0.37 | 3.45 | 3.82 | (0.34 | ) | (1.44 | ) | (1.78 | ) | 27.75 | 15.69 | 103,824 | 0.27 | 0.27 | — | 1.40 | 17 | ||||||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 15.49 | 0.22 | 3.03 | 3.25 | (0.21 | ) | — | (0.21 | ) | 18.53 | 21.19 | 55,646 | 0.60 | (d) | 0.65 | (d) | — | 1.34 | (d) | 21 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 11.45 | 0.19 | 4.69 | 4.88 | (0.29 | ) | (0.55 | ) | (0.84 | ) | 15.49 | 44.79 | 57,578 | 0.62 | (e) | 0.62 | (e) | 0.00 | (f) | 1.47 | (e) | 13 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 25.08 | 0.27 | (8.63 | ) | (8.36 | ) | (0.37 | ) | (4.90 | ) | (5.27 | ) | 11.45 | (40.19 | ) | 46,447 | 0.56 | (e) | 0.56 | (e) | 0.00 | (f) | 1.45 | (e) | 32 | |||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 27.47 | 0.34 | 0.19 | 0.53 | (0.35 | ) | (2.57 | ) | (2.92 | ) | 25.08 | 1.23 | 99,861 | 0.53 | 0.53 | — | 1.23 | 17 | ||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 25.48 | 0.30 | 3.42 | 3.72 | (0.29 | ) | (1.44 | ) | (1.73 | ) | 27.47 | 15.34 | 112,897 | 0.52 | 0.52 | — | 1.15 | 17 | ||||||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $42,347 and $55,088 for Series I and Series II shares, respectively. | |
(e) | The ratios reflect the rebate of certain Fund expenses in connection with investments in an affiliated during the period. The effect of the rebate on the ratios is disclosed in the above table as “Rebate from affiliate”. | |
(f) | Amount is less than 0.005% |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,150.70 | $ | 4.45 | $ | 1,021.07 | $ | 4.18 | 0.82 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,149.70 | 5.80 | 1,019.81 | 5.45 | 1.07 | ||||||||||||||||||||||||
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 929.90 | $ | 3.46 | $ | 1,021.62 | $ | 3.63 | 0.71 | % | ||||||||||||||||||
Series II | 1,000.00 | 928.70 | 4.67 | 1,020.36 | 4.90 | 0.96 | ||||||||||||||||||||||||
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,260.40 | $ | 2.11 | $ | 1,023.34 | $ | 1.89 | 0.37 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,258.80 | 3.53 | 1,022.08 | 3.16 | 0.62 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Funds for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on each Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to each Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Corporate | ||||||||
Dividends | ||||||||
Received | U.S. Treasury | |||||||
Federal and State Income Tax | Deduction* | Obligations* | ||||||
Invesco V.I. Select Dimensions Balanced Fund | 62.65% | 13.83% | ||||||
Invesco V.I. Select Dimensions Dividend Growth Fund | 100.00% | 0.00% | ||||||
Invesco V.I. Select Dimensions Equally-Weighted S&P 500 Fund | 100.00% | 0.00% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 19.84 | % | ||
Series II Shares | 19.56 | |||
Russell 1000 Growth Index▼ (Broad Market/Style-Specific Index) | 16.71 | |||
▼Lipper Inc. |
n | The price target set at purchase has been reached. | |
n | There is deterioration in fundamentals. | |
n | The catalysts for growth are no longer present or are reflected in the stock price. | |
n | There is a more attractive investment opportunity. |
Information Technology | 36.6 | % | ||
Consumer Discretionary | 15.5 | |||
Industrials | 12.8 | |||
Health Care | 12.7 | |||
Energy | 12.0 | |||
Materials | 12.0 | |||
Financials | 5.5 | |||
Telecommunication Services | 2.5 | |||
Consumer Staples | 1.0 | |||
Liabilities in Excess of Other Assets | -10.6 |
1. | Apple, Inc. | 8.1 | % | |||||
2. | Monsanto Co. | 4.1 | ||||||
3. | Visa, Inc. | 3.4 | ||||||
4. | Potash Corp. of Saskatchewan, Inc. | 3.0 | ||||||
5. | Google, Inc. | 2.9 | ||||||
6. | Oracle Corp. | 2.8 | ||||||
7. | EMC Corp. | 2.6 | ||||||
8. | Baidu, Inc. | 2.6 | ||||||
9. | Rovi Corp. | 2.4 | ||||||
10. | Goodrich Corp. | 2.3 |
Total Net Assets | $184.8 million | |||
Total Number of Holdings* | 75 |
*Excluding money market fund holdings.
1 | U.S. Federal Reserve | |
2 | Bureau of Economic Analysis | |
3 | Bureau of Labor Statistics | |
4 | Lipper Inc. |
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco Van Kampen V.I. Capital Growth Fund. He joined Invesco in 2010. Mr. Voss earned a B.S. in mathematics and an M.S. in finance, both from the University of Wisconsin, where he was a member of the Applied Securities Program.
Chartered Financial Portfolio manager, is manager of Invesco Van Kampen V.I. Capital Growth Fund. He joined Invesco in 2010. Mr. Cohen is a cum laude graduate of the Wharton School of the University of Pennsylvania where he earned a B.S. in economics.
Series I Shares | ||||||||
Inception (7/3/95) | 8.33 | % | ||||||
10 | Years | -1.83 | ||||||
5 | Years | 4.08 | ||||||
1 | Year | 19.84 | ||||||
Series II Shares | ||||||||
Inception (9/18/00) | -4.41 | % | ||||||
10 | Years | -2.08 | ||||||
5 | Years | 3.82 | ||||||
1 | Year | 19.56 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks–110.6% | ||||||||
Aerospace & Defense–3.5% | ||||||||
Goodrich Corp. | 48,035 | $ | 4,230,442 | |||||
Honeywell International, Inc. | 40,212 | 2,137,670 | ||||||
6,368,112 | ||||||||
Air Freight & Logistics–1.3% | ||||||||
C.H. Robinson Worldwide, Inc. | 30,993 | 2,485,329 | ||||||
Apparel Retail–2.7% | ||||||||
Limited Brands, Inc. | 103,233 | 3,172,350 | ||||||
Ross Stores, Inc. | 27,945 | 1,767,521 | ||||||
4,939,871 | ||||||||
Application Software–2.4% | ||||||||
Citrix Systems, Inc.(a) | 33,966 | 2,323,614 | ||||||
Salesforce.com, Inc.(a) | 15,840 | 2,090,880 | ||||||
4,414,494 | ||||||||
Asset Management & Custody Banks–3.0% | ||||||||
Ameriprise Financial, Inc. | 53,359 | 3,070,811 | ||||||
Franklin Resources, Inc. | 21,967 | 2,442,950 | ||||||
5,513,761 | ||||||||
Automobile Manufacturers–1.0% | ||||||||
Ford Motor Co.(a) | 112,368 | 1,886,659 | ||||||
Biotechnology–3.8% | ||||||||
Dendreon Corp.(a) | 45,971 | 1,605,307 | ||||||
Gilead Sciences, Inc.(a) | 103,728 | 3,759,103 | ||||||
United Therapeutics Corp.(a) | 25,409 | 1,606,357 | ||||||
6,970,767 | ||||||||
Cable & Satellite–3.2% | ||||||||
Comcast Corp., Class A | 178,488 | 3,921,382 | ||||||
DIRECTV, Class A(a) | 51,625 | 2,061,386 | ||||||
5,982,768 | ||||||||
Casinos & Gaming–1.2% | ||||||||
Las Vegas Sands Corp.(a) | 47,746 | 2,193,929 | ||||||
Coal & Consumable Fuels–2.0% | ||||||||
Peabody Energy Corp. | 58,243 | 3,726,387 | ||||||
Communications Equipment–2.9% | ||||||||
Cisco Systems, Inc.(a) | 127,859 | 2,586,587 | ||||||
QUALCOMM, Inc. | 54,516 | 2,697,997 | ||||||
5,284,584 | ||||||||
Computer Hardware–8.1% | ||||||||
Apple, Inc.(a) | 46,555 | 15,016,781 | ||||||
Computer Storage & Peripherals–4.4% | ||||||||
EMC Corp.(a) | 212,142 | 4,858,052 | ||||||
SanDisk Corp.(a) | 32,223 | 1,606,639 | ||||||
Western Digital Corp.(a) | 47,726 | 1,617,911 | ||||||
8,082,602 | ||||||||
Construction & Engineering–0.2% | ||||||||
Foster Wheeler AG (Switzerland)(a) | 11,825 | 408,199 | ||||||
Construction & Farm Machinery & Heavy Trucks–2.3% | ||||||||
Cummins, Inc. | 14,983 | 1,648,280 | ||||||
Deere & Co. | 31,247 | 2,595,063 | ||||||
4,243,343 | ||||||||
Consumer Finance–0.7% | ||||||||
American Express Co. | 29,548 | 1,268,200 | ||||||
Data Processing & Outsourced Services–3.5% | ||||||||
Visa, Inc., Class A | 90,541 | 6,372,276 | ||||||
Diversified Banks–0.6% | ||||||||
Comerica, Inc. | 27,105 | 1,144,915 | ||||||
Electronic Manufacturing Services–0.3% | ||||||||
Tyco Electronics Ltd. (Switzerland) | 16,256 | 575,462 | ||||||
Fertilizers & Agricultural Chemicals–8.1% | ||||||||
Monsanto Co. | 109,314 | 7,612,627 | ||||||
Mosaic Co. | 21,976 | 1,678,088 | ||||||
Potash Corp. of Saskatchewan, Inc. (Canada) | 36,104 | 5,589,982 | ||||||
14,880,697 | ||||||||
General Merchandise Stores–1.6% | ||||||||
Dollar Tree, Inc.(a) | 26,010 | 1,458,641 | ||||||
Target Corp. | 26,123 | 1,570,776 | ||||||
3,029,417 | ||||||||
Gold–1.9% | ||||||||
Barrick Gold Corp. (Canada) | 66,104 | 3,515,411 | ||||||
Health Care Distributors–0.8% | ||||||||
McKesson Corp. | 21,968 | 1,546,108 | ||||||
Health Care Equipment–2.2% | ||||||||
Baxter International, Inc. | 39,403 | 1,994,580 | ||||||
Covidien PLC (Ireland) | 46,471 | 2,121,866 | ||||||
4,116,446 | ||||||||
Health Care Services–0.6% | ||||||||
Medco Health Solutions, Inc.(a) | 16,636 | 1,019,288 | ||||||
Shares | Value | |||||||
Hotels, Resorts & Cruise Lines–1.1% | ||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 34,279 | $ | 2,083,478 | |||||
Industrial Machinery–1.8% | ||||||||
Ingersoll-Rand PLC (Ireland) | 71,664 | 3,374,658 | ||||||
Internet Retail–2.3% | ||||||||
Amazon.com, Inc.(a) | 14,659 | 2,638,620 | ||||||
NetFlix, Inc.(a) | 8,719 | 1,531,928 | ||||||
4,170,548 | ||||||||
Internet Software & Services–5.4% | ||||||||
Baidu, Inc.–ADR (Cayman Islands)(a) | 48,952 | 4,725,336 | ||||||
Google, Inc., Class A(a) | 8,942 | 5,311,280 | ||||||
10,036,616 | ||||||||
IT Consulting & Other Services–1.4% | ||||||||
Cognizant Technology Solutions Corp., Class A(a) | 35,344 | 2,590,362 | ||||||
Managed Health Care–0.9% | ||||||||
UnitedHealth Group, Inc. | 45,582 | 1,645,966 | ||||||
Movies & Entertainment–0.9% | ||||||||
Walt Disney Co. | 42,458 | 1,592,600 | ||||||
Oil & Gas Drilling–1.6% | ||||||||
Transocean Ltd. (Switzerland)(a) | 43,065 | 2,993,448 | ||||||
Oil & Gas Equipment & Services–8.8% | ||||||||
Cameron International Corp.(a) | 46,341 | 2,350,879 | ||||||
Halliburton Co. | 101,329 | 4,137,263 | ||||||
National Oilwell Varco, Inc. | 35,799 | 2,407,483 | ||||||
Schlumberger Ltd. (Netherlands Antilles) | 50,387 | 4,207,314 | ||||||
Weatherford International Ltd. (Switzerland)(a) | 135,280 | 3,084,384 | ||||||
16,187,323 | ||||||||
Oil & Gas Exploration & Production–1.7% | ||||||||
EOG Resources, Inc. | 33,284 | 3,042,490 | ||||||
Other Diversified Financial Services–1.2% | ||||||||
JPMorgan Chase & Co. | 51,936 | 2,203,125 | ||||||
Packaged Foods & Meats–2.1% | ||||||||
Mead Johnson Nutrition Co. | 62,273 | 3,876,494 | ||||||
Pharmaceuticals–2.3% | ||||||||
Hospira, Inc.(a) | 54,074 | 3,011,381 | ||||||
Teva Pharmaceutical Industries Ltd.–ADR (Israel) | 25,231 | 1,315,292 | ||||||
4,326,673 | ||||||||
Railroads–1.9% | ||||||||
Union Pacific Corp. | 38,787 | 3,594,003 | ||||||
Restaurants–0.8% | ||||||||
McDonald’s Corp. | 19,232 | 1,476,248 | ||||||
Semiconductors–2.2% | ||||||||
Broadcom Corp., Class A | 46,174 | 2,010,878 | ||||||
Xilinx, Inc. | 72,653 | 2,105,484 | ||||||
4,116,362 | ||||||||
Soft Drinks–1.0% | ||||||||
Hansen Natural Corp.(a) | 11,766 | 615,127 | ||||||
PepsiCo, Inc. | 18,897 | 1,234,541 | ||||||
1,849,668 | ||||||||
Specialty Stores–0.7% | ||||||||
Tiffany & Co. | 19,468 | 1,212,272 | ||||||
Systems Software–6.0% | ||||||||
Oracle Corp. | 163,495 | 5,117,393 | ||||||
Red Hat, Inc.(a) | 37,149 | 1,695,852 | ||||||
Rovi Corp.(a) | 70,268 | 4,357,319 | ||||||
11,170,564 | ||||||||
Trading Companies & Distributors–1.1% | ||||||||
WW Grainger, Inc. | 14,936 | 2,062,811 | ||||||
Trucking–0.6% | ||||||||
J.B. Hunt Transport Services, Inc. | 28,898 | 1,179,327 | ||||||
Wireless Telecommunication Services–2.5% | ||||||||
America Movil SAB de CV, Ser L–ADR (Mexico) | 34,602 | 1,984,079 | ||||||
American Tower Corp., Class A(a) | 52,254 | 2,698,396 | ||||||
4,682,475 | ||||||||
Total Common Stocks | 204,453,317 | |||||||
Investment Companies–0.0% | ||||||||
SPDR S&P 500 ETF Trust | 79 | 9,936 | ||||||
TOTAL INVESTMENTS–110.6% (Cost $159,930,645) | 204,463,253 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS–(10.6%) | (19,673,290 | ) | ||||||
NET ASSETS–100.0% | $ | 184,789,963 | ||||||
ADR | – American Depositary Receipt |
(a) | Non-income producing security. |
Assets: | ||||
Investments, at Value (Cost $159,930,645) | $ | 204,463,253 | ||
Receivables: | ||||
Investments sold | 928,614 | |||
Dividends | 118,739 | |||
Fund shares sold | 30,981 | |||
Other | 3,148 | |||
Total assets | 205,544,735 | |||
Liabilities: | ||||
Payables: | ||||
Fund shares repurchased | 19,793,432 | |||
Custodian bank | 474,907 | |||
Distributor and affiliates | 344,150 | |||
Investments purchased | 70,119 | |||
Trustees’ deferred compensation and retirement plans | 1,972 | |||
Accrued expenses | 70,192 | |||
Total liabilities | 20,754,772 | |||
Net assets | $ | 184,789,963 | ||
Net assets consist of: | ||||
Capital (par value of $0.001 per share with an unlimited number of shares authorized) | $ | 177,091,719 | ||
Net unrealized appreciation | 44,532,608 | |||
Accumulated net investment income (loss) | (3,976 | ) | ||
Accumulated net realized gain (loss) | (36,830,388 | ) | ||
Net assets | $ | 184,789,963 | ||
Net assets value, offering price and redemption price per share: | ||||
Series I shares (based on net assets of $74,869,582 and 2,202,200 shares of beneficial interest issued and outstanding) | $ | 34.00 | ||
Series II shares (based on net assets of $109,920,381 and 3,282,411 shares of beneficial interest issued and outstanding) | $ | 33.49 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $7,521) | $ | 1,617,732 | ||
Dividends from affiliated money market funds (includes securities lending income of $262) | 9,960 | |||
Interest | 7,551 | |||
Total Income | 1,635,243 | |||
Expenses: | ||||
Investment advisory fee | 1,298,114 | |||
Administrative services fees | 270,967 | |||
Distribution fees — Series II | 266,074 | |||
Professional fees | 28,000 | |||
Trustees’ and officers’ fees and benefits | 21,564 | |||
Transfer agent fees | 20,165 | |||
Custody | 19,021 | |||
Other | 18,844 | |||
Total expenses | 1,942,749 | |||
Expense reduction | 212,825 | |||
Less credits earned on cash balances | 33 | |||
Net expenses | 1,729,891 | |||
Net investment income (loss) | (94,648 | ) | ||
Realized and unrealized gain (loss): | ||||
Realized gain (loss): | ||||
Investments | (8,103,258 | ) | ||
Foreign currency transactions | (33,250 | ) | ||
Net realized gain (loss) | (8,136,508 | ) | ||
Unrealized appreciation (depreciation): | ||||
Beginning of the period | 1,387,413 | |||
End of the period | 44,532,608 | |||
Net unrealized appreciation during the period | 43,145,195 | |||
Net realized and unrealized gain | 35,008,687 | |||
Net increase in net assets from operations | $ | 34,914,039 | ||
2010 | 2009 | |||||||
From investment activities: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (94,648 | ) | $ | 42,137 | |||
Net realized gain (loss) | (8,136,508 | ) | (9,935,026 | ) | ||||
Net unrealized appreciation during the period | 43,145,195 | 86,278,618 | ||||||
Change in net assets from operations | 34,914,039 | 76,385,729 | ||||||
Distributions from net investment income: | ||||||||
Series I Shares | 0 | (60,146 | ) | |||||
Series II Shares | 0 | 0 | ||||||
0 | (60,146 | ) | ||||||
Return of capital distributions: | ||||||||
Series I Shares | 0 | (11,587 | ) | |||||
Series II Shares | 0 | 0 | ||||||
0 | (11,587 | ) | ||||||
Total distributions | 0 | (71,733 | ) | |||||
Net change in net assets from investment activities | 34,914,039 | 76,313,996 | ||||||
From capital transactions: | ||||||||
Proceeds from shares sold | 28,307,106 | 32,081,935 | ||||||
Net asset value of shares issued through dividend reinvestment | 0 | 71,733 | ||||||
Cost of shares repurchased | (65,178,569 | ) | (39,516,705 | ) | ||||
Net change in net assets from capital transactions | (36,871,463 | ) | (7,363,037 | ) | ||||
Total increase (decrease) in net assets | (1,957,424 | ) | 68,950,959 | |||||
Net assets: | ||||||||
Beginning of the period | 186,747,387 | 117,796,428 | ||||||
End of the period (including accumulated undistributed net investment income (loss) of $(3,976) and $(182,289), respectively) | $ | 184,789,963 | $ | 186,747,387 | ||||
Series I sharesˆ | ||||||||||||||||||||
Years ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net asset value, beginning of the period | $ | 28.37 | $ | 17.10 | $ | 33.68 | $ | 28.81 | $ | 28.01 | ||||||||||
Net investment income (loss)(a) | 0.03 | 0.04 | (0.01 | ) | 0.11 | 0.04 | ||||||||||||||
Net realized and unrealized gain (loss) | 5.60 | 11.26 | (16.43 | ) | 4.77 | 0.76 | ||||||||||||||
Total from investment operations | 5.63 | 11.30 | (16.44 | ) | 4.88 | 0.80 | ||||||||||||||
Less: | ||||||||||||||||||||
Distributions from net investment income | -0- | 0.03 | 0.14 | 0.01 | -0- | |||||||||||||||
Return of capital distributions | -0- | 0.00 | (b) | -0- | -0- | -0- | ||||||||||||||
Total distributions | -0- | 0.03 | 0.14 | 0.01 | -0- | |||||||||||||||
Net asset value, end of the period | $ | 34.00 | $ | 28.37 | $ | 17.10 | $ | 33.68 | $ | 28.81 | ||||||||||
Total return* | 19.84 | %(c) | 66.07 | % | (48.99 | )% | 16.96 | % | 2.86 | % | ||||||||||
Net assets at end of the period (in millions) | $ | 74.9 | $ | 74.2 | $ | 48.6 | $ | 143.6 | $ | 160.5 | ||||||||||
Ratio of expenses to average net assets* | 0.79 | %(d) | 0.84 | % | 0.85 | % | 0.80 | % | 0.78 | % | ||||||||||
Ratio of net Investment Income (loss) to Average Net Assets* | 0.12 | %(d) | 0.17 | % | (0.04 | )% | 0.35 | % | 0.16 | % | ||||||||||
Portfolio turnover(e) | 158 | % | 13 | % | 42 | % | 177 | % | 128 | % | ||||||||||
* If certain expenses had not been assumed by the Adviser, total returns would have been lower and the ratios would have been as follows: | ||||||||||||||||||||
Ratio of expenses to average net assets | 0.90 | %(d) | N/A | 0.87 | % | N/A | N/A | |||||||||||||
Ratio of net investment income to average net assets | 0.24 | %(d) | N/A | (0.02 | )% | N/A | N/A | |||||||||||||
(a) | Based on average shares outstanding. | |
(b) | Amount is less than $0.01 per share. | |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(d) | Ratios are annualized and based on average daily net assets (000’s omitted) of $79,179. | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
ˆ | On June 1, 2010, the Class I shares of the predecessor fund was reorganized into Series I shares of the Fund. |
Series II sharesˆ | ||||||||||||||||||||
Years ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net asset value, beginning of the period | $ | 28.01 | $ | 16.91 | $ | 33.29 | $ | 28.54 | $ | 27.81 | ||||||||||
Net investment income (loss)(a) | (0.05 | ) | (0.02 | ) | (0.08 | ) | 0.03 | (0.02 | ) | |||||||||||
Net realized and unrealized gain (loss) | 5.53 | 11.12 | (16.25 | ) | 4.72 | 0.75 | ||||||||||||||
Total from investment operations | 5.48 | 11.10 | (16.33 | ) | 4.75 | 0.73 | ||||||||||||||
Less: | ||||||||||||||||||||
Distributions from net investment income | -0- | -0- | 0.05 | -0- | -0- | |||||||||||||||
Net asset value, end of the period | $ | 33.49 | $ | 28.01 | $ | 16.91 | $ | 33.29 | $ | 28.54 | ||||||||||
Total return* | 19.56 | %(b) | 65.64 | %(c) | (49.11 | )%(c) | 16.64 | %(c) | 2.62 | %(c) | ||||||||||
Net assets at end of the period (in millions) | $ | 109.9 | $ | 112.5 | $ | 69.2 | $ | 261.2 | $ | 257.4 | ||||||||||
Ratio of expenses to average net assets* | 1.04 | %(d) | 1.09 | % | 1.10 | % | 1.05 | % | 1.03 | % | ||||||||||
Ratio of net investment income (loss) to average net assets* | (0.18 | )%(d) | (0.07 | )% | (0.29 | )% | 0.11 | % | (0.09 | )% | ||||||||||
Portfolio turnover(e) | 158 | % | 13 | % | 42 | % | 177 | % | 128 | % | ||||||||||
* If certain expenses had not been assumed by the Adviser, total returns would have been lower and the ratios would have been as follows: | ||||||||||||||||||||
Ratio of expenses to average net assets | 1.15 | %(d) | N/A | 1.12 | % | N/A | N/A | |||||||||||||
Ratio of net investment income to average net assets | (0.07 | )%(d) | N/A | (0.27 | )% | N/A | N/A | |||||||||||||
(a) | Based on average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | These returns include combined Rule 12b-1 fees and service fees of up to 0.25%. | |
(d) | Ratios are annualized and based on average daily net assets (000’s omitted) of $106,430. | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
ˆ | On June 1, 2010, the Class II shares of the predecessor fund was reorganized into Series II shares of the Fund. |
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. |
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. |
Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | ||
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. |
Average Net Assets | Rate | |||
First $500 million | 0 | .70% | ||
Next $500 million | 0 | .65% | ||
Over $1 billion | 0 | .60% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 204,463,253 | $ | — | $ | — | $ | 204,463,253 | ||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 0 | $ | 60,146 | ||||
Return of Capital | 0 | 11,587 | ||||||
Total distributions | $ | 0 | $ | 71,733 | ||||
2010 | ||||
Net unrealized appreciation — investments | $ | 41,701,852 | ||
Temporary book/tax differences | (3,976 | ) | ||
Capital loss carryforward | (33,999,632 | ) | ||
Shares of beneficial interest | 177,091,719 | |||
Total net assets | $ | 184,789,963 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2011 | $ | 1,891,381 | ||
December 31, 2016 | 12,927,582 | |||
December 31, 2017 | 5,236,281 | |||
December 31, 2018 | 13,944,388 | |||
Total capital loss carryforward | $ | 33,999,632 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 42,554,777 | ||
Aggregate unrealized (depreciation) of investment securities | (852,925 | ) | ||
Net unrealized appreciation of investment securities | $ | 41,701,852 | ||
Cost of investments for tax purposes is $162,761,401. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sales: | ||||||||||||||||
Series I | 727,223 | $ | 20,626,860 | 707,974 | $ | 14,460,316 | ||||||||||
Series II | 260,787 | 7,680,246 | 797,284 | 17,621,619 | ||||||||||||
Total Sales | 988,010 | 28,307,106 | 1,505,258 | 32,081,935 | ||||||||||||
Dividend Reinvestment: | ||||||||||||||||
Series I | 0 | 0 | 2,584 | 71,733 | ||||||||||||
Series II | 0 | 0 | 0 | 0 | ||||||||||||
Total Dividend Reinvestment | 0 | 0 | 2,584 | 71,733 | ||||||||||||
Repurchases: | ||||||||||||||||
Series I | (1,140,807 | ) | (36,269,219 | ) | (937,388 | ) | (20,613,290 | ) | ||||||||
Series II | (995,335 | ) | (28,909,350 | ) | (873,368 | ) | (18,903,415 | ) | ||||||||
Total Repurchases | (2,136,142 | ) | $ | (65,178,569 | ) | (1,810,756 | ) | $ | (39,516,705 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 67% of the outstanding shares of the Fund. IDI has an agreement with these entities to sell Fund shares. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as securities brokerage, distribution, third party record keeping and account servicing. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
ACTUAL | (5% annual return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Series | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period3 | Ratio | ||||||||||||||||||||||||
I | $ | 1,000.00 | $ | 1,250.00 | $ | 4.48 | $ | 1,021.22 | $ | 4.02 | 0.79 | % | ||||||||||||||||||
II | 1,000.00 | 1,248.23 | 5.95 | 1,019.91 | 5.35 | 1.05 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
3 | Hypothetical expenses are equal to the annualized expense ratio indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect a one-half year period. |
Federal and State Income Tax | ||||
Long-Term Capital Gain Dividends | $ | 0 | ||
Corporate Dividends Received Deduction* | 0% | |||
U.S. Treasury Obligations* | 0% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | �� | 208 | Director, Reich & Tang Funds (16 portfolios) | |||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 15.98 | % | ||
Series II Shares | 15.70 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
Russell 1000 Value Index▼ (Style-Specific Index) | 15.51 |
▼ | Lipper Inc. |
Financials | 20.3 | % | ||
Consumer Discretionary | 17.0 | |||
Health Care | 11.4 | |||
Energy | 10.1 | |||
Information Technology | 10.0 | |||
Consumer Staples | 9.0 | |||
Industrials | 6.6 | |||
Materials | 5.0 | |||
Telecommunication Services | 3.8 | |||
Utilities | 1.2 | |||
Money Market Funds Plus Other Assets | ||||
Less Liabilities | 5.6 |
1. | Pharmaceuticals | 7.8 | % | |||||
2. | Cable & Satellite | 7.1 | ||||||
3. | Movies & Entertainment | 6.2 | ||||||
4. | Integrated Oil & Gas | 6.1 | ||||||
5. | Other Diversified Financial Services | 6.1 |
1. | Comcast Corp. | 5.0 | % | |||||
2. | Viacom, Inc. | 3.5 | ||||||
3. | JPMorgan Chase & Co. | 2.9 | ||||||
4. | International Paper Co. | 2.8 | ||||||
5. | Pfizer, Inc. | 2.4 | ||||||
6. | Halliburton Co. | 2.4 | ||||||
7. | Kraft Foods, Inc. | 2.2 | ||||||
8. | Chubb Corp. | 2.2 | ||||||
9. | Chevron Corp. | 2.0 | ||||||
10. | Bank of New York Mellon Corp. | 2.0 |
Total Net Assets | $1.9 billion | |||
Total Number of Holdings* | 77 |
*Excluding money market fund holdings.
n | If the security is statistically cheap on the basis of its primary valuation criteria, which depends upon the cyclical or growth nature of its business. | |
n | If rigorous fundamental analysis shows that the company is undervalued and possesses potential financial strength and improved quality of management for future growth. |
n | The target price has been realized, and we no longer consider the company undervalued. | |
n | A better value opportunity can be found elsewhere. | |
n | A company is experiencing deteriorating fundamentals beyond what we feel to be a tolerable level and the trend is likely to be a long-term issue. |
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco Van Kampen V.I. Comstock Fund. Mr. Holt joined Invesco in 2010. He earned a bachelor’s degree from the University of Iowa and an M.B.A. from the University of Chicago Graduate School of Business.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Comstock Fund. Mr. Armstrong joined Invesco in 2010. He earned a B.S. in psychology and finance from the University of Illinois and an M.B.A. in finance from Columbia University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Comstock Fund. Mr. Leder joined Invesco in 2010. He earned a bachelor’s degree from The University of Texas and an M.B.A. from Columbia University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Comstock Fund. Mr. Seinsheimer joined Invesco in 1998. He earned a B.B.A. from Southern Methodist University and an M.B.A. from The University of Texas at Austin.
Portfolio manager, is manager of Invesco Van Kampen V.I. Comstock Fund. Mr. Warwick joined Invesco in 2010. He earned a B.B.A. from Stephen F. Austin State University and an M.B.A. from the University of Houston.
Series I Shares | ||||||||
Inception (4/30/99) | 4.66 | % | ||||||
10 | Years | 3.33 | ||||||
5 | Years | 1.82 | ||||||
1 | Year | 15.98 | ||||||
Series II Shares | ||||||||
Inception (9/18/00) | 4.58 | % | ||||||
10 | Years | 3.07 | ||||||
5 | Years | 1.57 | ||||||
1 | Year | 15.70 |
1 | Total annual fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Description | Shares | Value | ||||||
Common Stocks–94.4% | ||||||||
Aerospace & Defense–1.2% | ||||||||
Honeywell International, Inc. | 442,009 | $ | 23,497,198 | |||||
Aluminum–1.8% | ||||||||
Alcoa, Inc. | 2,171,150 | 33,413,999 | ||||||
Asset Management & Custody Banks–2.4% | ||||||||
Bank of New York Mellon Corp. | 1,266,062 | 38,235,072 | ||||||
State Street Corp. | 150,700 | 6,983,438 | ||||||
45,218,510 | ||||||||
Automobile Manufacturers–0.7% | ||||||||
General Motors Co.(a) | 369,827 | 13,631,823 | ||||||
Cable & Satellite–7.1% | ||||||||
Comcast Corp., Class A | 4,307,264 | 94,630,590 | ||||||
DIRECTV, Class A(a) | 276,044 | 11,022,437 | ||||||
Time Warner Cable, Inc. | 435,982 | 28,787,891 | ||||||
134,440,918 | ||||||||
Communications Equipment–0.8% | ||||||||
Cisco Systems, Inc.(a) | 787,356 | 15,928,212 | ||||||
Computer Hardware–2.7% | ||||||||
Dell, Inc.(a) | 1,391,004 | 18,848,104 | ||||||
Hewlett-Packard Co. | 781,505 | 32,901,361 | ||||||
51,749,465 | ||||||||
Data Processing & Outsourced Services–0.3% | ||||||||
Western Union Co. | 285,542 | 5,302,515 | ||||||
Department Stores–0.8% | ||||||||
J.C. Penney Co., Inc. | 270,766 | 8,748,449 | ||||||
Macy’s, Inc. | 260,165 | 6,582,175 | ||||||
15,330,624 | ||||||||
Diversified Banks–1.8% | ||||||||
U.S. Bancorp | 481,681 | 12,990,936 | ||||||
Wells Fargo & Co. | 683,627 | 21,185,601 | ||||||
34,176,537 | ||||||||
Diversified Chemicals–0.4% | ||||||||
Du Pont (E.I.) de Nemours & Co. | 149,399 | 7,452,022 | ||||||
Drug Retail–1.5% | ||||||||
CVS Caremark Corp. | 821,450 | 28,561,817 | ||||||
Electric Utilities–1.0% | ||||||||
American Electric Power Co., Inc. | 132,400 | 4,763,752 | ||||||
FirstEnergy Corp. | 368,689 | 13,648,867 | ||||||
18,412,619 | ||||||||
Electrical Components & Equipment–0.8% | ||||||||
Emerson Electric Co. | 269,775 | 15,423,037 | ||||||
General Merchandise Stores–0.4% | ||||||||
Target Corp. | 117,878 | 7,088,004 | ||||||
Health Care Distributors–1.3% | ||||||||
Cardinal Health, Inc. | 650,265 | 24,911,652 | ||||||
Home Improvement Retail–1.7% | ||||||||
Home Depot, Inc. | 462,571 | 16,217,739 | ||||||
Lowe’s Cos., Inc. | 668,721 | 16,771,523 | ||||||
32,989,262 | ||||||||
Household Products–0.3% | ||||||||
Procter & Gamble Co. | 83,774 | 5,389,181 | ||||||
Hypermarkets & Super Centers–1.5% | ||||||||
Wal-Mart Stores, Inc. | 529,163 | 28,537,761 | ||||||
Industrial Conglomerates–3.3% | ||||||||
General Electric Co. | 1,350,889 | 24,707,760 | ||||||
Textron, Inc. | 507,726 | 12,002,642 | ||||||
Tyco International Ltd. (Switzerland) | 605,400 | 25,087,776 | ||||||
61,798,178 | ||||||||
Industrial Machinery–1.3% | ||||||||
Ingersoll-Rand PLC (Ireland) | 523,514 | 24,652,274 | ||||||
Integrated Oil & Gas–6.1% | ||||||||
BP PLC–ADR (United Kingdom) | 395,268 | 17,458,988 | ||||||
Chevron Corp. | 422,300 | 38,534,875 | ||||||
ConocoPhillips | 258,823 | 17,625,846 | ||||||
Royal Dutch Shell PLC–ADR (United Kingdom) | 428,734 | 28,630,857 | ||||||
Total SA–ADR (France) | 244,455 | 13,073,453 | ||||||
115,324,019 | ||||||||
Integrated Telecommunication Services–3.0% | ||||||||
AT&T, Inc. | 831,910 | 24,441,516 | ||||||
Verizon Communications, Inc. | 884,022 | 31,630,307 | ||||||
56,071,823 | ||||||||
Internet Software & Services–3.6% | ||||||||
eBay, Inc.(a) | 1,339,119 | 37,267,682 | ||||||
Yahoo!, Inc.(a) | 1,839,885 | 30,597,287 | ||||||
67,864,969 | ||||||||
Investment Banking & Brokerage–2.2% | ||||||||
Goldman Sachs Group, Inc. | 127,679 | 21,470,500 | ||||||
Morgan Stanley | 720,732 | 19,611,118 | ||||||
41,081,618 | ||||||||
Description | Shares | Value | ||||||
IT Consulting & Other Services–0.5% | ||||||||
Accenture PLC, Class A (Ireland) | 192,000 | $ | 9,310,080 | |||||
Life & Health Insurance–2.9% | ||||||||
Aflac, Inc. | 165,873 | 9,360,214 | ||||||
MetLife, Inc. | 635,000 | 28,219,400 | ||||||
Torchmark Corp. | 288,637 | 17,243,174 | ||||||
54,822,788 | ||||||||
Managed Health Care–2.3% | ||||||||
UnitedHealth Group, Inc. | 858,158 | 30,988,085 | ||||||
WellPoint, Inc.(a) | 203,851 | 11,590,968 | ||||||
42,579,053 | ||||||||
Movies & Entertainment–6.2% | ||||||||
News Corp., Class B | 1,522,447 | 24,998,580 | ||||||
Time Warner, Inc. | 782,715 | 25,179,942 | ||||||
Viacom, Inc., Class B | 1,689,153 | 66,907,350 | ||||||
117,085,872 | ||||||||
Multi-Utilities–0.3% | ||||||||
Sempra Energy | 103,200 | 5,415,936 | ||||||
Oil & Gas Drilling–0.5% | ||||||||
Noble Corp. (Switzerland) | 260,631 | 9,322,771 | ||||||
Oil & Gas Equipment & Services–3.5% | ||||||||
Halliburton Co. | 1,089,468 | 44,482,978 | ||||||
Weatherford International Ltd. (Switzerland)(a) | 939,816 | 21,427,805 | ||||||
65,910,783 | ||||||||
Other Diversified Financial Services–6.1% | ||||||||
Bank of America Corp. | 2,559,420 | 34,142,663 | ||||||
Citigroup, Inc.(a) | 5,655,647 | 26,751,210 | ||||||
JPMorgan Chase & Co. | 1,277,737 | 54,201,604 | ||||||
115,095,477 | ||||||||
Packaged Foods & Meats–3.9% | ||||||||
Kraft Foods, Inc., Class A | 1,345,953 | 42,410,979 | ||||||
Unilever NV (Netherlands) | 1,001,477 | 31,446,378 | ||||||
73,857,357 | ||||||||
Paper Products–2.8% | ||||||||
International Paper Co. | 1,955,567 | 53,269,645 | ||||||
Personal Products–0.5% | ||||||||
Avon Products, Inc. | 302,379 | 8,787,134 | ||||||
Pharmaceuticals–7.8% | ||||||||
Abbott Laboratories | 260,729 | 12,491,526 | ||||||
Bristol-Myers Squibb Co. | 1,381,539 | 36,583,153 | ||||||
GlaxoSmithKline PLC–ADR (United Kingdom) | 256,212 | 10,048,635 | ||||||
Merck & Co., Inc. | 877,566 | 31,627,479 | ||||||
Pfizer, Inc. | 2,627,971 | 46,015,772 | ||||||
Roche Holdings AG–ADR (Switzerland) | 304,098 | 11,174,081 | ||||||
147,940,646 | ||||||||
Property & Casualty Insurance–3.5% | ||||||||
Chubb Corp. | 688,461 | 41,059,814 | ||||||
Travelers Cos., Inc. | 461,393 | 25,704,204 | ||||||
66,764,018 | ||||||||
Regional Banks–1.4% | ||||||||
PNC Financial Services Group, Inc. | 420,718 | 25,545,997 | ||||||
Semiconductor Equipment–0.5% | ||||||||
KLA-Tencor Corp. | 251,619 | 9,722,558 | ||||||
Semiconductors–0.9% | ||||||||
Intel Corp. | 843,581 | 17,740,508 | ||||||
Soft Drinks–1.3% | ||||||||
Coca-Cola Co. | 294,419 | 19,363,938 | ||||||
PepsiCo, Inc. | 81,100 | 5,298,263 | ||||||
24,662,201 | ||||||||
Systems Software–0.6% | ||||||||
Microsoft Corp. | 392,938 | 10,970,829 | ||||||
Wireless Telecommunication Services–0.9% | ||||||||
Vodafone Group PLC–ADR (United Kingdom) | 624,100 | 16,494,963 | ||||||
Total Long-Term Investments–94.4% (Cost $1,831,078,923) | 1,783,546,653 | |||||||
Money Market Funds–2.7% | ||||||||
Liquid Assets Portfolio–Institutional Class(b) | 25,138,477 | 25,138,477 | ||||||
Premier Portfolio–Institutional Class(b) | 25,138,477 | 25,138,477 | ||||||
Total Money Market Funds–2.7% (Cost $50,276,954) | 50,276,954 | |||||||
TOTAL INVESTMENTS–97.1% (Cost $1,881,355,877) | 1,833,823,607 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES–2.9% | 54,282,193 | |||||||
NET ASSETS–100.0% | $ | 1,888,105,800 | ||||||
ADR | – American Depositary Receipt |
(a) | Non-income producing security. | |
(b) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $1,831,078,923) | $ | 1,783,546,653 | ||
Investments in affiliated money market funds, at value and cost | 50,276,954 | |||
Receivables: | ||||
Fund shares sold | 66,850,173 | |||
Dividends | 2,072,213 | |||
Investments sold | 1,635,639 | |||
Expense reimbursement from adviser | 23,436 | |||
Other | 3,533 | |||
Total assets | 1,904,408,601 | |||
Liabilities: | ||||
Payables: | ||||
Fund shares repurchased | 9,106,182 | |||
Distributor and affiliates | 3,578,675 | |||
Investments purchased | 2,996,424 | |||
Accrued expenses | 610,324 | |||
Trustees’ deferred compensation and retirement plans | 11,196 | |||
Total liabilities | 16,302,801 | |||
Net assets | $ | 1,888,105,800 | ||
Net assets consist of: | ||||
Capital (par value of $0.001 per share with an unlimited number of shares authorized) | $ | 2,469,055,472 | ||
Accumulated undistributed net investment income | 25,786,214 | |||
Net unrealized appreciation (depreciation) | (47,532,270 | ) | ||
Accumulated net realized gain (loss) | (559,203,616 | ) | ||
Net assets | $ | 1,888,105,800 | ||
Net assets value, offering price and redemption price per share: | ||||
Series I shares (based on net assets of $223,354,399 and 19,074,216 shares of beneficial interest issued and outstanding) | $ | 11.71 | ||
Series II shares (based on net assets of $1,664,751,401 and 142,696,911 shares of beneficial interest issued and outstanding) | $ | 11.67 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $557,197) | $ | 42,374,126 | ||
Dividends from affiliated money market funds | 44,905 | |||
Interest | 38,074 | |||
Total income | 42,457,105 | |||
Expenses: | ||||
Investment advisory fee | 10,932,828 | |||
Distribution fees | 4,502,277 | |||
Administrative services fees | 2,914,907 | |||
Custody | 140,727 | |||
Trustees’ and officers’ fees and benefits | 76,691 | |||
Professional fees | 74,654 | |||
Transfer agent fees | 21,781 | |||
Other | 63,313 | |||
Total expenses | 18,727,178 | |||
Expense reduction | 2,400,396 | |||
Net expenses | 16,326,782 | |||
Net investment income | 26,130,323 | |||
Realized and unrealized gain (loss): | ||||
Realized gain (loss): | ||||
Investments | 65,761,794 | |||
Futures contracts | (11,884,840 | ) | ||
Net realized gain | 53,876,954 | |||
Unrealized appreciation (depreciation): | ||||
Beginning of the period | (217,426,062 | ) | ||
End of the period | (47,532,270 | ) | ||
Net unrealized appreciation during the period | 169,893,792 | |||
Net realized and unrealized gain | 223,770,746 | |||
Net increase in net assets from operations | $ | 249,901,069 | ||
For the Year Ended | For the Year Ended | |||||||
December 31, | December 31, | |||||||
2010 | 2009 | |||||||
From investment activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 26,130,323 | $ | 36,407,520 | ||||
Net realized gain (loss) | 53,876,954 | (111,063,024 | ) | |||||
Net unrealized appreciation during the period | 169,893,792 | 592,297,754 | ||||||
Change in net assets from operations | 249,901,069 | 517,642,250 | ||||||
Distributions from net investment income: | ||||||||
Series I shares | (193,186 | ) | (8,041,700 | ) | ||||
Series II shares | (2,889,112 | ) | (95,569,652 | ) | ||||
Total distributions | (3,082,298 | ) | (103,611,352 | ) | ||||
Net change in net assets from investment activities | 246,818,771 | 414,030,898 | ||||||
From capital transactions: | ||||||||
Proceeds from shares sold | 166,714,822 | 193,807,400 | ||||||
Net asset value of shares issued through dividend reinvestment | 3,082,298 | 103,611,352 | ||||||
Cost of shares repurchased | (841,889,841 | ) | (859,429,553 | ) | ||||
Net change in net assets from capital transactions | (672,092,721 | ) | (562,010,801 | ) | ||||
Total increase (decrease) in net assets | (425,273,950 | ) | (147,979,903 | ) | ||||
Net Assets: | ||||||||
Beginning of the period | 2,313,379,750 | 2,461,359,653 | ||||||
End of the period (including accumulated undistributed net investment income of $25,786,214 and $2,743,906, respectively) | $ | 1,888,105,800 | $ | 2,313,379,750 | ||||
Series I Sharesˆ | ||||||||||||||||||||
Year ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.11 | $ | 8.25 | $ | 13.86 | $ | 14.75 | $ | 13.69 | ||||||||||
Net investment income(a) | 0.17 | 0.16 | 0.26 | 0.30 | 0.30 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.44 | 2.12 | (4.93 | ) | (0.60 | ) | 1.81 | |||||||||||||
Total from investment operations | 1.61 | 2.28 | (4.67 | ) | (0.30 | ) | 2.11 | |||||||||||||
Less: | ||||||||||||||||||||
Distributions from net investment income | 0.01 | 0.42 | 0.30 | 0.26 | 0.21 | |||||||||||||||
Distributions from net realized gain | -0- | -0- | 0.64 | 0.33 | 0.84 | |||||||||||||||
Total distributions | 0.01 | 0.42 | 0.94 | 0.59 | 1.05 | |||||||||||||||
Net asset value, end of the period | $ | 11.71 | $ | 10.11 | $ | 8.25 | $ | 13.86 | $ | 14.75 | ||||||||||
Total return* | 15.98 | %(b) | 28.78 | % | (35.67 | )% | (2.04 | )% | 16.28 | % | ||||||||||
Net assets at end of the period (in millions) | $ | 223.4 | $ | 148.1 | $ | 192.5 | $ | 309.6 | $ | 400.7 | ||||||||||
Ratio of expenses to average net assets* | 0.61 | %(c) | 0.62 | % | 0.60 | % | 0.59 | % | 0.59 | % | ||||||||||
Ratio of net investment income to average net assets* | 1.58 | %(c) | 1.91 | % | 2.38 | % | 2.03 | % | 2.17 | % | ||||||||||
Portfolio turnover(d) | 21 | % | 27 | % | 38 | % | 25 | % | 27 | % | ||||||||||
* If certain expenses had not been assumed by the adviser, total returns would have been lower and the ratios would have been as follows: | ||||||||||||||||||||
Ratio of expenses to average net assets | 0.73 | %(c) | N/A | N/A | N/A | N/A | ||||||||||||||
Ratio of net investment income to average net assets | 1.70 | %(c) | N/A | N/A | N/A | N/A | ||||||||||||||
(a) | Based on average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Ratios are annualized and based on average daily net assets (000’s omitted) of $144,501. | |
(d) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
ˆ | On June 1, 2010, the Class I shares of the predecessor fund were reorganized into Series I shares of the Fund. |
Series II Sharesˆ | ||||||||||||||||||||
Year ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net asset value, beginning of the period | $ | 10.10 | $ | 8.22 | $ | 13.80 | $ | 14.70 | $ | 13.65 | ||||||||||
Net investment income(a) | 0.14 | 0.14 | 0.23 | 0.26 | 0.26 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.44 | 2.11 | (4.91 | ) | (0.59 | ) | 1.81 | |||||||||||||
Total from investment operations | 1.58 | 2.25 | (4.68 | ) | (0.33 | ) | 2.07 | |||||||||||||
Less: | ||||||||||||||||||||
Distributions from net investment income | 0.01 | 0.37 | 0.26 | 0.24 | 0.18 | |||||||||||||||
Distributions from net realized gain | -0- | -0- | 0.64 | 0.33 | 0.84 | |||||||||||||||
Total distributions | 0.01 | 0.37 | 0.90 | 0.57 | 1.02 | |||||||||||||||
Net asset value, end of the period | $ | 11.67 | $ | 10.10 | $ | 8.22 | $ | 13.80 | $ | 14.70 | ||||||||||
Total return* | 15.70 | %(b) | 28.41 | %(c) | (35.80 | )%(c) | (2.33 | )%(c) | 16.04 | %(c) | ||||||||||
Net assets at end of the period (in millions) | $ | 1,664.8 | $ | 2,165.3 | $ | 2,268.8 | $ | 3,521.5 | $ | 3,440.8 | ||||||||||
Ratio of expenses to average net assets* | 0.86 | %(d) | 0.87 | % | 0.85 | % | 0.84 | % | 0.84 | % | ||||||||||
Ratio of net investment income to average net assets* | 1.32 | %(d) | 1.63 | % | 2.13 | % | 1.78 | % | 1.91 | % | ||||||||||
Portfolio turnover(e) | 21 | % | 27 | % | 38 | % | 25 | % | 27 | % | ||||||||||
* If certain expenses had not been assumed by the adviser, total returns would have been lower and the ratios would have been as follows: | ||||||||||||||||||||
Ratio of expenses to average net assets | 0.98 | %(d) | N/A | N/A | N/A | N/A | ||||||||||||||
Ratio of net investment income to average net assets | 1.44 | %(d) | N/A | N/A | N/A | N/A | ||||||||||||||
(a) | Based on average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | These returns include combined Rule 12b-1 fees and service fees of up to 0.25%. | |
(d) | Ratios are annualized and based on average daily net assets (000’s omitted) of $1,800,911. | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
ˆ | On June 1, 2010, the Class II shares of the predecessor fund were reorganized into Series II shares of the Fund. |
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Futures Contracts — The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal counterparty risk since the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $500 million | 0 | .60% | ||
Over $500 million | 0 | .55% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 1,822,649,526 | $ | 11,174,081 | $ | — | $ | 1,833,823,607 | ||||||||
Location of Gain (Loss) on | ||||
Statement of Operations | ||||
Futures Contracts | ||||
Realized Gain (Loss) | ||||
Interest rate risk | $ | (11,884,840 | ) | |
2010 | 2009 | |||||||
Ordinary income | $ | 3,082,298 | $ | 103,611,352 | ||||
2010 | ||||
Undistributed ordinary income | $ | 25,920,907 | ||
Unrealized appreciation (depreciation) — investments | (57,574,491 | ) | ||
Temporary book/tax differences | (11,197 | ) | ||
Capital loss carryforward | (549,284,891 | ) | ||
Shares of beneficial interest | 2,469,055,472 | |||
Total net assets | $ | 1,888,105,800 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 208,187,062 | ||
December 31, 2017 | 341,097,829 | |||
Total capital loss carryforward | $ | 549,284,891 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 147,522,622 | ||
Aggregate unrealized (depreciation) of investment securities | (205,097,113 | ) | ||
Net unrealized depreciation of investment securities | $ | (57,574,491 | ) | |
Cost of investments for tax purposes is $1,891,398,098. |
Summary of Share Activity | ||||||||||||||||
For the | For the | |||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 30, 2010(a) | December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sales: | ||||||||||||||||
Series I | 7,436,847 | $ | 85,067,642 | 2,067,749 | $ | 18,516,951 | ||||||||||
Series II | 7,860,095 | 81,647,180 | 22,069,383 | 175,290,449 | ||||||||||||
Total Sales | 15,296,942 | $ | 166,714,822 | 24,137,132 | $ | 193,807,400 | ||||||||||
Dividend Reinvestment: | ||||||||||||||||
Series I | 18,487 | $ | 193,186 | 714,104 | $ | 8,041,700 | ||||||||||
Series II | 277,000 | 2,889,112 | 11,583,228 | 95,569,652 | ||||||||||||
Total Dividend Reinvestment | 295,487 | $ | 3,082,298 | 12,297,332 | $ | 103,611,352 | ||||||||||
Repurchases: | ||||||||||||||||
Series I | (3,029,626 | ) | $ | (31,801,304 | ) | (11,459,451 | ) | $ | (93,050,713 | ) | ||||||
Series II | (79,919,957 | ) | (810,088,537 | ) | (95,145,270 | ) | (766,378,840 | ) | ||||||||
Total Repurchases | (82,949,583 | ) | $ | (841,889,841 | ) | (106,604,721 | ) | $ | (859,429,553 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 77% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as securities brokerage, distribution, third party record keeping and account servicing. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Series | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
I | $ | 1,000.00 | $ | 1,230.04 | $ | 3.26 | $ | 1,022.28 | $ | 2.96 | 0.58 | % | ||||||||||||||||||
II | 1,000.00 | 1,229.72 | 4.66 | 1,021.02 | 4.23 | 0.83 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 100.00% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 12.11 | % | ||
Series II Shares | 12.03 | |||
Russell 1000 Value Index▼ | 15.51 | |||
Barclays Capital U.S. Government/Credit Index▼ | 6.59 | |||
▼Lipper Inc. |
as of December 31, 2010
Common Stocks & Other | ||||
Equity Interests | 65.1 | % | ||
U.S. Dollar Denominated Bonds | ||||
& Notes | 20.6 | |||
U.S. Treasury Securities | 7.1 | |||
Preferred Stocks | 2.0 | |||
U.S. Government Sponsored | ||||
Agency Securities | 0.8 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | 4.4 |
1. | JPMorgan Chase & Co. | 3.1 | % | |||||
2. | General Electric Co. | 2.6 | ||||||
3. | Marsh & McLennan Cos., Inc. | 2.1 | ||||||
4. | Viacom Inc. | 1.9 | ||||||
5. | Occidental Petroleum Corp. | 1.7 | ||||||
6. | Anadarko Petroleum Corp. | 1.5 | ||||||
7. | eBay, Inc. | 1.5 | ||||||
8. | Tyco International Ltd. | 1.3 | ||||||
9. | American Electric Power Co., Inc. | 1.3 | ||||||
10. | Royal Dutch Shell PLC | 1.3 |
1. | Other Diversified Financial Services | 6.4 | % | |||||
2. | Integrated Oil & Gas | 5.4 | ||||||
3. | Pharmaceuticals | 4.7 | ||||||
4. | Industrial Conglomerates | 4.6 | ||||||
5. | U.S. Treasury Notes | 3.9 |
Total Net Assets | $800.5 million | |||
Total Number of Holdings* | 324 |
*Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco Van Kampen V.I. Equity and Income Fund. Mr. Bastian joined Invesco in 2010.
He earned a B.A. in accounting from St. John’s University and an M.B.A. in finance from the University of Michigan.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Equity and Income Fund. Ms. Brien joined Invesco in 1996. She earned a B.B.A. from The University of Texas at Austin.
Portfolio manager, is manager of Invesco Van Kampen V.I. Equity and Income Fund. Mr. Burge joined Invesco in 2002. He earned a B.S. in economics from Texas A&M University and an M.B.A. in finance and accounting from Rice University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Equity and Income Fund. Mr. Laskin joined Invesco in 2010. He earned a B.A. in history from Swarthmore College and an M.B.A. and M.A. from the Wharton School and Lauder Institute, respectively, of the University of Pennsylvania.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Equity and Income Fund. Ms. Maly joined Invesco in 2010. She earned a B.A. from the University of Pittsburgh and an M.B.A. from the American Graduate School of International Management.
Portfolio manager, is manager of Invesco Van Kampen V.I. Equity and Income Fund. Mr. Marcheli joined Invesco in 2010. He earned a B.B.A. from the University of Houston and an M.B.A. from the University of St. Thomas.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Equity and Income Fund. Mr. Roeder joined Invesco in 2010. He earned a B.S. in accounting from Clemson University and an M.B.A. in economics and finance from the University of Chicago Graduate School of Business. Mr. Roeder is a Certified Public Accountant.
Series I Shares | ||||||||
Inception | 7.44 | % | ||||||
5 Years | 4.32 | |||||||
1 Year | 12.11 | |||||||
Series II Shares | ||||||||
Inception (4/30/03) | 7.43 | % | ||||||
5 Years | 4.31 | |||||||
1 Year | 12.03 | |||||||
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–65.17% | ||||||||
Air Freight & Logistics–0.35% | ||||||||
FedEx Corp. | 30,096 | $ | 2,799,229 | |||||
Asset Management & Custody Banks–0.74% | ||||||||
State Street Corp. | 127,886 | 5,926,237 | ||||||
Automobile Manufacturers–1.10% | ||||||||
Ford Motor Co.(b) | 287,686 | 4,830,248 | ||||||
General Motors Co.(b) | 107,542 | 3,963,998 | ||||||
8,794,246 | ||||||||
Cable & Satellite–2.04% | ||||||||
Comcast Corp.–Class A | 427,769 | 9,398,085 | ||||||
Time Warner Cable, Inc. | 104,659 | 6,910,634 | ||||||
16,308,719 | ||||||||
Communications Equipment–0.69% | ||||||||
Cisco Systems, Inc.(b) | 273,702 | 5,536,991 | ||||||
Computer Hardware–1.77% | ||||||||
Dell, Inc.(b) | 473,547 | 6,416,562 | ||||||
Hewlett-Packard Co. | 184,172 | 7,753,641 | ||||||
14,170,203 | ||||||||
Consumer Electronics–0.76% | ||||||||
Sony Corp.–ADR (Japan) | 171,048 | 6,108,124 | ||||||
Data Processing & Outsourced Services–0.72% | ||||||||
Western Union Co. | 309,354 | 5,744,704 | ||||||
Diversified Banks–1.08% | ||||||||
U.S. Bancorp. | 129,594 | 3,495,150 | ||||||
Wells Fargo & Co. | 166,671 | 5,165,134 | ||||||
8,660,284 | ||||||||
Diversified Chemicals–1.25% | ||||||||
Dow Chemical Co. (The) | 147,424 | 5,033,055 | ||||||
PPG Industries, Inc. | 59,592 | 5,009,900 | ||||||
10,042,955 | ||||||||
Diversified Support Services–0.36% | ||||||||
Cintas Corp. | 102,009 | 2,852,172 | ||||||
Drug Retail–1.01% | ||||||||
Walgreen Co. | 208,384 | 8,118,641 | ||||||
Electric Utilities–2.57% | ||||||||
American Electric Power Co., Inc. | 287,312 | 10,337,486 | ||||||
Edison International | 85,117 | 3,285,516 | ||||||
Entergy Corp. | 45,564 | 3,227,298 | ||||||
FirstEnergy Corp. | 100,283 | 3,712,477 | ||||||
20,562,777 | ||||||||
Food Distributors–0.61% | ||||||||
Sysco Corp. | 166,561 | 4,896,893 | ||||||
Health Care Distributors–0.43% | ||||||||
Cardinal Health, Inc. | 90,020 | 3,448,666 | ||||||
Health Care Equipment–0.80% | ||||||||
Covidien PLC (Ireland) | 139,464 | 6,367,926 | ||||||
Home Improvement Retail–0.94% | ||||||||
Home Depot, Inc. (The) | 213,684 | 7,491,761 | ||||||
Household Products–1.24% | ||||||||
Procter & Gamble Co. (The) | 154,941 | 9,967,355 | ||||||
Human Resource & Employment Services–0.76% | ||||||||
Manpower Inc. | 55,568 | 3,487,448 | ||||||
Robert Half International, Inc. | 86,130 | 2,635,578 | ||||||
6,123,026 | ||||||||
Hypermarkets & Super Centers–0.65% | ||||||||
Wal-Mart Stores, Inc. | 97,144 | 5,238,976 | ||||||
Industrial Conglomerates–3.94% | ||||||||
General Electric Co. | 1,140,960 | 20,868,158 | ||||||
Tyco International Ltd. | 257,963 | 10,689,987 | ||||||
31,558,145 | ||||||||
Industrial Machinery–1.13% | ||||||||
Dover Corp. | 47,458 | 2,773,920 | ||||||
Ingersoll-Rand PLC (Ireland) | 132,521 | 6,240,414 | ||||||
9,014,334 | ||||||||
Insurance Brokers–2.12% | ||||||||
Marsh & McLennan Cos., Inc. | 619,675 | 16,941,914 | ||||||
Integrated Oil & Gas–5.32% | ||||||||
ConocoPhillips | 61,568 | 4,192,781 | ||||||
Exxon Mobil Corp. | 77,043 | 5,633,384 | ||||||
Hess Corp. | 121,382 | 9,290,578 | ||||||
Occidental Petroleum Corp. | 134,788 | 13,222,703 | ||||||
Royal Dutch Shell PLC–ADR (United Kingdom) | 153,571 | 10,255,471 | ||||||
42,594,917 | ||||||||
Integrated Telecommunication Services–0.75% | ||||||||
Verizon Communications, Inc. | 167,452 | 5,991,433 | ||||||
Shares | Value | |||||||
Internet Software & Services–2.26% | ||||||||
eBay, Inc.(b) | 432,556 | $ | 12,038,034 | |||||
Yahoo! Inc.(b) | 363,456 | 6,044,273 | ||||||
18,082,307 | ||||||||
Investment Banking & Brokerage–1.94% | ||||||||
Charles Schwab Corp. (The) | 459,040 | 7,854,174 | ||||||
LPL Investment Holdings, Inc.(b) | 16,091 | 585,230 | ||||||
Morgan Stanley | 259,344 | 7,056,750 | ||||||
15,496,154 | ||||||||
IT Consulting & Other Services–0.59% | ||||||||
Amdocs Ltd.(b) | 171,323 | 4,706,243 | ||||||
Life & Health Insurance–0.56% | ||||||||
Principal Financial Group, Inc. | 138,906 | 4,522,779 | ||||||
Managed Health Care–1.21% | ||||||||
UnitedHealth Group, Inc. | 268,818 | 9,707,018 | ||||||
Movies & Entertainment–3.13% | ||||||||
Time Warner, Inc. | 306,888 | 9,872,587 | ||||||
Viacom Inc.–Class B | 382,810 | 15,163,104 | ||||||
25,035,691 | ||||||||
Office Services & Supplies–0.71% | ||||||||
Avery Dennison Corp. | 134,047 | 5,675,550 | ||||||
Oil & Gas Equipment & Services–1.39% | ||||||||
Cameron International Corp.(b) | 40,676 | 2,063,493 | ||||||
Schlumberger Ltd. | 108,149 | 9,030,442 | ||||||
11,093,935 | ||||||||
Oil & Gas Exploration & Production–2.57% | ||||||||
Anadarko Petroleum Corp. | 160,875 | 12,252,240 | ||||||
Devon Energy Corp. | 69,619 | 5,465,788 | ||||||
Noble Energy, Inc. | 33,476 | 2,881,614 | ||||||
20,599,642 | ||||||||
Oil & Gas Storage & Transportation–0.20% | ||||||||
Williams Cos., Inc. (The) | 66,195 | 1,636,340 | ||||||
Other Diversified Financial Services–5.29% | ||||||||
Bank of America Corp. | 765,196 | 10,207,715 | ||||||
Citigroup, Inc.(b) | 1,495,192 | 7,072,258 | ||||||
JPMorgan Chase & Co. | 590,955 | 25,068,311 | ||||||
42,348,284 | ||||||||
Packaged Foods & Meats–1.81% | ||||||||
Kraft Foods, Inc.–Class A | 241,926 | 7,623,088 | ||||||
Unilever N.V. New York Shares (Netherlands) | 218,596 | 6,863,915 | ||||||
14,487,003 | ||||||||
Personal Products–1.02% | ||||||||
Avon Products, Inc. | 279,992 | 8,136,568 | ||||||
Pharmaceuticals–3.89% | ||||||||
Abbott Laboratories | 70,828 | 3,393,369 | ||||||
Bristol-Myers Squibb Co. | 320,113 | 8,476,592 | ||||||
Merck & Co., Inc. | 134,540 | 4,848,822 | ||||||
Pfizer, Inc. | 548,892 | 9,611,099 | ||||||
Roche Holdings AG–ADR (Switzerland) | 131,158 | 4,819,401 | ||||||
31,149,283 | ||||||||
Property & Casualty Insurance–0.50% | ||||||||
Chubb Corp. (The) | 66,744 | 3,980,612 | ||||||
Regional Banks–1.99% | ||||||||
BB&T Corp. | 114,090 | 2,999,426 | ||||||
Fifth Third Bancorp | 209,637 | 3,077,471 | ||||||
PNC Financial Services Group, Inc. | 161,889 | 9,829,900 | ||||||
15,906,797 | ||||||||
Semiconductors–0.59% | ||||||||
Intel Corp. | 225,857 | 4,749,773 | ||||||
Soft Drinks–0.83% | ||||||||
Coca-Cola Co. (The) | 61,481 | 4,043,605 | ||||||
Coca-Cola Enterprises, Inc. | 103,815 | 2,598,490 | ||||||
6,642,095 | ||||||||
Specialty Chemicals–0.27% | ||||||||
LyondellBasell Industries N.V.–Class A (Netherlands)(b) | 62,098 | 2,136,171 | ||||||
Systems Software–0.17% | ||||||||
Microsoft Corp. | 47,781 | 1,334,046 | ||||||
Wireless Telecommunication Services–1.12% | ||||||||
Vodafone Group PLC–ADR (United Kingdom) | 338,575 | 8,948,537 | ||||||
Total Common Stocks & Other Equity Interests (Cost $453,199,748) | 521,635,456 | |||||||
Principal | ||||||||
Amount | ||||||||
Bonds & Notes–20.56% | ||||||||
Advertising–0.51% | ||||||||
Interpublic Group of Cos., Inc. (The), Sr. Unsec. Conv. Global Putable Notes, | ||||||||
4.25%, 03/15/23 | $ | 1,805,000 | 2,019,344 | |||||
4.75%, 03/15/23 | 1,638,000 | 1,922,602 | ||||||
WPP Finance (United Kingdom), Sr. Unsec. Gtd. Global Notes, 8.00%, 09/15/14 | 100,000 | 115,313 | ||||||
4,057,259 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Aerospace & Defense–0.02% | ||||||||
Raytheon Co., Sr. Unsec. Notes, 1.63%, 10/15/15 | $ | 160,000 | $ | 153,754 | ||||
Systems 2001 Asset Trust LLC (United Kingdom)–Series 2001, Class G, Jr. Sec. Gtd. Notes, (INS–MBIA Insurance Corp.) 6.66%, 09/15/13(c) | — | — | ||||||
153,754 | ||||||||
Agricultural Products–0.03% | ||||||||
Corn Products International, Inc., Sr. Unsec. Notes, 6.63%, 04/15/37 | 215,000 | 224,873 | ||||||
Air Freight & Logistics–0.00% | ||||||||
FedEx Corp., Sr. Unsec. Gtd. Global Notes, 7.25%, 02/15/11 | 10,000 | 10,078 | ||||||
Airlines–0.06% | ||||||||
Continental Airlines, Inc.–Series 2010-1, Class A, Sec. Pass Through Ctfs., 4.75%, 01/12/21 | 270,000 | 270,506 | ||||||
Delta Air Lines, Inc.–Series 2010-1, Class A, Sec. Pass Through Ctfs., 6.20%, 07/02/18 | 230,000 | 246,963 | ||||||
517,469 | ||||||||
Application Software–0.12% | ||||||||
Adobe Systems, Inc., Sr. Unsec. Global Notes, 4.75%, 02/01/20 | 185,000 | 189,974 | ||||||
Cadence Design Systems, Inc.–Series B, Sr. Unsec. Conv. Global Notes, 1.50%, 12/15/13 | 860,000 | 812,700 | ||||||
1,002,674 | ||||||||
Asset Management & Custody Banks–0.53% | ||||||||
Affiliated Managers Group, Inc., Sr. Unsec. Conv. Putable Notes, 3.95%, 08/15/38 | 2,511,000 | 2,793,487 | ||||||
Janus Capital Group, Inc., Sr. Unsec. Conv. Notes, 3.25%, 07/15/14 | 1,225,000 | 1,457,750 | ||||||
4,251,237 | ||||||||
Auto Parts & Equipment–0.50% | ||||||||
Borg Warner Automotive, Inc., Sr. Unsec. Conv. Notes, 3.50%, 04/15/12 | 1,772,000 | 3,971,495 | ||||||
Automobile Manufacturers–0.97% | ||||||||
Daimler Finance North America LLC, Unsec. Gtd. Unsub. Global Notes, 7.30%, 01/15/12 | 170,000 | 181,119 | ||||||
Ford Motor Co., Sr. Unsec. Conv. Notes, 4.25%, 11/15/16 | 3,775,000 | 7,564,156 | ||||||
7,745,275 | ||||||||
Automotive Retail–0.12% | ||||||||
Advance Auto Parts, Inc., Sr. Unsec. Gtd. Notes, 5.75%, 05/01/20 | 525,000 | 545,344 | ||||||
AutoZone, Inc., Sr. Unsec. Global Notes, 6.50%, 01/15/14 | 360,000 | 399,682 | ||||||
945,026 | ||||||||
Biotechnology–0.99% | ||||||||
Cephalon, Inc., Sr. Unsec. Sub. Conv. Notes, 2.50%, 05/01/14 | 2,659,000 | 3,027,936 | ||||||
Gilead Sciences, Inc., Sr. Conv. Notes, 1.63%, 05/01/16(c) | 4,665,000 | 4,874,925 | ||||||
7,902,861 | ||||||||
Brewers–0.14% | ||||||||
Anheuser-Busch InBev Worldwide Inc., Sr. Unsec. Gtd. Global Notes, | ||||||||
2.50%, 03/26/13 | 180,000 | 183,935 | ||||||
3.63%, 04/15/15 | 340,000 | 352,008 | ||||||
Sr. Unsec. Gtd. Notes, 7.20%, 01/15/14(c) | 215,000 | 246,279 | ||||||
FBG Financial Ltd. (Australia), Sr. Unsec. Gtd. Notes, 5.13%, 06/15/15(c) | 295,000 | 318,273 | ||||||
1,100,495 | ||||||||
Broadcasting–0.01% | ||||||||
COX Communications Inc., Sr. Unsec. Bonds, 8.38%, 03/01/39(c) | 50,000 | 64,613 | ||||||
Cable & Satellite–0.23% | ||||||||
Comcast Corp., Sr. Unsec. Gtd. Notes, 5.15%, 03/01/20 | 160,000 | 168,483 | ||||||
Sr. Unsec. Gtd. Global Notes, 5.70%, 05/15/18 | 400,000 | 438,975 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Sr. Unsec. Gtd. Global Notes, 7.63%, 05/15/16 | 410,000 | 456,125 | ||||||
Time Warner Cable Inc., Sr. Unsec. Gtd. Global Notes, 8.75%, 02/14/19 | 200,000 | 255,367 | ||||||
Sr. Unsec. Gtd. Notes, | ||||||||
6.75%, 06/15/39 | 130,000 | 143,808 | ||||||
5.88%, 11/15/40 | 405,000 | 402,588 | ||||||
1,865,346 | ||||||||
Casinos & Gaming–0.81% | ||||||||
International Game Technology, Sr. Unsec. Conv. Notes, 3.25%, 05/01/14 | 3,013,000 | 3,491,314 | ||||||
MGM Resorts International, Sr. Unsec. Gtd. Conv. Notes, 4.25%, 04/15/15(c) | 2,731,000 | 3,004,100 | ||||||
6,495,414 | ||||||||
Coal & Consumable Fuels–0.40% | ||||||||
Massey Energy Co., Sr. Unsec. Gtd. Conv. Notes, 3.25%, 08/01/15 | 3,271,000 | 3,209,669 | ||||||
Communications Equipment–0.89% | ||||||||
Alcatel-Lucent USA, Inc.–Series B, Sr. Unsec. Gtd. Conv. Putable Notes, 2.88%, 06/15/25 | 4,401,000 | 4,175,449 | ||||||
Ciena Corp., Sr. Unsec. Conv. Notes, 0.25%, 05/01/13 | 1,336,000 | 1,229,120 | ||||||
Corning, Inc., Sr. Unsec. Notes, 6.63%, 05/15/19 | 35,000 | 40,355 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Communications Equipment–(continued) | ||||||||
JDS Uniphase Corp., Sr. Unsec. Conv. Putable Notes, 1.00%, 05/15/26 | $ | 662,000 | $ | 630,555 | ||||
1.00%, 05/15/26(c) | 1,100,000 | 1,047,750 | ||||||
7,123,229 | ||||||||
Computer Storage & Peripherals–0.73% | ||||||||
SanDisk Corp., Sr. Unsec. Conv. Notes, 1.00%, 05/15/13 | 6,064,000 | 5,866,920 | ||||||
Construction Materials–0.55% | ||||||||
Cemex S.A.B. de C.V., (Mexico), Unsec. Sub. Conv. Notes, 4.88%, 03/15/15(c) | 3,900,000 | 4,280,250 | ||||||
Holcim U.S. Finance Sarl & Cie SCS (Switzerland), Sr. Unsec. Gtd. Notes, 6.00%, 12/30/19(c) | 85,000 | 88,692 | ||||||
4,368,942 | ||||||||
Construction, Farm Machinery & Heavy Trucks–0.12% | ||||||||
Navistar International Corp., Sr. Unsec. Sub. Conv. Notes, 3.00%, 10/15/14 | 722,000 | 967,480 | ||||||
Consumer Finance–0.15% | ||||||||
American Express Co., Sr. Unsec. Notes, 8.13%, 05/20/19 | 555,000 | 686,738 | ||||||
Capital One Bank USA NA, Sub. Notes, 8.80%, 07/15/19 | 400,000 | 494,531 | ||||||
1,181,269 | ||||||||
Department Stores–0.03% | ||||||||
Macy’s Retail Holdings, Inc., Sr. Unsec. Gtd. Notes, 5.35%, 03/15/12 | 235,000 | 243,813 | ||||||
Diversified Banks–1.24% | ||||||||
Abbey National Treasury Services PLC, Sr. Unsec. Gtd. Notes, 3.88%, 11/10/14(c) | 210,000 | 207,615 | ||||||
Ally Financial, Inc., Gtd. Notes, 2.20%, 12/19/12 | 500,000 | 514,155 | ||||||
Bank of Nova Scotia (Canada), Sr. Unsec. Global Notes, 2.38%, 12/17/13 | 360,000 | 370,077 | ||||||
Barclays Bank PLC (United Kingdom), Sr. Unsec. Global Notes, 6.75%, 05/22/19 | 485,000 | 549,430 | ||||||
Unsec. Sub. Global Notes, 5.14%, 10/14/20 | 275,000 | 249,125 | ||||||
Commonwealth Bank of Australia (Australia), Sr. Unsec. Notes, 5.00%, 10/15/19(c) | 285,000 | 296,592 | ||||||
Credit Suisse AG (Switzerland), Sub. Global Notes, 5.40%, 01/14/20 | 550,000 | 562,793 | ||||||
Unsec. Sub. Global Notes, 6.00%, 02/15/18 | 70,000 | 75,412 | ||||||
Groupe BPCE S.A. (France), Sr. Unsec. Notes, 2.38%, 10/04/13(c) | 390,000 | 389,034 | ||||||
HBOS PLC (United Kingdom)–Series G, Unsec. Sub. Medium-Term Notes, 6.75%, 05/21/18(c) | 325,000 | 304,196 | ||||||
HSBC Bank PLC (United Kingdom), Notes, 4.13%, 08/12/20(c) | 565,000 | 553,434 | ||||||
HSBC Finance Corp., Sr. Unsec. Global Notes, 6.38%, 10/15/11 | 445,000 | 464,859 | ||||||
6.75%, 05/15/11 | 120,000 | 122,624 | ||||||
Korea Development Bank (South Korea), Sr. Unsec. Global Notes, 4.38%, 08/10/15 | 200,000 | 205,446 | ||||||
Lloyds TSB Bank PLC (United Kingdom), Sr. Unsec. Gtd. Medium-Term Notes, 5.80%, 01/13/20(c) | 185,000 | 182,422 | ||||||
National Australia Bank Ltd. (Australia), Sr. Unsec. Bonds, 3.75%, 03/02/15(c) | 190,000 | 196,567 | ||||||
Nordea Bank AB (Sweden), Sr. Notes, 4.88%, 01/27/20(c) | 245,000 | 251,825 | ||||||
Rabobank Nederland N.V. (Netherlands), Sr. Unsec. Notes, 4.75%, 01/15/20(c) | 490,000 | 501,310 | ||||||
Royal Bank of Scotland PLC (The) (United Kingdom), Sr. Unsec. Gtd. Global Notes, 4.88%, 03/16/15 | 420,000 | 427,857 | ||||||
Santander US Debt SA Unipersonal (Spain), Sr. Unsec. Gtd. Notes, 3.72%, 01/20/15(c) | 200,000 | 197,821 | ||||||
Societe Generale (France), Sr. Unsec. Notes, 2.50%, 01/15/14(c) | 705,000 | 705,110 | ||||||
Standard Chartered Bank (United Kingdom), Unsec. Sub. Notes, 6.40%, 09/26/17(c) | 100,000 | 106,888 | ||||||
Standard Chartered PLC (United Kingdom), Sr. Unsec. Notes, 3.85%, 04/27/15(c) | 255,000 | 260,656 | ||||||
US Bancorp, Sr. Unsec. Notes, 2.00%, 06/14/13 | 480,000 | 487,363 | ||||||
US Bank N.A., Sub. Variable Rate Notes, 3.78%, 04/29/20(d) | 450,000 | 458,637 | ||||||
Wells Fargo & Co., Sr. Unsec. Notes, 5.63%, 12/11/17 | 795,000 | 885,598 | ||||||
Westpac Banking Corp. (Australia), Sr. Unsec. Global Notes, 2.10%, 08/02/13 | 400,000 | 403,750 | ||||||
9,930,596 | ||||||||
Diversified Capital Markets–0.10% | ||||||||
Credit Suisse New York (Switzerland), Sr. Unsec. Global Notes, 5.30%, 08/13/19 | 170,000 | 179,803 | ||||||
Sr. Unsec. Medium-Term Notes, 4.38%, 08/05/20 | 395,000 | 387,337 | ||||||
UBS AG (Switzerland), Sr. Unsec. Medium-Term Notes, 5.88%, 12/20/17 | 225,000 | 247,924 | ||||||
815,064 | ||||||||
Diversified Metals & Mining–0.12% | ||||||||
Anglo American Capital PLC (United Kingdom), Sr. Unsec. Gtd. Notes, 9.38%, 04/08/19(c) | 200,000 | 265,488 | ||||||
Freeport-McMoRan Copper & Gold Inc., Sr. Unsec. Notes, 8.38%, 04/01/17 | 305,000 | 336,930 | ||||||
Rio Tinto Finance USA Ltd. (Australia), Sr. Unsec. Gtd. Global Notes, 9.00%, 05/01/19 | 265,000 | 356,423 | ||||||
958,841 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Drug Retail–0.05% | ||||||||
CVS Caremark Corp., Sec. Global Pass Through Ctfs., 6.04%, 12/10/28 | $ | 351,331 | $ | 355,416 | ||||
Sec. Pass Through Ctfs., 8.35%, 07/10/31(c) | 34,156 | 40,810 | ||||||
396,226 | ||||||||
Electric Utilities–0.17% | ||||||||
Electricite de France S.A. (France), Sr. Unsec. Notes, 4.60%, 01/27/20(c) | 125,000 | 130,089 | ||||||
Enel Finance International S.A. (Luxembourg)-Sr. Unsec. Gtd. Notes, 5.13%, 10/07/19(c) | 325,000 | 322,012 | ||||||
Iberdola Finance Ireland Ltd. (Ireland), Unsec. Unsub. Gtd. Notes, 3.80%, 09/11/14(c) | 125,000 | 124,802 | ||||||
Ohio Power Co.–Series M, Sr. Unsec. Gtd. Notes, 5.38%, 10/01/21 | 100,000 | 106,728 | ||||||
Progress Energy Inc., Sr. Unsec. Bonds, 7.05%, 03/15/19 | 270,000 | 321,912 | ||||||
Sr. Unsec. Notes, 6.85%, 04/15/12 | 300,000 | 322,045 | ||||||
1,327,588 | ||||||||
Electronic Components–0.01% | ||||||||
Corning, Inc., Sr. Unsec. Notes, 7.25%, 08/15/36 | 55,000 | 62,456 | ||||||
Environmental & Facilities Services–0.05% | ||||||||
Waste Management, Inc., Sr. Unsec. Gtd. Notes, 5.00%, 03/15/14 | 340,000 | 367,706 | ||||||
Food Retail–0.17% | ||||||||
Delhaize Group S.A. (Belgium), Sr. Unsec. Gtd. Bonds, 5.88%, 02/01/14 | 165,000 | 181,719 | ||||||
Safeway, Inc., Sr. Unsec. Global Notes, 3.95%, 08/15/20 | 595,000 | 564,906 | ||||||
WM Wrigley Jr. Co., Sr. Sec. Gtd. Floating Rate Notes, 1.68%, 06/28/11(c) | 650,000 | 651,010 | ||||||
1,397,635 | ||||||||
Gold–0.08% | ||||||||
Gold Fields Orogen Holding BVI Ltd. (Mali), Sr. Unsec. Notes, 4.88%, 10/07/20(c) | 665,000 | 634,220 | ||||||
Health Care Equipment–0.42% | ||||||||
Boston Scientific Corp., Sr. Unsec. Notes, 5.45%, 06/15/14 | 410,000 | 435,115 | ||||||
CareFusion Corp., Sr. Unsec. Global Notes, 4.13%, 08/01/12 | 300,000 | 312,420 | ||||||
Teleflex Inc., Sr. Unsec. Sub. Conv. Notes, 3.88%, 08/01/17 | 1,005,000 | 1,060,275 | ||||||
Wright Medical Group, Inc., Sr. Unsec. Conv. Notes, 2.63%, 12/01/14 | 1,640,000 | 1,551,850 | ||||||
3,359,660 | ||||||||
Health Care Facilities–0.35% | ||||||||
Lifepoint Hospitals Inc., Sr. Unsec. Sub. Conv. Notes, 3.50%, 05/15/14 | 2,770,000 | 2,808,087 | ||||||
Health Care Services–0.37% | ||||||||
Express Scripts Inc., Sr. Unsec. Gtd. Global Notes, 5.25%, 06/15/12 | 840,000 | 888,334 | ||||||
Medco Health Solutions Inc., Sr. Unsec. Notes, 2.75%, 09/15/15 | 190,000 | 188,948 | ||||||
Omnicare Inc., Sr. Conv. Sub. Notes, 3.75%, 12/15/25 | 971,000 | 1,087,520 | ||||||
Series OCR, Sr. Unsec. Gtd. Conv. Putable Deb., 3.25%, 12/15/35 | 863,000 | 796,118 | ||||||
2,960,920 | ||||||||
Home Improvement Retail–0.03% | ||||||||
Home Depot, Inc., Sr. Unsec. Global Notes, 5.88%, 12/16/36 | 210,000 | 219,385 | ||||||
Hotels, Resorts & Cruise Lines–0.32% | ||||||||
Gaylord Entertainment Co., Sr. Gtd. Conv. Notes, 3.75%, 10/01/14(c) | 1,728,000 | 2,527,200 | ||||||
Hypermarkets & Super Centers–0.02% | ||||||||
Wal-Mart Stores, Inc., Sr. Unsec. Global Notes, 5.25%, 09/01/35 | 120,000 | 121,365 | ||||||
6.50%, 08/15/37 | 45,000 | 53,214 | ||||||
174,579 | ||||||||
Industrial Conglomerates–0.69% | ||||||||
General Electric Capital Corp., Sr. Unsec. Medium-Term Global Notes, | ||||||||
5.63%, 05/01/18 | 295,000 | 321,457 | ||||||
5.88%, 01/14/38 | 120,000 | 125,110 | ||||||
Series G, Sr. Gtd. Medium-Term Global Notes, 2.63%, 12/28/12 | 3,150,000 | 3,266,550 | ||||||
Sr. Unsec. Medium-Term Notes, 6.00%, 08/07/19 | 65,000 | 72,784 | ||||||
General Electric Co., Sr. Unsec. Global Notes, 5.25%, 12/06/17 | 440,000 | 473,713 | ||||||
NBC Universal, Inc., Sr. Unsec. Notes 2.10%, 04/01/14(c) | 200,000 | 199,965 | ||||||
5.95%, 04/01/41(c) | 190,000 | 190,843 | ||||||
Textron Inc., Sr. Unsec. Conv. Notes, 4.50%, 05/01/13 | 474,000 | 902,970 | ||||||
5,553,392 | ||||||||
Integrated Oil & Gas–0.04% | ||||||||
Hess Corp., Sr. Unsec. Global Notes, 5.60%, 02/15/41 | 170,000 | 169,534 | ||||||
Shell International Finance B.V. (Finland), Sr. Unsec. Gtd. Global Notes, 3.10%, 06/28/15 | 110,000 | 113,037 | ||||||
282,571 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Integrated Telecommunication Services–0.28% | ||||||||
AT&T Corp., Sr. Unsec. Gtd. Global Notes, 8.00%, 11/15/31 | $ | 3,000 | $ | 3,789 | ||||
AT&T, Inc., Sr. Unsec. Global Notes, | ||||||||
6.15%, 09/15/34 | 125,000 | 130,497 | ||||||
6.30%, 01/15/38 | 610,000 | 647,228 | ||||||
Sr. Unsec. Notes, 5.35%, 09/01/40(c) | 97,000 | 91,160 | ||||||
Deutsche Telekom International Finance B.V. (Netherlands), Sr. Unsec. Gtd. Global Bonds, 8.75%, 06/15/30 | 140,000 | 188,207 | ||||||
Telecom Italia Capital S.A. (Luxembourg), Sr. Unsec. Gtd. Global Notes, | ||||||||
7.00%, 06/04/18 | 325,000 | 343,858 | ||||||
7.18%, 06/18/19 | 140,000 | 149,714 | ||||||
Verizon Communications, Inc., Sr. Unsec. Global Notes, | ||||||||
6.35%, 04/01/19 | 235,000 | 272,066 | ||||||
8.95%, 03/01/39 | 280,000 | 401,326 | ||||||
2,227,845 | ||||||||
Internet Retail–0.05% | ||||||||
Expedia Inc., Sr. Unsec. Gtd. Global Notes, 5.95%, 08/15/20 | 430,000 | 432,916 | ||||||
Investment Banking & Brokerage–1.09% | ||||||||
Bear Stearns Cos. LLC (The), Sr. Unsec. Global Notes, 7.25%, 02/01/18 | 285,000 | 338,277 | ||||||
Charles Schwab Corp. (The), Sr. Unsec. Notes, 4.45%, 07/22/20 | 465,000 | 468,998 | ||||||
Goldman Sachs Group Inc. (The), Sr. Unsec. Conv. Medium-Term Notes, 1.00%, 03/15/17(c) | 3,328,000 | 3,303,905 | ||||||
Unsec. Sub. Global Notes, 6.75%, 10/01/37 | 365,000 | 376,713 | ||||||
Sr. Unsec. Global Notes, 6.15%, 04/01/18 | 805,000 | 885,262 | ||||||
Jefferies Group Inc., Sr. Unsec. Conv. Putable Notes, 3.88%, 11/01/29 | 1,414,200 | 1,490,213 | ||||||
Sr. Unsec. Notes, 6.88%, 04/15/21 | 535,000 | 563,379 | ||||||
Morgan Stanley, Sr. Unsec. Global Notes, 4.00%, 07/24/15 | 610,000 | 617,986 | ||||||
Sr. Unsec. Notes, 3.45%, 11/02/15 | 715,000 | 701,995 | ||||||
8,746,728 | ||||||||
Life & Health Insurance–0.23% | ||||||||
Aegon N.V. (Netherlands), Sr. Unsec. Global Bonds, 4.63%, 12/01/15 | 250,000 | 258,601 | ||||||
Aflac Inc., Sr. Unsec. Notes, 6.45%, 08/15/40 | 295,000 | 306,258 | ||||||
MetLife, Inc, Sr. Unsec. Global Notes, | ||||||||
2.38%, 02/06/14 | 135,000 | 135,840 | ||||||
4.75%, 02/08/21 | 410,000 | 419,527 | ||||||
5.88%, 02/06/41 | 135,000 | 141,983 | ||||||
Pacific LifeCorp., Sr. Notes, 6.00%, 02/10/20(c) | 175,000 | 184,823 | ||||||
Prudential Financial Inc., Series D, Sr. Unsec. Medium-Term Notes, | ||||||||
4.75%, 09/17/15 | 230,000 | 244,939 | ||||||
6.63%, 12/01/37 | 95,000 | 104,655 | ||||||
7.38%, 06/15/19 | 70,000 | 82,307 | ||||||
1,878,933 | ||||||||
Life Sciences Tools & Services–0.39% | ||||||||
Life Technologies Corp., Sr. Unsec. Conv. Putable Notes, 1.50%, 02/15/24 | 2,545,000 | 3,085,812 | ||||||
Managed Health Care–0.11% | ||||||||
Aetna Inc, Sr. Unsec. Notes, 3.95%, 09/01/20 | 550,000 | 528,263 | ||||||
WellPoint Inc, Sr. Unsec. Notes, 4.35%, 08/15/20 | 335,000 | 332,175 | ||||||
860,438 | ||||||||
Movies & Entertainment–0.68% | ||||||||
Liberty Media LLC, Sr. Unsec. Conv. Putable Notes, 3.13%, 03/30/23 | 4,735,200 | 5,333,019 | ||||||
Time Warner Inc., Sr. Unsec. Gtd. Notes, 5.88%, 11/15/16 | 120,000 | 135,275 | ||||||
5,468,294 | ||||||||
Multi-Line Insurance–0.09% | ||||||||
AIG SunAmerica Global Financing VI, Sr. Sec. Notes, 6.30%, 05/10/11(c) | 405,000 | 413,708 | ||||||
CNA Financial Corp., Sr. Unsec. Global Bonds, 5.88%, 08/15/20 | 295,000 | 294,757 | ||||||
708,465 | ||||||||
Multi-Utilities–0.01% | ||||||||
Nisource Finance Corp., Sr. Unsec. Gtd. Bonds, 6.80%, 01/15/19 | 105,000 | 119,128 | ||||||
Office REIT’s–0.04% | ||||||||
Digital Realty Trust L.P., Sr. Unsec. Gtd. Notes, 4.50%, 07/15/15(c) | 305,000 | 308,185 | ||||||
Oil & Gas Equipment & Services–0.15% | ||||||||
Helix Energy Solutions Group, Inc., Sr. Unsec. Conv. Putable Notes, 3.25%, 12/15/25 | 1,208,000 | 1,171,760 | ||||||
Oil & Gas Exploration & Production–0.04% | ||||||||
Petroleos Mexicanos (Mexico), Sr. Unsec. Gtd. Global Notes, 5.50%, 01/21/21 | 335,000 | 340,465 | ||||||
Oil & Gas Storage & Transportation–0.09% | ||||||||
Enterprise Products Operating LLC, Sr. Unsec. Gtd. Global Notes, 5.25%, 01/31/20 | 100,000 | 103,955 | ||||||
Series N, Sr. Unsec. Gtd. Notes, 6.50%, 01/31/19 | 220,000 | 250,034 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Oil & Gas Storage & Transportation–(continued) | ||||||||
Spectra Energy Capital LLC, Sr. Unsec. Gtd. Notes, 7.50%, 09/15/38 | $ | 120,000 | $ | 140,514 | ||||
Texas Eastern Transmission LP, Sr. Unsec. Notes, 7.00%, 07/15/32 | 165,000 | 193,746 | ||||||
688,249 | ||||||||
Other Diversified Financial Services–1.13% | ||||||||
Bank of America Corp., Sr. Unsec. Global Notes, | ||||||||
5.75%, 12/01/17 | 865,000 | 896,836 | ||||||
7.63%, 06/01/19 | 70,000 | 80,845 | ||||||
Series L, Sr. Unsec. Medium-Term Global Notes, 5.65%, 05/01/18 | 280,000 | 289,523 | ||||||
Citibank NA, Sr. Unsec. Gtd. Notes, 1.75%, 12/28/12 | 1,500,000 | 1,530,646 | ||||||
Citigroup Funding Inc., Unsec. Gtd. Unsub. Global Notes, 2.25%, 12/10/12 | 3,090,000 | 3,178,143 | ||||||
Citigroup Inc., Sr. Unsec. Global Notes, | ||||||||
6.13%, 11/21/17 | 460,000 | 507,430 | ||||||
6.13%, 05/15/18 | 355,000 | 389,183 | ||||||
8.50%, 05/22/19 | 415,000 | 517,064 | ||||||
ERAC USA Finance LLC, Sr. Unsec. Gtd. Notes, 2.75%, 07/01/13(c) | 290,000 | 295,012 | ||||||
JPMorgan Chase & Co., Sr. Unsec. Global Notes, 4.40%, 07/22/20 | 360,000 | 355,637 | ||||||
Sr. Unsec. Notes, 6.00%, 01/15/18 | 590,000 | 659,428 | ||||||
Merrill Lynch & Co., Inc., Sr. Unsec. Medium-Term Notes, 6.88%, 04/25/18 | 285,000 | 311,734 | ||||||
9,011,481 | ||||||||
Packaged Foods & Meats–0.13% | ||||||||
Grupo Bimbo SAB de CV (Mexico), Sr. Unsec. Gtd. Notes, 4.88%, 06/30/20(c) | 270,000 | 272,538 | ||||||
Kraft Foods Inc., Sr. Unsec. Global Notes, | ||||||||
5.38%, 02/10/20 | 200,000 | 215,898 | ||||||
7.00%, 08/11/37 | 275,000 | 324,024 | ||||||
Sr. Unsec. Notes, 6.88%, 01/26/39 | 180,000 | 210,238 | ||||||
1,022,698 | ||||||||
Pharmaceuticals–0.78% | ||||||||
Endo Pharma Holdings Inc., Sr. Unsec. Sub. Conv. Notes, 1.75%, 04/15/15 | 1,493,000 | 1,993,155 | ||||||
GlaxoSmithKline Capital Inc., Sr. Unsec. Gtd. Global Bonds, | ||||||||
5.65%, 05/15/18 | 75,000 | 85,688 | ||||||
6.38%, 05/15/38 | 70,000 | 82,815 | ||||||
Merck & Co. Inc., Sr. Unsec. Global Notes, 5.00%, 06/30/19 | 280,000 | 309,599 | ||||||
Mylan Labs Inc., Sr. Unsec. Gtd. Conv. Notes, 1.25%, 03/15/12 | 2,850,000 | 3,031,687 | ||||||
Pfizer Inc., Sr. Unsec. Global Notes, 6.20%, 03/15/19 | 650,000 | 765,385 | ||||||
6,268,329 | ||||||||
Property & Casualty Insurance–0.02% | ||||||||
Travelers Cos., Inc. (The), Sr. Unsec. Notes, 5.35%, 11/01/40 | 180,000 | 176,865 | ||||||
Railroads–0.06% | ||||||||
CSX Corp., Sr. Unsec. Global Notes, 6.15%, 05/01/37 | 75,000 | 79,905 | ||||||
Sr. Unsec. Notes, 5.50%, 04/15/41 | 325,000 | 319,416 | ||||||
Union Pacific Corp., Sr. Unsec. Notes, 6.13%, 02/15/20 | 105,000 | 120,500 | ||||||
519,821 | ||||||||
Real Estate Management & Development–0.00% | ||||||||
Brookfield Asset Management, Inc. (Canada), Sr. Unsec. Yankee Notes, 7.13%, 06/15/12 | 10,000 | 10,547 | ||||||
Regional Banks–0.20% | ||||||||
Key Bank NA, Sr. Unsec. Gtd. Global Notes, 3.20%, 06/15/12 | 500,000 | 518,680 | ||||||
Nationwide Building Society (United Kingdom), Sr. Unsec. Notes, 6.25%, 02/25/20(c) | 485,000 | 509,194 | ||||||
PNC Funding Corp., Sr. Unsec. Gtd. Global Notes, 5.13%, 02/08/20 | 330,000 | 346,298 | ||||||
Sr. Unsec. Gtd. Notes, 6.70%, 06/10/19 | 165,000 | 190,655 | ||||||
1,564,827 | ||||||||
Reinsurance–0.02% | ||||||||
Reinsurance Group of America, Inc., Sr. Unsec. Notes, 6.45%, 11/15/19 | 150,000 | 159,191 | ||||||
Restaurants–0.03% | ||||||||
Yum! Brands, Inc., Sr. Unsec. Global Bonds, 6.25%, 03/15/18 | 100,000 | 113,475 | ||||||
Sr. Unsec. Notes, 5.30%, 09/15/19 | 155,000 | 165,958 | ||||||
279,433 | ||||||||
Retail REIT’s–0.03% | ||||||||
WEA Finance LLC/WT Finance Australia Pty Ltd., Sr. Unsec. Gtd. Notes, 6.75%, 09/02/19(c) | 225,000 | 250,460 | ||||||
Semiconductors–0.94% | ||||||||
Linear Technologies Corp., Sr. Unsec. Conv. Putable Notes, 3.00%, 05/01/27(c) | 1,193,000 | 1,270,545 | ||||||
Linear Technology Corp.–Class A, Sr. Unsec. Conv. Global Putable Notes, 3.00%, 05/01/27 | 819,000 | 872,235 | ||||||
Micron Technology, Inc., Sr. Unsec. Conv. Notes, 1.88%, 06/01/14 | 3,414,000 | 3,243,300 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Semiconductors–(continued) | ||||||||
Xilinx Inc., Jr. Unsec. Conv. Sub. Notes, | ||||||||
3.13%, 03/15/37 | $ | 763,000 | $ | 797,335 | ||||
3.13%, 03/15/37(c) | 1,302,000 | 1,360,590 | ||||||
7,544,005 | ||||||||
Sovereign Debt–0.04% | ||||||||
Republic of Italy (Italy), Sr. Unsec. Global Notes, 6.88%, 09/27/23 | 290,000 | 320,777 | ||||||
Specialized Finance–0.23% | ||||||||
NASDAQ OMX Group Inc. (The), Sr. Unsec. Conv. Notes, 2.50%, 08/15/13 | 1,601,000 | 1,592,995 | ||||||
Sr. Unsec. Notes, 5.55%, 01/15/20 | 240,000 | 241,452 | ||||||
1,834,447 | ||||||||
Specialized REIT’s–0.05% | ||||||||
Health Care REIT Inc., Sr. Unsec. Notes, 4.95%, 01/15/21 | 415,000 | 401,004 | ||||||
Steel–0.56% | ||||||||
Allegheny Technologies Inc., Sr. Unsec. Conv. Notes, 4.25%, 06/01/14 | 2,058,000 | 3,115,297 | ||||||
ArcelorMittal (Luxembourg), Sr. Unsec. Global Bonds, 9.85%, 06/01/19 | 410,000 | 519,947 | ||||||
Sr. Unsec. Global Notes, 3.75%, 08/05/15 | 515,000 | 519,420 | ||||||
Vale Overseas Ltd. (Cayman Islands), Sr. Unsec. Gtd. Global Notes, | ||||||||
5.63%, 09/15/19 | 160,000 | 171,222 | ||||||
6.88%, 11/10/39 | 160,000 | 174,540 | ||||||
4,500,426 | ||||||||
Systems Software–0.49% | ||||||||
Symantec Corp.–Class B, Sr. Unsec. Conv. Global Notes, 1.00%, 06/15/13 | 3,445,000 | 3,931,606 | ||||||
Thrifts & Mortgage Finance–0.08% | ||||||||
MGIC Investment Corp., Sr. Unsec. Conv. Notes, 5.00%, 05/01/17 | 554,000 | 639,178 | ||||||
Wireless Telecommunication Services–0.38% | ||||||||
American Tower Corp., Sr. Unsec. Notes, 4.50%, 01/15/18 | 295,000 | 292,143 | ||||||
Clearwire Communications LLC/Clearwire Finance Inc., Sr. Unsec. Gtd. Conv. Putable Notes, 8.25%, 12/01/40(c) | 700,000 | 714,000 | ||||||
SBA Communications Corp., Sr. Unsec. Conv. Notes, 1.88%, 05/01/13 | 1,821,000 | 2,050,901 | ||||||
3,057,044 | ||||||||
Total Bonds & Notes (Cost $145,894,909) | 164,574,674 | |||||||
U.S. Treasury Securities–7.07% | ||||||||
U.S. Treasury Bills–0.04% | ||||||||
0.16%, 04/28/11(d) | 320,000 | 319,875 | ||||||
U.S. Treasury Notes–3.88% | ||||||||
1.50%, 12/31/13 | 500,000 | 507,109 | ||||||
1.75%, 03/31/14 | 2,300,000 | 2,344,562 | ||||||
2.63%, 07/31/14 | 1,000,000 | 1,045,625 | ||||||
2.38%, 10/31/14 | 14,100,000 | 14,591,297 | ||||||
2.13%, 11/30/14 | 4,700,000 | 4,813,828 | ||||||
2.25%, 01/31/15 | 6,000,000 | 6,156,562 | ||||||
3.63%, 08/15/19 | 1,260,000 | 1,315,716 | ||||||
3.38%, 11/15/19 | 300,000 | 306,188 | ||||||
31,080,887 | ||||||||
U.S. Treasury Bonds–1.59% | ||||||||
5.38%, 02/15/31 | 8,800,000 | 10,267,125 | ||||||
4.25%, 05/15/39 | 250,000 | 246,172 | ||||||
4.63%, 02/15/40 | 200,000 | 209,438 | ||||||
4.25%, 11/15/40 | 2,000,000 | 1,967,187 | ||||||
12,689,922 | ||||||||
U.S. Government Securities–1.56% | ||||||||
2.63%, 04/30/16 | 2,000,000 | 2,046,875 | ||||||
6.63%, 02/15/27 | 2,500,000 | 3,286,328 | ||||||
8.13%, 08/15/21 | 2,700,000 | 3,844,547 | ||||||
4.00%, 08/15/18 | 3,055,000 | 3,308,947 | ||||||
12,486,697 | ||||||||
Total U.S. Treasury Securities (Cost $55,151,373) | 56,577,381 | |||||||
Shares | ||||||||
Preferred Stocks–1.97% | ||||||||
Agricultural Products–0.17% | ||||||||
Archer-Daniels-Midland Co., 6.25% Pfd.(b) | 34,250 | 1,329,927 | ||||||
Health Care Facilities–0.22% | ||||||||
HealthSouth Corp.–Series A, 6.50% Pfd. | 1,785 | 1,736,359 | ||||||
Health Care Services–0.13% | ||||||||
Omnicare Capital Trust II–Series B, 4.00% Pfd. | 26,407 | 1,021,951 | ||||||
Household Appliances–0.16% | ||||||||
Stanley Black & Decker. 4.75% Pfd. | 12,300 | 1,328,151 | ||||||
Multi-Utilities–0.25% | ||||||||
CenterPoint Energy, Inc., 3.07% Pfd. | 62,215 | 1,977,193 | ||||||
Oil & Gas Storage & Transportation–0.46% | ||||||||
El Paso Energy Capital Trust I, 4.75% Pfd(b) | 95,499 | 3,712,046 | ||||||
Regional Banks–0.40% | ||||||||
KeyCorp.–Series A, 7.75% Pfd. | 30,290 | 3,244,059 | ||||||
Shares | Value | |||||||
Trucking–0.18% | ||||||||
Swift Mandatory Common Exchange Security Trust, 6.00% Pfd.(b)(c) | 114,220 | $ | 1,438,943 | |||||
Total Preferred Stocks (Cost $13,889,729) | 15,788,629 | |||||||
Principal | ||||||||
Amount | ||||||||
U.S. Government Sponsored Agency Securities–0.78% | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC)–0.36% | ||||||||
Federal Home Loan Mortgage Corp., Sr. Unsec. Global Bonds, 6.75%, 03/15/31 | $ | 650,000 | 833,820 | |||||
Sr. Unsec. Global Notes, 3.00%, 07/28/14 | 900,000 | 948,305 | ||||||
Unsec. Global Notes, 4.88%, 06/13/18 | 1,000,000 | 1,118,774 | ||||||
2,900,899 | ||||||||
Federal National Mortgage Association (FNMA)–0.21% | ||||||||
Federal National Mortgage Association, Sr. Unsec. Global Notes, 4.38%, 10/15/15 | 1,520,000 | 1,671,831 | ||||||
U.S. Agency Securities–0.21% | ||||||||
Federal Home Loan Mortgage Corp., Sr. Unsec. Global Notes, 5.00%, 04/18/17 | 1,500,000 | 1,693,037 | ||||||
Total U.S. Government Sponsored Agency Securities (Cost $6,068,216) | 6,265,767 | |||||||
Municipal Obligation–0.03% | ||||||||
Texas (State of) Transportation Commission Series 2010B, Taxable First Tier Build America RB, 5.03%, 04/01/26 (Cost $205,000) | 205,000 | 202,790 | ||||||
Asset-Backed Securities–0.00% | ||||||||
Federal Home Loan Mortgage Corp., 6.50%, 02/01/26 (Cost $8,605) | 8,141 | 9,136 | ||||||
U.S. Government Sponsored Mortgage-Backed Securities–0.00% | ||||||||
U.S. Agency Securities–0.00% | ||||||||
9.50%, 04/01/30 (Cost $16,385) | 14,490 | 17,329 | ||||||
Shares | ||||||||
Money Market Funds–4.25% | ||||||||
Liquid Assets Portfolio–Institutional Class(e) | 17,009,779 | 17,009,779 | ||||||
Premier Portfolio–Institutional Class(e) | 17,009,779 | 17,009,779 | ||||||
Total Money Market Funds (Cost $34,019,558) | 34,019,558 | |||||||
TOTAL INVESTMENTS–99.83% (Cost $708,453,523) | 799,090,720 | |||||||
OTHER ASSETS LESS LIABILITIES–0.17% | 1,368,896 | |||||||
NET ASSETS–100.00% | $ | 800,459,616 | ||||||
ADR | – American Depositary Receipt | |
Conv. | – Convertible | |
Ctfs. | – Certificates | |
Deb. | – Debentures | |
FHLMC | – Federal Home Loan Mortgage Corp. | |
FNMA | – Federal National Mortgage Association | |
Gtd. | – Guaranteed | |
INS | – Insurer | |
Jr. | – Junior | |
Pfd. | – Preferred | |
RB | – Revenue Bonds | |
REIT | – Real Estate Investment Trust | |
Sec. | – Secured | |
Sr. | – Senior | |
Sub. | – Subordinated | |
Unsec. | – Unsecured | |
Unsub. | – Unsubordinated |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at December 31, 2010 was $33,577,854, which represented 4.19% of the Fund’s Net Assets. | |
(d) | Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund. | |
(e) | The money market fund and the Fund are affiliated by having the same investment advisor. |
Assets: | ||||
Investments, at value (Cost $674,433,965) | $ | 765,071,162 | ||
Investments in affiliated money market funds, at value and cost | 34,019,558 | |||
Total investments, at value (Cost $708,453,523) | 799,090,720 | |||
Receivables for: | ||||
Fund shares sold | 563,278 | |||
Dividends and interest | 2,503,142 | |||
Investment for trustee deferred compensation and retirement plans | 1,955 | |||
Other assets | 316 | |||
Total assets | 802,159,411 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 101,715 | |||
Fund shares reacquired | 227,352 | |||
Variation margin | 96,266 | |||
Accrued fees to affiliates | 1,223,468 | |||
Accrued other operating expenses | 45,880 | |||
Trustee deferred compensation and retirement plans | 5,114 | |||
Total liabilities | 1,699,795 | |||
Net assets applicable to shares outstanding | $ | 800,459,616 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 749,744,038 | ||
Undistributed net investment income | 12,043,490 | |||
Undistributed net realized gain (loss) | (52,559,140 | ) | ||
Unrealized appreciation | 91,231,228 | |||
$ | 800,459,616 | |||
Net assets: | ||||
Series I | $ | 45,973 | ||
Series II | $ | 800,413,643 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 3,269 | |||
Series II | 56,957,343 | |||
Series I: | ||||
Net asset value per share | $ | 14.06 | ||
Series II: | ||||
Net asset value per share | $ | 14.05 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $84,378) | $ | 10,499,128 | ||
Dividends from affiliated money market funds | 29,916 | |||
Interest | 6,809,391 | |||
Total investment income | 17,338,435 | |||
Expenses: | ||||
Advisory fees | 2,879,490 | |||
Administrative services fees | 1,893,075 | |||
Custodian fees | 37,285 | |||
Distribution fees — Series II | 2,079,310 | |||
Transfer agent fees | 13,531 | |||
Trustees’ and officers’ fees and benefits | 24,886 | |||
Other | 118,042 | |||
Total expenses | 7,045,619 | |||
Less: Fees waived | (1,757,816 | ) | ||
Net expenses | 5,287,803 | |||
Net investment income | 12,050,632 | |||
Realized and unrealized gain from: | ||||
Net realized gain from: | ||||
Investment securities | 25,074,690 | |||
Futures contracts | (1,649,494 | ) | ||
Swap agreements | 5,123 | |||
23,430,319 | ||||
Change in net unrealized appreciation of: | ||||
Investment securities | 48,572,792 | |||
Futures contracts | 135,594 | |||
48,708,386 | ||||
Net realized and unrealized gain | 72,138,705 | |||
Net increase in net assets resulting from operations | $ | 84,189,337 | ||
December 31, | December 31, | |||||||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 12,050,632 | $ | 11,732,832 | ||||
Net realized gain | 23,430,319 | (27,956,625 | ) | |||||
Change in net unrealized appreciation | 48,708,386 | 134,974,013 | ||||||
Net increase in net assets resulting from operations | 84,189,337 | 118,750,220 | ||||||
Distributions to shareholders from net investment income — Series II | (13,994,794 | ) | (15,771,072 | ) | ||||
Share transactions–net: | ||||||||
Series I | 44,483 | — | ||||||
Series II | 57,438,806 | 52,678,233 | ||||||
Net increase in net assets resulting from share transactions | 57,483,289 | — | ||||||
Net increase in net assets | 127,677,832 | 155,657,381 | ||||||
Net assets: | ||||||||
Beginning of year | 672,781,784 | 517,124,403 | ||||||
End of year (includes undistributed net investment income of $12,043,490 and $11,479,842, respectively) | $ | 800,459,616 | $ | 672,781,784 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean |
between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Futures Contracts — The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal counterparty risk since the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $150 million | 0 | .50% | ||
Next $100 million | 0 | .45% | ||
Next $100 million | 0 | .40% | ||
Over $350 million | 0 | .35% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 561,471,747 | $ | 9,971,896 | $ | — | $ | 571,443,643 | ||||||||
U.S. Treasury Securities | — | 319,875 | — | 319,875 | ||||||||||||
U.S. Government Sponsored Securities | — | 62,861,379 | — | 62,861,379 | ||||||||||||
Corporate Debt Securities | — | 164,253,897 | — | 164,253,897 | ||||||||||||
Asset Backed Securities | — | 9,136 | — | 9,136 | ||||||||||||
Municipal Obligations | — | 202,790 | — | 202,790 | ||||||||||||
$ | 561,471,747 | $ | 237,618,973 | $ | — | $ | 799,090,720 | |||||||||
Futures* | 594,031 | — | — | 594,031 | ||||||||||||
Total Investments | $ | 562,065,778 | $ | 237,618,973 | $ | — | $ | 799,684,751 | ||||||||
* | Unrealized appreciation. |
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Futures contracts(a) | ||||||||
Interest rate risk | $ | 619,558 | $ | (25,527 | ) | |||
(a) | Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s variation margin receivable (payable) is reported within the Statement of Assets & Liabilities. |
Location of Gain (Loss) on | ||||||||
Statement of Operations | ||||||||
Swap | ||||||||
Futures* | Agreements | |||||||
Realized Gain (Loss) | ||||||||
Credit risk | — | $ | 5,123 | |||||
Interest rate risk | $ | (1,649,494 | ) | — | ||||
Change in Unrealized Appreciation (Depreciation) | ||||||||
Interest rate risk | 135,594 | — | ||||||
Total | $ | (1,513,900 | ) | $ | 5,123 | |||
* | The average value of futures during the period was $38,416,813. |
Open Futures Contracts | ||||||||||||||||
Unrealized | ||||||||||||||||
Number of | Month/ | Appreciation | ||||||||||||||
Contract | Contracts | Commitment | Value | (Depreciation) | ||||||||||||
U.S. Treasury 2 Year Notes | 65 | March-2011/Long | $ | 14,228,906 | $ | (25,527 | ) | |||||||||
Subtotal | $ | 14,228,906 | $ | (25,527 | ) | |||||||||||
U.S. Treasury 5 Year Notes | 100 | March-2011/Short | (11,771,875 | ) | 195,884 | |||||||||||
U.S. Treasury 10 Year Notes | 50 | March-2011/Short | (6,021,875 | ) | 160,442 | |||||||||||
U.S. Long Bonds | 53 | March-2011/Short | (6,472,625 | ) | 263,232 | |||||||||||
Subtotal | $ | (24,266,375 | ) | $ | 619,558 | |||||||||||
Total | $ | (10,037,469 | ) | $ | 594,031 | |||||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 13,994,794 | $ | 15,771,072 | ||||
2010 | ||||
Undistributed ordinary income | $ | 12,048,991 | ||
Net unrealized appreciation — investments | 87,004,975 | |||
Temporary book/tax differences | (5,501 | ) | ||
Capital loss carryforward | (48,332,887 | ) | ||
Shares of beneficial interest | 749,744,038 | |||
Total net assets | $ | 800,459,616 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2017 | $ | 48,332,887 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 94,898,272 | ||
Aggregate unrealized (depreciation) of investment securities | (7,893,297 | ) | ||
Net unrealized appreciation of investment securities | $ | 87,004,975 | ||
Cost of investments for tax purposes is $712,085,745. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I(b) | 3,269 | $ | 44,487 | — | $ | — | ||||||||||
Series II | 9,140,570 | 119,604,678 | 10,389,966 | 116,829,247 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series II | 1,110,698 | 13,994,794 | 1,504,873 | 15,771,072 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | — | (4 | ) | — | — | |||||||||||
Series II | (5,846,609 | ) | (76,160,666 | ) | (7,373,030 | ) | (79,922,086 | ) | ||||||||
Net increase in share activity | 4,407,928 | $ | 57,483,289 | 4,521,809 | $ | 52,678,233 | ||||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 83% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. | |
(b) | Commencement date of June 1, 2010. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | Ratio of | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | rebate from | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | Net | on securities | Dividends | Distributions | net assets | assets without | investment | Morgan Stanley | ||||||||||||||||||||||||||||||||||||||||||||||||||||
value, | investment | (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income (loss) | Affiliates | |||||||||||||||||||||||||||||||||||||||||||||||||
beginning | income | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | to average | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||
of period | (loss)(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | net assets | turnover(c) | ||||||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10(d) | $ | 12.27 | $ | 0.13 | $ | 1.66 | $ | 1.79 | $ | — | $ | — | $ | — | $ | 14.06 | 14.59 | % | $ | 46 | 0.69 | %(e) | 0.70 | %(e) | 1.73 | %(e) | — | 34 | % | |||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 12.80 | 0.22 | 1.29 | 1.51 | (0.26 | ) | — | (0.26 | ) | 14.05 | 12.03 | 800,414 | 0.74 | (e) | 0.98 | (e) | 1.68 | (e) | — | 34 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 10.77 | 0.24 | 2.11 | 2.35 | (0.32 | ) | — | (0.32 | ) | 12.80 | 22.49 | 672,782 | 0.74 | (f) | 1.04 | (f) | 2.09 | (f)(g) | 0.01 | 81 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 14.74 | 0.32 | (3.56 | ) | (3.24 | ) | (0.31 | ) | (0.42 | ) | (0.73 | ) | 10.77 | (22.68 | )(h) | 517,124 | 0.75 | (f) | 1.05 | (f) | 2.50 | (f)(g) | 0.01 | 95 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 14.89 | 0.35 | 0.17 | 0.52 | (0.28 | ) | (0.39 | ) | (0.67 | ) | 14.74 | 3.36 | 711,897 | 0.74 | (f) | 1.04 | (f) | 2.31 | (f)(g) | 0.00 | (i) | 70 | ||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 13.69 | 0.32 | 1.35 | 1.67 | (0.16 | ) | (0.31 | ) | (0.47 | ) | 14.89 | 12.58 | 570,626 | 0.78 | 1.08 | 2.25 | — | 56 | ||||||||||||||||||||||||||||||||||||||||||
(a) | Calculate using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Commencement date of June 1, 2010. | |
(e) | Ratios are based on average daily net assets (000’s omitted) of $11 and $715,562 for Series I and Series II shares, respectively. | |
(f) | The ratios reflect the rebate of certain Fund expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate is disclosed in the above table as “Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets”. | |
(g) | Ratio of net investment income to average net assets without fee waivers and/or expenses absorbed was 1.79%, 2.20%, 2.01%, 1.95% and 1.49% for the years ended December 31, 2009 through December 31, 2005, respectively. | |
(h) | The Adviser reimbursed the Portfolio for losses incurred on derivative transactions which breached an investment guideline of the Portfolio during the period. The impact of this reimbursement is reflected in the total return shown above. Without this reimbursement, the total return for Series II would have been (22.68)%. | |
(i) | Amount is less than 0.005%. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,174.60 | $ | 3.79 | $ | 1,021.72 | $ | 3.53 | 0.69 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,173.80 | 4.07 | 1,021.46 | 3.78 | 0.74 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 64.49% | |||
U.S. Treasury Obligations* | 10.65% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 9.56 | % | ||
Series II Shares | 9.32 | |||
MSCI World Index▼ (Broad Market Index) | 11.76 | |||
VK GTAA Blended Benchmark■ (Style-Specific Index) | 8.32 |
▼Lipper Inc.; ■Invesco, Bloomberg L.P. |
Financials | 19.7 | % | ||
Health Care | 8.3 | |||
Information Technology | 8.1 | |||
Energy | 7.5 | |||
Consumer Discretionary | 7.4 | |||
Materials | 5.5 | |||
Industrials | 3.8 | |||
Telecommunication Services | 3.3 | |||
Consumer Staples | 2.7 | |||
Utilities | 2.1 | |||
Money Market Funds Plus | ||||
Other Assets in Excess of Liabilities | 31.6 |
1. | Chevron Corp. | 2.2 | % | |||||
2. | Canon, Inc. | 2.0 | ||||||
3. | Exxon Mobil Corp. | 1.7 | ||||||
4. | Microsoft Corp. | 1.6 | ||||||
5. | BCE, Inc. | 1.6 | ||||||
6. | International Business Machines Corp. | 1.6 | ||||||
7. | Novo Nordisk A/S | 1.5 | ||||||
8. | BHP Billiton PLC | 1.5 | ||||||
9. | BHP Billiton Ltd. | 1.3 | ||||||
10. | ConocoPhillips | 1.3 |
1. | United States | 34.8 | % | |||||
2. | Japan | 7.4 | ||||||
3. | United Kingdom | 5.8 | ||||||
4. | Canada | 3.5 | ||||||
5. | Sweden | 2.0 |
Total Net Assets | $74.7 million | |||
Total Number of Holdings* | 120 |
Invesco Van Kampen V.I. Global Tactical Asset Allocation Fund |
Invesco Van Kampen V.I. Global Tactical Asset Allocation Fund |
Series I Shares | ||||||||
Inception (1/23/09) | 19.18 | % | ||||||
1 | Year | 9.56 | ||||||
Series II Shares | ||||||||
Inception (1/23/09) | 18.87 | % | ||||||
1 | Year | 9.32 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. | |
2 | The expense ratio includes estimated acquired fund fees and expenses of the underlying funds in which the Fund invests of 0.08% for Invesco Van Kampen V.I. Global Asset Allocation Fund. |
Invesco Van Kampen V.I. Global Tactical Asset Allocation Fund |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Invesco Van Kampen V.I. Global Tactical Asset Allocation Fund |
Invesco Van Kampen V.I. Global Tactical Asset Allocation Fund |
Shares | Value | |||||||
Common Stocks–60.4% | ||||||||
Australia–2.0% | ||||||||
Australia and New Zealand Banking Group Ltd. | 8,867 | $ | 211,765 | |||||
BHP Billiton Ltd. | 21,709 | 1,009,141 | ||||||
Rio Tinto Ltd. | 2,622 | 229,212 | ||||||
1,450,118 | ||||||||
Bermuda–0.6% | ||||||||
Arch Capital Group Ltd.(a) | 4,600 | 405,030 | ||||||
Canada–3.5% | ||||||||
Atco, Ltd., Class 1 | 3,200 | 190,365 | ||||||
BCE, Inc. | 33,800 | 1,201,340 | ||||||
Canadian Imperial Bank of Commerce | 1,900 | 149,680 | ||||||
George Weston Ltd. | 5,300 | 448,818 | ||||||
Penn West Energy Trust | 3,600 | 86,316 | ||||||
Rogers Communication, Inc., Class B | 14,300 | 497,617 | ||||||
2,574,136 | ||||||||
Denmark–1.8% | ||||||||
Carlsberg A/S | 656 | 65,682 | ||||||
Coloplast A/S, Class B | 1,184 | 160,893 | ||||||
Novo Nordisk A/S, Class B | 10,190 | 1,146,935 | ||||||
1,373,510 | ||||||||
Finland–1.2% | ||||||||
Fortum Oyj | 15,538 | 471,387 | ||||||
Stora Enso Oyj, Class R | 37,551 | 385,629 | ||||||
UPM-Kymmene Oyj | 2,383 | 42,098 | ||||||
899,114 | ||||||||
France–1.0% | ||||||||
Sanofi-Aventis SA | 9,990 | 641,501 | ||||||
Total SA | 1,392 | 73,919 | ||||||
715,420 | ||||||||
Germany–1.2% | ||||||||
Deutsche Lufthansa AG(a) | 22,903 | 500,549 | ||||||
Hannover Rueckversicherung AG | 6,708 | 359,766 | ||||||
860,315 | ||||||||
Hong Kong–1.6% | ||||||||
Cheung Kong Holdings Ltd. | 26,000 | 400,179 | ||||||
CLP Holdings Ltd. | 37,500 | 304,427 | ||||||
SJM Holdings, Ltd. | 64,000 | 101,606 | ||||||
Swire Pacific Ltd., Class A | 25,500 | 418,492 | ||||||
1,224,704 | ||||||||
Italy–1.2% | ||||||||
Enel SpA | 10,330 | 51,627 | ||||||
ENI SpA | 6,225 | 135,924 | ||||||
Mediaset SpA | 25,457 | 154,017 | ||||||
Mediobanca SpA (warrants, expiring 03/18/11)(a) | 429 | 3 | ||||||
Terna Rete Elettrica Nationale SpA | 137,534 | 580,766 | ||||||
922,337 | ||||||||
Japan–7.4% | ||||||||
Brother Industries Ltd. | 22,300 | 330,696 | ||||||
Canon, Inc. | 28,700 | 1,471,296 | ||||||
DAITO Trust Construction Co., Ltd. | 5,200 | 356,103 | ||||||
Honda Motor Co., Ltd. | 10,300 | 407,093 | ||||||
Hoya Corp. | 5,600 | 136,017 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 95,900 | 518,538 | ||||||
Mizuho Financial Group, Inc. | 231,200 | 435,689 | ||||||
Resona Holdings, Inc. | 6,500 | 38,989 | ||||||
Sekisui Chemical Co., Ltd. | 19,000 | 136,433 | ||||||
Seven & I Holdings Co., Ltd. | 3,000 | 80,182 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 7,900 | 281,399 | ||||||
Takeda Pharmaceutical Co., Ltd. | 9,400 | 462,532 | ||||||
Tokio Marine Holdings, Inc. | 22,400 | 669,600 | ||||||
Yamada Denki Co., Ltd. | 2,680 | 182,870 | ||||||
5,507,437 | ||||||||
Jersey Channel Islands–1.3% | ||||||||
Petrofac Ltd. | 38,358 | 950,305 | ||||||
Netherlands–0.1% | ||||||||
STMicroelectronics NV | 9,454 | 97,989 | ||||||
New Zealand–0.1% | ||||||||
Telecom Corp. of New Zealand Ltd. | 52,845 | 89,354 | ||||||
Norway–0.2% | ||||||||
StatoilHydro ASA | 6,233 | 148,052 | ||||||
Singapore–0.3% | ||||||||
United Overseas Bank Ltd. | 16,000 | 226,906 | ||||||
Spain–1.0% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 29,182 | 294,809 | ||||||
Banco Santander SA | 44,464 | 472,444 | ||||||
767,253 | ||||||||
Sweden–2.0% | ||||||||
Alfa Laval AB | 14,716 | 310,045 | ||||||
Nordea Bank AB | 31,998 | 348,019 | ||||||
SKF AB, Class B | 17,100 | 492,574 | ||||||
Svenska Handelsbanken AB, Class A | 10,803 | 345,181 | ||||||
1,495,819 | ||||||||
Shares | Value | |||||||
Switzerland–1.4% | ||||||||
Allied World Assurance Co. Holdings Ltd. | 2,000 | $ | 118,880 | |||||
Banque Cantonale Vaudois | 119 | 62,491 | ||||||
Novartis AG | 11,005 | 647,584 | ||||||
Roche Holding AG | 1,690 | 247,626 | ||||||
1,076,581 | ||||||||
United Kingdom–5.8% | ||||||||
AstraZeneca PLC | 14,544 | 665,734 | ||||||
BHP Billiton PLC | 27,555 | 1,098,580 | ||||||
British American Tobacco PLC | 24,493 | 942,949 | ||||||
BT Group PLC | 225,423 | 636,290 | ||||||
HSBC Holdings PLC | 4,067 | 41,443 | ||||||
Mondi PLC | 54,031 | 433,158 | ||||||
Next PLC | 15,670 | 482,514 | ||||||
4,300,668 | ||||||||
United States–26.8% | ||||||||
American Express Co. | 10,700 | 459,244 | ||||||
Amgen, Inc.(a) | 8,600 | 472,140 | ||||||
Apple, Inc.(a) | 500 | 161,280 | ||||||
Capital One Financial Corp. | 9,200 | 391,552 | ||||||
Cardinal Health, Inc. | 10,200 | 390,762 | ||||||
Chevron Corp. | 18,000 | 1,642,500 | ||||||
Cisco Systems, Inc.(a) | 2,700 | 54,621 | ||||||
Citigroup, Inc.(a) | 40,400 | 191,092 | ||||||
Coca-Cola Enterprises, Inc. | 5,200 | 130,156 | ||||||
ConocoPhillips | 14,600 | 994,260 | ||||||
Domtar Corp. | 4,800 | 364,416 | ||||||
D.R. Horton, Inc. | 25,200 | 300,636 | ||||||
Exxon Mobil Corp. | 17,200 | 1,257,664 | ||||||
Ford Motor Co.(a) | 17,200 | 288,788 | ||||||
Forest Laboratories, Inc.(a) | 3,600 | 115,128 | ||||||
Franklin Resources, Inc. | 3,300 | 366,993 | ||||||
Gannett Co., Inc. | 23,200 | 350,088 | ||||||
Gap, Inc. | 22,700 | 502,578 | ||||||
Goldman Sachs Group, Inc. | 2,100 | 353,136 | ||||||
Humana, Inc.(a) | 3,600 | 197,064 | ||||||
IAC/InteractiveCorp(a) | 33,800 | 970,060 | ||||||
InterDigital, Inc. | 3,500 | 145,740 | ||||||
International Business Machines Corp. | 8,000 | 1,174,080 | ||||||
Johnson & Johnson | 7,400 | 457,690 | ||||||
JPMorgan Chase & Co. | 17,300 | 733,866 | ||||||
KBR, Inc. | 5,600 | 170,632 | ||||||
Lexmark International, Inc., Class A(a) | 2,100 | 73,122 | ||||||
Limited Brands, Inc. | 31,900 | 980,287 | ||||||
M & T Bank Corp. | 3,200 | 278,560 | ||||||
Macy’s, Inc. | 4,200 | 106,260 | ||||||
McDonald’s Corp. | 7,100 | 544,996 | ||||||
Microsoft Corp. | 43,800 | 1,222,896 | ||||||
Northrop Grumman Corp. | 6,700 | 434,026 | ||||||
Oil States International, Inc.(a) | 2,400 | 153,816 | ||||||
Oshkosh Corp.(a) | 15,000 | 528,600 | ||||||
Peabody Energy Corp. | 6,500 | 415,870 | ||||||
PPG Industries, Inc. | 1,500 | 126,105 | ||||||
Procter & Gamble Co. | 4,600 | 295,918 | ||||||
Prudential Financial, Inc. | 1,200 | 70,452 | ||||||
R.R. Donnelley & Sons Co. | 17,300 | 302,231 | ||||||
Sprint Nextel Corp.(a) | 14,900 | 63,027 | ||||||
Sunoco, Inc. | 1,100 | 44,341 | ||||||
Time Warner, Inc. | 3,533 | 113,657 | ||||||
Travelers Cos., Inc. | 900 | 50,139 | ||||||
TRW Automotive Holdings Corp.(a) | 9,600 | 505,920 | ||||||
Tyson Foods, Inc., Class A | 3,900 | 67,158 | ||||||
UnitedHealth Group, Inc. | 15,800 | 570,538 | ||||||
Valero Energy Corp. | 2,700 | 62,424 | ||||||
Vishay Intertechnology, Inc.(a) | 14,600 | 214,328 | ||||||
Walter Energy, Inc. | 900 | 115,056 | ||||||
Wells Fargo & Co. | 2,200 | 68,178 | ||||||
20,044,071 | ||||||||
Total Common Stocks | 45,129,119 | |||||||
Investment Companies–8.0% | ||||||||
United States–8.0% | ||||||||
iShares Barclays 3-7 Year Treasury Bond Fund | 6,900 | 791,085 | ||||||
iShares MSCI EAFE Index Fund | 28,500 | 1,659,555 | ||||||
SPDR Barclays Capital International Treasury Bond ETF | 30,800 | 1,800,568 | ||||||
SPDR S&P 500 ETF Trust | 13,600 | 1,710,608 | ||||||
Total Investment Companies | 5,961,816 | |||||||
Total Long-Term Investments (Cost $44,252,495) | 51,090,935 | |||||||
Money Market Funds–22.2% | ||||||||
Liquid Assets Portfolio–Institutional Class(b) | 8,295,741 | 8,295,741 | ||||||
Premier Portfolio–Institutional Class(b) | 8,295,741 | 8,295,741 | ||||||
Total Money Market Funds (Cost $16,591,482) | 16,591,482 | |||||||
United States Government Agency Obligation–8.0% | ||||||||
United States Treasury Bill ($6,000,000 par, yielding 0.226%, 02/24/11 maturity) (Cost $5,998,475) | 5,998,475 | |||||||
TOTAL INVESTMENTS–98.6% (Cost $66,842,452) | 73,680,892 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES–1.4% | 1,011,771 | |||||||
NET ASSETS–100.0% | $ | 74,692,663 | ||||||
(a) | Non-income producing security. | |
(b) | The money market and the Fund are affiliated by having the same investment adviser. |
Forward Foreign Currency Contracts Outstanding as of December 31, 2010: | ||||||||||||||
Unrealized | ||||||||||||||
Appreciation/ | ||||||||||||||
Counterparty | In Exchange for | Current Value | Depreciation | |||||||||||
Long Contracts: | ||||||||||||||
Indian Rupee | ||||||||||||||
29,000,000 expiring 03/09/11 | Goldman Sachs | US$ | $ | 640,911 | $ | 2,567 | ||||||||
Short Contracts: | ||||||||||||||
Indian Rupee | ||||||||||||||
29,000,000 expiring 03/09/11 | Goldman Sachs | US$ | 640,911 | (2,848 | ) | |||||||||
Taiwan Dollar | ||||||||||||||
16,800,000 expiring 03/09/11 | Goldman Sachs | US$ | 577,091 | (17,091 | ) | |||||||||
14,700,000 expiring 03/09/11 | Goldman Sachs | US$ | 504,955 | (14,055 | ) | |||||||||
$ | (33,994 | ) | ||||||||||||
$ | (31,427 | ) | ||||||||||||
Futures Contracts Outstanding as of December 31, 2010: | ||||||||||||||
Unrealized | ||||||||||||||
Number of | Appreciation/ | |||||||||||||
Contracts | Depreciation | |||||||||||||
Long Contracts: | ||||||||||||||
DAX Index Futures, March 2011 (Current Notional Value of $232,323 per contract) | 4 | $ | (15,227 | ) | ||||||||||
FTSE Top 40 Index Futures, March 2011 (Current Notional Value of $43,544 per contract) | 23 | 12,794 | ||||||||||||
Hang Seng Index Futures, January 2011 (Current Notional Value of $148,064 per contract) | 7 | (1,259 | ) | |||||||||||
MSCI Taiwan Index Futures, January 2011 (Current Notional Value of $31,930 per contract) | 38 | 17,605 | ||||||||||||
OMEX 30 Index Futures, January 2011 (Current Notional Value of $17,210 per contract) | 69 | 2,847 | ||||||||||||
Russell 2000 Mini Index Futures, March 2011 (Current Notional Value of $78,230 per contract) | 31 | 56,600 | ||||||||||||
S&P 60 Index Futures, March 2011 (Current Notional Value of $154,401 per contract) | 9 | 23,264 | ||||||||||||
SGX CNX Nifty Index Futures, January 2011 (Current Notional Value of $59,077 per contract) | 22 | 21,142 | ||||||||||||
Total Long Contracts | 203 | 117,766 | ||||||||||||
Short Contracts: | ||||||||||||||
10 Year U.S. Treasury Note, March 2011 (Current Notional Value of $120,438 per contract) | 5 | 10,173 | ||||||||||||
CAC 40 Index Futures, January 2011 (Current Notional Value of $51,106 per contract) | 16 | 18,782 | ||||||||||||
FTSE MIB Index Futures, March 2011 (Current Notional Value of $135,530 per contract) | 5 | 15,864 | ||||||||||||
German Euro Bond Futures, March 2011 (Current Notional Value of $168,110 per contract) | 3 | 3,099 | ||||||||||||
IBEX 35 Index Futures, January 2011 (Current Notional Value of $131,351 per contract) | 5 | 15,683 | ||||||||||||
Japan Government Bond Futures, March 2011 (Current Notional Value of $1,733,721 per contract) | 4 | (25,400 | ) | |||||||||||
S&P 500 E-Mini Index Futures, March 2011 (Current Notional Value Of $62,650 per contract) | 13 | (18,548 | ) | |||||||||||
UK Long Gilt Bond Futures, March 2011 (Current Notional Value of $187,080 per contract) | 7 | (3,178 | ) | |||||||||||
Total Short Contracts | 58 | 16,475 | ||||||||||||
Total Futures Contracts | 261 | $ | 134,241 | |||||||||||
Swap Agreements Outstanding as of December 31, 2010: | ||||||||||||||||||
Notional | Unrealized | |||||||||||||||||
Number of | Month/ | Amount | Appreciation | |||||||||||||||
Swap Agreements | Counterparty | Contracts | Comittment | (000) | (Depreciation) | |||||||||||||
J.P. Morgan Global Government Bond Index | J.P. Morgan Chase Bank | 42,046 | June 2011/Long | $ | 20,203 | $ | 146,562 | |||||||||||
Assets: | ||||
Investments, at value (Cost $50,250,970) | $ | 57,089,410 | ||
Investments in affiliated money market funds, at value and cost | 16,591,482 | |||
Restricted Cash | 1,046,255 | |||
Cash | 71,066 | |||
Receivables: | ||||
Variation margin on futures | 197,853 | |||
Dividends | 100,202 | |||
Fund shares sold | 29,397 | |||
Swap agreements | 146,562 | |||
Forward foreign currency contracts | 2,567 | |||
Other | 533 | |||
Total assets | 75,275,327 | |||
Liabilities: | ||||
Foreign currency overdraft (Cost $34,864) | 35,956 | |||
Payables: | ||||
Distributor and affiliates | 169,549 | |||
Fund shares repurchased | 102,816 | |||
Offering costs | 53,026 | |||
Variation margin on futures | 63,612 | |||
Investment advisory fee | 22,902 | |||
Forward foreign currency contracts | 33,994 | |||
Trustees’ deferred compensation and retirement plans | 1,328 | |||
Accrued expenses | 99,481 | |||
Total liabilities | 582,664 | |||
Net assets | $ | 74,692,663 | ||
Net assets consist of: | ||||
Capital (par value of $0.001 per share with an unlimited number of shares authorized) | $ | 62,312,858 | ||
Net unrealized appreciation | 7,089,182 | |||
Accumulated net realized gain | 5,357,424 | |||
Accumulated undistributed net investment income (loss) | (66,801 | ) | ||
Net assets | $ | 74,692,663 | ||
Net assets value, offering price and redemption price per share: | ||||
Series I shares (based on net assets of $17,348 and 1,325 shares of beneficial interest issued and outstanding) | $ | 13.09 | ||
Series II shares (based on net assets of $74,675,315 and 5,723,742 shares of beneficial interest issued and outstanding) | $ | 13.05 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $60,956) | $ | 1,202,667 | ||
Dividends from affiliated funds | 112,123 | |||
Interest | 50,319 | |||
Total income | 1,365,109 | |||
Expenses: | ||||
Investment advisory fee | 590,302 | |||
Distribution fees: | ||||
Series II | 197,168 | |||
Administrative services fees | 180,318 | |||
Custody | 141,720 | |||
Professional fees | 53,960 | |||
Transfer agent fees | 15,439 | |||
Trustees’ and officers’ fees and benefits | 15,035 | |||
Offering costs | 8,560 | |||
Other | 14,082 | |||
Total expenses | 1,216,584 | |||
Expense reduction | 320,053 | |||
Net expenses | 896,531 | |||
Net investment income | 468,578 | |||
Realized and unrealized gain (loss): | ||||
Realized gain (loss): | ||||
Realized gain on sale of unaffiliated investments | 4,071,729 | |||
Realized gain on sales of underlying affiliated funds | 819,032 | |||
Futures contracts | 1,001,446 | |||
Swap agreements | 1,155,719 | |||
Foreign currency transactions | 991,426 | |||
Forward foreign currency contracts | (2,840,926 | ) | ||
Net realized gain | 5,198,426 | |||
Unrealized appreciation (depreciation): | ||||
Beginning of the period | 6,962,088 | |||
End of the period: | ||||
Investments | 6,838,440 | |||
Swap agreements | 146,562 | |||
Futures contracts | 134,241 | |||
Foreign currency translation | 1,366 | |||
Forward foreign currency contracts | (31,427 | ) | ||
7,089,182 | ||||
Net unrealized appreciation during the period | 127,094 | |||
Net realized and unrealized gain | 5,325,520 | |||
Net increase in net assets from operations | $ | 5,794,098 | ||
For the period | ||||||||
January 23, 2009 | ||||||||
(Commencement of | ||||||||
For the year ended | operations) to | |||||||
December 31, 2010 | December 31, 2009 | |||||||
From investment activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 468,578 | $ | 241,262 | ||||
Net realized gain | 5,198,426 | 6,738,510 | ||||||
Net unrealized appreciation during the period | 127,094 | 6,962,088 | ||||||
Change in net assets from operations | 5,794,098 | 13,941,860 | ||||||
Distributions from net investment income: | ||||||||
Series I shares | (196 | ) | (2,462 | ) | ||||
Series II shares | (185,515 | ) | (1,961,058 | ) | ||||
(185,711 | ) | (1,963,520 | ) | |||||
Distributions from net realized gain: | ||||||||
Series I shares | (1,436 | ) | (4,587 | ) | ||||
Series II shares | (1,359,183 | ) | (3,885,689 | ) | ||||
(1,360,619 | ) | (3,890,276 | ) | |||||
Total distributions | (1,546,330 | ) | (5,853,796 | ) | ||||
Net change in net assets from investment activities | 4,247,768 | 8,088,064 | ||||||
From capital transactions: | ||||||||
Proceeds from shares sold | 33,427,508 | 105,224,572 | ||||||
Net asset value of shares issued through dividend reinvestment | 1,546,330 | 5,853,796 | ||||||
Cost of shares repurchased | (74,223,403 | ) | (9,471,972 | ) | ||||
Net change in net assets from capital transactions | (39,249,565 | ) | 101,606,396 | |||||
Total increase (decrease) in net assets | (35,001,797 | ) | 109,694,460 | |||||
Net assets: | ||||||||
Beginning of the period | 109,694,460 | -0- | ||||||
End of the period (including accumulated undistributed net investment income (loss) of $(66,801) and $100,839, respectively) | $ | 74,692,663 | $ | 109,694,460 | ||||
Series I sharesˆ | ||||||||
January 23, 2009 | ||||||||
(Commencement of | ||||||||
Year ended | operations) to | |||||||
December 31, 2010 | December 31, 2009 | |||||||
Net asset value, beginning of the period | $ | 12.00 | $ | 10.00 | ||||
Net investment income(a) | 0.10 | 0.04 | ||||||
Net realized and unrealized gain | 1.15 | 2.67 | ||||||
Total from investment operations | 1.25 | 2.71 | ||||||
Less: | ||||||||
Distributions from net investment income | 0.02 | 0.25 | ||||||
Distributions from net realized gain | 0.14 | 0.46 | ||||||
Total distributions | 0.16 | 0.71 | ||||||
Net asset value, end of the period | $ | 13.09 | $ | 12.00 | ||||
Total return* | 10.57 | %(b) | 28.21 | %** | ||||
Net assets at end of the period (in thousands) | $ | 17.3 | $ | 120.0 | ||||
Ratio of expenses to average net assets* | 0.89 | %(c) | 0.90 | %(d) | ||||
Ratio of net investment income to average net assets* | 0.88 | %(c) | 0.41 | %(d) | ||||
Portfolio turnover(e) | 444 | % | 87 | % | ||||
* If certain expenses had not been assumed by the Adviser, total returns would have been lower and the ratios would have been as follows: | ||||||||
Ratio of expenses to average net assets | 1.29 | %(c) | 1.46 | %(d) | ||||
Ratio of net investment income (loss) to average net assets | 0.48 | %(c) | (0.15 | )%(d) | ||||
(a) | Based on average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Ratios are annualized and based on average daily net assets (000’s omitted) of $93. | |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. The annualized weighted average ratio of expense to average net assets for the Underlying Funds was 0.08% at December 31, 2009. | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
ˆ | On June 1, 2010, the Class I shares of the predecessor fund were reorganized into Series I shares of the Fund. |
** | Non-Annualized |
Series II sharesˆ | ||||||||
January 23, 2009 | ||||||||
(Commencement of | ||||||||
For year ended, | operations) to | |||||||
December 31, 2010 | December 31, 2009 | |||||||
Net asset value, beginning of the period | $ | 12.10 | $ | 10.00 | ||||
Net investment income(a) | 0.07 | 0.05 | ||||||
Net realized and unrealized gain | 1.04 | 2.74 | ||||||
Total from investment operations | 1.11 | 2.79 | ||||||
Less: | ||||||||
Distributions from net investment income | 0.02 | 0.23 | ||||||
Distributions from net realized gain | 0.14 | 0.46 | ||||||
Total distributions | 0.16 | 0.69 | ||||||
Net asset value, end of the period | $ | 13.05 | $ | 12.10 | ||||
Total return* | 9.32 | %(b) | 27.86 | %**(d) | ||||
Net assets at end of the period (in millions) | $ | 74.7 | $ | 109.6 | ||||
Ratio of expenses to average net assets* | 1.14 | %(c) | 1.15 | %(e) | ||||
Ratio of net investment income to average net assets* | 0.59 | %(c) | 0.44 | %(e) | ||||
Portfolio turnover(f) | 444 | % | 87 | % | ||||
* If certain expenses had not been assumed by the Adviser, total returns would have been lower and the ratios would have been as follows: | ||||||||
Ratio of expenses to average net assets | 1.54 | %(c) | 1.71 | %(e) | ||||
Ratio of net investment income (loss) to average net assets | 0.19 | %(c) | (0.12 | )%(e) | ||||
(a) | Based on average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Ratios are annualized and based on average daily net assets (000’s omitted) of $78,867. | |
(d) | These returns include combined Rule 12b-1 fees and service fees of up to 0.25%. | |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. The annualized weighted average ratio of expense to average net assets for the Underlying Funds was 0.08% at December 31, 2009. | |
(f) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
ˆ | On June 1, 2010, the Class II shares of the predecessor fund were reorganized into Series II shares of the Fund. |
** | Non-Annualized |
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. |
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
J. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. | |
K. | Futures Contracts — The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal counterparty risk since the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. | |
L. | Swap Agreements — The Fund may enter into various swap transactions, including interest rate, total return, index, currency exchange rate and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, currency or credit risk. | |
Interest rate, total return, index, and currency exchange rate swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index. | ||
A CDS is an agreement between two parties (“Counterparties”) to exchange the credit risk of an issuer. A buyer of a CDS is said to buy protection by paying a fixed payment over the life of the agreement and in some situations an upfront payment to the seller of the CDS. If a defined credit event occurs (such as payment default or bankruptcy), the Fund as a protection buyer would cease paying its fixed payment, the Fund would deliver eligible bonds issued by the reference entity to the seller, and the seller would pay the full notional value, or the “par value”, of the referenced obligation to the Fund. A seller of a CDS is said to sell protection and thus would receive a fixed payment over the life of the agreement and an upfront payment, if applicable. If a credit event occurs, the Fund as a protection seller would cease to receive the fixed payment stream, the Fund would pay the buyer “par value” or the full notional value of the referenced obligation, and the Fund would receive the eligible bonds issued by the reference entity. In turn, these bonds may be sold in order to realize a recovery value. Alternatively, the seller of the CDS and its counterparty may agree to net the notional amount and the market value of the bonds and make a cash payment equal to the difference to the buyer of protection. If no credit event occurs, the Fund receives the fixed payment over the life of the agreement. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the CDS. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. | ||
Implied credit spreads represent the current level at which protection could be bought or sold given the terms of the existing CDS contract and serve as an indicator of the current status of the payment/performance risk of the CDS. An implied spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets. | ||
Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. The Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the value of the contract. The risk may be mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral by |
the counterparty to cover the Fund’s exposure to the counterparty. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. | ||
M. | Other Risks — The Fund may invest in affiliated mutual funds advised by Invesco Advisers, Inc. (the “Adviser” or “Invesco”) or unaffiliated exchange-traded funds (“underlying funds”). Each of the underlying funds in which the Fund invests has its own investment risks and those risks can affect the value of the underlying funds’ shares and therefore the value of the Fund’s investments. Each underlying fund’s accounting policies are outlined in the underlying fund’s financial statements and are available upon request. | |
N. | Offering Costs — Offering costs are amortized, on a straight-line basis, over a twelve month period. |
Average Net Assets | Rate | |||
First $750 million | 0 | .75% | ||
Next $750 million | 0 | .70% | ||
Over $1.5 billion | 0 | .65% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in an Asset Position | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 1,450,118 | $ | — | $ | 1,450,118 | ||||||||
Bermuda | 405,030 | — | — | 405,030 | ||||||||||||
Canada | 2,574,136 | — | — | 2,574,136 | ||||||||||||
Denmark | — | 1,373,510 | — | 1,373,510 | ||||||||||||
Finland | — | 899,114 | — | 899,114 | ||||||||||||
France | — | 715,420 | — | 715,420 | ||||||||||||
Germany | — | 860,315 | — | 860,315 | ||||||||||||
Hong Kong | — | 1,224,704 | — | 1,224,704 | ||||||||||||
Italy | 3 | 922,334 | — | 922,337 | ||||||||||||
Japan | — | 5,507,437 | — | 5,507,437 | ||||||||||||
Jersey Channel Islands | — | 950,305 | — | 950,305 | ||||||||||||
Netherlands | — | 97,989 | — | 97,989 | ||||||||||||
New Zealand | — | 89,354 | — | 89,354 | ||||||||||||
Norway | — | 148,052 | — | 148,052 | ||||||||||||
Singapore | — | 226,906 | — | 226,906 | ||||||||||||
Spain | — | 767,253 | — | 767,253 | ||||||||||||
Sweden | — | 1,495,819 | — | 1,495,819 | ||||||||||||
Switzerland | 118,880 | 957,701 | — | 1,076,581 | ||||||||||||
United Kingdom | — | 4,300,668 | — | 4,300,668 | ||||||||||||
United States | 42,597,369 | — | — | 42,597,369 | ||||||||||||
United States Government Agency Obligation | — | 5,998,475 | — | 5,998,475 | ||||||||||||
Forward Foreign Currency Contracts | 2,567 | 2,567 | ||||||||||||||
Futures Contracts | 197,853 | — | — | 197,853 | ||||||||||||
Swap Agreements | — | 146,562 | — | 146,562 | ||||||||||||
Total Investments in an Asset Position | $ | 45,893,271 | $ | 28,134,603 | $ | — | $ | 74,027,874 | ||||||||
Investments in a Liability Position | ||||||||||||||||
Forward Foreign Currency Contracts | — | (33,994 | ) | — | (33,994 | ) | ||||||||||
Futures Contracts | (63,612 | ) | — | — | (63,612 | ) | ||||||||||
Total Investments in a Liability Position | $ | (63,612 | ) | $ | (33,994 | ) | $ | — | $ | (97,606 | ) | |||||
Location of Gain (Loss) on | ||||||||||||
Statement of Operations | ||||||||||||
Forward | ||||||||||||
Futures | Swap | Foreign Currency | ||||||||||
Contracts** | Agreements** | Contracts* | ||||||||||
Realized Gain (Loss) | ||||||||||||
Currency risk | $ | -0- | $ | -0- | $ | (2,840,926 | ) | |||||
Equity risk | 256,260 | -0- | -0- | |||||||||
Interest rate risk | 745,186 | 1,155,719 | -0- | |||||||||
Change in Unrealized Appreciation (Depreciation) | ||||||||||||
Currency risk | $ | -0- | $ | -0- | $ | 334,572 | ||||||
Equity risk | (441,833 | ) | -0- | -0- | ||||||||
Interest rate risk | 148,454 | 146,562 | -0- | |||||||||
Total | $ | 708,067 | $ | 1,302,281 | $ | (2,506,354 | ) | |||||
* | The cost of purchases and the proceeds from sales of forward foreign currency contracts were $230,415,071 and $224,189,804, respectively. |
** | The average notional value of futures and swap agreements outstanding during the period was $913,445,088 and $9,697,729, respectively. |
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Currency risk | ||||||||
Forward Foreign Currency Contracts | $ | 2,567 | $ | (33,994 | ) | |||
Equity risk | ||||||||
Futures Contracts | 184,581 | (35,034 | ) | |||||
Interest rate risk | ||||||||
Futures Contracts | 13,272 | (28,578 | ) | |||||
Swap Agreements | 146,562 | -0- | ||||||
Change in | ||||||||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||||||||
Value | Purchases | Proceeds | Appreciation | Realized | Value | Dividend | ||||||||||||||||||||||
12/31/09 | at Cost | from Sales | (Depreciation) | Gain (Loss) | 12/31/10 | Income | ||||||||||||||||||||||
Liquid Asset Portfolio — Institutional Class | $ | -0- | $ | 35,412,140 | $ | 27,116,399 | $ | -0- | $ | -0- | $ | 8,295,741 | $ | 8,787 | ||||||||||||||
Premier Portfolio — Institutional Class | -0- | 35,412,140 | 27,116,399 | -0- | -0- | 8,295,741 | 4,879 | |||||||||||||||||||||
Morgan Stanley Institutional Fund, Inc. — Capital Growth Portfolio, Class I* | 1,162,487 | -0- | 1,215,032 | (300,248 | ) | 352,793 | -0- | -0- | ||||||||||||||||||||
Morgan Stanley Institutional Fund, Inc. — Emerging Markets Portfolio, Class I* | 1,078,382 | -0- | 998,519 | (101,453 | ) | 21,590 | -0- | -0- | ||||||||||||||||||||
Morgan Stanley Institutional Fund, Inc. — International Growth Equity Portfolio, Class I* | 923,923 | 404 | 922,198 | (159,180 | ) | 157,051 | -0- | 404 | ||||||||||||||||||||
Morgan Stanley Institutional Fund Trust — Core Plus Fixed Income Portfolio* | 6,254,503 | 54,910 | 6,455,450 | (5,188 | ) | 151,225 | -0- | 54,910 | ||||||||||||||||||||
Invesco Van Kampen High Yield Fund, Class Y** | 1,161,054 | 57,099 | 1,202,005 | (115,608 | ) | 99,460 | -0- | 43,143 | ||||||||||||||||||||
Invesco Van Kampen International Growth Fund, Class Y** | 2,193,156 | -0- | 1,924,917 | (305,152 | ) | 36,913 | -0- | -0- | ||||||||||||||||||||
Total | $ | 12,773,505 | $ | 70,936,693 | $ | 66,950,919 | $ | (986,829 | ) | $ | 819,032 | $ | 16,591,482 | $ | 112,123 | |||||||||||||
* | As of June 1, 2010, this security is no longer affiliated. |
** | On June 1, 2010, former Van Kampen funds Class I shares were reorganized into Class Y shares. |
2010 | 2009 | |||||||
Ordinary income | $ | 1,156,905 | $ | 5,145,625 | ||||
Long-term capital gain | 389,425 | 708,171 | ||||||
Total distributions | $ | 1,546,330 | $ | 5,853,796 | ||||
2010 | ||||
Undistributed ordinary income | $ | 1,916,318 | ||
Undistributed long-term gain | 4,264,947 | |||
Net unrealized appreciation — investments | 6,054,381 | |||
Net unrealized appreciation — other investments | 205,795 | |||
Temporary book/tax differences | (1,328 | ) | ||
Post-October Currency loss deferral | (60,308 | ) | ||
Shares of beneficial interest | 62,312,858 | |||
Total net assets | $ | 74,692,663 | ||
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 6,222,615 | ||
Aggregate unrealized (depreciation) of investment securities | (168,234 | ) | ||
Net unrealized appreciation of investment securities | $ | 6,054,381 | ||
Cost of investments for tax purposes is $67,626,511. |
Summary of Share Activity | ||||||||||||||||
Year ended | Period ended | |||||||||||||||
December 31, 2010(a) | December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sales: | ||||||||||||||||
Series A | -0- | $ | 58 | 10,000 | $ | 100,000 | ||||||||||
Series B | 2,727,339 | 33,427,450 | 9,353,445 | 105,124,572 | ||||||||||||
Total sales | 2,727,339 | 33,427,508 | 9,363,445 | 105,224,572 | ||||||||||||
Dividend reinvestment: | ||||||||||||||||
Series A | -0- | -0- | -0- | -0- | ||||||||||||
Series B | 101,831 | 1,546,330 | 367,564 | 5,853,796 | ||||||||||||
Total dividend reinvestment | 101,831 | 1,546,330 | 367,564 | 5,853,796 | ||||||||||||
Repurchases: | ||||||||||||||||
Series A | (8,675 | ) | (108,000 | ) | -0- | -0- | ||||||||||
Series B | (6,161,080 | ) | (74,115,403 | ) | (665,357 | ) | (9,471,972 | ) | ||||||||
(6,169,755 | ) | $ | (74,223,403 | ) | (665,357 | ) | $ | (9,471,972 | ) | |||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 95% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. In addition, less than 1% of the outstanding shares of the Fund are owned by Invesco or an investment advisor under common control with Invesco. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
ACTUAL | (5% annual return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,169.64 | $ | 4.70 | $ | 1,020.87 | $ | 4.38 | 0.86 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,168.31 | 6.12 | 1,019.56 | 5.70 | 1.12 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Long-Term Capital Gain Dividends | $ | 389,425 | ||
Corporate Dividends Received Deduction* | 0% | |||
U.S. Treasury Obligations* | 0% | |||
Tax-exempt* | 0% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 10.95 | % | ||
Series II Shares | 10.69 | |||
MSCI World Index▼ (Broad Market Index) | 11.76 | |||
▼Lipper Inc. |
United States | 35.8 | % | ||
Japan | 13.6 | |||
United Kingdom | 8.4 | |||
Switzerland | 5.7 | |||
France | 4.5 | |||
Spain | 3.1 | |||
Germany | 2.7 | |||
Hong Kong | 2.7 | |||
Australia | 2.6 | |||
Canada | 2.3 | |||
South Korea | 2.2 | |||
Norway | 2.1 | |||
Countries Each Less Than 2.0% of the Portfolio | 11.7 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | 2.6 |
1. | Royal Dutch Shell PLC-Class A | 2.3 | % | |||||
2. | ACE Ltd. | 2.2 | ||||||
3. | Chevron Corp. | 2.2 | ||||||
4. | BHP Billiton PLC | 2.0 | ||||||
5. | General Dynamics Corp. | 2.0 | ||||||
6. | Archer-Daniels-Midland Co. | 1.9 | ||||||
7. | Oracle Corp. | 1.9 | ||||||
8. | Coach, Inc. | 1.9 | ||||||
9. | Nissan Motor Co. | 1.8 | ||||||
10. | ConocoPhillips | 1.8 |
1. | Integrated Oil & Gas | 10.5 | % | |||||
2. | Diversified Banks | 8.0 | ||||||
3. | Pharmaceuticals | 7.2 | ||||||
4. | Integrated Telecommunications Services | 4.9 | ||||||
5. | Automobile Manufacturers | 3.2 |
Total Net Assets | $44.7 million | |||
Total Number of Holdings* | 112 |
*Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Global Value Equity Fund. She joined Invesco in 1999. Ms. Baker earned a B.A. in international politics from Oberlin College. She also earned an M.B.A. in finance from the University of Navarra.
Portfolio manager, is manager of Invesco Van Kampen V.I. Global Value Equity Fund. He joined Invesco in 1984. Mr. Davidson earned a degree in economics from Edinburgh University.
Chartered Financial Analyst, portfolio manager and Head of Developed Market Equities, is manager of Invesco Van Kampen V.I. Global Value Equity Fund. He joined Invesco in 2002. Mr. McGowan earned a B.S. in commerce from the University of Virginia and an M.B.A. in investment management from the University of North Carolina.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Global Value Equity Fund. She joined Invesco in 1998. Ms. Singha earned a B.A. and a Ph.D. in economics from Emory University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Global Value Equity Fund. He joined Invesco in 2000. Mr. Thomas earned a B.B.A. in banking/ finance and an M.B.A. from the University of Mississippi.
Series I Shares | ||||||||
Inception (1/2/97) | 4.63 | % | ||||||
10 | Years | 1.77 | ||||||
5 | Years | -0.09 | ||||||
1 | Year | 10.95 | ||||||
Series II Shares | ||||||||
10 | Years | 1.52 | % | |||||
5 | Years | -0.33 | ||||||
1 | Year | 10.69 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–95.79% | ||||||||
Australia–2.57% | ||||||||
Australia & New Zealand Banking Group Ltd. | 17,046 | $ | 407,098 | |||||
Macquarie Group Ltd. | 9,392 | 355,523 | ||||||
Telstra Corp. Ltd. | 136,299 | 388,944 | ||||||
1,151,565 | ||||||||
Bermuda–0.86% | ||||||||
PartnerRe Ltd. | 4,777 | 383,832 | ||||||
Brazil–1.49% | ||||||||
Banco Santander Brasil S.A.(a) | 10,100 | 137,409 | ||||||
Companhia Energetica de Minas Gerais–ADR | 6,999 | 116,113 | ||||||
PDG Realty S.A. Empreendimentos e Participacoes | 23,600 | 144,443 | ||||||
Petroleo Brasileiro S.A.–ADR | 3,573 | 135,202 | ||||||
Vale S.A.–ADR | 3,900 | 134,823 | ||||||
667,990 | ||||||||
Canada–2.29% | ||||||||
Nexen Inc. | 23,858 | 547,081 | ||||||
Toronto-Dominion Bank (The) | 6,370 | 475,684 | ||||||
1,022,765 | ||||||||
China–0.97% | ||||||||
China Construction Bank Corp.–Class H | 80,000 | 71,622 | ||||||
China Dongxiang Group Co. | 153,000 | 66,138 | ||||||
China Minsheng Banking Corp., Ltd.–Class H | 96,000 | 82,132 | ||||||
CNOOC Ltd. | 41,000 | 97,555 | ||||||
Renhe Commercial Holdings Co., Ltd. | 660,000 | 115,480 | ||||||
432,927 | ||||||||
Finland–0.86% | ||||||||
Nokia Oyj–ADR | 37,411 | 386,082 | ||||||
France–4.50% | ||||||||
BNP Paribas | 8,323 | 531,346 | ||||||
Bouygues S.A. | 11,097 | 479,197 | ||||||
Sanofi-Aventis S.A. | 7,344 | 471,593 | ||||||
Total S.A. | 10,000 | 531,034 | ||||||
2,013,170 | ||||||||
Germany–1.28% | ||||||||
Salzgitter AG | 7,397 | 571,038 | ||||||
Hong Kong–2.75% | ||||||||
Chaoda Modern Agriculture Holdings Ltd. | 80,000 | 60,004 | ||||||
Cheung Kong Holdings Ltd. | 29,000 | 446,354 | ||||||
China Unicom (Hong Kong) Ltd. | 66,000 | 94,122 | ||||||
Esprit Holdings Ltd. | 132,400 | 630,249 | ||||||
1,230,729 | ||||||||
Indonesia–0.17% | ||||||||
PT Telekomunikasi Indonesia Tbk | 85,000 | 75,202 | ||||||
Ireland–0.21% | ||||||||
Dragon Oil PLC(b) | 11,101 | 93,114 | ||||||
Italy–1.01% | ||||||||
Eni S.p.A. | 20,698 | 451,947 | ||||||
Japan–13.60% | ||||||||
Canon Inc. | 8,600 | 440,876 | ||||||
FUJIFILM Holdings Corp. | 12,500 | 452,026 | ||||||
Mitsubishi Corp. | 25,000 | 676,807 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 123,300 | 666,692 | ||||||
Murata Manufacturing Co., Ltd. | 6,200 | 434,512 | ||||||
Nippon Telegraph & Telephone Corp. | 14,800 | 677,104 | ||||||
Nippon Yusen Kabushiki Kaisha | 131,000 | 580,860 | ||||||
Nissan Motor Co., Ltd. | 86,000 | 818,795 | ||||||
Seven & I Holdings Co., Ltd. | 14,900 | 398,239 | ||||||
Sumitomo Chemical Co., Ltd. | 110,000 | 541,938 | ||||||
Takeda Pharmaceutical Co., Ltd. | 8,000 | 393,645 | ||||||
6,081,494 | ||||||||
Mexico–0.48% | ||||||||
America Movil S.A.B. de C.V.–Series L | 37,800 | 108,350 | ||||||
Desarrolladora Homex S.A.B. de C.V.–ADR(b) | 3,203 | 108,293 | ||||||
216,643 | ||||||||
Netherlands–1.73% | ||||||||
TNT N.V. | 15,662 | 414,024 | ||||||
Unilever N.V. | 11,514 | 358,500 | ||||||
772,524 | ||||||||
Norway–2.06% | ||||||||
Statoil A.S.A. | 16,553 | 393,184 | ||||||
Yara International A.S.A. | 9,169 | 530,336 | ||||||
923,520 | ||||||||
Poland–0.31% | ||||||||
KGHM Polska Miedz S.A. | 2,381 | 139,507 | ||||||
Shares | Value | |||||||
Russia–0.66% | ||||||||
Gazprom OAO–ADR | 4,147 | $ | 104,712 | |||||
Magnitogorsk Iron & Steel Works–GDR | 6,930 | 100,832 | ||||||
Rosneft Oil Co.–GDR | 12,483 | 89,378 | ||||||
294,922 | ||||||||
South Africa–1.33% | ||||||||
Barloworld Ltd. | 13,773 | 140,082 | ||||||
Sasol Ltd. | 2,044 | 107,445 | ||||||
Standard Bank Group Ltd. | 7,266 | 118,627 | ||||||
Steinhoff International Holdings Ltd.(b) | 35,234 | 131,041 | ||||||
Tiger Brands Ltd.(b) | 3,309 | 97,263 | ||||||
594,458 | ||||||||
South Korea–2.19% | ||||||||
Dongbu Insurance Co., Ltd. | 1,870 | 74,148 | ||||||
Hyundai Mipo Dockyard Co., Ltd. | 758 | 149,610 | ||||||
Hyundai Mobis | 747 | 187,260 | ||||||
LG Electronics Inc. | 580 | 60,911 | ||||||
Lotte Shopping Co., Ltd. | 113 | 47,096 | ||||||
POSCO | 298 | 127,624 | ||||||
Samsung Electronics Co., Ltd. | 210 | 175,601 | ||||||
Shinhan Financial Group Co., Ltd. | 2,120 | 98,818 | ||||||
SK Telecom Co., Ltd.–ADR | 3,141 | 58,516 | ||||||
979,584 | ||||||||
Spain–3.09% | ||||||||
Banco Santander S.A. | 44,613 | 474,030 | ||||||
Iberdrola S.A. | 64,093 | 494,018 | ||||||
Telefonica S.A. | 18,286 | 415,297 | ||||||
1,383,345 | ||||||||
Switzerland–5.68% | ||||||||
ACE Ltd. | 16,021 | 997,306 | ||||||
Holcim Ltd. | 6,662 | 503,391 | ||||||
Swisscom AG | 1,266 | 556,907 | ||||||
Zurich Financial Services AG | 1,858 | 481,292 | ||||||
2,538,896 | ||||||||
Taiwan–0.92% | ||||||||
AU Optronics Corp.–ADR | 8,244 | 85,902 | ||||||
HTC Corp. | 5,300 | 163,600 | ||||||
Powertech Technology Inc. | 36,000 | 119,423 | ||||||
U-Ming Marine Transport Corp. | 20,000 | 43,558 | ||||||
412,483 | ||||||||
Thailand–0.36% | ||||||||
Bangkok Bank PCL–NVDR | 19,800 | 96,553 | ||||||
PTT PCL | 6,100 | 64,754 | ||||||
161,307 | ||||||||
Turkey–0.19% | ||||||||
Asya Katilim Bankasi A.S. | 46,902 | 86,396 | ||||||
United Kingdom–8.45% | ||||||||
Barclays PLC | 75,920 | 312,337 | ||||||
BHP Billiton PLC | 22,913 | 913,504 | ||||||
GlaxoSmithKline PLC | 19,712 | 382,894 | ||||||
Imperial Tobacco Group PLC | 24,951 | 765,569 | ||||||
National Grid PLC | 42,774 | 372,933 | ||||||
Royal Dutch Shell PLC–Class A | 30,862 | 1,030,152 | ||||||
3,777,389 | ||||||||
United States–35.78% | ||||||||
3M Co. | 6,248 | 539,202 | ||||||
Apache Corp. | 4,241 | 505,654 | ||||||
Archer-Daniels-Midland Co. | 28,564 | 859,205 | ||||||
Avon Products, Inc. | 12,449 | 361,768 | ||||||
Bank of America Corp. | 42,764 | 570,472 | ||||||
Bank of New York Mellon Corp. (The) | 16,043 | 484,499 | ||||||
Best Buy Co., Inc. | 9,205 | 315,639 | ||||||
Chevron Corp. | 10,772 | 982,945 | ||||||
Coach, Inc. | 15,137 | 837,227 | ||||||
ConocoPhillips | 11,886 | 809,437 | ||||||
CVS Caremark Corp. | 16,178 | 562,509 | ||||||
Energen Corp. | 14,315 | 690,842 | ||||||
GameStop Corp.–Class A(b) | 21,489 | 491,668 | ||||||
General Dynamics Corp. | 12,668 | 898,921 | ||||||
Gilead Sciences, Inc.(b) | 11,117 | 402,880 | ||||||
Johnson & Johnson | 12,788 | 790,938 | ||||||
Merck & Co., Inc. | 22,219 | 800,773 | ||||||
Microsoft Corp. | 16,636 | 464,477 | ||||||
Morgan Stanley | 19,253 | 523,874 | ||||||
Oracle Corp. | 27,273 | 853,645 | ||||||
Pfizer, Inc. | 22,717 | 397,775 | ||||||
Stryker Corp. | 7,779 | 417,732 | ||||||
Valero Energy Corp. | 22,928 | 530,095 | ||||||
W. R. Berkley Corp. | 12,925 | 353,887 | ||||||
WellPoint Inc.(b) | 13,771 | 783,019 | ||||||
Western Digital Corp.(b) | 22,870 | 775,293 | ||||||
16,004,376 | ||||||||
Total Common Stocks & Other Equity Interests (Cost $37,233,664) | 42,847,205 | |||||||
Preferred Stocks–1.60% | ||||||||
Brazil–0.18% | ||||||||
Usinas Siderurgicas de Minas Gerais S.A.–Class A, 2.66%–Pfd. | 6,800 | 78,487 | ||||||
Shares | Value | |||||||
Germany–1.42% | ||||||||
Porsche Automobil Holding SE 0.14%-Pfd. | 7,945 | $ | 633,409 | |||||
Total Preferred Stocks (Cost $433,511) | 711,896 | |||||||
Money Market Funds–2.73% | ||||||||
Liquid Assets Portfolio–Institutional Class(c) | 611,524 | 611,524 | ||||||
Premier Portfolio–Institutional Class(c) | 611,524 | 611,524 | ||||||
Total Money Market Funds (Cost $1,223,048) | 1,223,048 | |||||||
TOTAL INVESTMENTS–100.12% (Cost $38,890,223) | 44,782,149 | |||||||
OTHER ASSETS LESS LIABILITIES–(0.12)% | (53,015 | ) | ||||||
NET ASSETS–100.00% | $ | 44,729,134 | ||||||
ADR | – American Depositary Receipt | |
GDR | – Global Depositary Receipt | |
NVDR | – Non-Voting Depositary Receipt | |
Pfd. | – Preferred |
(a) | Each unit represents 55 common shares and 50 preference shares. | |
(b) | Non-income producing security. | |
(c) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $37,667,175) | $ | 43,559,101 | ||
Investments in affiliated money market funds, at value and cost | 1,223,048 | |||
Total investments, at value (Cost $38,890,223) | 44,782,149 | |||
Foreign currencies, at value (Cost $5,163) | 5,472 | |||
Receivable for: | ||||
Fund shares sold | 3,936 | |||
Dividends | 86,634 | |||
Investment for trustee deferred compensation and retirement plans | 1,096 | |||
Total assets | 44,879,287 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 58,993 | |||
Accrued fees to affiliates | 61,825 | |||
Accrued other operating expenses | 28,239 | |||
Trustee deferred compensation and retirement plans | 1,096 | |||
Total liabilities | 150,153 | |||
Net assets applicable to shares outstanding | $ | 44,729,134 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 58,297,889 | ||
Undistributed net investment income | 1,425,720 | |||
Undistributed net realized gain (loss) | (20,889,545 | ) | ||
Unrealized appreciation | 5,895,070 | |||
$ | 44,729,134 | |||
Net assets: | ||||
Series I | $ | 44,717,079 | ||
Series II | $ | 12,055 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 5,678,663 | |||
Series II | 1,534 | |||
Series I: | ||||
Net asset value per share | $ | 7.87 | ||
Series II: | ||||
Net asset value per share | $ | 7.86 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $103,054) | $ | 1,356,614 | ||
Dividends from affiliated money market funds (includes securities lending income of $3,503) | 3,608 | |||
Total investment income | 1,360,222 | |||
Expenses: | ||||
Advisory fees | 288,811 | |||
Administrative services fees | 136,926 | |||
Custodian fees | 17,580 | |||
Distribution fees — Series II | 16 | |||
Transfer agent fees | 5,165 | |||
Trustees’ and officers’ fees and benefits | 8,064 | |||
Professional services fees | 28,486 | |||
Other | 11,516 | |||
Total expenses | 496,564 | |||
Less: Fees waived | (11,828 | ) | ||
Net expenses | 484,736 | |||
Net investment income | 875,486 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain from: | ||||
Investment securities | 1,458,389 | |||
Foreign currencies | 529,784 | |||
Foreign currency contracts | 186,599 | |||
2,174,772 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities (net of foreign taxes on holdings of $(1,091) | 1,507,451 | |||
Foreign currencies | 3,066 | |||
Foreign currency contracts | (213,713 | ) | ||
1,296,804 | ||||
Net realized and unrealized gain | 3,471,576 | |||
Net increase in net assets resulting from operations | $ | 4,347,062 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 875,486 | $ | 1,451,529 | ||||
Net realized gain | 2,174,772 | 858,582 | ||||||
Change in net unrealized appreciation | 1,296,804 | 3,798,012 | ||||||
Net increase in net assets resulting from operations | 4,347,062 | 6,108,123 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (823,810 | ) | (3,097,718 | ) | ||||
Share transactions-net: | ||||||||
Series I | (4,776,026 | ) | (5,647,809 | ) | ||||
Series II | 10,000 | — | ||||||
Net increase (decrease) in net assets resulting from share transactions | (4,766,026 | ) | (5,647,809 | ) | ||||
Net increase (decrease) in net assets | (1,242,774 | ) | (2,637,404 | ) | ||||
Net assets: | ||||||||
Beginning of year | 45,971,908 | 48,609,312 | ||||||
End of year (includes undistributed net investment income of $1,425,720 and $642,607, respectively) | $ | 44,729,134 | $ | 45,971,908 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). |
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. | ||
K. | Foreign Currency Contracts — The Fund may enter into foreign currency contracts to manage or minimize currency or exchange rate risk. The Fund may also enter into foreign currency contracts for the purchase or sale of a security denominated in a foreign currency in order to “lock in” the U.S. dollar price of that security. A foreign currency contract is an obligation to purchase or sell a specific currency for an agreed-upon price at a future date. The use of foreign currency contracts does not eliminate fluctuations in the price of the underlying securities the Fund owns or intends to acquire but establishes a rate of exchange in advance. Fluctuations in the value of these contracts are measured by the difference in the contract date and reporting date exchange rates and are recorded as unrealized appreciation (depreciation) until the contracts are closed. When the contracts are closed, realized gains (losses) are recorded. Realized and unrealized gains (losses) on the contracts are included in the Statement of Operations. The primary risks associated with foreign currency contracts include failure of the counterparty to meet the terms of the contract and the value of the foreign currency changing unfavorably. These risks may be in excess of the amounts reflected in the Statement of Assets and Liabilities. |
Average Net Assets | Rate | |||
First $1 billion | 0 | .67% | ||
Next $500 million | 0 | .645% | ||
Next $1 billion | 0 | .62% | ||
Next $1 billion | 0 | .595% | ||
Next $1 billion | 0 | .57% | ||
Over $4.5 billion | 0 | .545% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1* | Level 2* | Level 3 | Total | |||||||||||||
Australia | 1,151,565 | — | — | 1,151,565 | ||||||||||||
Bermuda | 383,832 | — | — | 383,832 | ||||||||||||
Brazil | 609,069 | 137,408 | — | 746,477 | ||||||||||||
Canada | 1,022,765 | — | — | 1,022,765 | ||||||||||||
China | 263,750 | 169,177 | — | 432,927 | ||||||||||||
Finland | 386,082 | — | — | 386,082 | ||||||||||||
France | — | 2,013,170 | — | 2,013,170 | ||||||||||||
Germany | 1,204,447 | — | — | 1,204,447 | ||||||||||||
Hong Kong | 690,253 | 540,476 | — | 1,230,729 | ||||||||||||
Indonesia | — | 75,202 | — | 75,202 | ||||||||||||
Ireland | 93,114 | — | — | 93,114 | ||||||||||||
Italy | 451,947 | — | — | 451,947 | ||||||||||||
Japan | 4,963,514 | 1,117,980 | — | 6,081,494 | ||||||||||||
Mexico | 216,643 | — | — | 216,643 | ||||||||||||
Netherlands | 358,500 | 414,024 | — | 772,524 | ||||||||||||
Norway | 923,520 | — | — | 923,520 | ||||||||||||
Poland | — | 139,507 | — | 139,507 | ||||||||||||
Russia | 294,922 | — | — | 294,922 | ||||||||||||
South Africa | 594,458 | — | — | 594,458 | ||||||||||||
South Korea | 791,049 | 188,535 | — | 979,584 | ||||||||||||
Spain | 494,018 | 889,327 | — | 1,383,345 | ||||||||||||
Switzerland | 2,538,896 | — | — | 2,538,896 | ||||||||||||
Taiwan | 293,060 | 119,423 | — | 412,483 | ||||||||||||
Thailand | 161,307 | — | — | 161,307 | ||||||||||||
Turkey | — | 86,396 | — | 86,396 | ||||||||||||
United Kingdom | 765,569 | 3,011,820 | — | 3,777,389 | ||||||||||||
United States | 17,227,424 | — | — | 17,227,424 | ||||||||||||
Total Investments | $ | 35,879,704 | $ | 8,902,445 | $ | — | $ | 44,782,149 | ||||||||
* | Transfers occurred between Level 1 and Level 2 due to foreign fair value adjustments. |
Location of Gain (Loss) on | ||||
Statement of Operations | ||||
Foreign Currency Contracts* | ||||
Realized Gain | ||||
Currency risk | $ | 186,599 | ||
Change in Unrealized Appreciation (Depreciation) | ||||
Currency risk | (213,713 | ) | ||
Total | $ | (27,114 | ) | |
* | The average value of foreign currency contracts outstanding during the period was $3,397,060. |
2010 | 2009 | |||||||
Ordinary income | $ | 823,870 | $ | 3,097,718 | ||||
2010 | ||||
Undistributed ordinary income | $ | 1,429,309 | ||
Net unrealized appreciation — investments | 5,877,017 | |||
Net unrealized appreciation — other investments | 3,144 | |||
Temporary book/tax differences | (997 | ) | ||
Post-October deferrals | (2,592 | ) | ||
Capital loss carryforward | (20,874,636 | ) | ||
Shares of beneficial interest | 58,297,889 | |||
Total net assets | $ | 44,729,134 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 2,956,661 | ||
December 31, 2017 | 17,917,975 | |||
Total capital loss carryforward | $ | 20,874,636 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 6,168,922 | ||
Aggregate unrealized (depreciation) of investment securities | (291,905 | ) | ||
Net unrealized appreciation of investment securities | $ | 5,877,017 | ||
Cost of investments for tax purposes is $38,905,132 |
Summary of Share Activity | ||||||||||||||||||||
Year ended December 31, | ||||||||||||||||||||
2010(a) | 2009 | |||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Sold: | ||||||||||||||||||||
Series I | 424,256 | $ | 3,147,637 | 610,980 | $ | 4,100,196 | ||||||||||||||
Series II(b) | 1,534 | 10,000 | — | — | ||||||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||||||
Series I | 123,510 | 823,810 | 507,823 | 3,097,721 | ||||||||||||||||
Reacquired: | ||||||||||||||||||||
Series I | (1,215,233 | ) | (8,747,473 | ) | (1,974,372 | ) | (12,845,726 | ) | ||||||||||||
Net increase (decrease) in share activity | (665,933 | ) | $ | (4,766,026 | ) | (855,569 | ) | $ | (5,647,809 | ) | ||||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 93% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. | |
(b) | Commencement date of June 1, 2010. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | Net | (losses) on | Dividends | Distributions | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||||||||
value, | investment | securities (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income (loss) | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | income | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | (loss)(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 7.24 | $ | 0.15 | $ | 0.62 | $ | 0.77 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | $ | 7.87 | 10.95 | % | $ | 44,717 | 1.12 | %(d) | 1.15 | %(d) | 2.04 | %(d) | 130 | |||||||||||||||||||||||||||
Year ended 12/31/09 | 6.75 | 0.22 | 0.77 | 0.99 | (0.50 | ) | — | (0.50 | ) | 7.24 | �� | 15.99 | 45,972 | 1.15 | (e) | 1.20 | (e) | 3.33 | (e)(f) | 79 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 16.46 | 0.30 | (5.71 | ) | (5.41 | ) | (0.35 | ) | (3.95 | ) | (4.30 | ) | 6.75 | (40.15 | ) | 48,610 | 1.11 | (e) | 1.11 | (e) | 2.69 | (e) | 93 | |||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 16.99 | 0.25 | 0.94 | 1.19 | (0.33 | ) | (1.39 | ) | (1.72 | ) | 16.46 | 6.64 | 107,470 | 1.00 | (e) | 1.00 | (e) | 1.47 | (e) | 36 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 14.87 | 0.24 | 2.78 | 3.02 | (0.26 | ) | (0.64 | ) | (0.90 | ) | 16.99 | 21.21 | 151,300 | 1.50 | 1.50 | 1.53 | 29 | |||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10(g) | 6.52 | 0.07 | 1.27 | 1.34 | — | — | — | 7.86 | 20.55 | 12 | 1.40 | (d)(h) | 1.45 | (d)(h) | 1.76 | (d)(h) | 130 | |||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s omitted) of $43,100 and $11 for Series I and Series II, respectively. | |
(e) | Ratios reflect the rebate of certain Fund expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios was less than 0.005% for the years ended December 31, 2009, 2008 and 2007, respectively. | |
(f) | Ratio of net investment income to average net assets without fee waivers and/or expenses absorbed was 3.28% for the year ended December 31, 2009. | |
(g) | Commencement date of June 1, 2010. | |
(h) | Annualized. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,224.00 | $ | 6.39 | $ | 1,019.46 | $ | 5.80 | $ | 1.14 | % | |||||||||||||||||
Series II | 1,000.00 | 1,224.30 | 7.79 | 1,018.20 | 7.07 | 1.39 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 61.62% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 5.23 | % | ||
Series II Shares | 4.88 | |||
Barclays Capital U.S. Government/Mortgage Index▼ | ||||
(Broad Market/Style-Specific Index) | 5.41 | |||
▼ | Lipper Inc. |
n | A conscious decision to alter the Fund’s macro risk exposure (such as duration, yield curve positioning, sector exposure). | |
n | The need to limit or reduce exposure to a particular sector or issuer. | |
n | Degradation of an issuer’s credit quality. | |
n | Realignment of a valuation target. | |
n | Presentation of a better relative value opportunity. |
Mortgage Backed Securities | 46.7 | % | ||
Collateralized Mortgage Obligations | 30.2 | |||
United States Treasury Obligations | 14.6 | |||
United States Government Agency | ||||
Obligations | 9.1 | |||
Agency Bonds | 7.0 | |||
Adjustable Rate Mortgage Backed | ||||
Securities | 1.1 | |||
Money Market Funds | ||||
Plus Liabilities in Excess of Other Assets | -8.7 |
1. | Fannie Mae | 39.4 | % | |||||
2. | Freddie Mac | 24.4 | ||||||
3. | U.S. Treasury Securities | 14.6 | ||||||
4. | Government National | |||||||
Mortgage Association | 12.1 | |||||||
5. | Federal Home Loan Bank | 5.7 | ||||||
6. | Citibank | 3.1 | ||||||
7. | La Hipotecaria S.A. | 2.1 | ||||||
8. | Ally Financial Inc. | 1.6 | ||||||
9. | Financing Corp. | 1.3 | ||||||
10. | General Electric Capital Corp. | 1.0 |
Total Net Assets | $297.2 million | |||
Total Number of Holdings* | 156 |
* Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Government Fund. He joined Invesco in 1998. Mr. Dudley earned a B.B.A. and an M.B.A. from Baylor University. He is a member of the CFA Institute.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Government Fund. He joined Invesco in 1987. Mr. Schneider earned a B.A. in economics and an M.B.A., both from Bellarmine College.
Series I Shares | ||||||||
Inception (4/7/86) | 5.84 | % | ||||||
10 Years | 4.43 | |||||||
5 Years | 3.71 | |||||||
1 Year | 5.23 | |||||||
Series II Shares | ||||||||
Inception (12/15/00) | 4.19 | % | ||||||
10 Years | 4.18 | |||||||
5 Years | 3.45 | |||||||
1 Year | 4.88 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Par | ||||||||||||||
Maturity | Amount | |||||||||||||
Coupon | Date | (000) | Value | |||||||||||
Mortgage Backed Securities–46.7% | ||||||||||||||
Federal Home Loan Mortgage Corp., January(a) | 4.500 | % | TBA | $ | 8,350 | $ | 8,558,750 | |||||||
Federal Home Loan Mortgage Corp., January(a) | 6.000 | % | TBA | 285 | 308,735 | |||||||||
Federal Home Loan Mortgage Corp. | 4.500 | % | 01/01/40 | 5,123 | 5,272,436 | |||||||||
Federal Home Loan Mortgage Corp. | 5.000 | % | 01/01/37 to 01/01/40 | 6,131 | 6,471,272 | |||||||||
Federal Home Loan Mortgage Corp. | 5.500 | % | 11/01/39 | 1,278 | 1,367,967 | |||||||||
Federal Home Loan Mortgage Corp.(a) | 5.500 | % | 05/01/38 | 164 | 174,547 | |||||||||
Federal Home Loan Mortgage Corp. | 6.000 | % | 06/01/29 to 07/01/38 | 5,037 | 5,463,182 | |||||||||
Federal Home Loan Mortgage Corp. | 6.500 | % | 06/01/29 to 12/01/35 | 2,413 | 2,718,530 | |||||||||
Federal Home Loan Mortgage Corp.(a) | 6.500 | % | 12/01/33 | 6,086 | 6,844,559 | |||||||||
Federal Home Loan Mortgage Corp. | 7.500 | % | 05/01/35 | 254 | 290,966 | |||||||||
Federal Home Loan Mortgage Corp. | 8.000 | % | 08/01/32 | 134 | 157,021 | |||||||||
Federal Home Loan Mortgage Corp. | 8.500 | % | 08/01/31 | 159 | 189,717 | |||||||||
Federal National Mortgage Association, January(a) | 3.500 | % | TBA | 3,800 | 3,827,314 | |||||||||
Federal National Mortgage Association, January(a) | 4.000 | % | TBA | 15,820 | 15,875,196 | |||||||||
Federal National Mortgage Association | 4.500 | % | 11/01/24 to 08/01/39 | 11,052 | 11,480,665 | |||||||||
Federal National Mortgage Association | 5.000 | % | 06/01/23 to 03/01/40 | 28,117 | 29,714,603 | |||||||||
Federal National Mortgage Association | 5.500 | % | 04/01/35 to 08/01/38 | 22,407 | 24,072,144 | |||||||||
Federal National Mortgage Association | 6.000 | % | 01/01/14 to 10/01/38 | 9,810 | 10,729,150 | |||||||||
Federal National Mortgage Association | 6.500 | % | 04/01/11 to 04/01/38 | 3,508 | 3,941,932 | |||||||||
Federal National Mortgage Association | 7.000 | % | 06/01/11 to 06/01/32 | 38 | 42,843 | |||||||||
Federal National Mortgage Association | 7.500 | % | 08/01/37 | 439 | 503,812 | |||||||||
Federal National Mortgage Association | 8.000 | % | 04/01/33 | 328 | 378,730 | |||||||||
Federal National Mortgage Association | 8.500 | % | 10/01/32 | 306 | 355,521 | |||||||||
Government National Mortgage Association | 6.500 | % | 05/15/23 to 03/15/29 | 39 | 44,058 | |||||||||
Government National Mortgage Association | 7.000 | % | 04/15/23 to 11/15/27 | 60 | 68,274 | |||||||||
Government National Mortgage Association | 8.000 | % | 05/15/17 to 01/15/23 | 14 | 16,845 | |||||||||
Total Mortgage Backed Securities | 138,868,769 | |||||||||||||
Collateralized Mortgage Obligations–30.2% | ||||||||||||||
FDIC Structured Sale Guaranteed Notes(b)(c) | 0.811 | % | 02/25/48 | 1,562 | 1,565,673 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC)(b) | 0.560 | % | 03/15/36 | 3,172 | 3,179,583 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC)(b) | 0.660 | % | 04/15/28 to 06/15/37 | 5,168 | 5,190,637 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC) | 0.850 | % | 03/15/13 | 5,269 | 5,270,622 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC) | 3.750 | % | 10/15/18 | 1,171 | 1,219,337 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC) | 3.770 | % | 09/15/17 | 1,605 | 1,654,586 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC) | 3.835 | % | 09/15/17 | 2,153 | 2,220,895 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC) | 4.160 | % | 07/15/17 | 1,862 | 1,920,537 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC) | 4.250 | % | 01/15/19 | 1,868 | 1,956,827 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC) | 4.380 | % | 05/15/17 | 1,616 | 1,668,070 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC) | 4.500 | % | 06/15/19 to 01/15/25 | 4,127 | 4,296,285 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC) | 4.750 | % | 07/15/14 | 800 | 819,595 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC) | 5.500 | % | 02/15/33 | 709 | 732,943 | |||||||||
Federal Home Loan Mortgage Corp. (REMIC) | 5.750 | % | 05/15/36 | 1,875 | 2,004,660 | |||||||||
Par | ||||||||||||||
Maturity | Amount | |||||||||||||
Coupon | Date | (000) | Value | |||||||||||
Collateralized Mortgage Obligations–(continued) | ||||||||||||||
Federal National Mortgage Association (REMIC)(b) | 0.561 | % | 05/25/36 | $ | 3,020 | $ | 3,025,879 | |||||||
Federal National Mortgage Association (REMIC) | 3.000 | % | 07/25/22 | 601 | 613,682 | |||||||||
Federal National Mortgage Association (REMIC) | 4.500 | % | 07/25/19 | 1,912 | 2,012,026 | |||||||||
Federal National Mortgage Association (REMIC) | 5.750 | % | 10/25/35 | 1,708 | 1,896,313 | |||||||||
Federal National Mortgage Association (REMIC) | 6.500 | % | 01/25/30 to 03/25/32 | 4,468 | 4,976,767 | |||||||||
Federal National Mortgage Association (REMIC) | 7.000 | % | 09/18/27 | 1,205 | 1,360,016 | |||||||||
Government National Mortgage Association | 4.000 | % | 11/16/33 to 02/20/38 | 2,841 | 2,987,511 | |||||||||
Government National Mortgage Association | 4.500 | % | 01/16/31 to 08/20/35 | 25,793 | 27,384,847 | |||||||||
Government National Mortgage Association | 4.750 | % | 09/20/32 | 2,877 | 3,029,782 | |||||||||
Government National Mortgage Association | 5.000 | % | 08/16/35 | 1,424 | 1,499,978 | |||||||||
Government National Mortgage Association(b) | 5.769 | % | 08/20/34 | 938 | 1,027,276 | |||||||||
La Hipotecaria SA (Panama)(b)(c) | 3.750 | % | 10/15/28 | 6,099 | 6,190,589 | |||||||||
Total Collateralized Mortgage Obligations | 89,704,916 | |||||||||||||
United States Treasury Obligations–14.6% | ||||||||||||||
United States Treasury Bonds | 4.250 | % | 05/15/39 | 1,185 | 1,166,855 | |||||||||
United States Treasury Bonds | 4.375 | % | 11/15/39 | 3,000 | 3,015,000 | |||||||||
United States Treasury Bonds | 4.625 | % | 02/15/40 | 3,700 | 3,874,594 | |||||||||
United States Treasury Bonds | 5.375 | % | 02/15/31 | 3,800 | 4,433,531 | |||||||||
United States Treasury Bonds | 6.875 | % | 08/15/25 | 1,400 | 1,870,313 | |||||||||
United States Treasury Bonds | 7.500 | % | 11/15/24 | 8,270 | 11,580,584 | |||||||||
United States Treasury Bonds(d) | 7.875 | % | 02/15/21 | 1,100 | 1,533,984 | |||||||||
United States Treasury Notes | 0.500 | % | 11/15/13 | 2,000 | 1,974,063 | |||||||||
United States Treasury Notes | 2.125 | % | 11/30/14 | 150 | 153,633 | |||||||||
United States Treasury Notes | 2.250 | % | 01/31/15 | 3,500 | 3,591,328 | |||||||||
United States Treasury Notes | 2.375 | % | 10/31/14 to 02/28/2015 | 1,050 | 1,083,867 | |||||||||
United States Treasury Notes | 3.500 | % | 05/15/20 | 6,150 | 6,298,945 | |||||||||
United States Treasury Notes | 3.625 | % | 02/15/20 | 2,729 | 2,831,764 | |||||||||
Total United States Treasury Obligations | 43,408,461 | |||||||||||||
United States Government Agency Obligations–9.1% | ||||||||||||||
Federal Agircultural Mortgage Corp. | 1.250 | % | 12/06/13 | 2,000 | 1,983,906 | |||||||||
Federal Home Loan Banks | 1.875 | % | 06/21/13 | 12,500 | 12,800,174 | |||||||||
Federal Home Loan Banks | 3.625 | % | 10/18/13 | 3,900 | 4,174,447 | |||||||||
Federal Home Loan Mortgage Corp. | 0.375 | % | 11/30/12 | 1,000 | 994,489 | |||||||||
Federal National Mortgage Association | 5.375 | % | 06/12/17 | 480 | 552,261 | |||||||||
Financing Corp. | 9.650 | % | 11/02/18 | 1,985 | 2,847,712 | |||||||||
Financing Corp. | 9.800 | % | 04/06/18 | 700 | 998,018 | |||||||||
Tennessee Valley Authority, Ser D | 4.875 | % | 12/15/16 | 2,420 | 2,709,808 | |||||||||
Total United States Government Agency Obligations | 27,060,815 | |||||||||||||
Agency Bonds–7.0% | ||||||||||||||
Diversified Banks–2.4% | ||||||||||||||
GMAC, Inc. | 2.200 | % | 12/19/12 | 4,700 | 4,833,059 | |||||||||
US Central Federal Credit Union | 1.900 | % | 10/19/12 | 2,260 | 2,307,126 | |||||||||
7,140,185 | ||||||||||||||
Par | ||||||||||||||
Maturity | Amount | |||||||||||||
Coupon | Date | (000) | Value | |||||||||||
Industrial Conglomerates–1.0% | ||||||||||||||
General Electric Capital Corp. | 2.625 | % | 12/28/12 | $ | 2,800 | $ | 2,903,600 | |||||||
Other Diversified Financial Services–3.6% | ||||||||||||||
Citibank NA | 1.750 | % | 12/28/12 | 9,000 | 9,183,876 | |||||||||
Private Export Funding Corp. | 4.300 | % | 12/15/21 | 1,540 | 1,589,552 | |||||||||
10,773,428 | ||||||||||||||
Total Agency Bonds | 20,817,213 | |||||||||||||
Adjustable Rate Mortgage Backed Securities–1.1% | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 5.519 | % | 01/01/38 | 500 | 530,381 | |||||||||
Federal Home Loan Mortgage Corp.(b) | 5.932 | % | 10/01/36 | 874 | 923,649 | |||||||||
Federal National Mortgage Association(b) | 2.548 | % | 05/01/35 | 1,338 | 1,398,375 | |||||||||
Federal National Mortgage Association(b) | 5.736 | % | 03/01/38 | 307 | 325,769 | |||||||||
Total Adjustable Rate Mortgage Backed Securities | 3,178,174 | |||||||||||||
Total Long-Term Investments (Cost $318,316,643) | 323,038,348 | |||||||||||||
Money Market Funds–0.9% | ||||||||||||||
Government & Agency Portfolio, Institutional Class (2,552,526 Common Shares)(e) (Cost $2,552,526) | 2,552,526 | |||||||||||||
TOTAL INVESTMENTS–109.6% (Cost $320,869,169) | 325,590,874 | |||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS–(9.6%) | (28,399,263 | ) | ||||||||||||
NET ASSETS–100.0% | $ | 297,191,611 | ||||||||||||
REMICs | – Real Estate Mortgage Investment Conduits | |
TBA | – To Be Announced |
(a) | Security purchased on a when-issued, delayed delivery or forward commitment basis. | |
(b) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on December 31, 2010. | |
(c) | 144A-Private Placement security which is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. This security may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers. | |
(d) | All or a portion of this security has been physically segregated in connection with open futures contracts. | |
(e) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Futures Contracts Outstanding as of December 31, 2010: | ||||||||||
Unrealized | ||||||||||
Number of | Appreciation | |||||||||
Contracts | (Depreciation) | |||||||||
Long Contracts: | ||||||||||
U.S. Treasury Bonds Ultra Long Futures, March 2011 (Current Notional Value of $127,094 per contract) | 21 | $ | 20,394 | |||||||
U.S. Treasury Notes 5-Year Futures, March 2011 (Current Notional Value of $117,719 per contract) | 341 | (548,507 | ) | |||||||
Total Long Contracts | 362 | (528,113 | ) | |||||||
Short Contracts: | ||||||||||
U.S. Treasury Bonds 30-Year Futures, March 2011 (Current Notional Value of $122,125 per contract) | 62 | 202,182 | ||||||||
U.S. Treasury Notes 10-Year Futures, March 2011 (Current Notional Value of $120,438 per contract) | 22 | (4,579 | ) | |||||||
U.S. Treasury Notes 2-Year Futures, March 2011 (Current Notional Value of $218,906 per contract) | 118 | 45,847 | ||||||||
Total Short Contracts | 202 | 243,450 | ||||||||
Total Futures Contracts | 564 | $ | (284,663 | ) | ||||||
Assets: | ||||
Investments, at value (Cost $318,316,643) | $ | 323,038,348 | ||
Investments in affiliated money market funds, at value and cost | 2,552,526 | |||
Cash | 33,922 | |||
Receivables: | ||||
Investments sold | 6,793,575 | |||
Interest | 1,270,375 | |||
Fund shares sold | 245,026 | |||
Principal paydowns | 39,785 | |||
Variation margin on futures contracts | 32,250 | |||
Dividends | 194 | |||
Other | 13,611 | |||
Total assets | 334,019,612 | |||
Liabilities: | ||||
Payables: | ||||
Investments purchased | 35,783,987 | |||
Distributor and affiliates | 636,571 | |||
Fund shares repurchased | 321,086 | |||
Trustees’ deferred compensation and retirement plans | 2,709 | |||
Accrued expenses | 83,648 | |||
Total liabilities | 36,828,001 | |||
Net assets | $ | 297,191,611 | ||
Net assets consist of: | ||||
Capital (par value of $0.001 per share with an unlimited number of shares authorized) | $ | 297,836,564 | ||
Accumulated undistributed net investment income | 7,854,707 | |||
Net unrealized appreciation | 4,437,042 | |||
Accumulated net realized gain (loss) | (12,936,702 | ) | ||
Net assets | $ | 297,191,611 | ||
Net asset value, offering price and redemption price per share: | ||||
Series I shares (based on net assets of $31,111,257 and 3,378,647 shares of beneficial interest issued and outstanding) | $ | 9.21 | ||
Series II shares (based on net assets of $266,080,354 and 28,954,280 shares of beneficial interest issued and outstanding) | $ | 9.19 | ||
Investment income: | ||||
Interest | $ | 9,711,549 | ||
Dividends from affiliated money market funds | 3,423 | |||
Total investment income | 9,714,972 | |||
Expenses: | ||||
Investment advisory fee | 1,559,968 | |||
Distribution fees — Series II | 698,822 | |||
Administrative services fees | 534,183 | |||
Custodian fees | 36,705 | |||
Professional fees | 31,751 | |||
Trustees’ and officers’ fees and benefits | 25,376 | |||
Transfer agent fees | 18,627 | |||
Other | 27,120 | |||
Total expenses | 2,932,552 | |||
Expense reduction | 364,858 | |||
Net expenses | 2,567,694 | |||
Net investment income | 7,147,278 | |||
Realized and unrealized gain (loss): | ||||
Realized gain (loss): | ||||
Investments | 5,185,877 | |||
Futures contracts | 1,690,933 | |||
Swap contracts | (4,581,402 | ) | ||
Net realized gain | 2,295,408 | |||
Unrealized appreciation (depreciation): | ||||
Beginning of the period | (1,193,281 | ) | ||
End of the period: | ||||
Investments | 4,721,705 | |||
Futures contracts | (284,663 | ) | ||
4,437,042 | ||||
Net unrealized appreciation during the period | 5,630,323 | |||
Net realized and unrealized gain | 7,925,731 | |||
Net increase in net assets from operations | $ | 15,073,009 | ||
2010 | 2009 | |||||||
From investment activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 7,147,278 | $ | 6,415,830 | ||||
Net realized gain | 2,295,408 | 12,018,216 | ||||||
Net unrealized appreciation (depreciation) during the period | 5,630,323 | (15,898,968 | ) | |||||
Change in net assets from operations | 15,073,009 | 2,535,078 | ||||||
Distributions from net investment income: | ||||||||
Series I shares | (67,352 | ) | (2,682,417 | ) | ||||
Series II shares | (590,082 | ) | (15,211,001 | ) | ||||
Total distributions | (657,434 | ) | (17,893,418 | ) | ||||
Net change in net assets from investment activities | 14,415,575 | (15,358,340 | ) | |||||
From capital transactions: | ||||||||
Proceeds from shares sold | 46,997,786 | 122,570,783 | ||||||
Net asset value of shares issued through dividend reinvestment | 657,434 | 17,893,418 | ||||||
Cost of shares repurchased | (75,254,872 | ) | (93,695,171 | ) | ||||
Net change in net assets from capital transactions | (27,599,652 | ) | 46,769,030 | |||||
Total increase (decrease) in net assets | (13,184,077 | ) | 31,410,690 | |||||
Net assets: | ||||||||
Beginning of the period | 310,375,688 | 278,964,998 | ||||||
End of the period (including accumulated undistributed net investment income (loss) of $7,854,707 and $(215,189), respectively) | $ | 297,191,611 | $ | 310,375,688 | ||||
Series I sharesˆ | ||||||||||||||||||||
Years Ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net asset value, beginning of the period | $ | 8.77 | $ | 9.28 | $ | 9.52 | $ | 9.30 | $ | 9.42 | ||||||||||
Net investment income(a) | 0.23 | 0.22 | 0.35 | 0.45 | 0.44 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.23 | (0.13 | ) | (0.18 | ) | 0.21 | (0.14 | ) | ||||||||||||
Total from investment operations | 0.46 | 0.09 | 0.17 | 0.66 | 0.30 | |||||||||||||||
Less distributions from net investment income | 0.02 | 0.60 | 0.41 | 0.44 | 0.42 | |||||||||||||||
Net asset value, end of the period | $ | 9.21 | $ | 8.77 | $ | 9.28 | $ | 9.52 | $ | 9.30 | ||||||||||
Total return* | 5.23 | %(b) | 0.98 | % | 1.81 | % | 7.33 | % | 3.34 | % | ||||||||||
Net assets at end of the period (in millions) | $ | 31.1 | $ | 34.7 | $ | 51.4 | $ | 55.0 | $ | 57.5 | ||||||||||
Ratio of expenses to average net assets* | 0.60 | %(c) | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||
Ratio of net investment income to average net assets* | 2.52 | %(c) | 2.45 | % | 3.80 | % | 4.91 | % | 4.84 | % | ||||||||||
Portfolio turnover(d) | 285 | % | 407 | % | 411 | % | 324 | % | 242 | % | ||||||||||
* If certain expenses had not been assumed by the adviser, total returns would have been lower and the ratios would have been as follows: | ||||||||||||||||||||
Ratio of expenses to average net assets | 0.72 | %(c) | 0.61 | % | 0.60 | % | 0.62 | % | 0.65 | % | ||||||||||
Ratio of net investment income to average net assets | 2.40 | %(c) | 2.44 | % | 3.80 | % | 4.90 | % | 4.79 | % | ||||||||||
(a) | Based on average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Ratios are annualized and based on average daily net assets (000’s omitted) of $32,475. | |
(d) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
ˆ | On June 1, 2010, the Class I shares of the predecessor fund were reorganized into Series I shares of the Fund. |
Series II sharesˆ | ||||||||||||||||||||
Years Ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net asset value, beginning of the period | $ | 8.78 | $ | 9.26 | $ | 9.51 | $ | 9.30 | $ | 9.42 | ||||||||||
Net investment income(a) | 0.21 | 0.20 | 0.32 | 0.43 | 0.42 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.22 | (0.12 | ) | (0.18 | ) | 0.20 | (0.14 | ) | ||||||||||||
Total from investment operations | 0.43 | 0.08 | 0.14 | 0.63 | 0.28 | |||||||||||||||
Less distributions from net investment income | 0.02 | 0.56 | 0.39 | 0.42 | 0.40 | |||||||||||||||
Net asset value, end of the period | $ | 9.19 | $ | 8.78 | $ | 9.26 | $ | 9.51 | $ | 9.30 | ||||||||||
Total return* | 4.88 | %(b) | 0.86 | %(c) | 1.51 | %(c) | 7.02 | %(c) | 3.11 | %(c) | ||||||||||
Net assets at end of the period (in millions) | $ | 266.1 | $ | 275.7 | $ | 227.6 | $ | 223.4 | $ | 147.2 | ||||||||||
Ratio of expenses to average net assets* | 0.85 | %(d) | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||
Ratio of net investment income to average net assets* | 2.27 | %(d) | 2.19 | % | 3.50 | % | 4.63 | % | 4.62 | % | ||||||||||
Portfolio turnover(e) | 285 | % | 407 | % | 411 | % | 324 | % | 242 | % | ||||||||||
* If certain expenses had not been assumed by the adviser, total returns would have been lower and the ratios would have been as follows: | ||||||||||||||||||||
Ratio of expenses to average net assets | 0.97 | %(d) | 0.86 | % | 0.85 | % | 0.87 | % | 0.90 | % | ||||||||||
Ratio of net investment income to average net assets | 2.15 | %(d) | 2.18 | % | 3.50 | % | 4.62 | % | 4.57 | % | ||||||||||
(a) | Based on average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | These returns include combined Rule 12b-1 fees and service fees of up to 0.25%. | |
(d) | Ratios are annualized and based on average daily net assets (000’s omitted) of $279,529. | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
ˆ | On June 1, 2010, the Class II shares of the predecessor fund were reorganized into Series II shares of the Fund. |
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. |
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Other Risks — The Funds may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so. In this case, if the issuer defaulted, the underlying fund holding securities of such issuer might not be able to recover its investment from the U.S. Government. Many securities purchased by the Fund are not guaranteed by the U.S. Government. | |
J. | Swap Agreements — The Fund may enter into various swap transactions, including interest rate, total return, index, currency exchange rate and credit default swap contracts (“CDS”) for investment purposes or to manage interest rate, currency or credit risk. | |
Interest rate, total return, index, and currency exchange rate swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities representing a particular index. |
A CDS is an agreement between two parties (“Counterparties”) to exchange the credit risk of an issuer. A buyer of a CDS is said to buy protection by paying a fixed payment over the life of the agreement and in some situations an upfront payment to the seller of the CDS. If a defined credit event occurs (such as payment default or bankruptcy), the Fund as a protection buyer would cease paying its fixed payment, the Fund would deliver eligible bonds issued by the reference entity to the seller, and the seller would pay the full notional value, or the “par value”, of the referenced obligation to the Fund. A seller of a CDS is said to sell protection and thus would receive a fixed payment over the life of the agreement and an upfront payment, if applicable. If a credit event occurs, the Fund as a protection seller would cease to receive the fixed payment stream, the Fund would pay the buyer “par value” or the full notional value of the referenced obligation, and the Fund would receive the eligible bonds issued by the reference entity. In turn, these bonds may be sold in order to realize a recovery value. Alternatively, the seller of the CDS and its counterparty may agree to net the notional amount and the market value of the bonds and make a cash payment equal to the difference to the buyer of protection. If no credit event occurs, the Fund receives the fixed payment over the life of the agreement. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the CDS. In connection with these agreements, cash and securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default under the swap agreement or bankruptcy/insolvency of a party to the swap agreement. | ||
Implied credit spreads represent the current level at which protection could be bought or sold given the terms of the existing CDS contract and serve as an indicator of the current status of the payment/performance risk of the CDS. An implied spread that has widened or increased since entry into the initial contract may indicate a deteriorating credit profile and increased risk of default for the reference entity. A declining or narrowing spread may indicate an improving credit profile or decreased risk of default for the reference entity. Alternatively, credit spreads may increase or decrease reflecting the general tolerance for risk in the credit markets. | ||
Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. The Fund accrues for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Statement of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Statement of Operations. The Fund segregates liquid securities having a value at least equal to the amount of the potential obligation of a Fund under any swap transaction. The Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the value of the contract. The risk may be mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Fund’s exposure to the counterparty. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate; the counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations. | ||
K. | Dollar Roll and Forward Commitment Transactions — The Fund may engage in dollar roll and forward commitment transactions with respect to mortgage-backed securities issued by GNMA, FNMA and FHLMC. These transactions are often conducted on a to be announced (“TBA”) basis. In a TBA mortgage-backed transaction, the seller does not specify the particular securities to be delivered. Rather, a Fund agrees to accept any security that meets specified terms, such as an agreed upon issuer, coupon rate and terms of the underlying mortgages. TBA mortgage-backed transactions generally settle once a month on a specific date. | |
In a dollar roll transaction, the Fund sells a mortgage-backed security held in the Fund to a financial institution such as a bank or broker-dealer, and simultaneously agrees to purchase a substantially similar security (same type, coupon and maturity) from the institution at an agreed upon price and future date. The mortgage-backed securities to be purchased will bear the same coupon as those sold, but generally will be collateralized by different pools of mortgages with different prepayment histories. Based on the typical structure of dollar roll transactions by the Fund, the dollar roll transactions are accounted for as financing transactions in which the Fund receives compensation as either a “fee” or a “drop”. “Fee” income which is agreed upon amongst the parties at the commencement of the dollar roll and the “drop” which is the difference between the selling price and the repurchase price of the mortgage-backed securities are amortized to income. During the period between the sale and purchase settlement dates, the Fund will not be entitled to receive interest and principal payments on securities purchased and not yet settled. Proceeds of the sale may be invested in short-term instruments, and the income from these investments, together with any additional fee income received on the sale, could generate income for the Fund exceeding the yield on the security sold. Dollar roll transactions are considered borrowings under the 1940 Act. | ||
Forward commitment transactions involve commitments by the Fund to acquire or sell TBA mortgage-backed securities from/to a financial institution, such as a bank or broker-dealer at a specified future date and amount. The TBA mortgage-backed security is marked to market until settlement and the unrealized appreciation or depreciation is recorded in the statement of operations. | ||
At the time the Fund enters into the dollar roll or forward commitment transaction, mortgage-backed securities or other liquid assets held by the Fund having a dollar value equal to the purchase price or in an amount sufficient to honor the forward commitment will be segregated. | ||
Dollar roll transactions involve the risk that the market value of the securities retained by the Fund may decline below the price of the securities that the Fund has sold but is obligated to purchase under the agreement. In the event that the buyer of securities in a dollar roll transaction files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to purchase the securities. The return earned by the Fund with the proceeds of the dollar roll transaction may not exceed the return on the securities sold. | ||
Forward commitment transactions involve the risk that a counter-party to the transaction may fail to complete the transaction. If this occurs, the Fund may lose the opportunity to purchase or sell the security at the agreed upon price. Settlement dates of forward commitment transactions may be a month or more after entering into these transactions and as a result the market values of the securities may vary from the purchase or sale prices. Therefore, forward commitment transactions may increase the Fund’s overall interest rate exposure. |
L. | Futures Contracts — The Fund may enter into futures contracts to manage exposure to interest rate, equity and market price movements and/or currency risks. A futures contract is an agreement between two parties to purchase or sell a specified underlying security, currency or commodity (or delivery of a cash settlement price, in the case of an index future) for a fixed price at a future date. The Fund currently invests only in exchange-traded futures and they are standardized as to maturity date and underlying financial instrument. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant (broker). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Statement of Assets and Liabilities. When the contracts are closed or expire, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Statement of Operations. The primary risks associated with futures contracts are market risk and the absence of a liquid secondary market. If the Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Futures contracts have minimal counterparty risk since the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Statement of Assets and Liabilities. | |
M. | Collateral — To the extent the Fund has pledged or segregated a security as collateral and that security is subsequently sold, it is the Fund’s practice to replace such collateral no later than the next business day. |
Average Net Assets | Rate | |||
First $500 million | 0 | .50% | ||
Next $500 million | 0 | .45% | ||
Over $1 billion | 0 | .40% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in an Asset Position | ||||||||||||||||
Mortgaged Backed Securities | $ | — | $ | 138,868,769 | $ | — | $ | 138,868,769 | ||||||||
Collateralized Mortgage Obligations | — | 89,704,916 | — | 89,704,916 | ||||||||||||
U.S. Treasury Obligations | — | 43,408,461 | — | 43,408,461 | ||||||||||||
U.S. Government Agency Obligations | — | 27,060,815 | — | 27,060,815 | ||||||||||||
Agency Bonds | — | 20,817,213 | — | 20,817,213 | ||||||||||||
Adjustable Rate Mortgage Backed Securities | — | 3,178,174 | — | 3,178,174 | ||||||||||||
Equity Securities | 2,552,526 | — | — | 2,552,526 | ||||||||||||
Futures Contracts | 268,423 | — | — | 268,423 | ||||||||||||
Total Investments in an Asset Position | $ | 2,820,949 | $ | 323,038,348 | $ | — | $ | 325,859,297 | ||||||||
Investments in a Liability Position | ||||||||||||||||
Futures Contracts | (553,086 | ) | — | — | (553,086 | ) | ||||||||||
Total Investment in a Liability Position | $ | (553,086 | ) | $ | — | $ | — | $ | (553,086 | ) | ||||||
Value | ||||||||
Risk Exposure/ Derivative Type | Assets | Liabilities | ||||||
Interest rate risk/futures contracts(a) | $ | 268,423 | $ | (553,086 | ) | |||
(a) | Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s variation margin receivable (payable) is reported with in the December 31, 2010 Statement of Assets and Liabilities. |
Location of Gain (Loss) on Statement of Operations | ||||||||
Futures | Swap | |||||||
Contracts* | Agreements* | |||||||
Realized Gain (Loss) | ||||||||
Interest rate risk | $ | 1,690,933 | $ | (4,581,402 | ) | |||
Change in Unrealized Appreciation (Depreciation) Interest rate risk | (491,489 | ) | 1,777,683 | |||||
Total | $ | 1,199,444 | $ | (2,803,719 | ) | |||
* | The average notional value of futures and swap agreements outstanding during the period was $106,139,134 and $61,909,478, respectively. |
2010 | 2009 | |||||||
Ordinary income | $ | 657,434 | $ | 17,893,418 | ||||
2010 | ||||
Undistributed ordinary income | $ | 8,536,343 | ||
Net unrealized appreciation — investments | 3,065,735 | |||
Temporary book/tax differences | (2,709 | ) | ||
Post-October deferrals | (991,982 | ) | ||
Capital loss carryforward | (11,252,340 | ) | ||
Shares of beneficial interest | 297,836,564 | |||
Total net assets | $ | 297,191,611 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 10,072,819 | ||
December 31, 2018 | 1,179,521 | |||
Total | $ | 11,252,340 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 4,040,517 | ||
Aggregate unrealized (depreciation) of investment securities | (974,782 | ) | ||
Net unrealized appreciation of investment securities | $ | 3,065,735 | ||
Cost of investments for tax purposes is $322,525,139. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sales: | ||||||||||||||||
Series I | 275,133 | $ | 2,464,768 | 495,270 | $ | 4,487,721 | ||||||||||
Series II | 4,943,827 | 44,533,018 | 13,183,520 | 118,083,062 | ||||||||||||
Total Sales | 5,218,960 | 46,997,786 | 13,678,790 | 122,570,783 | ||||||||||||
Dividend Reinvestment: | ||||||||||||||||
Series I | 7,593 | 67,352 | 301,921 | 2,682,417 | ||||||||||||
Series II | 66,526 | 590,082 | 1,712,142 | 15,211,001 | ||||||||||||
Total Dividend Reinvestment | 74,119 | 657,434 | 2,014,063 | 17,893,418 | ||||||||||||
Repurchases: | ||||||||||||||||
Series I | (856,483 | ) | (7,702,407 | ) | (2,383,350 | ) | (21,385,604 | ) | ||||||||
Series II | (7,462,485 | ) | (67,552,465 | ) | (8,057,502 | ) | (72,309,567 | ) | ||||||||
Total Repurchases | (8,318,968 | ) | $ | (75,254,872 | ) | (10,440,852 | ) | $ | (93,695,171 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 85% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund,Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,004.36 | $ | 3.03 | $ | 1,022.18 | $ | 3.06 | 0.60 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,002.18 | 4.29 | 1,020.92 | 4.33 | 0.85 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
U.S. Treasury Obligations* | 17% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 12.51 | % | ||
Series II Shares | 12.19 | |||
Russell 1000 Value Index▼ (Broad Market/Style-Specific Index) | 15.51 | |||
▼ | Lipper Inc. |
Financials | 21.2 | % | ||
Energy | 14.3 | |||
Consumer Discretionary | 11.8 | |||
Consumer Staples | 10.6 | |||
Industrials | 10.3 | |||
Information Technology | 10.1 | |||
Health Care | 9.5 | |||
Utilities | 3.9 | |||
Telecommunication Services | 2.8 | |||
Materials | 2.2 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | 3.3 |
1. | JPMorgan Chase & Co. | 4.6 | % | |||||
2. | General Electric Co. | 3.8 | ||||||
3. | Marsh & McLennan Cos., Inc. | 3.3 | ||||||
4. | Viacom, Inc.- Class B | 2.9 | ||||||
5. | Occidental Petroleum Corp. | 2.5 | ||||||
6. | Anadarko Petroleum Corp. | 2.3 | ||||||
7. | eBay, Inc. | 2.2 | ||||||
8. | American Electric Power Co., Inc. | 2.0 | ||||||
9. | Royal Dutch Shell PLC | 2.0 | ||||||
10. | Tyco International Ltd. | 2.0 |
Total Net Assets | $1.9 billion | |||
Total Number of Holdings* | 78 |
*Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco Van Kampen V.I. Growth and Income Fund. He joined Invesco in 2010. Mr. Bastian earned a B.A. in accounting from St. John’s University and an M.B.A. in finance from the University of Michigan.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Growth and Income Fund. He joined Invesco in 2010. Mr. Laskin earned a B.A. in history from Swarthmore College and an M.B.A. and an M.A. from the Wharton School and the Lauder Institute, respectively, of the University of Pennsylvania.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Growth and Income Fund. She joined Invesco in 2010. Ms. Maly earned a B.A. from the University of Pittsburgh and an M.B.A. from the American Graduate School of International Management.
Portfolio manager, is manager of Invesco Van Kampen V.I. Growth and Income Fund. He joined Invesco in 2010. Mr. Marcheli earned a B.B.A. from the University of Houston and an M.B.A. from the University of St. Thomas.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Growth and Income Fund. He joined Invesco in 2010. Mr. Roeder earned a B.S. in accounting from Clemson University and an M.B.A. in economics and finance from the University of Chicago Graduate School of Business. He is also a Certified Public Accountant.
Series I Shares | ||||||||
Inception (12/23/96) | 7.99 | % | ||||||
10 | Years | 3.96 | ||||||
5 | Years | 2.59 | ||||||
1 | Year | 12.51 | ||||||
Series II Shares | ||||||||
Inception (9/18/00) | 4.08 | % | ||||||
10 | Years | 3.69 | ||||||
5 | Years | 2.33 | ||||||
1 | Year | 12.19 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Risks of derivatives include the possible imperfect correlation between the value of the instruments and the underlying assets; risks of default by the other party to the transaction; risks that the transactions may result in losses that partially or completely offset gains in portfolio positions; and risks that the transactions may not be liquid. Certain derivative transactions may give rise to a form of leverage. Leverage magnifies the potential for gain and the risk of loss.
The returns shown in management’s discussion of Fund performance are based on net asset values calculated for shareholder transactions. Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes, and as such, the net asset values for shareholder transactions and the returns based on those net asset values may differ from the net asset values and returns reported in the Financial Highlights. Additionally, the returns and net asset values shown throughout this report are at the Fund level only and do not include variable product issuer charges. If such charges were included, the total returns would be lower.
Shares | Value | |||||||
Common Stocks–96.7% | ||||||||
Air Freight & Logistics–0.5% | ||||||||
FedEx Corp. | 105,218 | $ | 9,786,326 | |||||
Asset Management & Custody Banks–1.1% | ||||||||
State Street Corp. | 439,202 | 20,352,621 | ||||||
Automobile Manufacturers–1.6% | ||||||||
Ford Motor Co.(a) | 982,479 | 16,495,823 | ||||||
General Motors Co.(a) | 375,163 | 13,828,508 | ||||||
30,324,331 | ||||||||
Cable & Satellite–3.1% | ||||||||
Comcast Corp., Class A | 1,483,651 | 32,595,812 | ||||||
Time Warner Cable, Inc. | 379,192 | 25,038,048 | ||||||
57,633,860 | ||||||||
Communications Equipment–1.0% | ||||||||
Cisco Systems, Inc.(a) | 954,594 | 19,311,437 | ||||||
Computer Hardware–2.7% | ||||||||
Dell, Inc.(a) | 1,636,052 | 22,168,505 | ||||||
Hewlett-Packard Co. | 667,271 | 28,092,109 | ||||||
50,260,614 | ||||||||
Consumer Electronics–1.1% | ||||||||
Sony Corp.–ADR (Japan) | 595,816 | 21,276,589 | ||||||
Data Processing & Outsourced Services–1.1% | ||||||||
Western Union Co. | 1,077,569 | 20,010,456 | ||||||
Diversified Banks–1.6% | ||||||||
U.S. Bancorp | 449,647 | 12,126,980 | ||||||
Wells Fargo & Co. | 580,167 | 17,979,375 | ||||||
30,106,355 | ||||||||
Diversified Chemicals–1.8% | ||||||||
Dow Chemical Co. | 503,470 | 17,188,466 | ||||||
PPG Industries, Inc. | 205,650 | 17,288,995 | ||||||
34,477,461 | ||||||||
Diversified Support Services–0.5% | ||||||||
Cintas Corp. | 357,095 | 9,984,376 | ||||||
Drug Retail–1.5% | ||||||||
Walgreen Co. | 715,888 | 27,890,997 | ||||||
Electric Utilities–3.9% | ||||||||
American Electric Power Co., Inc. | 1,041,011 | 37,455,576 | ||||||
Edison International | 293,741 | 11,338,403 | ||||||
Entergy Corp. | 159,011 | 11,262,749 | ||||||
FirstEnergy Corp. | 349,975 | 12,956,074 | ||||||
73,012,802 | ||||||||
Food Distributors–0.9% | ||||||||
Sysco Corp. | 583,602 | 17,157,899 | ||||||
Health Care Distributors–0.7% | ||||||||
Cardinal Health, Inc. | 326,033 | 12,490,324 | ||||||
Health Care Equipment–1.2% | ||||||||
Covidien PLC (Ireland) | 505,461 | 23,079,349 | ||||||
Home Improvement Retail–1.4% | ||||||||
Home Depot, Inc. | 744,146 | 26,089,759 | ||||||
Household Products–1.9% | ||||||||
Procter & Gamble Co. | 543,193 | 34,943,606 | ||||||
Human Resource & Employment Services–1.2% | ||||||||
Manpower, Inc. | 201,500 | 12,646,140 | ||||||
Robert Half International, Inc. | 311,915 | 9,544,599 | ||||||
22,190,739 | ||||||||
Hypermarkets & Super Centers–1.0% | ||||||||
Wal-Mart Stores, Inc. | 340,805 | 18,379,614 | ||||||
Industrial Conglomerates–5.8% | ||||||||
General Electric Co. | 3,916,686 | 71,636,187 | ||||||
Tyco International Ltd. (Switzerland) | 891,117 | 36,927,888 | ||||||
108,564,075 | ||||||||
Industrial Machinery–1.7% | ||||||||
Dover Corp. | 165,594 | 9,678,969 | ||||||
Ingersoll-Rand PLC (Ireland) | 459,327 | 21,629,709 | ||||||
31,308,678 | ||||||||
Insurance Brokers–3.3% | ||||||||
Marsh & McLennan Cos., Inc. | 2,245,290 | 61,386,229 | ||||||
Integrated Oil & Gas–8.1% | ||||||||
ConocoPhillips | 216,166 | 14,720,905 | ||||||
Exxon Mobil Corp. | 266,042 | 19,452,991 | ||||||
Hess Corp. | 422,700 | 32,353,458 | ||||||
Occidental Petroleum Corp. | 488,265 | 47,898,796 | ||||||
Royal Dutch Shell PLC–ADR (United Kingdom) | 556,244 | 37,145,974 | ||||||
151,572,124 | ||||||||
Integrated Telecommunication Services–1.1% | ||||||||
Verizon Communications, Inc. | 584,327 | 20,907,220 | ||||||
Internet Software & Services–3.4% | ||||||||
eBay, Inc.(a) | 1,503,011 | 41,828,796 | ||||||
Yahoo!, Inc.(a) | 1,274,654 | 21,197,496 | ||||||
63,026,292 | ||||||||
Shares | Value | |||||||
Investment Banking & Brokerage–2.9% | ||||||||
Charles Schwab Corp. | 1,599,837 | $ | 27,373,211 | |||||
LPL Investment Holdings, Inc.(a) | 55,842 | 2,030,974 | ||||||
Morgan Stanley | 909,097 | 24,736,529 | ||||||
54,140,714 | ||||||||
IT Consulting & Other Services–0.9% | ||||||||
Amdocs Ltd. (Guernsey)(a) | 599,464 | 16,467,276 | ||||||
Life & Health Insurance–0.8% | ||||||||
Principal Financial Group, Inc. | 487,004 | 15,856,850 | ||||||
Managed Health Care–1.8% | ||||||||
UnitedHealth Group, Inc. | 942,718 | 34,041,547 | ||||||
Movies & Entertainment–4.6% | ||||||||
Time Warner, Inc. | 1,021,065 | 32,847,661 | ||||||
Viacom, Inc., Class B | 1,357,626 | 53,775,566 | ||||||
86,623,227 | ||||||||
Office Services & Supplies–0.6% | ||||||||
Avery Dennison Corp. | 286,199 | 12,117,666 | ||||||
Oil & Gas Equipment & Services–2.0% | ||||||||
Cameron International Corp.(a) | 140,587 | 7,131,979 | ||||||
Schlumberger Ltd. (Netherlands Antilles) | 372,777 | 31,126,879 | ||||||
38,258,858 | ||||||||
Oil & Gas Exploration & Production–3.9% | ||||||||
Anadarko Petroleum Corp. | 563,547 | 42,919,740 | ||||||
Devon Energy Corp. | 251,953 | 19,780,830 | ||||||
Noble Energy, Inc. | 117,451 | 10,110,182 | ||||||
72,810,752 | ||||||||
Oil & Gas Storage & Transportation–0.3% | ||||||||
Williams Cos., Inc. | 231,544 | 5,723,768 | ||||||
Other Diversified Financial Services–7.8% | ||||||||
Bank of America Corp. | 2,654,939 | 35,416,886 | ||||||
Citigroup, Inc.(a) | 5,148,209 | 24,351,029 | ||||||
JPMorgan Chase & Co. | 2,050,392 | 86,977,629 | ||||||
146,745,544 | ||||||||
Packaged Foods & Meats–2.6% | ||||||||
Kraft Foods, Inc., Class A | 826,057 | 26,029,056 | ||||||
Unilever NV (Netherlands) | 746,400 | 23,436,960 | ||||||
49,466,016 | ||||||||
Personal Products–1.5% | ||||||||
Avon Products, Inc. | 982,285 | 28,545,202 | ||||||
Pharmaceuticals–5.8% | ||||||||
Abbott Laboratories | 256,441 | 12,286,088 | ||||||
Bristol-Myers Squibb Co. | 1,093,218 | 28,948,413 | ||||||
Merck & Co., Inc. | 467,388 | 16,844,664 | ||||||
Pfizer, Inc. | 1,876,991 | 32,866,112 | ||||||
Roche Holdings AG–ADR (Switzerland) | 475,124 | 17,458,431 | ||||||
108,403,708 | ||||||||
Property & Casualty Insurance–0.7% | ||||||||
Chubb Corp. | 234,964 | 14,013,253 | ||||||
Regional Banks–2.9% | ||||||||
BB&T Corp. | 397,409 | 10,447,882 | ||||||
Fifth Third Bancorp | 731,150 | 10,733,282 | ||||||
PNC Financial Services Group, Inc. | 564,908 | 34,301,214 | ||||||
55,482,378 | ||||||||
Semiconductors–0.9% | ||||||||
Intel Corp. | 817,309 | 17,188,008 | ||||||
Soft Drinks–1.2% | ||||||||
Coca-Cola Co. | 213,375 | 14,033,674 | ||||||
Coca-Cola Enterprises, Inc. | 360,297 | 9,018,234 | ||||||
23,051,908 | ||||||||
Specialty Chemicals–0.4% | ||||||||
LyondellBasell Industries NV, Class A (Netherlands)(a) | 217,336 | 7,476,358 | ||||||
Systems Software–0.2% | ||||||||
Microsoft Corp. | 166,845 | 4,658,312 | ||||||
Wireless Telecommunication Services–1.7% | ||||||||
Vodafone Group PLC–ADR (United Kingdom) | 1,181,459 | 31,225,961 | ||||||
Total Common Stocks–96.7% (Cost $1,619,089,930) | 1,817,821,439 | |||||||
Money Market Funds–4.0% | ||||||||
Liquid Assets Portfolio–Institutional Class(b) | 37,360,235 | 37,360,235 | ||||||
Premier Portfolio–Institutional Class(b) | 37,360,235 | 37,360,235 | ||||||
Total Money Market Funds–4.0% (Cost $74,720,470) | 74,720,470 | |||||||
TOTAL INVESTMENTS–100.7% (Cost $1,693,810,400) | 1,892,541,909 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS–(0.7%) | (12,674,874 | ) | ||||||
NET ASSETS–100.0% | $ | 1,879,867,035 | ||||||
ADR – American Depositary Receipt |
(a) | Non-income producing security. | |
(b) | The money market fund and the Fund are affiliated by having the same investment advisor. |
Assets: | ||||
Investments, at value (Cost $1,619,089,930) | $ | 1,817,821,439 | ||
Investment in affiliated money market funds, at value and cost | 74,720,470 | |||
Receivables: | ||||
Dividends | 2,476,325 | |||
Fund shares sold | 565,683 | |||
Expense reimbursement from adviser | 30,490 | |||
Other | 3,841 | |||
Total assets | 1,895,618,248 | |||
Liabilities: | ||||
Payables: | ||||
Fund shares repurchased | 12,012,569 | |||
Distributor and affiliates | 3,542,697 | |||
Trustees’ deferred compensation and retirement plans | 10,366 | |||
Accrued expenses | 185,581 | |||
Total liabilities | 15,751,213 | |||
Net assets | $ | 1,879,867,035 | ||
Net assets consist of: | ||||
Capital (par value of $0.001 per share with an unlimited number of shares authorized) | $ | 1,768,047,228 | ||
Net unrealized appreciation | 198,731,509 | |||
Accumulated undistributed net investment income | 19,988,664 | |||
Accumulated net realized gain (loss) | (106,900,366 | ) | ||
Net assets | $ | 1,879,867,035 | ||
Net asset value, offering price and redemption price per share: | ||||
Series I Shares (based on net assets of $154,488,757 and 8,397,205 shares of beneficial interest issued and outstanding) | $ | 18.40 | ||
Series II Shares (based on net assets of $1,725,378,278 and 93,947,482 shares of beneficial interest issued and outstanding) | $ | 18.37 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $495,942) | $ | 34,483,959 | ||
Dividends from affiliated money market funds | 69,855 | |||
Interest | 24,741 | |||
Total income | 34,578,555 | |||
Expenses: | ||||
Investment advisory fee | 9,618,095 | |||
Distribution fees — Series II | 3,886,924 | |||
Administrative services fees | 2,852,728 | |||
Trustees and officers’ fees and benefits | 64,439 | |||
Custody | 56,824 | |||
Professional fees | 56,338 | |||
Transfer agent fees | 27,605 | |||
Registration fees | 150 | |||
Other | 38,625 | |||
Total expenses | 16,601,728 | |||
Expense reduction | 2,323,699 | |||
Net expenses | 14,278,029 | |||
Net investment income | 20,300,526 | |||
Realized and unrealized gain (loss): | ||||
Net realized gain | 91,837,578 | |||
Unrealized appreciation (depreciation): | ||||
Beginning of the period | 102,462,825 | |||
End of the period | 198,731,509 | |||
Net unrealized appreciation during the period | 96,268,684 | |||
Net realized and unrealized gain | 188,106,262 | |||
Net increase in net assets from operations | $ | 208,406,788 | ||
For the year ended | For the year ended | |||||||
December 31, | December 31, | |||||||
2010 | 2009 | |||||||
From investment activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 20,300,526 | $ | 21,012,021 | ||||
Net realized gain (loss) | 91,837,578 | (61,046,171 | ) | |||||
Net unrealized appreciation during the period | 96,268,684 | 367,300,062 | ||||||
Change in net assets from operations | 208,406,788 | 327,265,912 | ||||||
Distributions from net investment income: | ||||||||
Series I shares | (156,262 | ) | (5,735,264 | ) | ||||
Series II shares | (1,556,159 | ) | (46,515,143 | ) | ||||
Total distributions | (1,712,421 | ) | (52,250,407 | ) | ||||
Net change in net assets from investment activities | 206,694,367 | 275,015,505 | ||||||
From capital transactions: | ||||||||
Proceeds from shares sold | 191,122,516 | 128,402,609 | ||||||
Net assets value of shares issued through dividend reinvestment | 1,712,421 | 52,250,407 | ||||||
Cost of shares repurchased | (188,006,478 | ) | (169,496,944 | ) | ||||
Net change in net assets from capital transactions | 4,828,459 | 11,156,072 | ||||||
Total increase in net assets | 211,522,826 | 286,171,577 | ||||||
Net assets: | ||||||||
Beginning of the period | 1,668,344,209 | 1,382,172,632 | ||||||
End of the period (including accumulated undistributed net investment income of $19,988,664 and $1,401,168, respectively) | $ | 1,879,867,035 | $ | 1,668,344,209 | ||||
Series I Sharesˆ | ||||||||||||||||||||
Year ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net asset value, beginning of the period | $ | 16.37 | $ | 13.74 | $ | 21.36 | $ | 22.00 | $ | 20.49 | ||||||||||
Net investment income(a) | 0.24 | 0.24 | 0.36 | 0.39 | 0.38 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.81 | 2.98 | (6.95 | ) | 0.16 | 2.75 | ||||||||||||||
Total from investment operations | 2.05 | 3.22 | (6.59 | ) | 0.55 | 3.13 | ||||||||||||||
Less: | ||||||||||||||||||||
Distributions from net investment income | 0.02 | 0.59 | 0.38 | 0.36 | 0.25 | |||||||||||||||
Distributions from net realized gains | -0- | -0- | 0.65 | 0.83 | 1.37 | |||||||||||||||
Total distributions | 0.02 | 0.59 | 1.03 | 1.19 | 1.62 | |||||||||||||||
Net asset value, end of the period | $ | 18.40 | $ | 16.37 | $ | 13.74 | $ | 21.36 | $ | 22.00 | ||||||||||
Total return* | 12.51 | %(b) | 24.37 | % | (32.03 | )% | 2.80 | % | 16.23 | % | ||||||||||
Net assets at end of the period (in millions) | $ | 154.5 | $ | 153.7 | $ | 146.0 | $ | 263.5 | $ | 307.7 | ||||||||||
Ratio of expenses to average net assets* | 0.61 | %(d) | 0.62 | % | 0.61 | % | 0.60 | % | 0.60 | % | ||||||||||
Ratio of net investment income to average net assets* | 1.42 | %(d) | 1.72 | % | 2.06 | % | 1.80 | % | 1.85 | % | ||||||||||
Portfolio turnover(e) | 30 | % | 55 | % | 50 | % | 28 | % | 28 | % | ||||||||||
* If certain expenses had not been assumed by the adviser, total returns would have been lower and the ratios would have been as follows: | ||||||||||||||||||||
Ratio of expenses to average net assets | 0.74 | %(d) | N/A | N/A | N/A | N/A | ||||||||||||||
Ratio of net investment income to average net assets | 1.55 | %(d) | N/A | N/A | N/A | N/A | ||||||||||||||
Series II Sharesˆ | ||||||||||||||||||||
Year ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net asset value, beginning of the period | $ | 16.39 | $ | 13.71 | $ | 21.31 | $ | 21.96 | $ | 20.46 | ||||||||||
Net investment income(a) | 0.20 | 0.20 | 0.32 | 0.34 | 0.32 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.80 | 2.99 | (6.94 | ) | 0.15 | 2.76 | ||||||||||||||
Total from investment operations | 2.00 | 3.19 | (6.62 | ) | 0.49 | 3.08 | ||||||||||||||
Less: | ||||||||||||||||||||
Distributions from net investment income | 0.02 | 0.51 | 0.33 | 0.31 | 0.21 | |||||||||||||||
Distributions from net realized gain | -0- | -0- | 0.65 | 0.83 | 1.37 | |||||||||||||||
Total distributions | 0.02 | 0.51 | 0.98 | 1.14 | 1.58 | |||||||||||||||
Net asset value, end of the period | $ | 18.37 | $ | 16.39 | $ | 13.71 | $ | 21.31 | $ | 21.96 | ||||||||||
Total return | 12.19 | %(b) | 24.11 | %(c) | (32.21 | )%(c) | 2.52 | %(c) | 15.97 | %(c) | ||||||||||
Net assets at end of the period (in millions) | $ | 1,725.4 | $ | 1,514.7 | $ | 1,236.2 | $ | 1,843.7 | $ | 1,661.7 | ||||||||||
Ratio of expenses to average net assets* | 0.86 | %(d) | 0.87 | % | 0.86 | % | 0.85 | % | 0.85 | % | ||||||||||
Ratio of net investment income to average net assets* | 1.17 | %(d) | 1.45 | % | 1.82 | % | 1.54 | % | 1.59 | % | ||||||||||
Portfolio turnover(e) | 30 | % | 55 | % | 50 | % | 28 | % | 28 | % | ||||||||||
* If certain expenses had not been assumed by the adviser, total returns would have been lower and the ratios would have been as follows: | ||||||||||||||||||||
Ratio of expenses to average net assets | 0.99 | %(d) | N/A | N/A | N/A | N/A | ||||||||||||||
Ratio of net investment income to average net assets | 1.30 | %(d) | N/A | N/A | N/A | N/A | ||||||||||||||
(a) | Based on average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed with connection with a variable product, which if included would reduce total returns. | |
(c) | These returns include combined Rule 12b-1 fees and services fees of up to 0.25%. | |
(d) | Ratios are annualized and based on average daily net assets (000’s omitted) of $149,783 and $1,554,770 for Series I and Series II shares, respectively. | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
ˆ | On June 1, 2010, the Class I and Class II shares of the predecessor fund were reorganized into Series I and Series II shares, respectively of the Fund. |
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. |
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. |
Average Net Assets | Rate | |||
First $500 million | 0 | .60% | ||
Over $500 million | 0 | .55% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 1,875,083,478 | $ | 17,458,431 | $ | -0- | $ | 1,892,541,909 | ||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 1,712,421 | $ | 52,250,407 | ||||
2010 | ||||
Undistributed ordinary income | $ | 20,044,581 | ||
Net unrealized appreciation — investments | 196,450,212 | |||
Temporary book/tax differences | (10,366 | ) | ||
Capital loss carryforward | (104,664,620 | ) | ||
Shares of beneficial interest | 1,768,047,228 | |||
Total net assets | $ | 1,879,867,035 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2017 | $ | 104,664,620 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 228,781,223 | ||
Aggregate unrealized (depreciation) of investment securities | (32,331,011 | ) | ||
Net unrealized appreciation of investment securities | $ | 196,450,212 | ||
Cost of investments for tax purposes is $1,696,091,697. |
Summary of Share Activity | ||||||||||||||||
For the years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sales: | ||||||||||||||||
Series I | 836,015 | $ | 13,995,298 | 1,149,207 | $ | 15,623,017 | ||||||||||
Series II | 10,759,774 | 177,127,218 | 8,282,559 | 112,779,592 | ||||||||||||
Total sales | 11,595,789 | $ | 191,122,516 | 9,431,776 | $ | 128,402,609 | ||||||||||
Dividend reinvestment: | ||||||||||||||||
Series I | 9,138 | $ | 156,262 | 424,064 | $ | 5,735,264 | ||||||||||
Series II | 91,003 | 1,556,159 | 3,426,092 | 46,515,143 | ||||||||||||
Total dividend reinvestment | 100,141 | $ | 1,712,421 | 3,850,156 | $ | 52,250,407 | ||||||||||
Repurchases: | ||||||||||||||||
Series I | (1,831,877 | ) | $ | (30,656,787 | ) | (2,812,355 | ) | $ | (38,075,961 | ) | ||||||
Series II | (9,338,871 | ) | (157,349,691 | ) | (9,409,312 | ) | (131,420,983 | ) | ||||||||
Total repurchases | (11,170,748 | ) | $ | (188,006,478 | ) | (12,221,667 | ) | $ | (169,496,944 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 81% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. In addition, less than 1% of the outstanding shares of the fund are owned by Invesco or an investment advisor under common control. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,226.67 | $ | 3.26 | $ | 1,022.28 | $ | 2.96 | 0.58 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,225.48 | 4.66 | 1,021.02 | 4.23 | 0.83 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 100% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 12.11 | % | ||
Series II Shares | 11.90 | |||
Barclays Capital U.S. Corporate High Yield 2% Issuer Cap Index▼ (Broad Market Index) | 14.94 | |||
Sell decisions are based on: | ||
n | Low equity value to debt, high subordination and negative free cash flow coupled with negative news, declining expectations, or an increasing risk profile. | |
n | Very low yields. | |
n | Presentation of a better relative value opportunity. |
By credit quality | ||||
A | 0.7 | % | ||
BBB | 2.8 | |||
BB | 36.4 | |||
B | 44.8 | |||
CCC | 10.3 | |||
Non-Rated | 3.5 | |||
Cash | 1.5 |
1. CIT Group Inc. | 1.9 | % | ||
2. MGM Resorts International | 1.7 | |||
3. Vangent Inc. | 1.6 | |||
4. Intelsat Jackson Holdings S.A. | 1.5 | |||
5. HCA, Inc. | 1.5 | |||
6. Nielsen Finance LLC/Co. | 1.4 | |||
7. International Lease Finance Corp. | 1.4 | |||
8. Sprint Capital Corp. | 1.3 | |||
9. Ply Gem Industries Inc. | 1.3 | |||
10. Ally Finance Inc. | 1.2 |
1. Oil & Gas Exploration & Production | 7.8 | % | ||
2. Casinos & Gaming | 6.4 | |||
3. Wireless Telecommunications Services | 5.7 | |||
4. Building Products | 4.2 | |||
5. Broadcasting | 3.6 |
Total Net Assets | $30.6 million | |
Total Number of Holdings* | 276 |
†Source: Standard and Poor’s. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations, including specific securities, money market instruments or other debts. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest); ratings are subject to change without notice. “Non-Rated” indicates the debtor was not rated, and should not be interpreted as indicating low quality. For more information on Standard and Poor’s rating methodology, please visit www.standardandpoors.com and select ‘Understanding Ratings’ under Rating Resources on the homepage. | ||
The Fund’s holdings are subject to change, and there is no assurance that the Fund will continue to hold any particular security. | ||
*Excluding money market fund holdings. |
2 U.S. Federal Reserve
As of 12/31/10
Series I Shares | ||||
Inception (1/2/97) | 4.88 | % | ||
10 Years | 5.51 | |||
5 Years | 6.78 | |||
1 Year | 12.11 | |||
Series II Shares | ||||
10 Years | 5.26 | % | ||
5 Years | 6.53 | |||
1 Year | 11.90 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Principal | ||||||||
Amount | Value | |||||||
U.S. Dollar Denominated Bonds & Notes–89.52% | ||||||||
Advertising–0.24% | ||||||||
Lamar Media Corp., Sr. Gtd. Sub. Global Notes, 7.88%, 04/15/18 | $ | 70,000 | $ | 74,463 | ||||
Aerospace & Defense–1.80% | ||||||||
Alliant Techsystems Inc., Sr. Unsec. Gtd. Sub. Notes, 6.88%, 09/15/20 | 15,000 | 15,488 | ||||||
BE Aerospace, Inc., Sr. Unsec. Notes, 6.88%, 10/01/20 | 85,000 | 87,975 | ||||||
Bombardier Inc. (Canada), Sr. Notes, 7.75%, 03/15/20(b) | 110,000 | 119,900 | ||||||
Hexcel Corp., Sr. Unsec. Sub. Global Notes, 6.75%, 02/01/15 | 150,000 | 153,750 | ||||||
Triumph Group, Inc., Sr. Unsec. Gtd. Sub. Global Notes, 8.00%, 11/15/17 | 165,000 | 174,487 | ||||||
551,600 | ||||||||
Airlines–2.16% | ||||||||
American Airlines, Series 1991-A2, Sec. Pass Through Ctfs., 10.18%, 01/02/13 | 31,935 | 32,374 | ||||||
Continental Airlines Inc., Series 2007-1, Class C, Sec. Sub. Global Pass Through Ctfs., 7.34%, 04/19/14 | 242,972 | 245,402 | ||||||
Series 2009-2, Class B, Sec. Global Pass Through Ctfs., 9.25%, 05/10/17 | 33,245 | 36,071 | ||||||
Delta Air Lines, Inc., Sr. Sec. Notes, 9.50%, 09/15/14(b) | 184,000 | 201,020 | ||||||
UAL Corp., Series 2007-1A, Sec. Gtd. Global Pass Through Ctfs., 6.64%, 07/02/22 | 43,442 | 44,284 | ||||||
Series 2009-2B, Sec. Gtd. Pass Through Ctfs., 12.00%, 01/15/16(b) | 92,107 | 103,620 | ||||||
662,771 | ||||||||
Aluminum–0.28% | ||||||||
Century Aluminum Co., Sr. Sec. Notes, 8.00%, 05/15/14 | 80,000 | 84,650 | ||||||
Apparel, Accessories & Luxury Goods–2.30% | ||||||||
Hanesbrands Inc., Sr. Unsec. Gtd. Notes, 6.38%, 12/15/20(b) | 80,000 | 77,200 | ||||||
Levi Strauss & Co., Sr. Unsec. Global Notes, 7.63%, 05/15/20 | 160,000 | 166,000 | ||||||
Oxford Industries Inc., Sr. Sec. Gtd. Global Notes, 11.38%, 07/15/15 | 175,000 | 197,312 | ||||||
Phillips-Van Heusen Corp., Sr. Unsec. Notes, 7.38%, 05/15/20 | 50,000 | 53,125 | ||||||
Quiksilver Inc., Sr. Unsec. Gtd. Global Notes, 6.88%, 04/15/15 | 200,000 | 196,500 | ||||||
Visant Corp., Sr. Notes, 10.00%, 10/01/17(b) | 15,000 | 15,975 | ||||||
706,112 | ||||||||
Asset Management & Custody Banks–0.05% | ||||||||
Accellent Inc., Sr. Sub. Gtd. Notes, 10.00%, 11/01/17(b) | 15,000 | 14,175 | ||||||
Auto Parts & Equipment–0.21% | ||||||||
Tenneco Inc., Sr. Gtd. Notes, 6.88%, 12/15/20(b) | 20,000 | 20,400 | ||||||
Sr. Notes, 7.75%, 08/15/18(b) | 40,000 | 42,600 | ||||||
63,000 | ||||||||
Automobile Manufacturers–0.70% | ||||||||
Ford Motor Co., Sr. Unsec. Global Notes, 7.45%, 07/16/31 | 110,000 | 118,800 | ||||||
Motors Liquidation Co., Sr. Unsec. Notes, 8.38%, 07/15/33(c) | 260,000 | 94,575 | ||||||
213,375 | ||||||||
Broadcasting–1.59% | ||||||||
Allbritton Communications Co., Sr. Unsec. Global Notes, 8.00%, 05/15/18 | 65,000 | 65,975 | ||||||
Nielsen Finance LLC/Co., Sr. Unsec. Gtd. Notes, 7.75%, 10/15/18(b) | 330,000 | 343,200 | ||||||
Sr. Unsec. Gtd. Sub. Disc. Global Notes, 12.50%, 08/01/16(d) | 75,000 | 79,125 | ||||||
488,300 | ||||||||
Building Products–3.93% | ||||||||
Associated Materials LLC, Sr. Sec. Gtd. Notes, 9.13%, 11/01/17(b) | 120,000 | 126,600 | ||||||
Building Materials Corp. of America, Sr. Gtd. Notes, 7.50%, 03/15/20(b) | 60,000 | 61,650 | ||||||
Sr. Notes, 6.88%, 08/15/18(b) | 65,000 | 64,675 | ||||||
Gibraltar Industries Inc., Series B, Sr. Unsec. Gtd. Sub. Global Notes, 8.00%, 12/01/15 | 105,000 | 106,444 | ||||||
Nortek Inc., Sr. Sec. Gtd. Global Notes, 11.00%, 12/01/13 | 215,000 | 230,050 | ||||||
Sr. Unsec. Gtd. Notes, 10.00%, 12/01/18(b) | 20,000 | 20,950 | ||||||
Ply Gem Industries Inc., Sr. Sec. Gtd. First & Second Lien Global Notes, 11.75%, 06/15/13 | 305,000 | 327,112 | ||||||
Sr. Unsec. Gtd. Sub. Global Notes, 13.13%, 07/15/14 | 55,000 | 58,575 | ||||||
Roofing Supply Group LLC/Roofing Supply Finance Inc., Sr. Sec. Notes, 8.63%, 12/01/17(b) | 170,000 | 177,225 | ||||||
USG Corp., Sr. Gtd. Notes, 8.38%, 10/15/18(b) | 10,000 | 9,850 | ||||||
Sr. Unsec. Gtd. Notes, 9.75%, 08/01/14(b) | 20,000 | 21,250 | ||||||
1,204,381 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Cable & Satellite–1.63% | ||||||||
CSC Holdings LLC, Sr. Unsec. Global Notes, 8.63%, 02/15/19 | $ | 115,000 | $ | 131,675 | ||||
Hughes Network Systems LLC/HNS Finance Corp., Sr. Unsec. Gtd. Global Notes, | ||||||||
9.50%, 04/15/14 | 40,000 | 41,450 | ||||||
9.50%, 04/15/14 | 140,000 | 145,075 | ||||||
XM Satellite Radio Inc., Sr. Unsec. Gtd. Notes, 13.00%, 08/01/13(b) | 150,000 | 179,250 | ||||||
497,450 | ||||||||
Casinos & Gaming–6.23% | ||||||||
Boyd Gaming Corp., Sr. Notes, 9.13%, 12/01/18(b) | 15,000 | 15,000 | ||||||
Caesars Entertainment Operating Co. Inc., Sr. Sec. Gtd. Global Notes, | ||||||||
11.25%, 06/01/17 | 171,000 | 193,230 | ||||||
10.00%, 12/15/18 | 30,000 | 27,450 | ||||||
Sr. Sec. Notes, 12.75%, 04/15/18(b) | 45,000 | 46,350 | ||||||
Sr. Unsec. Gtd. Global Bonds, 5.63%, 06/01/15 | 114,000 | 94,905 | ||||||
Great Canadian Gaming Corp. (Canada), Sr. Unsec. Gtd. Sub. Notes, 7.25%, 02/15/15(b) | 95,000 | 97,850 | ||||||
Las Vegas Sands Corp., Sr. Sec. Gtd. Global Notes, 6.38%, 02/15/15 | 115,000 | 117,587 | ||||||
Mandalay Resort Group, Sr. Unsec. Gtd. Sub. Notes, 7.63%, 07/15/13 | 100,000 | 95,000 | ||||||
MGM Resorts International, Sr. Sec. Gtd. Notes, 13.00%, 11/15/13 | 175,000 | 207,375 | ||||||
Sr. Unsec. Gtd. Global Notes, | ||||||||
6.75%, 09/01/12 | 35,000 | 34,912 | ||||||
6.75%, 04/01/13 | 295,000 | 290,575 | ||||||
Pinnacle Entertainment Inc., Sr. Unsec. Gtd. Global Notes, 8.63%, 08/01/17 | 90,000 | 98,325 | ||||||
Scientific Games Corp., Sr. Sub. Notes, 8.13%, 09/15/18(b) | 15,000 | 15,188 | ||||||
Scientific Games International Inc., Sr. Unsec. Gtd. Sub. Global Notes, 9.25%, 06/15/19 | 150,000 | 155,625 | ||||||
Seneca Gaming Corp., Sr. Unsec. Gtd. Notes, 8.25%, 12/01/18(b) | 35,000 | 35,175 | ||||||
Snoqualmie Entertainment Authority, Sr. Sec. Floating Rate Notes, 4.43%, 02/01/14(b)(e) | 55,000 | 47,850 | ||||||
Sr. Sec. Notes, 9.13%, 02/01/15(b) | 105,000 | 97,650 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Sec. Gtd. First Mortgage Global Notes, 7.75%, 08/15/20 | 45,000 | 49,050 | ||||||
Sr. Sec. Gtd. First Mortgage Global Notes, 7.88%, 05/01/20 | 175,000 | 189,219 | ||||||
1,908,316 | ||||||||
Coal & Consumable Fuels–0.12% | ||||||||
CONSOL Energy Inc., Sr. Unsec. Gtd. Notes, 8.25%, 04/01/20(b) | 35,000 | 37,975 | ||||||
Computer & Electronics Retail–0.07% | ||||||||
Rent-A-Center Inc., Sr. Unsec. Notes, 6.63%, 11/15/20(b) | 20,000 | 20,050 | ||||||
Computer Storage & Peripherals–0.27% | ||||||||
Seagate HDD Cayman (Cayman Islands), Sr. Unsec. Gtd. Notes, 7.75%, 12/15/18(b) | 80,000 | 81,700 | ||||||
Construction & Engineering–1.20% | ||||||||
American Residential Services LLC, Sr. Sec. Notes, 12.00%, 04/15/15(b) | 35,000 | 36,838 | ||||||
Dycom Investments Inc., Sr. Unsec. Gtd. Sub. Global Notes, 8.13%, 10/15/15 | 40,000 | 40,900 | ||||||
MasTec, Inc., Sr. Unsec. Gtd. Global Notes, 7.63%, 02/01/17 | 105,000 | 106,837 | ||||||
Tutor Perini Corp., Sr. Unsec. Gtd. Notes, 7.63%, 11/01/18(b) | 180,000 | 182,250 | ||||||
366,825 | ||||||||
Construction Materials–1.10% | ||||||||
Cemex Finance LLC, Sr. Sec. Gtd. Bonds, 9.50%, 12/14/16(b) | 100,000 | 103,551 | ||||||
Texas Industries Inc., Sr. Unsec. Gtd. Notes, 9.25%, 08/15/20(b) | 220,000 | 234,850 | ||||||
338,401 | ||||||||
Construction, Farm Machinery & Heavy Trucks–1.81% | ||||||||
Case New Holland Inc., Sr. Notes, 7.88%, 12/01/17(b) | 75,000 | 82,875 | ||||||
Sr. Unsec. Gtd. Global Notes, 7.75%, 09/01/13 | 110,000 | 118,800 | ||||||
Manitowoc Co. Inc. (The), Sr. Unsec. Gtd. Notes, 8.50%, 11/01/20 | 20,000 | 21,425 | ||||||
Navistar International Corp., Sr. Unsec. Gtd. Notes, 8.25%, 11/01/21 | 185,000 | 200,262 | ||||||
Oshkosh Corp., Sr. Unsec. Gtd. Global Notes, 8.50%, 03/01/20 | 80,000 | 88,200 | ||||||
Titan International Inc., Sr. Sec. Gtd. Notes, 7.88%, 10/01/17(b) | 40,000 | 42,500 | ||||||
554,062 | ||||||||
Consumer Finance–2.89% | ||||||||
Ally Financial Inc., Sr. Unsec. Gtd. Global Notes, | ||||||||
8.00%, 03/15/20 | 185,000 | 203,500 | ||||||
8.00%, 11/01/31 | 30,000 | 32,100 | ||||||
Sr. Unsec. Gtd. Notes, 7.50%, 09/15/20(b) | 135,000 | 143,775 | ||||||
Capital One Capital VI, Jr. Ltd. Gtd. Sub. Trust Cum. Pfd. Securities, 8.88%, 05/15/40 | 115,000 | 120,031 | ||||||
Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 8.00%, 12/15/16 | 95,000 | 106,400 | ||||||
8.13%, 01/15/20 | 150,000 | 174,750 | ||||||
National Money Mart Co. (Canada), Sr. Unsec. Gtd. Global Notes, 10.38%, 12/15/16 | 95,000 | 103,550 | ||||||
884,106 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Data Processing & Outsourced Services–0.82% | ||||||||
SunGard Data Systems Inc., Sr. Unsec. Gtd. Global Notes, 10.63%, 05/15/15 | $ | 80,000 | $ | 89,200 | ||||
Sr. Unsec. Gtd. Sub. Global Notes, 10.25%, 08/15/15 | 105,000 | 110,512 | ||||||
Sr. Unsec. Notes, | ||||||||
7.38%, 11/15/18(b) | 25,000 | 25,250 | ||||||
7.63%, 11/15/20(b) | 25,000 | 25,438 | ||||||
250,400 | ||||||||
Department Stores–0.48% | ||||||||
Sears Holdings Corp., Sr. Sec. Notes, 6.63%, 10/15/18(b) | 155,000 | 146,475 | ||||||
Distillers & Vintners–0.64% | ||||||||
Constellation Brands Inc., Sr. Unsec. Gtd. Global Notes, 7.25%, 05/15/17 | 185,000 | 196,100 | ||||||
Diversified Support Services–0.05% | ||||||||
Mobile Mini, Inc., Sr. Unsec. Gtd. Notes, 7.88%, 12/01/20(b) | 15,000 | 15,638 | ||||||
Drug Retail–0.27% | ||||||||
General Nutrition Centers Inc., Sr. Unsec. Gtd. PIK Global Notes, 5.75%, 03/15/14(e) | 85,000 | 84,150 | ||||||
Electrical Components & Equipment–0.08% | ||||||||
Polypore International Inc., Sr. Unsec. Gtd. Notes, 7.50%, 11/15/17(b) | 25,000 | 25,750 | ||||||
Environmental & Facilities Services–0.14% | ||||||||
EnergySolutions Inc./LLC, Sr. Unsec. Gtd. Notes, 10.75%, 08/15/18(b) | 40,000 | 43,900 | ||||||
Fertilizers & Agricultural Chemicals–0.75% | ||||||||
CF Industries Inc., Sr. Unsec. Gtd. Notes, 7.13%, 05/01/20 | 210,000 | 230,475 | ||||||
Food Retail–0.28% | ||||||||
Simmons Foods Inc., Sr. Sec. Notes, 10.50%, 11/01/17(b) | 80,000 | 85,800 | ||||||
Forest Products–0.03% | ||||||||
Sino-Forest Corp. (Canada), Gtd. Notes, 6.25%, 10/21/17(b) | 10,000 | 10,041 | ||||||
Gas Utilities–0.55% | ||||||||
Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec. Notes, 6.50%, 05/01/21(b) | 90,000 | 87,975 | ||||||
Suburban Propane Partners, L.P./Suburban Energy Finance Corp., Sr. Unsec. Notes, 7.38%, 03/15/20 | 75,000 | 80,438 | ||||||
168,413 | ||||||||
Health Care Equipment–0.34% | ||||||||
DJO Finance LLC/Corp., Sr. Unsec. Gtd. Global Notes, 10.88%, 11/15/14 | 95,000 | 104,025 | ||||||
Health Care Facilities–3.37% | ||||||||
Community Health Systems Inc., Sr. Unsec. Gtd. Global Notes, 8.88%, 07/15/15 | 175,000 | 184,625 | ||||||
Hanger Orthopedic Group Inc., Sr. Unsec. Gtd. Global Notes, 7.13%, 11/15/18 | 25,000 | 25,062 | ||||||
HCA, Inc., Sr. Sec. Gtd. Global Notes, 7.88%, 02/15/20 | 213,000 | 228,975 | ||||||
Sr. Unsec. Notes, 5.75%, 03/15/14 | 225,000 | 222,750 | ||||||
Health Management Associates Inc., Sr. Sec. Notes, 6.13%, 04/15/16 | 30,000 | 30,375 | ||||||
Healthsouth Corp., Sr. Unsec. Gtd. Notes, 7.25%, 10/01/18 | 50,000 | 51,125 | ||||||
7.75%, 09/15/22 | 25,000 | 25,875 | ||||||
Tenet Healthcare Corp., Sr. Sec. Gtd. Global Notes, 10.00%, 05/01/18 | 180,000 | 211,500 | ||||||
Sr. Unsec. Global Notes, 9.25%, 02/01/15 | 50,000 | 53,500 | ||||||
1,033,787 | ||||||||
Health Care Services–0.86% | ||||||||
Apria Healthcare Group Inc., Sr. Sec. Gtd. Global Notes, 12.38%, 11/01/14 | 105,000 | 116,419 | ||||||
DaVita Inc., Sr. Unsec. Gtd. Notes, 6.38%, 11/01/18 | 25,000 | 24,938 | ||||||
Fresenius US Finance II Inc., Sr. Unsec. Gtd. Notes, 9.00%, 07/15/15(b) | 85,000 | 97,750 | ||||||
Universal Hospital Services Inc., Sr. Sec. PIK Global Notes, 8.50%, 06/01/15 | 25,000 | 25,812 | ||||||
264,919 | ||||||||
Health Care Technology–0.40% | ||||||||
MedAssets Inc., Sr. Notes, 8.00%, 11/15/18(b) | 120,000 | 121,200 | ||||||
Homebuilding–0.67% | ||||||||
K Hovnanian Enterprises Inc., Sr. Sec. Gtd. Global Notes, 10.63%, 10/15/16 | 165,000 | 170,775 | ||||||
M/I Homes Inc., Sr. Unsec. Notes, 8.63%, 11/15/18(b) | 35,000 | 35,262 | ||||||
206,037 | ||||||||
Hotels, Resorts & Cruise Lines–0.24% | ||||||||
Royal Caribbean Cruises Ltd., Sr. Unsec. Global Notes, 6.88%, 12/01/13 | 70,000 | 74,900 | ||||||
Household Products–0.24% | ||||||||
Central Garden and Pet Co., Sr. Gtd. Sub. Notes, 8.25%, 03/01/18 | 70,000 | 71,925 | ||||||
Housewares & Specialties–0.03% | ||||||||
Jarden Corp., Sr. Unsec. Gtd. Notes, 6.13%, 11/15/22 | 10,000 | 9,588 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Independent Power Producers & Energy Traders–1.61% | ||||||||
AES Corp. (The), Sr. Unsec. Notes, 7.75%, 03/01/14 | $ | 240,000 | $ | 257,400 | ||||
NRG Energy, Inc., Sr. Unsec. Gtd. Notes, 7.38%, 02/01/16 | 150,000 | 153,750 | ||||||
7.38%, 01/15/17 | 50,000 | 51,250 | ||||||
8.50%, 06/15/19 | 30,000 | 31,050 | ||||||
493,450 | ||||||||
Industrial Conglomerates–0.82% | ||||||||
RBS Global Inc./ Rexnord LLC, Sr. Unsec. Gtd. Global Notes, 8.50%, 05/01/18 | 235,000 | 249,687 | ||||||
Industrial Gases–0.18% | ||||||||
Airgas Inc., Sr. Unsec. Gtd. Sub. Global Notes, 7.13%, 10/01/18 | 50,000 | 55,375 | ||||||
Industrial Machinery–0.25% | ||||||||
Mueller Water Products Inc., Sr. Unsec. Gtd. Global Notes, 8.75%, 09/01/20 | 15,000 | 16,725 | ||||||
SPX Corp., Sr. Unsec. Gtd. Notes, 6.88%, 09/01/17(b) | 55,000 | 58,713 | ||||||
75,438 | ||||||||
Integrated Telecommunication Services–1.95% | ||||||||
Intelsat Jackson Holdings S.A. (Luxembourg), Sr. Unsec. Gtd. Global Notes, 9.50%, 06/15/16 | 35,000 | 37,100 | ||||||
Sr. Unsec. Notes, 7.25%, 10/15/20(b) | 430,000 | 436,450 | ||||||
Qwest Communications International Inc., Sr. Unsec. Gtd. Notes, 7.13%, 04/01/18(b) | 120,000 | 124,200 | ||||||
597,750 | ||||||||
Internet Retail–0.89% | ||||||||
Travelport LLC, Sr. Unsec. Gtd. Global Notes, 9.88%, 09/01/14 | 24,000 | 23,520 | ||||||
Sr. Unsec. Gtd. Sub. Global Notes, 11.88%, 09/01/16 | 135,000 | 133,312 | ||||||
Travelport LLC/Inc., Sr. Unsec. Gtd. Global Notes, 9.00%, 03/01/16 | 120,000 | 116,700 | ||||||
273,532 | ||||||||
Investment Banking & Brokerage–0.70% | ||||||||
Cantor Fitzgerald L.P., Bonds, 7.88%, 10/15/19(b) | 105,000 | 106,153 | ||||||
E*Trade Financial Corp., Sr. Unsec. Notes, 7.88%, 12/01/15 | 110,000 | 109,725 | ||||||
215,878 | ||||||||
Leisure Facilities–0.52% | ||||||||
Universal City Development Partners Ltd./UCDP Finance Inc., Sr. Unsec. Gtd. Global Notes, 8.88%, 11/15/15 | 150,000 | 160,500 | ||||||
Leisure Products–0.05% | ||||||||
Toys R Us-Delaware Inc., Sr. Sec. Gtd. Notes, 7.38%, 09/01/16(b) | 15,000 | 15,638 | ||||||
Life Sciences Tools & Services–0.21% | ||||||||
Patheon Inc. (Canada), Sr. Sec. Notes, 8.63%, 04/15/17(b) | 65,000 | 65,163 | ||||||
Marine–0.13% | ||||||||
Stena A.B. (Sweden), Sr. Unsec. Global Notes, 7.00%, 12/01/16 | 40,000 | 40,050 | ||||||
Metal & Glass Containers–0.45% | ||||||||
Owens-Brockway Glass Container Inc., Sr. Unsec. Gtd. Global Notes, 7.38%, 05/15/16 | 130,000 | 139,100 | ||||||
Movies & Entertainment–1.55% | ||||||||
AMC Entertainment Holdings Inc., Sr. Sub. Notes, 9.75%, 12/01/20(b) | 40,000 | 41,650 | ||||||
AMC Entertainment Inc., Sr. Unsec. Gtd. Global Notes, 8.75%, 06/01/19 | 185,000 | 197,950 | ||||||
Cinemark USA Inc., Sr. Unsec. Gtd. Global Notes, 8.63%, 06/15/19 | 60,000 | 65,250 | ||||||
NAI Entertainment Holdings LLC, Sr. Sec. Notes, 8.25%, 12/15/17(b) | 160,000 | 168,800 | ||||||
473,650 | ||||||||
Multi-Line Insurance–2.30% | ||||||||
American International Group, Inc., Jr. Sub. Variable Rate Global Deb., 8.18%, 05/15/58(e) | 170,000 | 180,625 | ||||||
Sr. Unsec. Global Notes, 6.40%, 12/15/20 | 25,000 | 26,094 | ||||||
Hartford Financial Services Group Inc. (The), Jr. Unsec. Sub. Variable Rate Deb., 8.13%, 06/15/38(e) | 80,000 | 85,848 | ||||||
Liberty Mutual Group Inc., Jr. Unsec. Gtd. Sub. Bonds, 7.80%, 03/15/37(b) | 225,000 | 223,313 | ||||||
Nationwide Mutual Insurance Co., Sub. Notes, 9.38%, 08/15/39(b) | 160,000 | 187,326 | ||||||
703,206 | ||||||||
Multi-Sector Holdings–0.34% | ||||||||
Reynolds Group Issuer Inc./LLC, Sr. Sec. Gtd. Notes, 7.13%, 04/15/19(b) | 100,000 | 103,250 | ||||||
Office Services & Supplies–0.11% | ||||||||
IKON Office Solutions, Inc., Sr. Unsec. Notes, 6.75%, 12/01/25 | 35,000 | 33,775 | ||||||
Oil & Gas Drilling–0.27% | ||||||||
Precision Drilling Corp. (Canada), Sr. Unsec. Gtd. Notes, 6.63%, 11/15/20(b) | 55,000 | 56,238 | ||||||
Trinidad Drilling Ltd., Sr. Unsec. Notes, 7.88%, 01/15/19(b) | 25,000 | 25,763 | ||||||
82,001 | ||||||||
Oil & Gas Equipment & Services–1.13% | ||||||||
Bristow Group, Inc., Sr. Unsec. Gtd. Global Notes, 7.50%, 09/15/17 | 60,000 | 63,000 | ||||||
Calfrac Holdings L.P., Sr. Unsec. Notes, 7.50%, 12/01/20(b) | 25,000 | 25,172 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Oil & Gas Equipment & Services–(continued) | ||||||||
Compagnie Generale de Geophysique-Veritas (France), Sr. Unsec. Gtd. Global Notes, 7.50%, 05/15/15 | $ | 35,000 | $ | 35,919 | ||||
Complete Production Services, Inc., Sr. Unsec. Gtd. Global Notes, 8.00%, 12/15/16 | 65,000 | 67,600 | ||||||
Key Energy Services Inc., Sr. Unsec. Gtd. Global Notes, 8.38%, 12/01/14 | 145,000 | 153,700 | ||||||
345,391 | ||||||||
Oil & Gas Exploration & Production–7.75% | ||||||||
Berry Petroleum Co., Sr. Unsec. Notes, 6.75%, 11/01/20 | 35,000 | 35,350 | ||||||
Chaparral Energy Inc., Sr. Unsec. Gtd. Global Notes, 8.50%, 12/01/15 | 20,000 | 20,450 | ||||||
8.88%, 02/01/17 | 140,000 | 143,150 | ||||||
Chesapeake Energy Corp., Sr. Unsec. Gtd. Notes, 9.50%, 02/15/15 | 150,000 | 169,500 | ||||||
Cimarex Energy Co., Sr. Unsec. Gtd. Notes, 7.13%, 05/01/17 | 105,000 | 109,331 | ||||||
Concho Resources Inc., Sr. Notes, 7.00%, 01/15/21 | 20,000 | 20,600 | ||||||
Continental Resources Inc., Sr. Unsec. Gtd. Global Notes, | ||||||||
8.25%, 10/01/19 | 50,000 | 54,875 | ||||||
7.38%, 10/01/20 | 65,000 | 68,738 | ||||||
Sr. Unsec. Gtd. Notes, 7.13%, 04/01/21(b) | 30,000 | 31,650 | ||||||
Delta Petroleum Corp., Sr. Unsec. Gtd. Global Notes, 7.00%, 04/01/15 | 90,000 | 59,850 | ||||||
Encore Acquisition Co., Sr. Gtd. Sub. Notes, 9.50%, 05/01/16 | 90,000 | 100,238 | ||||||
EXCO Resources Inc., Sr. Unsec. Gtd. Notes, 7.50%, 09/15/18 | 125,000 | 122,500 | ||||||
Forest Oil Corp., Sr. Unsec. Gtd. Global Notes, 7.25%, 06/15/19 | 225,000 | 228,937 | ||||||
Harvest Operations Corp. (Canada), Sr. Unsec. Gtd. Notes, 6.88%, 10/01/17(b) | 80,000 | 82,600 | ||||||
McMoRan Exploration Co., Sr. Unsec. Gtd. Notes, 11.88%, 11/15/14 | 160,000 | 177,400 | ||||||
Newfield Exploration Co., Sr. Unsec. Sub. Global Notes, 7.13%, 05/15/18 | 55,000 | 58,163 | ||||||
Petrohawk Energy Corp., Sr. Unsec. Gtd. Global Notes, | ||||||||
7.88%, 06/01/15 | 175,000 | 182,656 | ||||||
7.25%, 08/15/18 | 60,000 | 60,825 | ||||||
Pioneer Natural Resources Co., Sr. Unsec. Notes, 6.65%, 03/15/17 | 250,000 | 266,959 | ||||||
Plains Exploration & Production Co., Sr. Unsec. Gtd. Notes, 7.63%, 06/01/18 | 220,000 | 232,650 | ||||||
Range Resources Corp., Sr. Unsec. Gtd. Sub. Notes, 7.50%, 05/15/16 | 90,000 | 93,600 | ||||||
Whiting Petroleum Corp., Sr. Unsec. Gtd. Sub. Notes, 6.50%, 10/01/18 | 55,000 | 55,825 | ||||||
2,375,847 | ||||||||
Oil & Gas Refining & Marketing–0.97% | ||||||||
Tesoro Corp., Sr. Unsec. Gtd. Global Bonds, 6.50%, 06/01/17 | 135,000 | 135,844 | ||||||
United Refining Co., Series 2, Sr. Unsec. Gtd. Global Notes, 10.50%, 08/15/12 | 165,000 | 162,318 | ||||||
298,162 | ||||||||
Oil & Gas Storage & Transportation–2.38% | ||||||||
Copano Energy LLC/Copano Energy Finance Corp., Sr. Unsec. Gtd. Global Notes, 8.13%, 03/01/16 | 150,000 | 156,000 | ||||||
Genesis Energy L.P./Genesis Energy Finance Corp., Sr. Unsec. Gtd. Notes, 7.88%, 12/15/18(b) | 40,000 | 39,800 | ||||||
Inergy L.P./Inergy Finance Corp., Sr. Unsec. Gtd. Global Notes, 8.25%, 03/01/16 | 190,000 | 199,025 | ||||||
MarkWest Energy Partners L.P./MarkWest Energy Finance Corp., Sr. Unsec. Gtd. Notes, 6.75%, 11/01/20 | 35,000 | 34,956 | ||||||
Series B, Sr. Unsec. Gtd. Global Notes, 8.75%, 04/15/18 | 160,000 | 173,800 | ||||||
Overseas Shipholding Group, Inc., Sr. Unsec. Notes, 8.13%, 03/30/18 | 50,000 | 50,375 | ||||||
Regency Energy Partners L.P./Regency Energy Finance Corp., Sr. Unsec. Gtd. Notes, 6.88%, 12/01/18 | 75,000 | 76,313 | ||||||
730,269 | ||||||||
Other Diversified Financial Services–1.50% | ||||||||
International Lease Finance Corp., Sr. Sec. Notes, | ||||||||
6.75%, 09/01/16(b) | 65,000 | 68,697 | ||||||
7.13%, 09/01/18(b) | 65,000 | 69,387 | ||||||
Sr. Unsec. Notes, | ||||||||
8.63%, 09/15/15(b) | 260,000 | 280,150 | ||||||
8.25%, 12/15/20 | 40,000 | 41,500 | ||||||
459,734 | ||||||||
Packaged Foods & Meats–0.73% | ||||||||
Chiquita Brands International, Inc., Sr. Unsec. Global Notes, 8.88%, 12/01/15 | 65,000 | 66,544 | ||||||
JBS USA LLC/JBS USA Finance Inc., Sr. Unsec. Gtd. Global Notes, 11.63%, 05/01/14 | 135,000 | 158,287 | ||||||
224,831 | ||||||||
Paper Packaging–0.56% | ||||||||
Cascades Inc., Sr. Unsec. Gtd. Global Notes, 7.88%, 01/15/20 | 165,000 | 169,950 | ||||||
Paper Products–0.96% | ||||||||
Clearwater Paper Corp., Sr. Gtd. Notes, 7.13%, 11/01/18(b) | 35,000 | 36,312 | ||||||
Mercer International Inc., Sr. Unsec. Notes, 9.50%, 12/01/17(b) | 50,000 | 51,750 | ||||||
Neenah Paper, Inc., Sr. Unsec. Gtd. Global Notes, 7.38%, 11/15/14 | 60,000 | 61,200 | ||||||
Principal | ||||||||
Amount | Value | |||||||
Paper Products–(continued) | ||||||||
P.H. Glatfelter Co., Sr. Unsec. Gtd. Global Notes, 7.13%, 05/01/16 | $ | 95,000 | $ | 98,359 | ||||
Sappi Papier Holding A.G. (Austria), Unsec. Gtd. Unsub. Notes, 6.75%, 06/15/12(b) | 45,000 | 45,049 | ||||||
292,670 | ||||||||
Personal Products–0.19% | ||||||||
NBTY Inc., Sr. Gtd. Notes, 9.00%, 10/01/18(b) | 35,000 | 37,363 | ||||||
Sabra Health Care L.P./Sabra Capital Corp., Sr. Gtd. Notes, 8.13%, 11/01/18(b) | 20,000 | 20,725 | ||||||
58,088 | ||||||||
Pharmaceuticals–0.88% | ||||||||
Axcan Intermediate Holdings Inc., Sr. Unsec. Global Notes, 12.75%, 03/01/16 | 95,000 | 98,087 | ||||||
Elan Finance PLC/Corp. (Ireland), Sr. Gtd. Notes, 8.75%, 10/15/16(b) | 100,000 | 101,750 | ||||||
Mylan Inc., Sr. Gtd. Notes, 6.00%, 11/15/18(b) | 50,000 | 49,375 | ||||||
Valeant Pharmaceuticals International, Sr. Unsec. Gtd. Notes, 6.75%, 10/01/17(b) | 10,000 | 9,975 | ||||||
7.00%, 10/01/20(b) | 10,000 | 9,900 | ||||||
269,087 | ||||||||
Property & Casualty Insurance–0.67% | ||||||||
Crum & Forster Holdings Corp., Sr. Unsec. Global Notes, 7.75%, 05/01/17 | 125,000 | 131,250 | ||||||
XL Group PLC (Ireland), Series E, Jr. Sub. Variable Rate Global Pfd. Bonds, 6.50%(e)(f) | 85,000 | 73,525 | ||||||
204,775 | ||||||||
Publishing–0.78% | ||||||||
Gannett Co. Inc., Sr. Unsec. Gtd. Global Notes, 8.75%, 11/15/14 | 15,000 | 16,837 | ||||||
9.38%, 11/15/17 | 200,000 | 223,000 | ||||||
239,837 | ||||||||
Railroads–0.37% | ||||||||
Kansas City Southern de Mexico S.A. de C.V. (Mexico), Sr. Unsec. Global Notes, 8.00%, 02/01/18 | 105,000 | 113,294 | ||||||
Real Estate Services–0.26% | ||||||||
CB Richard Ellis Services Inc., Sr. Unsec. Gtd. Notes, 6.63%, 10/15/20(b) | 80,000 | 80,300 | ||||||
Regional Banks–1.08% | ||||||||
Regions Financial Corp., Unsec. Sub. Notes, 7.38%, 12/10/37 | 145,000 | 136,300 | ||||||
Zions Bancorp., Unsec. Sub. Notes, 5.50%, 11/16/15 | 200,000 | 195,000 | ||||||
331,300 | ||||||||
Research & Consulting Services–0.16% | ||||||||
FTI Consulting Inc., Sr. Gtd. Notes, 6.75%, 10/01/20(b) | 50,000 | 49,875 | ||||||
Semiconductor Equipment–0.51% | ||||||||
Amkor Technology Inc., Sr. Unsec. Global Notes, 7.38%, 05/01/18 | 150,000 | 156,375 | ||||||
Semiconductors–1.74% | ||||||||
Advanced Micro Devices Inc., Sr. Unsec. Notes, 7.75%, 08/01/20(b) | 30,000 | 31,200 | ||||||
Freescale Semiconductor Inc., Sr. Sec. Gtd. Notes, 9.25%, 04/15/18(b) | 45,000 | 49,725 | ||||||
Sr. Unsec. Gtd. Notes, 10.75%, 08/01/20(b) | 115,000 | 126,212 | ||||||
Sr. Unsec. Gtd. PIK Global Notes, 9.13%, 12/15/14 | 190,000 | 199,025 | ||||||
NXP BV/NXP Funding LLC (Netherlands), Sr. Sec. Gtd. Global Notes, 7.88%, 10/15/14 | 120,000 | 125,550 | ||||||
531,712 | ||||||||
Specialized Finance–1.90% | ||||||||
CIT Group Inc., Sr. Sec. Bonds, 7.00%, 05/01/17 | 580,000 | 582,900 | ||||||
Specialized REIT’s–0.42% | ||||||||
Host Hotels & Resorts Inc., Sr. Gtd. Notes, 6.00%, 11/01/20(b) | 75,000 | 73,875 | ||||||
Omega Healthcare Investors Inc., Sr. Unsec. Gtd. Notes, 6.75%, 10/15/22(b) | 55,000 | 54,588 | ||||||
128,463 | ||||||||
Specialty Chemicals–1.07% | ||||||||
Ferro Corp., Sr. Unsec. Notes, 7.88%, 08/15/18 | 95,000 | 100,463 | ||||||
Huntsman International LLC, Sr. Unsec. Gtd. Sub. Global Notes, 7.38%, 01/01/15 | 105,000 | 107,887 | ||||||
Nalco Co., Sr. Notes, 6.63%, 01/15/19(b) | 25,000 | 25,625 | ||||||
PolyOne Corp., Sr. Unsec. Notes, 7.38%, 09/15/20 | 90,000 | 93,600 | ||||||
327,575 | ||||||||
Specialty Stores–0.65% | ||||||||
Michaels Stores Inc., Sr. Notes, 7.75%, 11/01/18(b) | 25,000 | 24,938 | ||||||
Sr. Unsec. Gtd. Sub. Disc. Global Notes, 13.00%, 11/01/16(d) | 175,000 | 172,812 | ||||||
197,750 | ||||||||
Steel–0.96% | ||||||||
AK Steel Corp., Sr. Unsec. Gtd. Notes, 7.63%, 05/15/20 | 110,000 | 111,100 | ||||||
FMG Resources Ltd., Sr. Notes, 6.38%, 02/01/16(b) | 65,000 | 65,188 | ||||||
Steel Dynamics Inc., Sr. Unsec. Gtd. Global Notes, 7.75%, 04/15/16 | 40,000 | 42,400 | ||||||
United States Steel Corp., Sr. Unsec. Notes, 7.00%, 02/01/18 | 55,000 | 55,550 | ||||||
7.38%, 04/01/20 | 20,000 | 20,400 | ||||||
294,638 | ||||||||
Principal | ||||||||
Amount | Value | |||||||
Systems Software–2.25% | ||||||||
Allen Systems Group Inc., Sr. Sec. Notes, 10.50%, 11/15/16(b) | $ | 205,000 | $ | 210,125 | ||||
Vangent Inc., Sr. Unsec. Gtd. Sub. Global Notes, 9.63%, 02/15/15 | 525,000 | 477,750 | ||||||
687,875 | ||||||||
Tires & Rubber–0.55% | ||||||||
Cooper Tire & Rubber Co., Sr. Unsec. Notes, 8.00%, 12/15/19 | 165,000 | 169,125 | ||||||
Trading Companies & Distributors–2.25% | ||||||||
Ashtead Capital Inc., Sr. Sec. Gtd. Notes, 9.00%, 08/15/16(b) | 200,000 | 209,500 | ||||||
Avis Budget Car Rental LLC/Avis Budget Finance Inc., Sr. Unsec. Gtd. Notes, 8.25%, 01/15/19(b) | 105,000 | 106,313 | ||||||
H&E Equipment Services Inc., Sr. Unsec. Gtd. Global Notes, 8.38%, 07/15/16 | 180,000 | 184,500 | ||||||
Hertz Corp. (The), Sr. Unsec. Gtd. Notes, 7.50%, 10/15/18(b) | 180,000 | 188,550 | ||||||
688,863 | ||||||||
Wireless Telecommunication Services–5.70% | ||||||||
Clearwire Communications LLC/Clearwire Finance Inc., Sr. Sec. Gtd. Notes, 12.00%, 12/01/15(b) | 225,000 | 244,125 | ||||||
Cricket Communications, Inc., Sr. Sec. Gtd. Global Notes, 7.75%, 05/15/16 | 115,000 | 120,031 | ||||||
Sr. Unsec. Gtd. Notes, 7.75%, 10/15/20(b) | 85,000 | 81,600 | ||||||
Digicel Group Ltd. (Bermuda), Sr. Unsec. Notes, 8.88%, 01/15/15(b) | 100,000 | 101,625 | ||||||
Digicel Ltd. (Bermuda), Sr. Notes, 8.25%, 09/01/17(b) | 100,000 | 104,250 | ||||||
MetroPCS Wireless Inc., Sr. Unsec. Gtd. Notes, 7.88%, 09/01/18 | 65,000 | 67,316 | ||||||
6.63%, 11/15/20 | 95,000 | 90,725 | ||||||
SBA Telecommunications Inc., Sr. Unsec. Gtd. Global Notes, 8.25%, 08/15/19 | 85,000 | 93,075 | ||||||
Sprint Capital Corp., Sr. Unsec. Gtd. Global Notes, 6.90%, 05/01/19 | 385,000 | 384,519 | ||||||
6.88%, 11/15/28 | 20,000 | 17,525 | ||||||
Sprint Nextel Corp., Sr. Unsec. Notes, 8.38%, 08/15/17 | 150,000 | 160,125 | ||||||
Wind Acquisition Finance S.A. (Luxembourg), Sr. Sec. Gtd. Sub. Notes, 11.75%, 07/15/17(b) | 250,000 | 281,250 | ||||||
1,746,166 | ||||||||
Total U.S. Dollar Denominated Bonds & Notes (Cost $25,909,069) | 27,427,530 | |||||||
Non-U.S. Dollar Denominated Bonds & Notes–6.46%(g) | ||||||||
Canada–0.19% | ||||||||
Gateway Casinos & Entertainment Ltd., Sr. Sec. Gtd. Notes, 8.88%, 11/15/17(b) | CAD | 55,000 | 57,182 | |||||
Czech Republic–0.23% | ||||||||
CET 21 spol sro, Sr. Sec. Notes, 9.00%, 11/01/17(b) | EUR | 50,000 | 69,154 | |||||
Ireland–0.84% | ||||||||
Ardagh Packaging Finance PLC, Sr. Gtd. Notes, 9.25%, 10/15/20(b) | EUR | 100,000 | 137,640 | |||||
Bord Gais Eireann, Sr. Unsec. Medium-Term Euro Notes, 5.75%, 06/16/14 | EUR | 95,000 | 120,340 | |||||
257,980 | ||||||||
Luxembourg–1.26% | ||||||||
Calcipar S.A., Sr. Unsec. Gtd. Floating Rate Notes, 2.09%, 07/01/14(b)(e) | EUR | 75,000 | 90,702 | |||||
ConvaTec Healthcare S.A., Sr. Sec. Notes, 7.38%, 12/15/17(b) | EUR | 100,000 | 135,970 | |||||
TMD Friction Finance S.A., Sr. Sec. Gtd. Bonds, 10.75%, 05/15/17(b) | EUR | 115,000 | 157,502 | |||||
384,174 | ||||||||
Netherlands–1.77% | ||||||||
Carlson Wagonlit B.V., Sr. Gtd. Floating Rate Notes, 6.80%, 05/01/15(b)(e) | EUR | 100,000 | 128,954 | |||||
EN Germany Holdings B.V., Sr. Sec. Gtd. Notes, 10.75%, 11/15/15(b) | EUR | 100,000 | 137,511 | |||||
Polish Television Holding B.V., Sr. Sec. Bonds, 11.25%, 05/15/17(b)(d) | EUR | 50,000 | 69,157 | |||||
Ziggo Bond Co. B.V., Sr. Sec. Gtd. Notes, 8.00%, 05/15/18(b) | EUR | 150,000 | 207,462 | |||||
543,084 | ||||||||
Spain–0.21% | ||||||||
Inaer Aviation Finance Ltd., Sr. Sec. Bonds, 9.50%, 08/01/17(b) | EUR | 50,000 | 64,143 | |||||
Sweden–0.24% | ||||||||
TVN Finance Corp II A.B., Sr. Unsec. Gtd. Notes, 10.75%, 11/15/17(b) | EUR | 50,000 | 73,831 | |||||
United Kingdom–1.72% | ||||||||
ITV PLC, Series 2005-1, Unsec. Gtd. Unsub. Medium-Term Euro Notes, 5.38%, 10/19/15 | GBP | 50,000 | 76,005 | |||||
Series 2006-1 Tranche 1, Unsec. Gtd. Unsub. Medium-Term Euro Notes, 7.38%, 01/05/17 | GBP | 50,000 | 79,903 | |||||
Kerling PLC, Sr. Sec. Gtd. Notes, 10.63%, 02/01/17(b) | EUR | 50,000 | 72,495 | |||||
Pipe Holdings PLC, Sr. Sec. Bonds, 9.50%, 11/01/15(b) | GBP | 100,000 | 159,417 | |||||
R&R Ice Cream Ltd., Sr. Sec. Notes, 8.38%, 11/15/17(b) | EUR | 100,000 | 140,316 | |||||
528,136 | ||||||||
Total Non-U.S. Dollar Denominated Bonds & Notes (Cost $1,980,016) | 1,977,684 | |||||||
Shares | Value | |||||||
Preferred Stocks–1.05% | ||||||||
Diversified Banks–0.74% | ||||||||
Ally Financial, Inc., Series G, 7.00%–Pfd. | 241 | $ | 227,783 | |||||
Other Diversified Financial Services–0.31% | ||||||||
Citigroup Capital XIII, 7.88% Variable Rate Pfd.(e) | 3,550 | 95,358 | ||||||
Total Preferred Stocks (Cost $253,680) | 323,141 | |||||||
Common Stocks–0.00% | ||||||||
Independent Power Producers & Energy Traders–0.00% | ||||||||
SW Acquisition L.P.(h) (Cost $0) | 1 | 0 | ||||||
Money Market Funds–1.14% | ||||||||
Liquid Assets Portfolio–Institutional Class(i) | 175,164 | 175,164 | ||||||
Premier Portfolio–Institutional Class(i) | 175,164 | 175,164 | ||||||
Total Money Market Funds (Cost $350,328) | 350,328 | |||||||
TOTAL INVESTMENTS–98.17% (Cost $28,493,093) | 30,078,683 | |||||||
OTHER ASSETS LESS LIABILITIES–1.83% | 560,975 | |||||||
NET ASSETS–100.00% | $ | 30,639,658 | ||||||
CAD | – Canadian Dollar | |
Ctfs. | – Certificates | |
Cum | – Cumulative | |
Deb. | – Debentures | |
Disc. | – Discounted | |
EUR | – Euro | |
GBP | – British Pound | |
Gtd. | – Guaranteed | |
Jr. | – Junior | |
Pfd. | – Preferred | |
PIK | – Payment in Kind | |
REIT | – Real Estate Investment Trust | |
Sec. | – Secured | |
Sr. | – Senior | |
Sub. | – Subordinated | |
Unsec. | – Unsecured | |
Unsub. | – Unsubordinated |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at December 31, 2010 was $10,024,058, which represented 32.7% of the Fund’s Net Assets. | |
(c) | Defaulted security. Currently, the issuer is partially or fully in default with respect to interest payments. The value of this security at December 31, 2010 represented 0.3% of the Fund’s Net Assets. | |
(d) | Step coupon bond issued at discount. The interest rate represents the coupon rate at which the bond will accrue at a specified future date. | |
(e) | Interest or dividend rate is redetermined periodically. Rate shown is the rate in effect on December 31, 2010. | |
(f) | Perpetual bond with no specified maturity date. | |
(g) | Foreign denominated security. Principal amount is denominated in currency indicated. | |
(h) | Non-income producing security. | |
(i) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $28,142,765) | $ | 29,728,355 | ||
Investments in affiliated money market funds, at value and cost | 350,328 | |||
Total investments, at value (Cost $28,493,093) | 30,078,683 | |||
Receivables for: | ||||
Investments sold | 143,929 | |||
Fund shares sold | 1,226 | |||
Dividends and interest | 546,855 | |||
Investment for trustee deferred compensation and retirement plans | 986 | |||
Total assets | 30,771,679 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 33,683 | |||
Fund shares reacquired | 11,732 | |||
Accrued fees to affiliates | 45,238 | |||
Accrued other operating expenses | 40,382 | |||
Trustee deferred compensation and retirement plans | 986 | |||
Total liabilities | 132,021 | |||
Net assets applicable to shares outstanding | $ | 30,639,658 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 49,180,326 | ||
Undistributed net investment income | 2,784,606 | |||
Undistributed net realized gain (loss) | (22,910,722 | ) | ||
Unrealized appreciation | 1,585,448 | |||
$ | 30,639,658 | |||
Net Assets: | ||||
Series I | $ | 30,628,600 | ||
Series II | $ | 11,058 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 2,582,214 | |||
Series II | 934 | |||
Series I: | ||||
Net asset value per share | $ | 11.86 | ||
Series II: | ||||
Net asset value per share | $ | 11.84 | ||
Investment income: | ||||
Interest (net of foreign withholding taxes of $130) | $ | 3,031,856 | ||
Dividends | 10,841 | |||
Dividends from affiliated money market funds | 5,236 | |||
Total investment income | 3,047,933 | |||
Expenses: | ||||
Advisory fees | 142,975 | |||
Administrative services fees | 114,232 | |||
Custodian fees | 9,989 | |||
Distribution fees — Series II | 16 | |||
Transfer agent fees | 5,525 | |||
Trustees’ and officers’ fees and benefits | 7,654 | |||
Reports to shareholders | 19,070 | |||
Professional services fees | 37,640 | |||
Other | 9,116 | |||
Total expenses | 346,217 | |||
Less: Fees waived | (75,269 | ) | ||
Net expenses | 270,948 | |||
Net investment income | 2,776,985 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain from: | ||||
Investment securities | 3,192,331 | |||
Foreign currencies | 4,087 | |||
3,196,418 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | (2,008,476 | ) | ||
Foreign currencies | (142 | ) | ||
(2,008,618 | ) | |||
Net realized and unrealized gain | 1,187,800 | |||
Net increase in net assets resulting from operations | $ | 3,964,785 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 2,776,985 | $ | 3,249,260 | ||||
Net realized gain (loss) | 3,196,418 | (2,419,053 | ) | |||||
Change in net unrealized appreciation (depreciation) | (2,008,618 | ) | 11,158,139 | |||||
Net increase in net assets resulting from operations | 3,964,785 | 11,988,346 | ||||||
Distributions to shareholders from net investment income — Series 1 | (3,242,255 | ) | (2,924,346 | ) | ||||
Share transactions-net: | ||||||||
Series I | (8,963,988 | ) | 1,303,400 | |||||
Series II | 10,000 | — | ||||||
Net increase (decrease) in net assets resulting from share transactions | (8,953,988 | ) | 1,303,400 | |||||
Net increase (decrease) in net assets | (8,231,458 | ) | 10,367,400 | |||||
Net assets: | ||||||||
Beginning of year | 38,871,116 | 28,503,716 | ||||||
End of year (includes undistributed net investment income of $2,784,606 and $3,240,774, respectively) | $ | 30,639,658 | $ | 38,871,116 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an |
independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Swap agreements are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end of day net present values, spreads, ratings, industry, and company performance. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Paydown gains and losses on mortgage and asset-backed securities are recorded as adjustments to interest income. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Bond premiums and discounts are amortized and/or accreted for financial reporting purposes. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. |
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Lower-Rated Securities — The Fund may invest in lower-quality debt securities, i.e., “junk bonds”. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. |
Average Net Assets | Rate | |||
First $500 million | 0 | .42% | ||
Over $250 million | 0 | .345% | ||
Next $250 million | 0 | .295% | ||
Next $1 billion | 0 | .27% | ||
Next $1 billion | 0 | .245% | ||
Over $3 billion | 0 | .22% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 350,328 | $ | — | $ | 0 | $ | 350,328 | ||||||||
Corporate Debt Securities | — | 29,728,355 | — | 29,728,355 | ||||||||||||
$ | 350,328 | $ | 29,728,355 | $ | 0 | $ | 30,078,683 | |||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 3,242,255 | $ | 2,924,346 | ||||
2010 | ||||
Undistributed ordinary income | $ | 2,791,516 | ||
Net unrealized appreciation — investments | 1,579,953 | |||
Net unrealized appreciation (depreciation) — other investments | (142 | ) | ||
Temporary book/tax differences | (986 | ) | ||
Post-October deferrals | (5,924 | ) | ||
Capital loss carryforward | (22,905,085 | ) | ||
Shares of beneficial interest | 49,180,326 | |||
Total net assets | $ | 30,639,658 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2011 | $ | 12,174,856 | ||
December 31, 2013 | 177,653 | |||
December 31, 2014 | 551,911 | |||
December 31, 2016 | 2,907,878 | |||
December 31, 2017 | 7,092,787 | |||
Total capital loss carryforward | $ | 22,905,085 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 1,698,841 | ||
Aggregate unrealized (depreciation) of investment securities | (118,888 | ) | ||
Net unrealized appreciation of investment securities | $ | 1,579,953 | ||
Cost of investments for tax purposes is $28,498,730 |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 556,976 | $ | 6,460,354 | 715,513 | $ | 7,305,750 | ||||||||||
Series II(b | 934 | 10,000 | — | — | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 303,014 | 3,242,255 | 289,253 | 2,924,346 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (1,579,418 | ) | (18,666,597 | ) | (860,646 | ) | (8,926,696 | ) | ||||||||
Net increase (decrease) in share activity | (718,494 | ) | $ | (8,953,988 | ) | 144,120 | $ | 1,303,400 | ||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 73% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. | |
(b) | Commencement date of June 1, 2010. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||
Net asset | (losses) on | Dividends | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||
value, | Net | securities (both | Total from | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | |||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||
of period | income | unrealized) | operations | income | of period | return(a) | (000s omitted) | absorbed | absorbed | net assets | turnover(b) | |||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 11.77 | $ | 0.95 | $ | 0.37 | $ | 1.32 | $ | (1.23 | ) | $ | 11.86 | 12.11 | % | $ | 30,629 | 0.80 | %(c) | 1.02 | %(c) | 8.15 | %(c) | 110 | % | |||||||||||||||||||||||
Year ended 12/31/09 | 9.03 | 0.99 | 2.68 | 3.67 | (0.93 | ) | 11.77 | 42.08 | 38,871 | 0.79 | (d) | 0.82 | (d) | 9.46 | (d)(e) | 78 | ||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 12.89 | 1.01 | (3.77 | ) | (2.76 | ) | (1.10 | ) | 9.03 | (22.86 | ) | 28,504 | 0.79 | (d) | 0.94 | (d) | 8.93 | (d)(e) | 50 | |||||||||||||||||||||||||||||
Year ended 12/31/07 | 13.55 | 1.01 | (0.46 | ) | 0.55 | (1.21 | ) | 12.89 | 4.01 | 41,546 | 0.80 | (d) | 0.81 | (d) | 7.56 | (d)(e) | 32 | |||||||||||||||||||||||||||||||
Year ended 12/31/06(f) | 13.59 | 0.96 | (0.43 | ) | 0.53 | (0.57 | ) | 13.55 | 8.62 | 52,962 | 0.80 | 0.87 | 7.13 | (e) | 26 | |||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10(g) | 10.71 | 0.53 | 0.60 | 1.13 | — | 11.84 | 10.55 | 11 | 1.05 | (c)(h) | 1.44 | (c)(h) | 7.90 | (c)(h) | 110 | |||||||||||||||||||||||||||||||||
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(b) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(c) | Ratios are based on average daily net assets (000’s) of $34,036 and $11 for Series I and Series II shares, respectively. | |
(d) | The Ratios of Expenses and Net Investment Income reflect the rebate of certain Fund expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is 0.0%, 0.01%, 0.01% and 0.00% for the years ended 2010, 2009, 2008 and 2007, respectively. | |
(e) | Ratio of net investment income to average net assets without fee waivers and/or expenses absorbed was 9.43%, 8.78%, 7.55%, 7.06% and 7.10% for the years ended December 31, 2009, 2008, 2007 and 2006, respectively. | |
(f) | On November 13, 2006, the Portfolio effected a reverse stock split as described in the Notes to Financial Statements. Per Share data prior to this date has been restated to give effect to the reverse stock split. | |
(g) | Commencement date of June 1, 2010. | |
(h) | Annualized. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
ACTUAL | (5% annual return before expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,091.10 | $ | 4.20 | $ | 1,021.19 | $ | 4.06 | 0.80 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,091.20 | 5.51 | 1,019.93 | 5.33 | 1.05 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 0% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
Series I Shares | 10.02 | % | ||
Series II Shares | 9.89 | |||
MSCI EAFE Index▼ (Broad Market Index) | 7.75 |
▼ | Lipper Inc. |
n | A company’s fundamentals deteriorate or it posts disappointing earnings. | |
n | A stock’s price seems overvalued. | |
n | A more attractive opportunity becomes available. |
Consumer Discretionary | 17.8 | % | ||
Health Care | 14.1 | |||
Consumer Staples | 13.5 | |||
Energy | 10.3 | |||
Industrials | 9.9 | |||
Financials | 9.2 | |||
Information Technology | 7.0 | |||
Telecommunication Services | 5.1 | |||
Materials | 3.2 | |||
Utilities | 3.1 | |||
Money Market Funds Plus Other Assets | ||||
Less Liabilities | 6.8 |
Total Net Assets | $32.2 million | |||
Total Number of Holdings* | 86 |
*Excluding money market fund holdings.
1. | Pharmaceuticals | 10.4 | % | |||||
2. | Integrated Oil & Gas | 6.7 | ||||||
3. | Diversified Banks | 5.3 | ||||||
4. | Packaged Foods & Meats | 4.1 | ||||||
5. | Wireless Telecommunication Services | 3.7 | ||||||
6. | Tobacco | 3.2 | ||||||
7. | Food Retail | 3.1 | ||||||
8. | Industrial Conglomerates | 2.8 | ||||||
9. | Automobile Manufacturers | 2.5 | ||||||
10. | Electrical Components & Equipment | 2.3 |
1. | United Kingdom | 21.4 | % | |||||
2. | Japan | 10.0 | ||||||
3. | Switzerland | 7.8 | ||||||
4. | Australia | 7.3 | ||||||
5. | Germany | 6.7 |
Chartered Financial Analyst, portfolio manager, is co-lead manager of Invesco Van Kampen V.I. International Growth Equity Fund. Mr. Olsson joined Invesco in 1994. He earned a B.B.A. from The University of Texas at Austin.
Portfolio manager, is co-lead manager of Invesco Van Kampen V.I. International Growth Equity Fund. Mr. Sides joined Invesco in 1990. He began his investment career in 1989. Mr. Sides earned a B.S. in economics from Bucknell University and an M.B.A. in international business from the University of St. Thomas.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. International Growth Equity Fund. Mr. Cao joined Invesco in 1997. He earned a B.A. in English from the Tianjiin Foreign Language Institute and an M.B.A. from Texas A&M University. Mr. Cao is a Certified Public Accountant.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. International Growth Equity Fund. Mr. Dennis joined Invesco in 2000. He began his investment career in 1994. Mr. Dennis earned a B.A. in economics from The University of Texas at Austin and a M.S. in finance from Texas A&M University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. International Growth Equity Fund. Mr. Holzer joined Invesco in 1996. He began his investment career in 1994. Mr. Holzer earned a B.A. in quantitative economics and a M.S. in engineering-economic systems from Stanford University.
Series I Shares | ||||||||
Inception | -0.89 | % | ||||||
1 Year | 10.02 | |||||||
Series II Shares | ||||||||
Inception (4/28/06) | -0.91 | % | ||||||
1 Year | 9.89 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–93.18% | ||||||||
Australia–7.32% | ||||||||
BHP Billiton Ltd. | 14,344 | $ | 666,779 | |||||
Cochlear Ltd. | 5,228 | 429,211 | ||||||
CSL Ltd. | 8,896 | 329,649 | ||||||
QBE Insurance Group Ltd. | 13,528 | 251,131 | ||||||
Woolworths Ltd. | 8,139 | 224,513 | ||||||
WorleyParsons Ltd. | 16,671 | 455,946 | ||||||
2,357,229 | ||||||||
Belgium–1.67% | ||||||||
Anheuser-Busch InBev N.V. | 9,381 | 536,537 | ||||||
Brazil–1.88% | ||||||||
Banco Bradesco S.A.–ADR | 18,688 | 379,180 | ||||||
Petroleo Brasileiro S.A.–ADR | 6,634 | 226,684 | ||||||
605,864 | ||||||||
Canada–5.35% | ||||||||
Canadian National Railway Co. | 2,323 | 155,015 | ||||||
Canadian Natural Resources Ltd. | 6,973 | 311,025 | ||||||
Cenovus Energy Inc. | 8,823 | 295,313 | ||||||
Encana Corp. | 6,592 | 192,861 | ||||||
Fairfax Financial Holdings Ltd. | 628 | 258,318 | ||||||
Suncor Energy, Inc. | 8,136 | 313,232 | ||||||
Talisman Energy Inc. | 8,895 | 197,885 | ||||||
1,723,649 | ||||||||
China–1.12% | ||||||||
Industrial and Commercial Bank of China Ltd.–Class H | 483,000 | 359,258 | ||||||
Denmark–1.83% | ||||||||
Novo Nordisk A.S.–Class B | 5,226 | 588,212 | ||||||
France–5.18% | ||||||||
AXA S.A. | 10,490 | 175,053 | ||||||
BNP Paribas | 5,585 | 356,550 | ||||||
Cie Generale des Etablissements Michelin–Class B | 2,146 | 154,355 | ||||||
Danone S.A. | 4,880 | 306,626 | ||||||
Eutelsat Communications | 5,422 | 198,453 | ||||||
Publicis Groupe | 3,559 | 185,700 | ||||||
Total S.A. | 5,472 | 290,582 | ||||||
1,667,319 | ||||||||
Germany–6.71% | ||||||||
Adidas AG | 6,424 | 419,694 | ||||||
Bayer AG | 4,464 | 329,880 | ||||||
Bayerische Motoren Werke AG | 6,287 | 494,421 | ||||||
Fresenius Medical Care AG & Co. KGaA | 5,008 | 289,305 | ||||||
Puma AG Rudolf Dassler Sport | 961 | 318,480 | ||||||
SAP AG | 6,043 | 307,669 | ||||||
2,159,449 | ||||||||
Hong Kong–1.77% | ||||||||
Hutchison Whampoa Ltd. | 35,000 | 360,231 | ||||||
Li & Fung Ltd. | 36,310 | 210,681 | ||||||
570,912 | ||||||||
India–1.52% | ||||||||
India Fund, Inc.(a) | 3,200 | 112,352 | ||||||
Infosys Technologies Ltd.–ADR | 4,960 | 377,357 | ||||||
489,709 | ||||||||
Israel–2.09% | ||||||||
Teva Pharmaceutical Industries Ltd.–ADR | 12,912 | 673,103 | ||||||
Japan–9.96% | ||||||||
Canon Inc. | 6,100 | 312,714 | ||||||
Denso Corp. | 8,100 | 279,544 | ||||||
Fanuc Corp. | 4,000 | 614,361 | ||||||
Keyence Corp. | 1,100 | 318,018 | ||||||
Komatsu Ltd. | 9,837 | 297,691 | ||||||
Nidec Corp. | 7,195 | 725,506 | ||||||
Toyota Motor Corp. | 7,600 | 299,282 | ||||||
Yamada Denki Co., Ltd. | 5,280 | 360,281 | ||||||
3,207,397 | ||||||||
Mexico–2.80% | ||||||||
America Movil S.A.B. de C.V., Series L–ADR | 8,348 | 478,674 | ||||||
Fomento Economico Mexicano, S.A.B. de C.V.–ADR | 2,883 | 161,217 | ||||||
Grupo Televisa S.A.–ADR | 10,145 | 263,060 | ||||||
902,951 | ||||||||
Netherlands–3.90% | ||||||||
Koninklijke (Royal) KPN N.V. | 20,855 | 304,575 | ||||||
Koninklijke Ahold N.V. | 24,699 | 326,191 | ||||||
TNT N.V. | 11,950 | 315,898 | ||||||
Unilever N.V. | 9,951 | 309,834 | ||||||
1,256,498 | ||||||||
Philippines–0.85% | ||||||||
Philippine Long Distance Telephone Co. | 4,675 | 272,539 | ||||||
Russia–0.84% | ||||||||
Gazprom OAO–ADR | 10,684 | 269,771 | ||||||
Shares | Value | |||||||
Singapore–2.94% | ||||||||
Keppel Corp. Ltd. | 62,238 | $ | 548,981 | |||||
United Overseas Bank Ltd. | 28,000 | 397,086 | ||||||
946,067 | ||||||||
South Korea–1.91% | ||||||||
Hyundai Mobis | 1,628 | 408,112 | ||||||
NHN Corp.(a) | 1,031 | 205,730 | ||||||
613,842 | ||||||||
Sweden–1.60% | ||||||||
Kinnevik Investment A.B.–Class B | 7,881 | 160,534 | ||||||
Telefonaktiebolaget LM Ericsson–Class B | 14,685 | 170,048 | ||||||
Volvo A.B.–Class B(a) | 10,389 | 185,161 | ||||||
515,743 | ||||||||
Switzerland–7.78% | ||||||||
Julius Baer Group Ltd. | 6,662 | 312,081 | ||||||
Nestle SA | 11,744 | 687,683 | ||||||
Novartis AG | 8,240 | 484,879 | ||||||
Roche Holding AG | 4,589 | 672,399 | ||||||
Syngenta AG | 1,185 | 347,097 | ||||||
2,504,139 | ||||||||
Taiwan–1.78% | ||||||||
Hon Hai Precision Industry Co., Ltd. | 54,880 | 220,825 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 144,000 | 350,659 | ||||||
571,484 | ||||||||
Turkey–0.65% | ||||||||
Akbank T.A.S. | 37,535 | 208,863 | ||||||
United Kingdom–21.37% | ||||||||
BG Group PLC | 21,024 | 425,385 | ||||||
British American Tobacco PLC | 10,873 | 418,594 | ||||||
Centrica PLC | 86,362 | 446,842 | ||||||
Compass Group PLC | 66,446 | 601,888 | ||||||
Imperial Tobacco Group PLC | 19,661 | 603,256 | ||||||
Informa PLC | 45,527 | 289,246 | ||||||
International Power PLC | 80,968 | 552,410 | ||||||
Kingfisher PLC | 75,697 | 311,233 | ||||||
Next PLC | 9,529 | 293,417 | ||||||
Reckitt Benckiser Group PLC | 5,658 | 310,952 | ||||||
Reed Elsevier PLC | 38,628 | 326,116 | ||||||
Royal Dutch Shell PLC–Class B | 10,259 | 339,424 | ||||||
Shire PLC | 25,264 | 608,258 | ||||||
Smith & Nephew PLC | 13,724 | 144,218 | ||||||
Tesco PLC | 67,187 | 445,190 | ||||||
Vodafone Group PLC | 174,904 | 455,396 | ||||||
WPP PLC | 25,075 | 309,840 | ||||||
6,881,665 | ||||||||
United States–0.36% | ||||||||
VimpelCom Ltd.–ADR | 7,804 | 117,372 | ||||||
Total Common Stocks & Other Equity Interests (Cost $24,114,880) | 29,999,572 | |||||||
Money Market Funds–5.79% | ||||||||
Liquid Assets Portfolio–Institutional Class(b) | 932,612 | 932,612 | ||||||
Premier Portfolio–Institutional Class(b) | 932,612 | 932,612 | ||||||
Total Money Market Funds (Cost $1,865,224) | 1,865,224 | |||||||
TOTAL INVESTMENTS–98.97% (Cost $25,980,104) | 31,864,796 | |||||||
OTHER ASSETS LESS LIABILITIES–1.03% | 332,463 | |||||||
NET ASSETS–100.00% | $ | 32,197,259 | ||||||
ADR | – American Depositary Receipt |
(a) | Non-income producing security. | |
(b) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $24,114,880) | $ | 29,999,572 | ||
Investments in affiliated money market funds, at value and cost | 1,865,224 | |||
Total investments, at value (Cost $25,980,104) | 31,864,796 | |||
Foreign currencies, at value (Cost $14,480) | 14,840 | |||
Receivable for: | ||||
Fund shares sold | 166,235 | |||
Dividends | 346,949 | |||
Fund expenses absorbed | 6,558 | |||
Investment for trustee deferred compensation and retirement plans | 1,101 | |||
Total assets | 32,400,479 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 9,212 | |||
Accrued fees to affiliates | 114,041 | |||
Accrued other operating expenses | 78,258 | |||
Trustee deferred compensation and retirement plans | 1,709 | |||
Total liabilities | 203,220 | |||
Net assets applicable to shares outstanding | $ | 32,197,259 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 70,987,447 | ||
Undistributed net investment income | 795,015 | |||
Undistributed net realized gain (loss) | (45,367,517 | ) | ||
Unrealized appreciation | 5,782,314 | |||
$ | 32,197,259 | |||
Net assets: | ||||
Series I | $ | 12,601 | ||
Series II | $ | 32,184,658 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 1,381 | |||
Series II | 3,530,610 | |||
Series I: | ||||
Net asset value per share | $ | 9.12 | ||
Series II: | ||||
Net asset value per share | $ | 9.12 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $598,971) | $ | 4,487,804 | ||
Dividends from affiliated money market funds (includes securities lending income of $91,008) | 95,426 | |||
Total investment income | 4,583,230 | |||
Expenses: | ||||
Advisory fees | 1,114,502 | |||
Administrative services fees | 404,710 | |||
Custodian fees | 110,238 | |||
Distribution fees — Series II | 483,368 | |||
Transfer agent fees | 4,435 | |||
Trustees’ and officers’ fees and benefits | 12,655 | |||
Other | 77,355 | |||
Total expenses | 2,207,263 | |||
Less: Fees waived | (200,999 | ) | ||
Net expenses | 2,006,264 | |||
Net investment income | 2,576,966 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain (loss) from: | ||||
Investment securities | 15,195,054 | |||
Foreign currencies | (892,001 | ) | ||
14,303,053 | ||||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities (net of foreign taxes of $(137,757)) | (41,131,733 | ) | ||
Foreign currencies | 32,575 | |||
(41,099,158 | ) | |||
Net realized and unrealized gain (loss) | (26,796,105 | ) | ||
Net increase (decrease) in net assets resulting from operations | $ | (24,219,139 | ) | |
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 2,576,966 | $ | 2,522,003 | ||||
Net realized gain (loss) | 14,303,053 | (42,773,620 | ) | |||||
Change in net unrealized appreciation (depreciation) | (41,099,158 | ) | 109,386,939 | |||||
Net increase (decrease) in net assets resulting from operations | (24,219,139 | ) | 69,135,322 | |||||
Distributions to shareholders from net investment income — Series II | (4,058,030 | ) | (1,504,257 | ) | ||||
Share transactions-net: | ||||||||
Series I | 10,000 | — | ||||||
Series II | (200,817,062 | ) | 52,070,991 | |||||
Net increase (decrease) in net assets resulting from share transactions | (200,807,062 | ) | 52,070,991 | |||||
Net increase (decrease) in net assets | (229,084,231 | ) | 119,702,056 | |||||
Net assets: | ||||||||
Beginning of year | 261,281,490 | 141,579,434 | ||||||
End of year (includes undistributed net investment income of $795,015 and $2,558,883, respectively) | $ | 32,197,259 | $ | 261,281,490 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. |
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. |
Average Net Assets | Rate | |||
First $1 billion | 0 | .75% | ||
Over $1 billion | 0 | .70% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1* | Level 2* | Level 3 | Total | |||||||||||||
Australia | $ | 931,590 | $ | 1,425,639 | $ | — | $ | 2,357,229 | ||||||||
Belgium | 536,537 | — | — | 536,537 | ||||||||||||
Brazil | 605,864 | — | — | 605,864 | ||||||||||||
Canada | 1,723,649 | — | — | 1,723,649 | ||||||||||||
China | — | 359,258 | — | 359,258 | ||||||||||||
Denmark | — | 588,212 | — | 588,212 | ||||||||||||
Level 1* | Level 2* | Level 3 | Total | |||||||||||||
France | 505,079 | 1,162,240 | — | 1,667,319 | ||||||||||||
Germany | 2,159,449 | — | — | 2,159,449 | ||||||||||||
Hong Kong | 570,912 | — | — | 570,912 | ||||||||||||
India | 489,709 | — | — | 489,709 | ||||||||||||
Israel | 673,103 | — | — | 673,103 | ||||||||||||
Japan | 1,551,877 | 1,655,520 | — | 3,207,397 | ||||||||||||
Mexico | 902,951 | — | — | 902,951 | ||||||||||||
Netherlands | 309,834 | 946,664 | — | 1,256,498 | ||||||||||||
Philippines | 272,539 | — | — | 272,539 | ||||||||||||
Russia | 269,771 | — | — | 269,771 | ||||||||||||
Singapore | 946,067 | — | — | 946,067 | ||||||||||||
South Korea | 408,112 | 205,730 | — | 613,842 | ||||||||||||
Sweden | 160,534 | 355,209 | — | 515,743 | ||||||||||||
Switzerland | 2,504,139 | — | — | 2,504,139 | ||||||||||||
Taiwan | 350,659 | 220,825 | — | 571,484 | ||||||||||||
Turkey | — | 208,863 | — | 208,863 | ||||||||||||
United Kingdom | 3,422,475 | 3,459,190 | — | 6,881,665 | ||||||||||||
United States | 1,982,596 | — | — | 1,982,596 | ||||||||||||
Total Investments | $ | 21,277,446 | $ | 10,587,350 | $ | — | $ | 31,864,796 | ||||||||
* | Transfers occurred between Level 1 and Level 2 due to foreign fair value adjustments. |
2010 | 2009 | |||||||
Ordinary income | $ | 4,058,030 | $ | 1,504,257 | ||||
2010 | ||||
Undistributed ordinary income | $ | 796,625 | ||
Net unrealized appreciation — investments | 4,564,793 | |||
Net unrealized appreciation (depreciation) — other investments | (102,378 | ) | ||
Temporary book/tax differences | (1,610 | ) | ||
Capital loss carryforward | (44,047,618 | ) | ||
Shares of beneficial interest | 70,987,447 | |||
Total net assets | $ | 32,197,259 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 3,855,851 | ||
December 31, 2017 | 40,191,767 | |||
Total capital loss carryforward | $ | 44,047,618 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 4,606,463 | ||
Aggregate unrealized (depreciation) of investment securities | (41,670 | ) | ||
Net unrealized appreciation of investment securities | $ | 4,564,793 | ||
Cost of investments for tax purposes is $27,300,003. |
Summary of Share Activity | ||||||||||||||||
Year ended | Year ended | |||||||||||||||
December 31, 2010(a) | December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I(b) | 1,381 | $ | 10,000 | — | $ | — | ||||||||||
Series II | 7,372,498 | 59,847,503 | 22,088,682 | 147,987,747 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I(b) | — | — | — | — | ||||||||||||
Series II | 549,124 | 4,058,030 | 223,183 | 1,504,257 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I(b) | — | — | — | — | ||||||||||||
Series II | (35,429,507 | ) | (264,722,595 | ) | (14,026,147 | ) | (97,421,013 | ) | ||||||||
Net increase (decrease) in share activity | (27,506,504 | ) | $ | (200,807,062 | ) | 8,285,718 | $ | 52,070,991 | ||||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 95% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. | |
(b) | Commencement date of June 1, 2010. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | (losses) on | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | securities (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10(d) | $ | 7.24 | $ | 0.10 | $ | 1.78 | $ | 1.88 | $ | — | $ | — | $ | — | $ | 9.12 | 25.97 | % | $ | 13 | 1.11 | %(e)(f) | 1.17 | %(e)(f) | 1.97 | %(e)(f) | 173 | % | ||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 8.42 | 0.14 | 0.68 | 0.82 | (0.12 | ) | — | (0.12 | ) | 9.12 | 10.02 | 32,185 | 1.36 | (e) | 1.49 | (e) | 1.72 | (e) | 173 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 6.22 | 0.09 | 2.17 | 2.26 | (0.06 | ) | — | (0.06 | ) | 8.42 | 36.54 | 261,281 | 1.35 | (g) | 1.49 | (g) | 1.29 | (g)(h) | 57 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 12.11 | 0.13 | (6.00 | ) | (5.87 | ) | (0.00 | )(i) | (0.02 | ) | (0.02 | ) | 6.22 | (48.52 | ) | 141,579 | 1.35 | (g) | 1.53 | (g) | 1.51 | (g)(h) | 40 | |||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 10.84 | 0.03 | 1.52 | 1.55 | (0.02 | ) | (0.26 | ) | (0.28 | ) | 12.11 | 14.26 | 57,419 | 1.35 | (g) | 1.84 | (g) | 0.29 | (g)(h) | 52 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/06(d) | 10.00 | 0.03 | 0.82 | 0.85 | (0.01 | ) | — | (0.01 | ) | 10.84 | 8.55 | 9,993 | 1.35 | (f) | 3.95 | (f) | 0.38 | (f)(h) | 10 | |||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Commencement date of June 1, 2010 and April 28, 2006 for Series I and Series II shares, respectively. | |
(e) | Ratios are based on average daily net assets (000’s) of $11 and $148,593 for Series I and Series II shares, respectively. | |
(f) | Annualized. | |
(g) | Ratios reflect the rebate of certain Fund expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios was less than 0.005% for the years ended December 31, 2009, December 31, 2008 and December 31, 2007, respectively. | |
(h) | Ratio of net investment income to average net assets without fee waivers and/or expenses absorbed was 1.15%, 1.33%, (0.20)% and (2.23)% for the years ended December 31, 2009 through December 31, 2006, respectively. | |
(i) | Amount is less than $0.005 per share. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,229.10 | $ | 6.24 | $ | 1,019.61 | $ | 5.65 | 1.11 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,227.80 | 7.64 | 1,018.35 | 6.92 | 1.36 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 0% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 26.96 | % | ||
Series II Shares | 27.27 | |||
Russell Midcap Growth Index▼ (Broad Market/Style-Specific Index) | 26.38 | |||
▼ | Lipper Inc. |
n | There is a change in fundamentals, market capitalization or deterioration in the timeliness profile. | |
n | The price target set at purchase has been reached. | |
n | The investment thesis is no longer valid. | |
n | Insider selling indicates potential issues. |
Information Technology | 20.0 | % | ||
Industrials | 19.0 | |||
Consumer Discretionary | 18.2 | |||
Health Care | 10.5 | |||
Financials | 10.3 | |||
Energy | 8.0 | |||
Materials | 7.0 | |||
Consumer Staples | 3.0 | |||
Telecommunication Services | 1.8 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | 2.2 |
1. | iShares Russell Midcap Growth | |||||||
Index Fund | 2.3 | % | ||||||
2. | iShares S&P Midcap 400 Growth | |||||||
Index Fund | 2.0 | |||||||
3. | AGCO Corp. | 1.8 | ||||||
4. | Pioneer Natural Resources Co. | 1.7 | ||||||
5. | Rovi Corp. | 1.6 | ||||||
6. | BorgWarner, Inc. | 1.6 | ||||||
7. | MGM Resorts International | 1.5 | ||||||
8. | Nordstrom, Inc. | 1.5 | ||||||
9. | Crown Holdings, Inc. | 1.5 | ||||||
10. | Concho Resources, Inc. | 1.5 |
1. | Oil & Gas Exploration & Production | 5.3 | % | |||||
2. | Investment Companies | 4.3 | ||||||
3. | Semiconductors | 4.1 | ||||||
4. | Specialty Chemicals | 4.0 | ||||||
5. | Hotels, Resorts & Cruise Lines | 3.2 |
Total Net Assets | $79.5 million | |||
Total Number of Holdings* | 97 |
*Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco Van Kampen V.I. Mid Cap Growth Fund. He began his investment career in 1982 and joined Invesco in 1998. Mr. Rasplicka is a magna cum laude graduate of the University of Colorado at Boulder with a B.S. in business administration. He earned an M.B.A. from the University of Chicago. He is also a Charted Investment Counselor.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Mid Cap Growth Fund. He joined Invesco in 2003. Mr. Lium earned a B.B.A. from Texas A&M University and an M.B.A. from The University of Texas at Austin.
Series I Shares | ||||||||
10 | Years | -0.40 | % | |||||
5 | Years | 5.43 | ||||||
1 | Year | 26.96 | ||||||
Series II Shares | ||||||||
Inception (9/25/00) | -3.17 | % | ||||||
10 | Years | -0.38 | ||||||
5 | Years | 5.48 | ||||||
1 | Year | 27.27 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks–93.5% | ||||||||
Aerospace & Defense–1.0% | ||||||||
Goodrich Corp. | 9,247 | $ | 814,383 | |||||
Air Freight & Logistics–2.4% | ||||||||
C.H. Robinson Worldwide, Inc. | 9,930 | 796,287 | ||||||
Expeditors International of Washington, Inc. | 20,542 | 1,121,593 | ||||||
1,917,880 | ||||||||
Apparel, Accessories & Luxury Goods–1.5% | ||||||||
Coach, Inc. | 20,928 | 1,157,528 | ||||||
Application Software–3.2% | ||||||||
Autodesk, Inc.(a) | 23,114 | 882,955 | ||||||
Citrix Systems, Inc.(a) | 7,516 | 514,170 | ||||||
Salesforce.com, Inc.(a) | 4,676 | 617,232 | ||||||
TIBCO Software, Inc.(a) | 25,589 | 504,359 | ||||||
2,518,716 | ||||||||
Asset Management & Custody Banks–1.5% | ||||||||
Affiliated Managers Group, Inc.(a) | 11,922 | 1,182,901 | ||||||
Auto Parts & Equipment–2.1% | ||||||||
BorgWarner, Inc.(a) | 17,216 | 1,245,750 | ||||||
Gentex Corp. | 13,408 | 396,340 | ||||||
1,642,090 | ||||||||
Automotive Retail–1.1% | ||||||||
O’Reilly Automotive, Inc.(a) | 14,754 | 891,437 | ||||||
Biotechnology–1.6% | ||||||||
Human Genome Sciences, Inc.(a) | 22,068 | 527,205 | ||||||
United Therapeutics Corp.(a) | 12,337 | 779,945 | ||||||
1,307,150 | ||||||||
Broadcasting–1.1% | ||||||||
Discovery Communications, Inc., Class C(a) | 23,137 | 848,897 | ||||||
Casinos & Gaming–2.4% | ||||||||
Las Vegas Sands Corp.(a) | 14,943 | 686,631 | ||||||
MGM Resorts International(a) | 82,311 | 1,222,318 | ||||||
1,908,949 | ||||||||
Coal & Consumable Fuels–1.0% | ||||||||
Alpha Natural Resources, Inc.(a) | 12,979 | 779,129 | ||||||
Communications Equipment–0.6% | ||||||||
Finisar Corp.(a) | 14,925 | 443,123 | ||||||
Computer Storage & Peripherals–1.0% | ||||||||
NetApp, Inc.(a) | 13,986 | 768,671 | ||||||
Construction & Engineering–0.6% | ||||||||
Foster Wheeler AG (Switzerland)(a) | 14,948 | 516,005 | ||||||
Construction & Farm Machinery & Heavy Trucks–2.8% | ||||||||
AGCO Corp.(a) | 27,649 | 1,400,698 | ||||||
Navistar International Corp.(a) | 13,678 | 792,093 | ||||||
2,192,791 | ||||||||
Consumer Finance–1.2% | ||||||||
Discover Financial Services | 53,055 | 983,109 | ||||||
Data Processing & Outsourced Services–1.4% | ||||||||
Alliance Data Systems Corp.(a)(b) | 16,089 | 1,142,802 | ||||||
Department Stores–3.0% | ||||||||
Macy’s, Inc. | 44,644 | 1,129,493 | ||||||
Nordstrom, Inc. | 28,799 | 1,220,502 | ||||||
2,349,995 | ||||||||
Education Services–1.7% | ||||||||
Capella Education Co.(a) | 11,051 | 735,776 | ||||||
Strayer Education, Inc. | 4,293 | 653,480 | ||||||
1,389,256 | ||||||||
Electrical Components & Equipment–0.5% | ||||||||
Regal-Beloit Corp. | 6,241 | 416,649 | ||||||
Environmental & Facilities Services–1.0% | ||||||||
Republic Services, Inc. | 26,518 | 791,827 | ||||||
Fertilizers & Agricultural Chemicals–0.6% | ||||||||
Intrepid Potash, Inc.(a) | 13,735 | 512,178 | ||||||
Health Care Equipment–1.9% | ||||||||
American Medical Systems Holdings, Inc.(a) | 19,633 | 370,278 | ||||||
CareFusion Corp.(a) | 27,674 | 711,222 | ||||||
NuVasive, Inc.(a) | 16,520 | 423,738 | ||||||
1,505,238 | ||||||||
Health Care Facilities–2.1% | ||||||||
Brookdale Senior Living, Inc.(a) | 24,016 | 514,183 | ||||||
Universal Health Services, Inc., Class B | 27,039 | 1,174,033 | ||||||
1,688,216 | ||||||||
Health Care Services–0.9% | ||||||||
DaVita, Inc.(a) | 10,616 | 737,706 | ||||||
Shares | Value | |||||||
Hotels, Resorts & Cruise Lines–3.2% | ||||||||
Ctrip.com International Ltd.–ADR (Cayman Islands)(a) | 17,514 | $ | 708,441 | |||||
Marriott International, Inc., Class A | 21,516 | 893,775 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 15,674 | 952,666 | ||||||
2,554,882 | ||||||||
Household Products–0.9% | ||||||||
Church & Dwight Co., Inc. | 10,395 | 717,463 | ||||||
Human Resource & Employment Services–2.0% | ||||||||
Manpower, Inc. | 12,349 | 775,023 | ||||||
Robert Half International, Inc. | 27,117 | 829,780 | ||||||
1,604,803 | ||||||||
Industrial Machinery–3.2% | ||||||||
Flowserve Corp. | 7,920 | 944,223 | ||||||
Gardner Denver, Inc. | 9,971 | 686,204 | ||||||
Kennametal, Inc. | 22,481 | 887,100 | ||||||
2,517,527 | ||||||||
Internet Software & Services–2.0% | ||||||||
Akamai Technologies, Inc.(a) | 7,750 | 364,638 | ||||||
MercadoLibre, Inc.(a) | 7,413 | 494,076 | ||||||
VeriSign, Inc. | 21,439 | 700,412 | ||||||
1,559,126 | ||||||||
IT Consulting & Other Services–2.3% | ||||||||
Cognizant Technology Solutions Corp., Class A(a) | 12,595 | 923,087 | ||||||
Teradata Corp.(a) | 22,617 | 930,916 | ||||||
1,854,003 | ||||||||
Life Sciences Tools & Services–1.9% | ||||||||
Life Technologies Corp.(a) | 14,108 | 782,994 | ||||||
Pharmaceutical Product Development, Inc. | 26,439 | 717,554 | ||||||
1,500,548 | ||||||||
Managed Health Care–0.9% | ||||||||
Aetna, Inc. | 24,627 | 751,370 | ||||||
Metal & Glass Containers–2.1% | ||||||||
Crown Holdings, Inc.(a) | 36,418 | 1,215,633 | ||||||
Owens-Illinois, Inc.(a) | 13,753 | 422,217 | ||||||
1,637,850 | ||||||||
Oil & Gas Equipment & Services–1.8% | ||||||||
Oil States International, Inc.(a) | 9,707 | 622,122 | ||||||
Weatherford International Ltd. (Switzerland)(a) | 35,580 | 811,224 | ||||||
1,433,346 | ||||||||
Oil & Gas Exploration & Production–5.3% | ||||||||
Concho Resources, Inc.(a) | 13,741 | 1,204,673 | ||||||
Continental Resources, Inc.(a) | 15,246 | 897,227 | ||||||
Oasis Petroleum, Inc.(a) | 27,541 | 746,912 | ||||||
Pioneer Natural Resources Co. | 15,239 | 1,323,050 | ||||||
4,171,862 | ||||||||
Packaged Foods & Meats–1.1% | ||||||||
Hershey Co. | 18,460 | 870,389 | ||||||
Pharmaceuticals–1.1% | ||||||||
Shire PLC–ADR (Jersey) | 11,924 | 863,059 | ||||||
Precious Metals & Minerals–0.3% | ||||||||
Stillwater Mining Co.(a) | 9,307 | 198,704 | ||||||
Property & Casualty Insurance–0.7% | ||||||||
Assured Guaranty, Ltd. (Bermuda) | 31,627 | 559,798 | ||||||
Publishing–1.1% | ||||||||
McGraw-Hill Cos., Inc. | 24,629 | 896,742 | ||||||
Real Estate Services–1.3% | ||||||||
CB Richard Ellis Group, Inc., Class A(a) | 50,770 | 1,039,770 | ||||||
Research & Consulting Services–1.4% | ||||||||
IHS, Inc., Class A(a) | 14,052 | 1,129,640 | ||||||
Restaurants–1.0% | ||||||||
Darden Restaurants, Inc. | 17,747 | 824,171 | ||||||
Security & Alarm Services–0.9% | ||||||||
Corrections Corp. of America(a) | 28,297 | 709,123 | ||||||
Semiconductor Equipment–2.1% | ||||||||
Lam Research Corp.(a) | 15,534 | 804,351 | ||||||
Teradyne, Inc.(a) | 59,733 | 838,651 | ||||||
1,643,002 | ||||||||
Semiconductors–4.1% | ||||||||
Altera Corp. | 18,171 | 646,524 | ||||||
Avago Technologies Ltd. (Singapore) | 26,619 | 757,843 | ||||||
Broadcom Corp., Class A | 9,990 | 435,065 | ||||||
Cavium Networks, Inc.(a) | 18,770 | 707,254 | ||||||
Marvell Technology Group Ltd. (Bermuda)(a) | 38,237 | 709,296 | ||||||
3,255,982 | ||||||||
Specialized Finance–1.2% | ||||||||
Moody’s Corp. | 35,133 | 932,430 | ||||||
Specialty Chemicals–4.0% | ||||||||
Albemarle Corp. | 18,772 | 1,047,102 | ||||||
Lubrizol Corp. | 3,594 | 384,127 | ||||||
LyondellBasell Industries NV, Class A (Netherlands)(a) | 19,216 | 661,030 | ||||||
Nalco Holding Co. | 34,348 | 1,097,075 | ||||||
3,189,334 | ||||||||
Shares | Value | |||||||
Specialty Stores–1.0% | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 24,230 | $ | 823,820 | |||||
Systems Software–2.1% | ||||||||
Check Point Software Technologies Ltd. (Israel)(a) | 9,217 | 426,378 | ||||||
Rovi Corp.(a) | 20,471 | 1,269,407 | ||||||
1,695,785 | ||||||||
Technology Distributors–1.3% | ||||||||
Avnet, Inc.(a) | 19,629 | 648,346 | ||||||
Tech Data Corp.(a) | 8,498 | 374,082 | ||||||
1,022,428 | ||||||||
Trading Companies & Distributors–1.3% | ||||||||
WESCO International, Inc.(a) | 11,496 | 606,989 | ||||||
W.W. Grainger, Inc. | 2,875 | 397,066 | ||||||
1,004,055 | ||||||||
Trucking–1.9% | ||||||||
J.B. Hunt Transport Services, Inc. | 24,317 | 992,377 | ||||||
Swift Transportation Co., Inc.(a) | 40,420 | 505,654 | ||||||
1,498,031 | ||||||||
Wireless Telecommunication Services–1.8% | ||||||||
American Tower Corp., Class A(a) | 14,520 | 749,813 | ||||||
Millicom International Cellular SA (Luxembourg) | 7,004 | 669,582 | ||||||
1,419,395 | ||||||||
Total Common Stocks–93.5% | 74,285,064 | |||||||
Investment Companies–4.3% | ||||||||
iShares Russell MidCap Growth Index Fund(b) | 32,039 | 1,815,650 | ||||||
iShares S&P MidCap 400 Growth Index Fund | 16,049 | 1,616,455 | ||||||
Total Investment Companies–4.3% | 3,432,105 | |||||||
Total Long-Term Investments–97.8% (Cost $63,392,465) | 77,717,169 | |||||||
Money Market Funds–2.6% | ||||||||
Liquid Assets Portfolio–Institutional Class(c) | 1,043,908 | 1,043,908 | ||||||
Premier Portfolio–Institutional Class(c) | 1,043,908 | 1,043,908 | ||||||
Total Money Market Funds–2.6% (Cost $2,087,816) | 2,087,816 | |||||||
TOTAL INVESTMENTS (excluding investments purchased with cash collateral from securities on loan)–100.4% (Cost $65,480,281) | 79,804,985 | |||||||
Investments Purchased with Cash Collateral from Securities on Loan Money Market Funds–2.1% | ||||||||
Liquid Assets Portfolio–Institutional Class(c)(d) (Cost $1,641,032) | 1,641,032 | 1,641,032 | ||||||
TOTAL INVESTMENTS–102.5% (Cost $67,121,313) | 81,446,017 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS–(2.5%) | (1,972,333 | ) | ||||||
NET ASSETS–100.0% | $ | 79,473,684 | ||||||
ADR | – American Depositary Receipt |
(a) | Non-income producing security. | |
(b) | All or a portion of this security was out on loan at December 31, 2010. | |
(c) | The money market fund and the Fund are affiliated by having the same investment advisor. | |
(d) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 1I. |
Assets: | ||||
Investments, at value (Cost $63,392,465)* | $ | 77,717,169 | ||
Investments in affiliated money market funds, at value and cost | 3,728,848 | |||
Receivables: | ||||
Dividends | 25,148 | |||
Investments sold | 54,678 | |||
Fund shares sold | 3,715 | |||
Other | 2,039 | |||
Total assets | 81,531,597 | |||
Liabilities: | ||||
Payables: | ||||
Collateral upon return of securities loaned | 1,641,032 | |||
Investments purchased | 200,114 | |||
Distributor and affiliates | 144,041 | |||
Fund shares repurchased | 25,265 | |||
Trustees’ deferred compensation and retirement plans | 1,308 | |||
Accrued expenses | 46,153 | |||
Total liabilities | 2,057,913 | |||
Net assets | $ | 79,473,684 | ||
Net assets consist of: | ||||
Capital (Par value of $0.001 per share with an unlimited number of shares authorized) | $ | 67,413,700 | ||
Net unrealized appreciation | 14,324,704 | |||
Accumulated net realized gain (loss) | (2,263,412 | ) | ||
Accumulated undistributed net investment income (loss) | (1,308 | ) | ||
Net assets | $ | 79,473,684 | ||
Series I Shares: | ||||
Net asset value and offering price per share (Based on net assets of $12,286 and 3,030 shares of beneficial interest issued and outstanding) | $ | 4.05 | ||
Series II Shares: | ||||
Net asset value and offering price per share (Based on net assets of $79,461,398 and 19,591,091 shares of beneficial interest issued and outstanding) | $ | 4.06 | ||
* | At December 31, 2010, securities with an aggregate value of $1,601,784 were on loan to brokers. |
Investment Income: | ||||
Dividends (Net of foreign withholding taxes of $4,464) | $ | 440,740 | ||
Dividends from affiliated money market funds (Includes securities lending income of $3,017) | 6,954 | |||
Interest | 5,653 | |||
Total income | 453,347 | |||
Expenses: | ||||
Investment advisory fee | 467,936 | |||
Distribution fees | ||||
Series II | 155,892 | |||
Administrative service fees | 144,443 | |||
Professional fees | 35,511 | |||
Trustees’ and officers’ fees and benefits | 16,933 | |||
Transfer agent fees | 11,934 | |||
Custody | 10,266 | |||
Other | 9,773 | |||
Total expenses | 852,688 | |||
Expense reduction | 68,914 | |||
Net expenses | 783,774 | |||
Net investment income (loss) | (330,427 | ) | ||
Realized and unrealized gain (loss): | ||||
Realized gain (loss): | ||||
Investments | 3,959,072 | |||
Foreign currency transactions | 3,056 | |||
Net realized gain | 3,962,128 | |||
Unrealized appreciation: | ||||
Beginning of the period | 1,634,826 | |||
End of the Period | 14,324,704 | |||
Net unrealized appreciation during the period | 12,689,878 | |||
Net realized and unrealized gain | 16,652,006 | |||
Net increase in net assets from operations | $ | 16,321,579 | ||
2010 | 2009 | |||||||
From investment activities: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (330,427 | ) | $ | (115,269 | ) | ||
Net realized gain (loss) | 3,962,128 | (2,218,749 | ) | |||||
Net unrealized appreciation during the period | 12,689,878 | 16,601,867 | ||||||
Net change in net assets from investment activities | 16,321,579 | 14,267,849 | ||||||
From capital transactions: | ||||||||
Proceeds from shares sold | 27,548,493 | 15,050,265 | ||||||
Cost of shares repurchased | (9,847,092 | ) | (6,470,867 | ) | ||||
Net change in net assets from capital transactions | 17,701,401 | 8,579,398 | ||||||
Total increase in net assets | 34,022,980 | 22,847,247 | ||||||
Net assets: | ||||||||
Beginning of the period | 45,450,704 | 22,603,457 | ||||||
End of the period (Including accumulated undistributed net investment income (loss) of $(1,308) and ($151,137), respectively) | $ | 79,473,684 | $ | 45,450,704 | ||||
Series I shares | ||||
June 1, 2010 | ||||
(Commencement of | ||||
operations) to | ||||
December 31, 2010 | ||||
Net asset value, beginning of the period | $ | 3.30 | ||
Net investment income (loss)(a) | (0.00 | )(b) | ||
Net realized and unrealized gain | 0.75 | |||
Total from investment operations | 0.75 | |||
Net asset value, end of the period | $ | 4.05 | ||
Total return*(c) | 22.73 | % | ||
Net assets at end of the period (in thousands) | $ | 12.3 | ||
Ratio of expenses to average net assets* | 1.01 | %(d) | ||
Ratio of net investment income (loss) to average net assets* | (0.18 | )%(d) | ||
Portfolio turnover(e) | 105 | % | ||
* If certain expenses had not been assumed by the adviser, total return would have been lower and the ratios would have been as follows: | ||||
Ratio of expenses to average net assets | 1.12 | % | ||
Ratio of net investment income (loss) to average net assets | (0.29 | )% | ||
(a) | Based on average shares outstanding. | |
(b) | Amount is less than $0.01 per share. | |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(d) | Ratios are annualized and based on average daily net assets (000’s omitted) of $11. | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year. |
Series II sharesˆ | ||||||||||||||||||||
Years ended December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Net asset value, beginning of the period | $ | 3.19 | $ | 2.04 | $ | 5.72 | $ | 5.24 | $ | 5.40 | ||||||||||
Net investment income (loss)(a) | (0.02 | ) | (0.01 | ) | (0.02 | ) | (0.02 | ) | (0.03 | ) | ||||||||||
Net realized and unrealized gain (loss) | 0.89 | 1.16 | (2.01 | ) | 0.88 | 0.31 | ||||||||||||||
Total from investment operations | 0.87 | 1.15 | (2.03 | ) | 0.86 | 0.28 | ||||||||||||||
Less distributions from capital gains | -0- | -0- | 1.65 | 0.38 | 0.44 | |||||||||||||||
Net asset value, end of the period | $ | 4.06 | $ | 3.19 | $ | 2.04 | $ | 5.72 | $ | 5.24 | ||||||||||
Total return* | 27.27 | %(b) | 56.37 | %(c) | (46.83 | )%(c) | 17.60 | %(c) | 4.92 | %(c) | ||||||||||
Net assets at end of the period (in millions) | $ | 79.5 | $ | 45.5 | $ | 22.6 | $ | 43.3 | $ | 42.5 | ||||||||||
Ratio of expenses to average net assets* | 1.26 | %(d) | 1.26 | % | 1.26 | % | 1.26 | % | 1.26 | % | ||||||||||
Ratio of net investment income (loss) to average net assets* | (0.53 | )%(d) | (0.36 | )% | (0.66 | )% | (0.37 | )% | (0.61 | )% | ||||||||||
Portfolio turnover(e) | 105 | % | 42 | % | 42 | % | 201 | % | 154 | % | ||||||||||
* If certain expenses had not been assumed by the adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||||||||||
Ratio of expenses to average net assets | 1.37 | % | 1.52 | % | 1.61 | % | 1.39 | % | 1.45 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | (0.64 | )% | (0.62 | )% | (1.01 | )% | (0.51 | )% | (0.80 | )% | ||||||||||
(a) | Based on average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | These returns include combined Rule 12b-1 fees and service fees of up to 0.25%. | |
(d) | Ratios are annualized and based on average daily net assets (000’s omitted) of $62,357. | |
(e) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year. | |
ˆ | On June 1, 2010, the Class II shares of the predecessor fund were reorganized into Series II shares of the Fund. |
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean |
between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to |
federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | ||
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
J. | Foreign Currency Translations — Foreign currency is valued at the close of the NYSE based on quotations posted by banks and major currency dealers. Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities (net of foreign taxes withheld on disposition) and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Fund does not separately account for the portion of the results of operations resulting from changes in foreign exchange rates on investments and the fluctuations arising from changes in market prices of securities held. The combined results of changes in foreign exchange rates and the fluctuation of market prices on investments (net of estimated foreign tax withholding) are included with the net realized and unrealized gain or loss from investments in the Statement of Operations. Reported net realized foreign currency gains or losses arise from (1) sales of foreign currencies, (2) currency gains or losses realized between the trade and settlement dates on securities transactions, and (3) the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal period end, resulting from changes in exchange rates. | |
The Fund may invest in foreign securities which may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. |
Average Net Assets | Rate | |||
First $500 million | 0 | .75% | ||
Next $500 million | 0 | .70% | ||
Over $1 billion | 0 | .65% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 81,446,017 | $ | — | $ | — | $ | 81,446,017 | ||||||||
2010 | ||||
Net unrealized appreciation — investments | $ | 14,037,850 | ||
Temporary book/tax differences | (1,308 | ) | ||
Capital loss carryforward | (1,976,558 | ) | ||
Shares of beneficial interest | 67,413,700 | |||
Total net assets | $ | 79,473,684 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 593,897 | ||
December 31, 2017 | 1,382,661 | |||
Total capital loss carryforward | $ | 1,976,558 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 14,786,715 | ||
Aggregate unrealized (depreciation) of investment securities | (748,865 | ) | ||
Net unrealized appreciation of investment securities | $ | 14,037,850 | ||
Cost of investments for tax purposes is $67,408,167. |
For the years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Sales: | ||||||||||||||||
Series I | 3,030 | $ | 10,000 | -0- | $ | -0- | ||||||||||
Series II | 8,162,383 | 27,538,493 | 5,735,245 | 15,050,265 | ||||||||||||
Total sales | 8,165,413 | $ | 27,548,493 | 5,735,245 | $ | 15,050,265 | ||||||||||
Repurchases: | ||||||||||||||||
Series I | -0- | $ | -0- | -0- | $ | -0- | ||||||||||
Series II | (2,832,428 | ) | (9,847,092 | ) | (2,544,014 | ) | (6,470,867 | ) | ||||||||
Total repurchases | (2,832,428 | ) | $ | (9,847,092 | ) | (2,544,014 | ) | $ | (6,470,867 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 93% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. In addition, less than 1% of the outstanding shares of the Fund are owned by Invesco or an investment advisor under common control. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,289.81 | $ | 5.83 | $ | 1,021.11 | $ | 5.14 | 1.01 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,288.89 | 7.27 | 1,018.85 | 6.41 | 1.26 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Long-Term Capital Gain Dividends | $ | 0 | ||
Qualified Dividend Income* | 0% | |||
U.S. Treasury Obligations* | 0% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 22.24 | % | ||
Series II Shares | 22.18 | |||
Russell Midcap Value Index▼ (Broad Market/Style-Specific Index) | 24.75 | |||
▼Lipper Inc. |
Financials | 20.4 | % | ||
Industrials | 14.1 | |||
Consumer Discretionary | 11.9 | |||
Health Care | 10.2 | |||
Information Technology | 8.3 | |||
Utilities | 8.0 | |||
Energy | 7.6 | |||
Materials | 7.5 | |||
Consumer Staples | 7.1 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | 4.9 |
1. | Snap-on, Inc. | 3.7 | % | |||||
2. | Brookdale Senior Living, Inc. | 3.7 | ||||||
3. | Avery Dennison Corp. | 3.5 | ||||||
4. | El Paso Corp. | 3.2 | ||||||
5. | Zebra Technologies Corp.-Class A | 3.1 | ||||||
6. | Newell Rubbermaid Inc. | 3.1 | ||||||
7. | Goodrich Corp. | 3.0 | ||||||
8. | Edison International | 3.0 | ||||||
9. | Willis Group Holdings PLC | 3.0 | ||||||
10. | Harley-Davidson, Inc. | 2.7 |
Total Net Assets | $314.5 million | |||
Total Number of Holdings* | 46 |
*Excluding money market fund holdings.
Smith International, an oil services company, made a significant contribution to Fund performance when it was acquired by Schlumberger (not a Fund holding).
Pioneer Natural Resources and El Paso also made positive contributions.
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco Van Kampen V.I. Mid Cap Value Fund. He joined Invesco in 2010. Mr. Copper earned a B.A. in economics and political science from Baylor University.
Portfolio manager, is manager of Invesco Van Kampen V.I. Mid Cap Value Fund. He joined Invesco in 2010. Mr. Marcheli earned a B.B.A. from the University of Houston and an M.B.A. from the University of St. Thomas.
Portfolio manager, is manager of Invesco Van Kampen V.I. Mid Cap Value Fund. He joined Invesco in 2010. Mr. Mazanec earned a B.S. from DePauw University and an M.B.A. from Harvard University.
Series I Shares | ||||||||
Inception (1/2/97) | 9.56 | % | ||||||
10 Years | 5.14 | |||||||
5 Years | 5.40 | |||||||
1 Year | 22.24 | |||||||
Series II Shares | ||||||||
Inception (5/5/03) | 10.86 | % | ||||||
5 Years | 5.30 | |||||||
1 Year | 22.18 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
§ | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
§ | Unless otherwise noted, all data provided by Invesco. | |
§ | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–95.13% | ||||||||
Aerospace & Defense–3.02% | ||||||||
Goodrich Corp. | 107,903 | $ | 9,503,017 | |||||
Asset Management & Custody Banks–1.95% | ||||||||
Northern Trust Corp. | 110,412 | 6,117,929 | ||||||
Auto Parts & Equipment–1.95% | ||||||||
Lear Corp.(b) | 62,197 | 6,139,466 | ||||||
Building Products–1.97% | ||||||||
Lennox International Inc. | 131,211 | 6,204,968 | ||||||
Computer Hardware–2.01% | ||||||||
Diebold, Inc. | 197,407 | 6,326,894 | ||||||
Data Processing & Outsourced Services–2.21% | ||||||||
Fidelity National Information Services, Inc. | 253,261 | 6,936,819 | ||||||
Diversified Banks–1.81% | ||||||||
Comerica Inc. | 134,873 | 5,697,036 | ||||||
Diversified Chemicals–1.01% | ||||||||
PPG Industries, Inc. | 37,931 | 3,188,859 | ||||||
Electric Utilities–5.09% | ||||||||
Edison International | 245,877 | 9,490,852 | ||||||
Great Plains Energy Inc. | 336,709 | 6,528,788 | ||||||
16,019,640 | ||||||||
Electronic Manufacturing Services–1.00% | ||||||||
Flextronics International Ltd. (Singapore)(b) | 401,279 | 3,150,040 | ||||||
Food Distributors–1.91% | ||||||||
Sysco Corp. | 204,357 | 6,008,096 | ||||||
Health Care Distributors–2.47% | ||||||||
Henry Schein, Inc.(b) | 126,477 | 7,764,423 | ||||||
Health Care Equipment–1.47% | ||||||||
Beckman Coulter, Inc.(c) | 42,991 | 3,234,213 | ||||||
Teleflex Inc. | 25,877 | 1,392,441 | ||||||
4,626,654 | ||||||||
Health Care Facilities–6.28% | ||||||||
Brookdale Senior Living Inc.(b) | 539,156 | 11,543,330 | ||||||
Healthsouth Corp.(b) | 395,395 | 8,188,630 | ||||||
19,731,960 | ||||||||
Heavy Electrical Equipment–1.32% | ||||||||
Babcock & Wilcox Co.(b) | 161,912 | 4,143,328 | ||||||
Home Furnishings–1.70% | ||||||||
Mohawk Industries, Inc.(b) | 94,421 | 5,359,336 | ||||||
Housewares & Specialties–3.06% | ||||||||
Newell Rubbermaid Inc. | 529,610 | 9,628,310 | ||||||
Industrial Machinery–3.68% | ||||||||
Snap-on Inc. | 204,219 | 11,554,711 | ||||||
Insurance Brokers–5.57% | ||||||||
Marsh & McLennan Cos., Inc. | 296,568 | 8,108,169 | ||||||
Willis Group Holdings PLC (Ireland) | 271,449 | 9,400,279 | ||||||
17,508,448 | ||||||||
Investment Banking & Brokerage–2.19% | ||||||||
Charles Schwab Corp. (The) | 402,601 | 6,888,503 | ||||||
Motorcycle Manufacturers–2.72% | ||||||||
Harley-Davidson, Inc. | 246,704 | 8,553,228 | ||||||
Multi-Utilities–2.91% | ||||||||
CenterPoint Energy, Inc. | 187,480 | 2,947,186 | ||||||
Wisconsin Energy Corp. | 105,339 | 6,200,253 | ||||||
9,147,439 | ||||||||
Office Electronics–3.11% | ||||||||
Zebra Technologies Corp.–Class A(b) | 257,459 | 9,780,867 | ||||||
Office Services & Supplies–3.53% | ||||||||
Avery Dennison Corp. | 262,326 | 11,106,883 | ||||||
Oil & Gas Exploration & Production–1.94% | ||||||||
Pioneer Natural Resources Co. | 70,101 | 6,086,169 | ||||||
Oil & Gas Storage & Transportation–5.68% | ||||||||
El Paso Corp. | 724,961 | 9,975,463 | ||||||
Williams Cos., Inc. (The) | 319,278 | 7,892,552 | ||||||
17,868,015 | ||||||||
Packaged Foods & Meats–2.17% | ||||||||
ConAgra Foods, Inc. | 302,463 | 6,829,615 | ||||||
Paper Packaging–1.99% | ||||||||
Sonoco Products Co. | 185,976 | 6,261,812 | ||||||
Personal Products–1.74% | ||||||||
Avon Products, Inc. | 188,289 | 5,471,678 | ||||||
Property & Casualty Insurance–2.12% | ||||||||
ACE Ltd. (Switzerland) | 107,111 | 6,667,660 | ||||||
Regional Banks–5.28% | ||||||||
BB&T Corp. | 202,015 | 5,310,974 | ||||||
First Horizon National Corp.(b) | 271,646 | 3,199,992 | ||||||
Shares | Value | |||||||
Regional Banks–(continued) | ||||||||
Wintrust Financial Corp. | 149,534 | $ | 4,939,108 | |||||
Zions Bancorp. | 129,725 | 3,143,237 | ||||||
16,593,311 | ||||||||
Restaurants–2.42% | ||||||||
Darden Restaurants, Inc. | 163,808 | 7,607,244 | ||||||
Retail REIT’s–1.52% | ||||||||
Weingarten Realty Investors | 200,600 | 4,766,256 | ||||||
Soft Drinks–1.23% | ||||||||
Coca-Cola Enterprises, Inc. | 154,399 | 3,864,607 | ||||||
Specialty Chemicals–4.54% | ||||||||
Valspar Corp. (The) | 180,420 | 6,220,882 | ||||||
WR Grace & Co.(b) | 228,850 | 8,039,500 | ||||||
14,260,382 | ||||||||
Trucking–0.56% | ||||||||
Swift Transportation Co.(b)(d) | 141,102 | 1,765,186 | ||||||
Total Common Stocks & Other Equity Interests (Cost $260,275,168) | 299,128,789 | |||||||
Number of | Exercise | Expiration | ||||||||||||||
Contracts | Price | Date | Value | |||||||||||||
Put Option Purchased–0.01% | ||||||||||||||||
Health Care Equipment–0.01% | ||||||||||||||||
Beckman Coulter, Inc. (Cost $47,436) | 215 | 65 | Feb-11 | $ | 22,575 | |||||||||||
Shares | ||||||||
Money Market Funds–4.91% | ||||||||
Liquid Assets Portfolio–Institutional Class(e) | 7,719,901 | 7,719,901 | ||||||
Premier Portfolio–Institutional Class(e) | 7,719,901 | 7,719,901 | ||||||
Total Money Market Funds (Cost $15,439,802) | 15,439,802 | |||||||
TOTAL INVESTMENTS (excluding investments purchased with cash collateral from securities on loan)–100.05% (Cost $275,762,406) | 314,591,166 | |||||||
Investments Purchased with Cash Collateral from Securities on Loan | ||||||||
Money Market Funds–0.19% | ||||||||
Liquid Assets Portfolio–Institutional Class (Cost $610,763)(e)(f) | 610,763 | 610,763 | ||||||
TOTAL INVESTMENTS–100.24% (Cost $276,373,169) | 315,201,929 | |||||||
OTHER ASSETS LESS LIABILITIES–(0.24)% | (745,465 | ) | ||||||
NET ASSETS–100.00% | $ | 314,456,464 | ||||||
REIT | – Real Estate Investment Trust |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | A portion of this security is subject to call options written. See Note 1J and Note 7. | |
(d) | All or a portion of this security was out on loan at December 31, 2010. | |
(e) | The money market fund and the Fund are affiliated by having the same investment adviser. | |
(f) | The security has been segregated to satisfy the commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 1I. |
Assets: | ||||
Investments, at value (Cost $260,322,604)* | $ | 299,151,364 | ||
Investments in affiliated money market funds, at value and cost | 16,050,565 | |||
Total investments, at value (Cost $276,373,169) | 315,201,929 | |||
Receivables for: | ||||
Fund shares sold | 276,503 | |||
Dividends | 291,682 | |||
Fund expenses absorbed | 54,493 | |||
Investment for trustee deferred compensation and retirement plans | 1,410 | |||
Total assets | 315,826,017 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares reacquired | 104,420 | |||
Options written, at value (premiums received $67,120) | 91,375 | |||
Collateral upon return of securities loaned | 610,763 | |||
Accrued fees to affiliates | 521,382 | |||
Accrued other operating expenses | 38,905 | |||
Trustee deferred compensation and retirement plans | 2,708 | |||
Total liabilities | 1,369,553 | |||
Net assets applicable to shares outstanding | $ | 314,456,464 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 327,867,413 | ||
Undistributed net investment income | 1,955,705 | |||
Undistributed net realized gain (loss) | (54,171,159 | ) | ||
Unrealized appreciation | 38,804,505 | |||
$ | 314,456,464 | |||
Net Assets: | ||||
Series I | $ | 162,471,575 | ||
Series II | $ | 151,984,889 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 12,700,381 | |||
Series II | 11,948,027 | |||
Series I: | ||||
Net asset value per share | $ | 12.79 | ||
Series II: | ||||
Net asset value per share | $ | 12.72 | ||
* | At December 31, 2010, securities with an aggregate value of $599,267 were on loan to brokers. |
Investment income: | ||||
Dividends | $ | 5,077,888 | ||
Dividends from affiliated money market funds (includes securities lending income of $2,445) | 3,960 | |||
Interest | 7,108 | |||
Total investment income | 5,088,956 | |||
Expenses: | ||||
Advisory fees | 2,102,407 | |||
Administrative services fees | 775,462 | |||
Custodian fees | 17,247 | |||
Distribution fees — Series II | 386,891 | |||
Transfer agent fees | 12,180 | |||
Trustees’ and officers’ fees and benefits | 13,142 | |||
Other | 72,753 | |||
Total expenses | 3,380,082 | |||
Less: Fees waived | (268,138 | ) | ||
Net expenses | 3,111,944 | |||
Net investment income | 1,977,012 | |||
Realized and unrealized gain (loss) from: | ||||
Net realized gain from investment securities (include net gains from securities sold to affiliates of $72,390) | 15,581,654 | |||
Change in net unrealized appreciation (depreciation) of: | ||||
Investment securities | 42,024,505 | |||
Option contracts written | (24,255 | ) | ||
42,000,250 | ||||
Net realized and unrealized gain | 57,581,904 | |||
Net increase in net assets resulting from operations | $ | 59,558,916 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 1,977,012 | $ | 2,610,346 | ||||
Net realized gain (loss) | 15,581,654 | (12,760,447 | ) | |||||
Change in net unrealized appreciation | 42,000,250 | 93,463,377 | ||||||
Net increase in net assets resulting from operations | 59,558,916 | 83,313,276 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (1,468,515 | ) | (1,846,024 | ) | ||||
Series II | (1,117,364 | ) | (1,144,481 | ) | ||||
Total distributions from net investment income | (2,585,879 | ) | (2,990,505 | ) | ||||
Share transactions–net: | ||||||||
Series I | (26,790,802 | ) | (27,209,501 | ) | ||||
Series II | 4,375,683 | 2,613,501 | ||||||
Net increase (decrease) in net assets resulting from share transactions | (22,415,119 | ) | (24,596,000 | ) | ||||
Net increase in net assets | 34,557,918 | 55,726,771 | ||||||
Net assets: | ||||||||
Beginning of year | 279,898,546 | 224,171,775 | ||||||
End of year (includes undistributed net investment income of $1,955,705 and $2,603,881, respectively) | $ | 314,456,464 | $ | 279,898,546 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an |
independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). | ||
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to |
federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. | ||
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. | |
I. | Securities Lending — The Fund may lend portfolio securities having a market value up to one-third of the Fund’s total assets. Such loans are secured by collateral equal to no less than the market value of the loaned securities determined daily by the securities lending provider. Such collateral will be cash or debt securities issued or guaranteed by the U.S. Government or any of its sponsored agencies. Cash collateral received in connection with these loans is invested in short-term money market instruments or affiliated money market funds and is shown as such on the Schedule of Investments. It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan. Lending securities entails a risk of loss to the Fund if and to the extent that the market value of the securities loaned were to increase and the borrower did not increase the collateral accordingly, and the borrower fails to return the securities. Upon the failure of the borrower to return the securities, collateral may be liquidated and the securities may be purchased on the open market to replace the loaned securities. The Fund could experience delays and costs in gaining access to the collateral. The Fund bears the risk of any deficiency in the amount of the collateral available for return to the borrower due to any loss on the collateral invested. Dividends received on cash collateral investments for securities lending transactions, which are net of compensation to counterparties, is included in Dividends from affiliates on the Statement of Operations. The aggregate value of securities out on loan is shown as a footnote on the Statement of Assets and Liabilities, if any. | |
J. | Call Options Written and Purchased — The Fund may write and/or buy call options. A call option gives the purchaser of such option the right to buy, and the writer the obligation to sell, the underlying security at the stated exercise price during the option period. Options written by the Fund normally will have expiration dates between three and nine months from the date written. The exercise price of a call option may be below, equal to, or above the current market value of the underlying security at the time the option is written. | |
When the Fund writes a call option, an amount equal to the premium received by the Fund is recorded as an asset and an equivalent liability in the Statement of Assets and Liabilities. The amount of the liability is subsequently “marked-to-market” to reflect the current market value of the option written. If a written call option expires on the stipulated expiration date, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or a loss if the closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a written option is exercised, the Fund realizes a gain or a loss from the sale of the underlying security and the proceeds of the sale are increased by the premium originally received. Realized and unrealized gains and losses on these contracts are included in the Statement of Operation. A risk in writing a covered call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. | ||
When the Fund buys a call option, an amount equal to the premium paid by the Fund is recorded as an investment on the Statement of Assets and Liabilities. The amount of the investment is subsequently “marked-to-market” to reflect the current value of the option purchased. Realized and unrealized gains and losses on these contracts are included in the Statement of Operations. A risk in buying an option is that the Fund pays a premium whether or not the option is exercised. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased. | ||
K. | Put Options Purchased — The Fund may purchase put options including options on securities indexes and/or futures contracts. By purchasing a put option, the Fund obtains the right (but not the obligation) to sell the option’s underlying instrument at a fixed strike price. In return for this right, the Fund pays an option premium. The option’s underlying instrument may be a security, securities index, or a futures contract. Put options may be used by the Fund to hedge securities it owns by locking in a minimum price at which the Fund can sell. If security prices fall, the put option could be exercised to offset all or a portion of the Fund’s resulting losses. At the same time, because the maximum the Fund has at risk is the cost of the option, purchasing put options does not eliminate the potential for the Fund to profit from an increase in the value of the securities hedged. Realized and unrealized gains and losses on these contracts are included in the Statement of Operations. A risk in buying an option is that the Fund pays a premium whether or not the option is exercised. In addition, there can be no assurance that a liquid secondary market will exist for any option purchased. |
Average Net Assets | Rate | |||
First $1 billion | 0 | .72% | ||
Over $1 billion | 0 | .65% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 315,201,929 | $ | — | $ | — | $ | 315,201,929 | ||||||||
Options* | (24,255 | ) | — | — | (24,255 | ) | ||||||||||
Total Investments | $ | 315,177,674 | $ | — | $ | — | $ | 315,177,674 | ||||||||
* | Unrealized appreciation (depreciation). |
Transactions During the Period | ||||||||
Call Option Contracts | ||||||||
Number of | Premiums | |||||||
Contracts | Received | |||||||
Written | 215 | $ | 67,120 | |||||
Open Options Written at Period-End | ||||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||||
Contract | Strike | Number of | Premiums | Appreciation | ||||||||||||||||||||
Month | Price | Contracts | Received | Value | (Depreciation) | |||||||||||||||||||
Calls | ||||||||||||||||||||||||
Beckman Coulter, Inc. | Feb-11 | $ | 75 | 215 | $ | 67,120 | $ | 91,375 | $ | (24,255 | ) | |||||||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 2,585,879 | $ | 2,990,505 | ||||
2010 | ||||
Undistributed ordinary income | $ | 1,958,286 | ||
Net unrealized appreciation — investments | 37,877,280 | |||
Net unrealized appreciation (depreciation) — other investments | (24,255 | ) | ||
Temporary book/tax differences | (2,581 | ) | ||
Capital loss carryforward | (53,219,679 | ) | ||
Shares of beneficial interest | 327,867,413 | |||
Total net assets | $ | 314,456,464 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 18,692,646 | ||
December 31, 2017 | 34,527,033 | |||
Total capital loss carryforward | $ | 53,219,679 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 43,193,629 | ||
Aggregate unrealized (depreciation) of investment securities | (5,316,349 | ) | ||
Net unrealized appreciation of investment securities | $ | 37,877,280 | ||
Cost of investments for tax purposes is $277,324,649. |
Summary of Share Activity | ||||||||||||||||
Year ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 735,988 | $ | 8,422,816 | 1,020,122 | $ | 8,047,125 | ||||||||||
Series II | 2,861,100 | 32,148,812 | 2,173,867 | 18,541,180 | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 130,767 | 1,468,515 | 231,041 | 1,846,024 | ||||||||||||
Series II | 100,033 | 1,117,364 | 143,779 | 1,144,481 | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (3,211,388 | ) | (36,682,133 | ) | (4,278,358 | ) | (37,102,650 | ) | ||||||||
Series II | (2,538,804 | ) | (28,890,493 | ) | (1,944,912 | ) | (17,072,160 | ) | ||||||||
Net increase (decrease) in share activity | (1,922,304 | ) | $ | (22,415,119 | ) | (2,654,461 | ) | $ | (24,596,000 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 77% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
expenses | expenses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | Net | (losses) on | Dividends | Distributions | net assets | assets without | investment | |||||||||||||||||||||||||||||||||||||||||||||||||
value, | investment | securities (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | income | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | (loss)(a) | unrealized) | operations | income | gains | Distributions | of period | return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 10.56 | $ | 0.08 | $ | 2.25 | $ | 2.33 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | $ | 12.79 | 22.24 | % | $ | 162,472 | 1.02 | %(d) | 1.03 | %(d) | 0.72 | %(d) | 40 | % | ||||||||||||||||||||||||||
Year ended 12/31/09 | 7.69 | 0.10 | 2.88 | 2.98 | (0.11 | ) | — | (0.11 | ) | 10.56 | 39.21 | 158,853 | 1.02 | 1.02 | 1.12 | 64 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 19.11 | 0.13 | (6.43 | ) | (6.30 | ) | (0.14 | ) | (4.98 | ) | (5.12 | ) | 7.69 | (41.29 | ) | 138,914 | 1.01 | 1.01 | 0.95 | 53 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 19.74 | 0.13 | 1.53 | 1.66 | (0.14 | ) | (2.15 | ) | (2.29 | ) | 19.11 | 7.84 | 302,575 | 1.01 | 1.01 | 0.62 | 68 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 18.75 | 0.13 | 3.35 | 3.48 | (0.06 | ) | (2.43 | ) | (2.49 | ) | 19.74 | 20.70 | 381,064 | 1.01 | 1.01 | 0.67 | 65 | |||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | 10.50 | 0.07 | 2.25 | 2.32 | (0.10 | ) | — | (0.10 | ) | 12.72 | 22.18 | 151,985 | 1.12 | (d) | 1.32 | (d) | 0.62 | (d) | 40 | |||||||||||||||||||||||||||||||||||||
Year ended 12/31/09 | 7.64 | 0.09 | 2.87 | 2.96 | (0.10 | ) | — | (0.10 | ) | 10.50 | 39.16 | 121,046 | 1.12 | 1.37 | 1.01 | 64 | ||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 19.04 | 0.11 | (6.41 | ) | (6.30 | ) | (0.12 | ) | (4.98 | ) | (5.10 | ) | 7.64 | (41.42 | ) | 85,258 | 1.11 | 1.36 | 0.89 | 53 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 19.68 | 0.11 | 1.52 | 1.63 | (0.12 | ) | (2.15 | ) | (2.27 | ) | 19.04 | 7.74 | 134,886 | 1.11 | 1.36 | 0.54 | 68 | |||||||||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 18.70 | 0.11 | 3.34 | 3.45 | (0.04 | ) | (2.43 | ) | (2.47 | ) | 19.68 | 20.62 | 108,859 | 1.11 | 1.36 | 0.59 | 65 | |||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s omitted) of $158,601 and $133,400 for Series I and Series II shares, respectively. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,223.90 | $ | 5.77 | $ | 1,020.01 | $ | 5.24 | 1.03 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,224.30 | 6.34 | 1,091.51 | 5.75 | 1.13 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 100% |
* | The above percentages are based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE |
If variable product issuer charges were included, returns would be lower.
Series I Shares | 15.74 | % | ||
Series II Shares | 15.50 | |||
S&P 500 Index▼ (Broad Market Index) | 15.08 | |||
Russell 1000 Value Index▼ (Style-Specific Index) | 15.51 | |||
▼ | Lipper Inc. |
n | The security is statistically cheap on the basis of its primary valuation criteria, which depends on the cyclical or growth nature of its business. | |
n | Rigorous fundamental analysis shows that the company is undervalued and possesses potential financial strength and improved quality of management for future growth. |
n | We believe the target price has been realized, and we no longer consider the company undervalued. | |
n | We determine that a better value opportunity can be found elsewhere. | |
n | Our research shows that a company is experiencing deteriorating fundamentals beyond what we feel to be a tolerable level, and the trend is likely to be a long-term issue. |
Financials | 21.0 | % | ||
Consumer Discretionary | 17.3 | |||
Health Care | 12.0 | |||
Energy | 10.5 | |||
Information Technology | 10.4 | |||
Consumer Staples | 9.1 | |||
Industrials | 6.9 | |||
Materials | 5.2 | |||
Telecommunication Services | 4.0 | |||
Utilities | 1.5 | |||
Money Market Funds | ||||
Plus Other Assets Less Liabilities | 2.1 |
1. | Comcast Corp.-Class A | 4.8 | % | |||||
2. | Viacom Inc.-Class B | 3.7 | ||||||
3. | JPMorgan Chase & Co. | 3.0 | ||||||
4. | International Paper Co. | 2.9 | ||||||
5. | Pfizer, Inc. | 2.5 | ||||||
6. | Haliburton Co. | 2.4 | ||||||
7. | Chubb Corp. (The) | 2.2 | ||||||
8. | Kraft Foods Inc.-Class A | 2.2 | ||||||
9. | Chevron Corp. | 2.2 | ||||||
10. | Bank of New York Mellon Corp. (The) | 2.1 |
Total Net Assets | $24.3 million | |||
Total Number of Holdings* | 77 |
*Excluding money market fund holdings.
Chartered Financial Analyst, portfolio manager, is lead manager of Invesco Van Kampen V.I. Value Fund. He joined Invesco in 2010. Mr. Holt earned a B.A. from the University of Iowa and an M.B.A. from the University of Chicago.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Value Fund. He joined Invesco in 2010. Mr. Armstrong earned a B.S. in psychology and finance from the University of Illinois and an M.B.A. in finance from Columbia University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Value Fund. He joined Invesco in 2010. Mr. Leder earned a B.A. from The University of Texas and an M.B.A. from Columbia University.
Chartered Financial Analyst, portfolio manager, is manager of Invesco Van Kampen V.I. Value Fund. He joined Invesco in 1992. Mr. Seinsheimer earned a B.B.A. from Southern Methodist University and an M.B.A. from The University of Texas at Austin.
Portfolio manager, is manager of Invesco Van Kampen V.I. Value Fund. He joined Invesco in 2010. Mr. Warwick earned a B.B.A. from Stephen F. Austin State University and an M.B.A. from the University of Houston.
Series I Shares | ||||||||
Inception (1/2/97) | 5.46 | % | ||||||
10 | Years | 3.78 | ||||||
5 | Years | 1.96 | ||||||
1 | Year | 15.74 | ||||||
Series II Shares | ||||||||
10 | Years | 3.53 | % | |||||
5 | Years | 1.72 | ||||||
1 | Year | 15.50 |
1 | Total annual Fund operating expenses after any contractual fee waivers and/or expense reimbursements by the adviser in effect through at least June 30, 2012. See current prospectus for more information. |
n | Unless otherwise stated, information presented in this report is as of December 31, 2010, and is based on total net assets. | |
n | Unless otherwise noted, all data provided by Invesco. | |
n | To access your Fund’s reports/prospectus, visit invesco.com/fundreports. |
Shares | Value | |||||||
Common Stocks & Other Equity Interests–97.85% | ||||||||
Aerospace & Defense–1.29% | ||||||||
Honeywell International Inc. | 5,904 | $ | 313,857 | |||||
Aluminum–1.83% | ||||||||
Alcoa Inc. | 28,914 | 444,986 | ||||||
Asset Management & Custody Banks–2.53% | ||||||||
Bank of New York Mellon Corp. (The) | 16,729 | 505,216 | ||||||
State Street Corp. | 2,351 | 108,945 | ||||||
614,161 | ||||||||
Automobile Manufacturers–0.75% | ||||||||
General Motors Co.(b) | 4,918 | 181,277 | ||||||
Cable & Satellite–6.98% | ||||||||
Comcast Corp.–Class A | 52,636 | 1,156,413 | ||||||
DIRECTV–Class A(b) | 3,667 | 146,423 | ||||||
Time Warner Cable Inc. | 5,980 | 394,860 | ||||||
1,697,696 | ||||||||
Communications Equipment–0.87% | ||||||||
Cisco Systems, Inc.(b) | 10,465 | 211,707 | ||||||
Computer Hardware–2.83% | ||||||||
Dell Inc.(b) | 18,486 | 250,485 | ||||||
Hewlett-Packard Co. | 10,379 | 436,956 | ||||||
687,441 | ||||||||
Data Processing & Outsourced Services–0.29% | ||||||||
Western Union Co. | 3,815 | 70,845 | ||||||
Department Stores–0.76% | ||||||||
JC Penney Co., Inc. | 3,631 | 117,318 | ||||||
Macy’s, Inc. | 2,682 | 67,854 | ||||||
185,172 | ||||||||
Diversified Banks–1.93% | ||||||||
U.S. Bancorp | 6,464 | 174,334 | ||||||
Wells Fargo & Co. | 9,555 | 296,110 | ||||||
470,444 | ||||||||
Diversified Chemicals–0.41% | ||||||||
E. I. du Pont de Nemours and Co. | 1,986 | 99,062 | ||||||
Drug Retail–1.56% | ||||||||
CVS Caremark Corp. | 10,887 | 378,541 | ||||||
Electric Utilities–1.19% | ||||||||
American Electric Power Co., Inc. | 3,036 | 109,235 | ||||||
FirstEnergy Corp. | 4,891 | 181,065 | ||||||
290,300 | ||||||||
Electrical Components & Equipment–0.83% | ||||||||
Emerson Electric Co. | 3,526 | 201,581 | ||||||
General Merchandise Stores–0.44% | ||||||||
Target Corp. | 1,763 | 106,009 | ||||||
Health Care Distributors–1.40% | ||||||||
Cardinal Health, Inc. | 8,911 | 341,380 | ||||||
Home Improvement Retail–1.84% | ||||||||
Home Depot, Inc. (The) | 6,268 | 219,756 | ||||||
Lowe’s Cos., Inc. | 9,108 | 228,429 | ||||||
448,185 | ||||||||
Household Products–0.29% | ||||||||
Procter & Gamble Co. (The) | 1,087 | 69,927 | ||||||
Hypermarkets & Super Centers–1.56% | ||||||||
Wal-Mart Stores, Inc. | 7,034 | 379,344 | ||||||
Industrial Conglomerates–3.44% | ||||||||
General Electric Co. | 18,118 | 331,378 | ||||||
Textron Inc. | 6,750 | 159,570 | ||||||
Tyco International Ltd. | 8,325 | 344,988 | ||||||
835,936 | ||||||||
Industrial Machinery–1.34% | ||||||||
Ingersoll-Rand PLC (Ireland) | 6,920 | 325,863 | ||||||
Integrated Oil & Gas–6.43% | ||||||||
BP PLC–ADR (United Kingdom) | 5,252 | 231,981 | ||||||
Chevron Corp. | 5,778 | 527,243 | ||||||
ConocoPhillips | 3,439 | 234,196 | ||||||
Royal Dutch Shell PLC–ADR (United Kingdom) | 5,918 | 395,204 | ||||||
Total S.A.–ADR (France) | 3,236 | 173,061 | ||||||
1,561,685 | ||||||||
Integrated Telecommunication Services–3.06% | ||||||||
AT&T Inc. | 11,052 | 324,708 | ||||||
Verizon Communications Inc. | 11,743 | 420,164 | ||||||
744,872 | ||||||||
Internet Software & Services–3.70% | ||||||||
eBay Inc.(b) | 17,790 | 495,096 | ||||||
Yahoo! Inc.(b) | 24,357 | 405,057 | ||||||
900,153 | ||||||||
Investment Banking & Brokerage–2.14% | ||||||||
Goldman Sachs Group, Inc. (The) | 1,543 | 259,471 | ||||||
Morgan Stanley | 9,563 | 260,209 | ||||||
519,680 | ||||||||
Shares | Value | |||||||
IT Consulting & Other Services–0.61% | ||||||||
Accenture PLC–Class A (Ireland) | 3,036 | $ | 147,216 | |||||
Life & Health Insurance–2.98% | ||||||||
Aflac, Inc. | 2,155 | 121,607 | ||||||
MetLife, Inc. | 7,639 | 339,477 | ||||||
Torchmark Corp. | 4,407 | 263,274 | ||||||
724,358 | ||||||||
Managed Health Care–2.36% | ||||||||
UnitedHealth Group Inc. | 11,433 | 412,846 | ||||||
WellPoint Inc.(b) | 2,840 | 161,482 | ||||||
574,328 | ||||||||
Movies & Entertainment–6.55% | ||||||||
News Corp.–Class B | 20,174 | 331,257 | ||||||
Time Warner Inc. | 11,295 | 363,360 | ||||||
Viacom Inc.–Class B | 22,639 | 896,731 | ||||||
1,591,348 | ||||||||
Multi-Utilities–0.30% | ||||||||
Sempra Energy | 1,371 | 71,950 | ||||||
Oil & Gas Drilling–0.51% | ||||||||
Noble Corp. | 3,463 | 123,872 | ||||||
Oil & Gas Equipment & Services–3.60% | ||||||||
Halliburton Co. | 14,459 | 590,361 | ||||||
Weatherford International Ltd.(b) | 12,473 | 284,384 | ||||||
874,745 | ||||||||
Other Diversified Financial Services–6.37% | ||||||||
Bank of America Corp. | 35,261 | 470,382 | ||||||
Citigroup Inc.(b) | 74,926 | 354,400 | ||||||
JPMorgan Chase & Co. | 17,067 | 723,982 | ||||||
1,548,764 | ||||||||
Packaged Foods & Meats–3.74% | ||||||||
Kraft Foods, Inc.–Class A | 16,959 | 534,378 | ||||||
Unilever N.V.- New York Shares (Netherlands) | 11,911 | 374,005 | ||||||
908,383 | ||||||||
Paper Products–2.93% | ||||||||
International Paper Co. | 26,120 | 711,509 | ||||||
Personal Products–0.49% | ||||||||
Avon Products, Inc. | 4,073 | 118,361 | ||||||
Pharmaceuticals–8.23% | ||||||||
Abbott Laboratories | 3,588 | 171,901 | ||||||
Bristol-Myers Squibb Co. | 18,262 | 483,578 | ||||||
GlaxoSmithKline PLC–ADR (United Kingdom) | 3,527 | 138,329 | ||||||
Merck & Co., Inc. | 12,019 | 433,165 | ||||||
Pfizer Inc. | 35,286 | 617,858 | ||||||
Roche Holdings AG–ADR (Switzerland) | 4,211 | 154,733 | ||||||
1,999,564 | ||||||||
Property & Casualty Insurance–3.65% | ||||||||
Chubb Corp. (The) | 9,144 | 545,348 | ||||||
Travelers Cos., Inc. (The) | 6,128 | 341,391 | ||||||
886,739 | ||||||||
Regional Banks–1.38% | ||||||||
PNC Financial Services Group, Inc. | 5,525 | 335,478 | ||||||
Semiconductor Equipment–0.50% | ||||||||
KLA-Tencor Corp. | 3,136 | 121,175 | ||||||
Semiconductors–0.97% | ||||||||
Intel Corp. | 11,212 | 235,788 | ||||||
Soft Drinks–1.47% | ||||||||
Coca-Cola Co. (The) | 4,283 | 281,693 | ||||||
PepsiCo, Inc. | 1,175 | 76,763 | ||||||
358,456 | ||||||||
Systems Software–0.60% | ||||||||
Microsoft Corp. | 5,219 | 145,714 | ||||||
Wireless Telecommunication Services–0.92% | ||||||||
Vodafone Group PLC–ADR (United Kingdom) | 8,423 | 222,620 | ||||||
Total Common Stocks & Other Equity Interests (Cost $21,201,849) | 23,780,472 | |||||||
Money Market Funds–2.36% | ||||||||
Liquid Assets Portfolio–Institutional Class(c) | 286,758 | 286,758 | ||||||
Premier Portfolio–Institutional Class(c) | 286,758 | 286,758 | ||||||
Total Money Market Funds (Cost $573,516) | 573,516 | |||||||
TOTAL INVESTMENTS–100.21% (Cost $21,775,365) | 24,353,988 | |||||||
OTHER ASSETS LESS LIABILITIES–(0.21)% | (50,517 | ) | ||||||
NET ASSETS–100.00% | $ | 24,303,471 | ||||||
ADR | – American Depositary Receipt |
(a) | Industry and/or sector classifications used in this report are generally according to the Global Industry Classification Standard, which was developed by and is the exclusive property and a service mark of MSCI Inc. and Standard & Poor’s. | |
(b) | Non-income producing security. | |
(c) | The money market fund and the Fund are affiliated by having the same investment adviser. |
Assets: | ||||
Investments, at value (Cost $21,201,849) | $ | 23,780,472 | ||
Investments in affiliated money market funds, at value and cost | 573,516 | |||
Total investments, at value (Cost $21,775,365) | 24,353,988 | |||
Receivable for: | ||||
Investments sold | 22,617 | |||
Fund shares sold | 9,530 | |||
Dividends | 27,493 | |||
Investment for trustee deferred compensation and retirement plans | 1,071 | |||
Total assets | 24,414,699 | |||
Liabilities: | ||||
Payable for: | ||||
Investments purchased | 38,717 | |||
Fund shares reacquired | 3,930 | |||
Accrued fees to affiliates | 38,941 | |||
Accrued other operating expenses | 28,568 | |||
Trustee deferred compensation and retirement plans | 1,072 | |||
Total liabilities | 111,228 | |||
Net assets applicable to shares outstanding | $ | 24,303,471 | ||
Net assets consist of: | ||||
Shares of beneficial interest | $ | 28,095,037 | ||
Undistributed net investment income | 310,609 | |||
Undistributed net realized gain (loss) | (6,680,798 | ) | ||
Unrealized appreciation | 2,578,623 | |||
$ | 24,303,471 | |||
Net Assets: | ||||
Series I | $ | 24,291,548 | ||
Series II | $ | 11,923 | ||
Shares outstanding, $0.001 par value per share, unlimited number of shares authorized: | ||||
Series I | 2,522,099 | |||
Series II | 1,239 | |||
Series I: | ||||
Net asset value per share | $ | 9.63 | ||
Series II: | ||||
Net asset value per share | $ | 9.62 | ||
Investment income: | ||||
Dividends (net of foreign withholding taxes of $4,927) | $ | 511,366 | ||
Dividends from affiliated money market funds | 405 | |||
Total investment income | 511,771 | |||
Expenses: | ||||
Advisory fees | 127,371 | |||
Administrative services fees | 87,024 | |||
Custodian fees | 5,140 | |||
Distribution fees — Series II | 16 | |||
Transfer agent fees | 2,196 | |||
Trustees’ and officers’ fees and benefits | 7,208 | |||
Professional services fees | 27,482 | |||
Other | 13,123 | |||
Total expenses | 269,560 | |||
Less: Fees waived | (72,167 | ) | ||
Net expenses | 197,393 | |||
Net investment income | 314,378 | |||
Realized and unrealized gain from: | ||||
Net realized gain from investment securities (includes net gains from securities sold to affiliates of $36,612) | 545,439 | |||
Change in net unrealized appreciation of investment securities | 2,538,222 | |||
Net realized and unrealized gain | 3,083,661 | |||
Net increase in net assets resulting from operations | $ | 3,398,039 | ||
2010 | 2009 | |||||||
Operations: | ||||||||
Net investment income | $ | 314,378 | $ | 348,940 | ||||
Net realized gain (loss) | 545,439 | (2,293,566 | ) | |||||
Change in net unrealized appreciation | 2,538,222 | 7,640,320 | ||||||
Net increase in net assets resulting from operations | 3,398,039 | 5,695,694 | ||||||
Distributions to shareholders from net investment income: | ||||||||
Series I | (348,598 | ) | (716,371 | ) | ||||
Share transactions-net: | ||||||||
Series I | (2,508,731 | ) | (2,730,935 | ) | ||||
Series II | 10,000 | — | ||||||
Net increase (decrease) in net assets resulting from share transactions | (2,498,731 | ) | (2,730,935 | ) | ||||
Net increase in net assets | 550,710 | 2,248,388 | ||||||
Net assets: | ||||||||
Beginning of year | 23,752,761 | 21,504,373 | ||||||
End of year (includes undistributed net investment income of $310,609 and $344,829, respectively) | $ | 24,303,471 | $ | 23,752,761 | ||||
A. | Security Valuations — Securities, including restricted securities, are valued according to the following policy. | |
A security listed or traded on an exchange (except convertible bonds) is valued at its last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded, or lacking any sales or official closing price on a particular day, the security may be valued at the closing bid price on that day. Securities traded in the over-the-counter market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued by an independent pricing service they may be considered fair valued. Futures contracts are valued at the final settlement price set by an exchange on which they are principally traded. Listed options are valued at the mean between the last bid and ask prices from the exchange on which they are principally traded. Options not listed on an exchange are valued by an independent source at the mean between the last bid and ask prices. For purposes of determining net asset value per share, futures and option contracts generally are valued 15 minutes after the close of the customary trading session of the New York Stock Exchange (“NYSE”). |
Investments in open-end and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in open-end and closed-end registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. | ||
Debt obligations (including convertible bonds) and unlisted equities are fair valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution- size trading in similar groups of securities, developments related to specific securities, dividend rate, yield, quality, type of issue, coupon rate, maturity, individual trading characteristics and other market data. Short-term obligations, including commercial paper, having 60 days or less to maturity are recorded at amortized cost which approximates value. Debt securities are subject to interest rate and credit risks. In addition, all debt securities involve some risk of default with respect to interest and/or principal payments. | ||
Foreign securities (including foreign exchange contracts) are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the NYSE. If market quotations are available and reliable for foreign exchange traded equity securities, the securities will be valued at the market quotations. Because trading hours for certain foreign securities end before the close of the NYSE, closing market quotations may become unreliable. If between the time trading ends on a particular security and the close of the customary trading session on the NYSE, events occur that are significant and make the closing price unreliable, the Fund may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith using procedures approved by the Board of Trustees. Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities meeting the approved degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American Depositary Receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, potential for sharply devalued currencies and high inflation, political and economical upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards. | ||
Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The last bid price may be used to value equity securities. The mean between the last bid and asked prices is used to value debt obligations, including Corporate Loans. | ||
Securities for which market quotations are not readily available or are unreliable are valued at fair value as determined in good faith by or under the supervision of the Trust’s officers following procedures approved by the Board of Trustees. Issuer specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value. | ||
Valuations change in response to many factors including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general economic conditions, interest rates, investor perceptions and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments. | ||
B. | Securities Transactions and Investment Income — Securities transactions are accounted for on a trade date basis. Realized gains or losses on sales are computed on the basis of specific identification of the securities sold. Interest income is recorded on the accrual basis from settlement date. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. | |
The Fund may periodically participate in litigation related to Fund investments. As such, the Fund may receive proceeds from litigation settlements. Any proceeds received are included in the Statement of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held. | ||
Brokerage commissions and mark ups are considered transaction costs and are recorded as an increase to the cost basis of securities purchased and/or a reduction of proceeds on a sale of securities. Such transaction costs are included in the determination of net realized and unrealized gain (loss) from investment securities reported in the Statement of Operations and the Statement of Changes in Net Assets and the net realized and unrealized gains (losses) on securities per share in the Financial Highlights. Transaction costs are included in the calculation of the Fund’s net asset value and, accordingly, they reduce the Fund’s total returns. These transaction costs are not considered operating expenses and are not reflected in net investment income reported in the Statement of Operations and Statement of Changes in Net Assets, or the net investment income per share and ratios of expenses and net investment income reported in the Financial Highlights, nor are they limited by any expense limitation arrangements between the Fund and the investment adviser. | ||
The Fund allocates income and realized and unrealized capital gains and losses to a class based on the relative net assets of each class. | ||
C. | Country Determination — For the purposes of making investment selection decisions and presentation in the Schedule of Investments, the investment adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues and the country that has the primary market for the issuer’s securities, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted. | |
D. | Distributions — Distributions from income and net realized capital gain, if any, are generally paid to separate accounts of participating insurance companies annually and recorded on ex-dividend date. | |
E. | Federal Income Taxes — The Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code necessary to qualify as a regulated investment company and to distribute substantially all of the Fund’s taxable earnings to shareholders. As such, the Fund will not be subject to federal income taxes on otherwise taxable income (including net realized capital gain) that is distributed to shareholders. Therefore, no provision for federal income taxes is recorded in the financial statements. |
The Fund files tax returns in the U.S. Federal jurisdiction and certain other jurisdictions. Generally the Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period. | ||
F. | Expenses — Fees provided for under the Rule 12b-1 plan of a particular class of the Fund and which are directly attributable to that class are charged to the operations of such class. All other expenses are allocated among the classes based on relative net assets. | |
G. | Accounting Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period including estimates and assumptions related to taxation. Actual results could differ from those estimates by a significant amount. In addition, the Fund monitors for material events or transactions that may occur or become known after the period-end date and before the date the financial statements are released to print. | |
H. | Indemnifications — Under the Trust’s organizational documents, each Trustee, officer, employee or other agent of the Trust is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts, including the Fund’s servicing agreements that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote. |
Average Net Assets | Rate | |||
First $500 million | 0 | .55% | ||
Next $500 million | 0 | .50% | ||
Over $1 billion | 0 | .45% | ||
Level 1 — | Prices are determined using quoted prices in an active market for identical assets. | |
Level 2 — | Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others. | |
Level 3 — | Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity Securities | $ | 24,199,255 | $ | 154,733 | $ | — | $ | 24,353,988 | ||||||||
2010 | 2009 | |||||||
Ordinary income | $ | 348,598 | $ | 716,371 | ||||
2010 | ||||
Undistributed ordinary income | $ | 311,574 | ||
Net unrealized appreciation — investments | 2,280,941 | |||
Temporary book/tax differences | (975 | ) | ||
Capital loss carryforward | (6,383,106 | ) | ||
Shares of beneficial interest | 28,095,037 | |||
Total net assets | $ | 24,303,471 | ||
Capital Loss | ||||
Expiration | Carryforward* | |||
December 31, 2016 | $ | 1,878,019 | ||
December 31, 2017 | 4,505,087 | |||
Total capital loss carryforward | $ | 6,383,106 | ||
* | Capital loss carryforward as of the date listed above is reduced for limitations, if any, to the extent required by the Internal Revenue Code. |
Unrealized Appreciation (Depreciation) of Investment Securities on a Tax Basis | ||||
Aggregate unrealized appreciation of investment securities | $ | 3,311,277 | ||
Aggregate unrealized (depreciation) of investment securities | (1,030,336 | ) | ||
Net unrealized appreciation of investment securities | $ | 2,280,941 | ||
Cost of investments for tax purposes is $22,073,047. |
Summary of Share Activity | ||||||||||||||||
Years ended December 31, | ||||||||||||||||
2010(a) | 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold: | ||||||||||||||||
Series I | 105,255 | $ | 905,209 | 165,564 | $ | 1,168,035 | ||||||||||
Series II(b) | 1,239 | 10,000 | — | — | ||||||||||||
Issued as reinvestment of dividends: | ||||||||||||||||
Series I | 41,849 | 348,598 | 108,871 | 716,371 | ||||||||||||
Series II(b) | — | — | — | — | ||||||||||||
Reacquired: | ||||||||||||||||
Series I | (436,185 | ) | (3,762,538 | ) | (678,120 | ) | (4,615,341 | ) | ||||||||
Series II(b) | — | — | — | — | ||||||||||||
Net increase (decrease) in share activity | (287,842 | ) | $ | (2,498,731 | ) | (403,685 | ) | $ | (2,730,935 | ) | ||||||
(a) | There are entities that are record owners of more than 5% of the outstanding shares of the Fund and in the aggregate own 97% of the outstanding shares of the Fund. The Fund and the Fund’s principal underwriter or adviser, are parties to participation agreements with these entities whereby these entities sell units of interest in separate accounts funding variable products that are invested in the Fund. The Fund, Invesco and/or Invesco affiliates may make payments to these entities, which are considered to be related to the Fund, for providing services to the Fund, Invesco and/or Invesco affiliates including but not limited to services such as, securities brokerage, third party record keeping and account servicing and administrative services. The Trust has no knowledge as to whether all or any portion of the shares owned of record by these entities are also owned beneficially. | |
(b) | Commencement date of June 1, 2010. |
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains | expenses | expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
(losses) | to average | to average net | Ratio of net | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset | on securities | Dividends | Distributions | net assets | assets without | investment | ||||||||||||||||||||||||||||||||||||||||||||||||||
value, | Net | (both | Total from | from net | from net | Net asset | Net assets, | with fee waivers | fee waivers | income | ||||||||||||||||||||||||||||||||||||||||||||||
beginning | investment | realized and | investment | investment | realized | Total | value, end | Total | end of period | and/or expenses | and/or expenses | to average | Portfolio | |||||||||||||||||||||||||||||||||||||||||||
of period | income(a) | unrealized) | operations | income | gains | Distributions | of period | Return(b) | (000s omitted) | absorbed | absorbed | net assets | turnover(c) | |||||||||||||||||||||||||||||||||||||||||||
Series I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10 | $ | 8.45 | $ | 0.12 | $ | 1.19 | $ | 1.31 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | $ | 9.63 | 15.74 | % | $ | 24,292 | 0.85 | %(d) | 1.16 | %(d) | 1.36 | %(d) | 18 | % | ||||||||||||||||||||||||||
Year ended 12/31/09 | 6.69 | 0.12 | 1.88 | 2.00 | (0.24 | ) | — | (0.24 | ) | 8.45 | 31.00 | (e) | 23,753 | 0.85 | (f) | 0.97 | (f) | 1.66 | (f)(g) | 21 | ||||||||||||||||||||||||||||||||||||
Year ended 12/31/08 | 13.17 | 0.21 | (4.43 | ) | (4.22 | ) | (0.37 | ) | (1.89 | ) | (2.26 | ) | 6.69 | (35.85 | ) | 21,504 | 0.87 | (f)(h) | 1.04 | (f) | 2.15 | (f)(g) | 19 | |||||||||||||||||||||||||||||||||
Year ended 12/31/07 | 14.87 | 0.25 | (0.57 | ) | (0.32 | ) | (0.29 | ) | (1.09 | ) | (1.38 | ) | 13.17 | (3.07 | ) | 46,863 | 0.85 | (f) | 0.91 | (f) | 1.69 | (f)(g) | 17 | |||||||||||||||||||||||||||||||||
Year ended 12/31/06 | 14.49 | 0.26 | 1.96 | 2.22 | (0.27 | ) | (1.57 | ) | (1.84 | ) | 14.87 | 16.89 | 70,091 | 0.85 | 0.93 | 1.83 | (g) | 23 | ||||||||||||||||||||||||||||||||||||||
Series II | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended 12/31/10(i) | 8.07 | 0.06 | 1.49 | 1.55 | — | — | — | 9.62 | 19.21 | 12 | 1.11 | (d)(j) | 1.57 | (d)(j) | 1.10 | (d)(j) | 18 | |||||||||||||||||||||||||||||||||||||||
(a) | Calculated using average shares outstanding. | |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Total returns are not annualized for periods less than one year, if applicable and do not reflect charges assessed in connection with a variable product, which if included would reduce total returns. | |
(c) | Portfolio turnover is calculated at the fund level and is not annualized for periods less than one year, if applicable. | |
(d) | Ratios are based on average daily net assets (000’s) of $23,152 and $11 for Series I and Series II shares, respectively | |
(e) | Performance was positively impacted by approximately 1.40% due to the receipt of proceeds from the settlements of class action suits involving primarily two of the Fund’s past holdings. This was a one-time settlement, and as a result, the impact on the NAV and consequently the performance will not likely be repeated in the future. Had these settlements not occurred, the total return would have been approximately 29.60%. | |
(f) | The Ratios of Expenses and Net Investment Income reflect the rebate of certain Fund expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is less than 0.005%. | |
(g) | Ratio of net investment income to average net assets without fee waivers and/or expenses absorbed was 1.54%, 1.98%, 1.63% and 1.75% for the years ended December 31, 2009, 2008, 2007 and 2006, respectively. | |
(h) | Ratio of Expenses to Average Net Assets Excluding Bank Overdraft Expense was 0.85%. | |
(i) | Commencement date of June 1, 2010. | |
(j) | Annualized. |
HYPOTHETICAL | ||||||||||||||||||||||||||||||
(5% annual return before | ||||||||||||||||||||||||||||||
ACTUAL | expenses) | |||||||||||||||||||||||||||||
Beginning | Ending | Expenses | Ending | Expenses | Annualized | |||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Paid During | Expense | |||||||||||||||||||||||||
Class | (07/01/10) | (12/31/10)1 | Period2 | (12/31/10) | Period2 | Ratio | ||||||||||||||||||||||||
Series I | $ | 1,000.00 | $ | 1,230.50 | $ | 4.83 | $ | 1,020.87 | $ | 4.38 | 0.86 | % | ||||||||||||||||||
Series II | 1,000.00 | 1,230.20 | 6.24 | 1,019.61 | 5.65 | 1.11 | ||||||||||||||||||||||||
1 | The actual ending account value is based on the actual total return of the Fund for the period July 1, 2010 through December 31, 2010, after actual expenses and will differ from the hypothetical ending account value which is based on the Fund’s expense ratio and a hypothetical annual return of 5% before expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio as indicated above multiplied by the average account value over the period, multiplied by 184/365 to reflect the most recent fiscal half year. |
Tax Information |
Federal and State Income Tax | ||||
Corporate Dividends Received Deduction* | 100% |
* | The above percentage is based on ordinary income dividends paid to shareholders during the Fund’s fiscal year. |
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Interested Persons | ||||||||||
Martin L. Flanagan1 — 1960 Trustee | 2007 | Executive Director, Chief Executive Officer and President, Invesco Ltd. (ultimate parent of Invesco and a global investment management firm); Advisor to the Board, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Trustee, The Invesco Funds; Vice Chair, Investment Company Institute; and Member of Executive Board, SMU Cox School of Business Formerly: Chairman, Invesco Advisers, Inc. (registered investment adviser); Director, Chairman, Chief Executive Officer and President, IVZ Inc. (holding company), INVESCO Group Services, Inc. (service provider) and Invesco North American Holdings, Inc. (holding company); Director, Chief Executive Officer and President, Invesco Holding Company Limited (parent of Invesco and a global investment management firm); Director, Invesco Ltd.; Chairman, Investment Company Institute and President, Co-Chief Executive Officer, Co-President, Chief Operating Officer and Chief Financial Officer, Franklin Resources, Inc. (global investment management organization) | 208 | None | ||||||
Philip A. Taylor2 — 1954 Trustee, President and Principal Executive Officer | 2006 | Head of North American Retail and Senior Managing Director, Invesco Ltd.; Director, Co-Chairman, Co-President and Co-Chief Executive Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Director, Chief Executive Officer and President, 1371 Preferred Inc. (holding company); Director, Chairman, Chief Executive Officer and President, Invesco Management Group, Inc. (formerly Invesco Aim Management Group, Inc.) (financial services holding company); Director and President, INVESCO Funds Group, Inc. (registered investment adviser and registered transfer agent) and AIM GP Canada Inc. (general partner for limited partnerships); Director and Chairman, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) (registered transfer agent) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.) (registered broker dealer); Director, President and Chairman, Invesco Inc. (holding company) and Invesco Canada Holdings Inc. (holding company); Chief Executive Officer, Invesco Trimark Corporate Class Inc. (corporate mutual fund company) and Invesco Trimark Canada Fund Inc. (corporate mutual fund company); Director and Chief Executive Officer, Invesco Trimark Ltd./Invesco Trimark Ltèe (registered investment adviser and registered transfer agent) and Invesco Trimark Dealer Inc. (registered broker dealer); Trustee, President and Principal Executive Officer, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); Trustee and Executive Vice President, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only); and Director, Van Kampen Asset Management; Director, Chief Executive Officer and President, Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Director and Chairman, Van Kampen Investor Services Inc. and Director and President, Van Kampen Advisors, Inc. Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.) (registered broker dealer); Manager, Invesco PowerShares Capital Management LLC; Director, Chief Executive Officer and President, Invesco Advisers, Inc.; Director, Chairman, Chief Executive Officer and President, Invesco Aim Capital Management, Inc.; President, Invesco Trimark Dealer Inc. and Invesco Trimark Ltd./Invesco Trimark Ltèe; Director and President, AIM Trimark Corporate Class Inc. and AIM Trimark Canada Fund Inc.; Senior Managing Director, Invesco Holding Company Limited; Trustee and Executive Vice President, Tax-Free Investments Trust; Director and Chairman, Fund Management Company (former registered broker dealer); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only); President, AIM Trimark Global Fund Inc. and AIM Trimark Canada Fund Inc. | 208 | None | ||||||
Wayne M. Whalen3 — 1939 Trustee | 2010 | Of Counsel, and prior to 2010, partner in the law firm of Skadden, Arps, Slate, Meagher & Flom LLP, legal counsel to funds in the Fund Complex | 226 | Director of the Abraham Lincoln Presidential Library Foundation | ||||||
Independent Trustees | ||||||||||
Bruce L. Crockett — 1944 Trustee and Chair | 1993 | Chairman, Crockett Technology Associates (technology consulting company) Formerly: Director, Captaris (unified messaging provider); Director, President and Chief Executive Officer COMSAT Corporation; and Chairman, Board of Governors of INTELSAT (international communications company) | 208 | ACE Limited (insurance company); and Investment Company Institute | ||||||
David C. Arch — 1945 Trustee | 2010 | Chairman and Chief Executive Officer of Blistex Inc., a consumer health care products manufacturer. | 226 | Member of the Heartland Alliance Advisory Board, a nonprofit organization serving human needs based in Chicago. Board member of the Illinois Manufacturers’ Association. Member of the Board of Visitors, Institute for the Humanities, University of Michigan | ||||||
1 | Mr. Flanagan is considered an interested person of the Trust because he is an officer of the adviser to the Trust, and an officer and a director of Invesco Ltd., ultimate parent of the adviser to the Trust. |
2 | Mr. Taylor is considered an interested person of the Trust because he is an officer and a director of the adviser to, and a director of the principal underwriter of, the Trust. |
3 | Mr. Whalen is considered an “interested person” (within the meaning of Section 2(a)(19) of the 1940 Act) of certain Funds in the Fund Complex by reason of he and his firm currently providing legal services as legal counsel to such Funds in the Fund Complex. |
T-1
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Independent Trustees | ||||||||||
Bob R. Baker — 1936 Trustee | 2004 | Retired Formerly: President and Chief Executive Officer, AMC Cancer Research Center; and Chairman and Chief Executive Officer, First Columbia Financial Corporation | 208 | None | ||||||
Frank S. Bayley — 1939 Trustee | 2001 | Retired Formerly: Director, Badgley Funds, Inc. (registered investment company) (2 portfolios) and Partner, law firm of Baker & McKenzie | 208 | None | ||||||
James T. Bunch — 1942 Trustee | 2004 | Founder, Green, Manning & Bunch Ltd. (investment banking firm) Formerly: Executive Committee, United States Golf Association; and Director, Policy Studies, Inc. and Van Gilder Insurance Corporation | 208 | Vice Chairman, Board of Governors, Western Golf Association/Evans Scholars Foundation and Director, Denver Film Society | ||||||
Rodney Dammeyer — 1940 Trustee | 2010 | President of CAC, LLC, a private company offering capital investment and management advisory services. Formerly: Prior to January 2004, Director of TeleTech Holdings Inc.; Prior to 2002, Director of Arris Group, Inc.; Prior to 2001, Managing Partner at Equity Group Corporate Investments. Prior to 1995, Vice Chairman of Anixter International. Prior to 1985, experience includes Senior Vice President and Chief Financial Officer of Household International, Inc, Executive Vice President and Chief Financial Officer of Northwest Industries, Inc. and Partner of Arthur Andersen & Co. | 226 | Director of Quidel Corporation and Stericycle, Inc. Prior to May 2008, Trustee of The Scripps Research Institute. Prior to February 2008, Director of Ventana Medical Systems, Inc. Prior to April 2007, Director of GATX Corporation. Prior to April 2004, Director of TheraSense, Inc. | ||||||
Albert R. Dowden — 1941 Trustee | 2000 | Director of a number of public and private business corporations, including the Boss Group, Ltd. (private investment and management); Reich & Tang Funds (5 portfolios) (registered investment company); and Homeowners of America Holding Corporation/Homeowners of America Insurance Company (property casualty company) Formerly: Director, Continental Energy Services, LLC (oil and gas pipeline service); Director, CompuDyne Corporation (provider of product and services to the public security market) and Director, Annuity and Life Re (Holdings), Ltd. (reinsurance company); Director, President and Chief Executive Officer, Volvo Group North America, Inc.; Senior Vice President, AB Volvo; Director of various public and private corporations; Chairman, DHJ Media, Inc.; Director Magellan Insurance Company; and Director, The Hertz Corporation, Genmar Corporation (boat manufacturer), National Media Corporation; Advisory Board of Rotary Power International (designer, manufacturer, and seller of rotary power engines); and Chairman, Cortland Trust, Inc. (registered investment company) | 208 | Board of Nature’s Sunshine Products, Inc. | ||||||
Jack M. Fields — 1952 Trustee | 1997 | Chief Executive Officer, Twenty First Century Group, Inc. (government affairs company); and Owner and Chief Executive Officer, Dos Angelos Ranch, L.P. (cattle, hunting, corporate entertainment), Discovery Global Education Fund (non-profit) and Cross Timbers Quail Research Ranch (non-profit) Formerly: Chief Executive Officer, Texana Timber LP (sustainable forestry company) and member of the U.S. House of Representatives | 208 | Administaff | ||||||
Carl Frischling — 1937 Trustee | 1993 | Partner, law firm of Kramer Levin Naftalis and Frankel LLP | 208 | Director, Reich & Tang Funds (16 portfolios) | ||||||
Prema Mathai-Davis — 1950 Trustee | 1998 | Retired Formerly: Chief Executive Officer, YWCA of the U.S.A. | 208 | None | ||||||
Lewis F. Pennock — 1942 Trustee | 1993 | Partner, law firm of Pennock & Cooper | 208 | None | ||||||
Larry Soll — 1942 Trustee | 2004 | Retired Formerly, Chairman, Chief Executive Officer and President, Synergen Corp. (a biotechnology company) | 208 | None | ||||||
Hugo F. Sonnenschein — 1940 Trustee | 2010 | President Emeritus and Honorary Trustee of the University of Chicago and the Adam Smith Distinguished Service Professor in the Department of Economics at the University of Chicago. Prior to July 2000, President of the University of Chicago. | 226 | Trustee of the University of Rochester and a member of its investment committee. Member of the National Academy of Sciences, the American Philosophical Society and a fellow of the American Academy of Arts and Sciences | ||||||
Raymond Stickel, Jr. — 1944 Trustee | 2005 | Retired Formerly: Director, Mainstay VP Series Funds, Inc. (25 portfolios) and Partner, Deloitte & Touche | 208 | None | ||||||
T-2
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Russell C. Burk — 1958 Senior Vice President and Senior Officer | 2005 | Senior Vice President and Senior Officer of Invesco Funds | N/A | N/A | ||||||
John M. Zerr — 1962 Senior Vice President, Chief Legal Officer and Secretary | 2006 | Director, Senior Vice President, Secretary and General Counsel, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp., Senior Vice President, Invesco Advisers, Inc. formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Senior Vice President and Secretary, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Vice President and Secretary, Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and IVZ Distributors, Inc. (formerly known as INVESCO Distributors, Inc.); Director and Vice President, INVESCO Funds Group, Inc.; Senior Vice President, Chief Legal Officer and Secretary, The Invesco Funds; Manager, Invesco PowerShares Capital Management LLC; Director, Secretary and General Counsel, Van Kampen Asset Management; Director and Secretary, Van Kampen Advisors Inc.; Secretary and General Counsel, Van Kampen Funds Inc.; and Director, Vice President, Secretary and General Counsel, Van Kampen Investor Services Inc.; and Chief Legal Officer, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Fund Trust II, PowerShares India Exchange-Traded Fund Trust and PowerShares Actively Managed Exchange-Traded Fund Trust Formerly: Director, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Director, Senior Vice President, General Counsel and Secretary, Invesco Advisers, Inc.; Director, Vice President and Secretary, Fund Management Company; Director, Senior Vice President, Secretary, General Counsel and Vice President, Invesco Aim Capital Management, Inc.; Chief Operating Officer and General Counsel, Liberty Ridge Capital, Inc. (an investment adviser); Vice President and Secretary, PBHG Funds (an investment company) and PBHG Insurance Series Fund (an investment company); Chief Operating Officer, General Counsel and Secretary, Old Mutual Investment Partners (a broker-dealer); General Counsel and Secretary, Old Mutual Fund Services (an administrator) and Old Mutual Shareholder Services (a shareholder servicing center); Executive Vice President, General Counsel and Secretary, Old Mutual Capital, Inc. (an investment adviser); and Vice President and Secretary, Old Mutual Advisors Funds (an investment company) | N/A | N/A | ||||||
Lisa O. Brinkley — 1959 Vice President | 2004 | Global Compliance Director, Invesco Ltd.; Chief Compliance Officer, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc.(formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc.; and Vice President, The Invesco Funds Formerly: Senior Vice President, Invesco Management Group, Inc.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and The Invesco Funds; Vice President and Chief Compliance Officer, Invesco Aim Capital Management, Inc. and Invesco Distributors, Inc.; Vice President, Invesco Investment Services, Inc. and Fund Management Company | N/A | N/A | ||||||
Sheri Morris — 1964 Vice President, Treasurer and Principal Financial Officer | 1999 | Vice President, Treasurer and Principal Financial Officer, The Invesco Funds; and Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) Formerly: Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc.; Assistant Vice President and Assistant Treasurer, The Invesco Funds and Assistant Vice President, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Karen Dunn Kelley — 1960 Vice President | 1993 | Head of Invesco’s World Wide Fixed Income and Cash Management Group; Senior Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser) and Van Kampen Investments Inc.; Executive Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.); Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.); and Director, Invesco Mortgage Capital Inc.; Vice President, The Invesco Funds (other than AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust); President and Principal Executive Officer, The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust) and Short-Term Investments Trust only). Formerly: Vice President, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.); Director of Cash Management and Senior Vice President, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; President and Principal Executive Officer, Tax-Free Investments Trust; Director and President, Fund Management Company; Chief Cash Management Officer, Director of Cash Management, Senior Vice President, and Managing Director, Invesco Aim Capital Management, Inc.; Director of Cash Management, Senior Vice President, and Vice President, Invesco Advisers, Inc. and The Invesco Funds (AIM Treasurer’s Series Trust (Invesco Treasurer’s Series Trust), Short-Term Investments Trust and Tax-Free Investments Trust only) | N/A | N/A | ||||||
T-3
Number of | ||||||||||
Funds in | ||||||||||
Fund Complex | ||||||||||
Name, Year of Birth and | Trustee and/ | Principal Occupation(s) | Overseen by | Other Directorship(s) | ||||||
Position(s) Held with the Trust | or Officer Since | During Past 5 Years | Trustee | Held by Trustee | ||||||
Other Officers | ||||||||||
Lance A. Rejsek — 1967 Anti-Money Laundering Compliance Officer | 2005 | Anti-Money Laundering Compliance Officer, Invesco Advisers, Inc. (formerly known as Invesco Institutional (N.A.), Inc.) (registered investment adviser); Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.), The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, Van Kampen Asset Management, Van Kampen Investor Services Inc., and Van Kampen Funds Inc. Formerly: Anti-Money Laundering Compliance Officer, Fund Management Company, Invesco Advisers, Inc., Invesco Aim Capital Management, Inc. and Invesco Aim Private Asset Management, Inc. | N/A | N/A | ||||||
Todd L. Spillane — 1958 Chief Compliance Officer | 2006 | Senior Vice President, Invesco Management Group, Inc. (formerly known as Invesco Aim Management Group, Inc.), Van Kampen Investments Inc. and Van Kampen Exchange Corp.; Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. (registered investment adviser) (formerly known as Invesco Institutional (N.A.), Inc.); Chief Compliance Officer, The Invesco Funds, PowerShares Exchange-Traded Fund Trust, PowerShares Exchange-Traded Trust II, PowerShares India Exchange-Traded Fund Trust, PowerShares Actively Managed Exchange-Traded Fund Trust, INVESCO Private Capital Investments, Inc. (holding company), and Invesco Private Capital, Inc. (registered investment adviser); Vice President, Invesco Distributors, Inc. (formerly known as Invesco Aim Distributors, Inc.), Invesco Investment Services, Inc. (formerly known as Invesco Aim Investment Services, Inc.) and Van Kampen Investor Services Inc. Formerly: Senior Vice President and Chief Compliance Officer, Invesco Advisers, Inc. and Invesco Aim Capital Management, Inc.; Chief Compliance Officer, Invesco Global Asset Management (N.A.), Inc. and Invesco Senior Secured Management, Inc. (registered investment adviser); Vice President, Invesco Aim Capital Management, Inc. and Fund Management Company | N/A | N/A | ||||||
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Stradley Ronon Stevens & Young, LLP
2600 One Commerce Square
Philadelphia, PA 19103
Invesco Advisers, Inc.
1555 Peachtree Street, N.E.
Atlanta, GA 30309
Independent Trustees
Kramer, Levin, Naftalis & Frankel
LLP
1177 Avenue of the Americas
New York, NY 10036-2714
Invesco Distributors, Inc.
11 Greenway Plaza,
Suite 2500
Houston, TX 77046-1173
Invesco Investment Services,
Inc.
P.O. Box 4739
Houston, TX 77210-4739
PricewaterhouseCoopers LLP
1201 Louisiana Street,
Suite 2900
Houston, TX 77002-5678
State Street bank and Trust Company
225 Franklin
Boston, MA 02110-2801
T-4
Percentage of Fees | Percentage of Fees | |||||||||||||||
Billed Applicable to | Billed Applicable to | |||||||||||||||
Non-Audit Services | Non-Audit Services | |||||||||||||||
Provided for fiscal | Provided for fiscal | |||||||||||||||
Fees Billed for | year end 2010 | Fees Billed for | year end 2009 | |||||||||||||
Services Rendered to | Pursuant to Waiver of | Services Rendered to | Pursuant to Waiver of | |||||||||||||
the Registrant for | Pre-Approval | the Registrant for | Pre-Approval | |||||||||||||
fiscal year end 2010 | Requirement(1) | fiscal year end 2009 | Requirement(1) | |||||||||||||
Audit Fees | $ | 972,550 | N/A | $ | 556,364 | N/A | ||||||||||
Audit-Related Fees | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Tax Fees(2) | $ | 99,500 | 0 | % | $ | 75,879 | 0 | % | ||||||||
All Other Fees | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Total Fees | $ | 1,072,050 | 0 | % | $ | 632,243 | 0 | % |
(1) | With respect to the provision of non-audit services, the pre-approval requirement is waived pursuant to a de minimis exception if (i) such services were not recognized as non-audit services by the Registrant at the time of engagement, (ii) the aggregate amount of all such services provided is no more than 5% of the aggregate audit and non-audit fees paid by the Registrant to PWC during a fiscal year; and (iii) such services are promptly brought to the attention of the Registrant’s Audit Committee and approved by the Registrant’s Audit Committee prior to the completion of the audit. | |
(2) | Tax fees for the fiscal year end December 31, 2010 includes fees billed for reviewing tax returns. Tax fees for fiscal year end December 31, 2009 includes fees billed for reviewing tax returns and consultation services. |
Fees Billed for Non- | Fees Billed for Non- | |||||||||||||||
Audit Services | Audit Services | |||||||||||||||
Rendered to Invesco | Percentage of Fees | Rendered to Invesco | Percentage of Fees | |||||||||||||
and Invesco Affiliates | Billed Applicable to | and Invesco Affiliates | Billed Applicable to | |||||||||||||
for fiscal year end | Non-Audit Services | for fiscal year end | Non-Audit Services | |||||||||||||
2010 That Were | Provided for fiscal year | 2009 That Were | Provided for fiscal year | |||||||||||||
Required | end 2010 Pursuant to | Required | end 2009 Pursuant to | |||||||||||||
to be Pre-Approved | Waiver of Pre- | to be Pre-Approved | Waiver of Pre- | |||||||||||||
by the Registrant’s | Approval | by the Registrant’s | Approval | |||||||||||||
Audit Committee | Requirement(1) | Audit Committee | Requirement(1) | |||||||||||||
Audit-Related Fees | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Tax Fees | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
All Other Fees | $ | 0 | 0 | % | $ | 0 | 0 | % | ||||||||
Total Fees(2) | $ | 0 | 0 | % | $ | 0 | 0 | % |
(1) | With respect to the provision of non-audit services, the pre-approval requirement is waived pursuant to a de minimis exception if (i) such services were not recognized as non-audit services by the Registrant at the time of engagement, (ii) the aggregate amount of all such services provided is no more than 5% of the aggregate audit and non-audit fees paid by the Registrant, Invesco and Invesco Affiliates to PWC during a fiscal year; and (iii) such services are promptly brought to the attention of the Registrant’s Audit Committee and approved by the Registrant’s Audit Committee prior to the completion of the audit. | |
(2) | Including the fees for services not required to be pre-approved by the registrant’s audit committee, PWC billed Invesco and Invesco Affiliates aggregate non-audit fees of $0 for the fiscal year ended 2010, and $0 for the fiscal year ended 2009, for non-audit services rendered to Invesco and Invesco Affiliates. | |
The Audit Committee also has considered whether the provision of non-audit services that were rendered to Invesco and Invesco Affiliates that were not required to be pre-approved pursuant to SEC regulations, if any, is compatible with maintaining PWC’s independence. |
POLICIES AND PROCEDURES
As adopted by the Audit Committees of
the Invesco Funds (the “Funds”)
Last Amended May 4, 2010
1. | Describe in writing to the Audit Committees, which writing may be in the form of the proposed engagement letter: |
a. | The scope of the service, the fee structure for the engagement, and any side letter or amendment to the engagement letter, or any other agreement between the Auditor and the Fund, relating to the service; and | ||
b. | Any compensation arrangement or other agreement, such as a referral agreement, a referral fee or fee-sharing arrangement, between the Auditor and any person (other than the Fund) with respect to the promoting, marketing, or recommending of a transaction covered by the service; |
2. | Discuss with the Audit Committees the potential effects of the services on the independence of the Auditor; and | ||
3. | Document the substance of its discussion with the Audit Committees. |
• | Bookkeeping or other services related to the accounting records or financial statements of the audit client | ||
• | 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 service or product provided for a contingent fee or a commission | ||
• | Services related to marketing, planning, or opining in favor of the tax treatment of confidential transactions or aggressive tax position transactions, a significant purpose of which is tax avoidance | ||
• | Tax services for persons in financial reporting oversight roles at the Fund | ||
• | Any other service that the Public Company Oversight Board determines by regulation is impermissible. |
Not applicable. |
Investments in securities of unaffiliated issuers is included as part of the reports to stockholders filed under Item 1 of this Form. |
Not applicable. |
Not applicable. |
Not applicable. |
None |
(a) | As of December 14, 2010, an evaluation was performed under the supervision and with the participation of the officers of the Registrant, including the PEO and PFO, to assess |
the effectiveness of the Registrant’s disclosure controls and procedures, as that term is defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”), as amended. Based on that evaluation, the Registrant’s officers, including the PEO and PFO, concluded that, as of December 14, 2010, the Registrant’s disclosure controls and procedures were reasonably designed to ensure: (1) that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified by the rules and forms of the Securities and Exchange Commission; and (2) that material information relating to the Registrant is made known to the PEO and PFO as appropriate to allow timely decisions regarding required disclosure. | ||
(b) | There have been no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
12(a) (1) | Code of Ethics. | |
12(a) (2) | Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940. | |
12(a) (3) | Not applicable. | |
12(b) | Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(b) under the Investment Company Act of 1940. |
By: | /s/ PHILIP A. TAYLOR | |||
Philip A. Taylor | ||||
Principal Executive Officer |
By: | /s/ PHILIP A. TAYLOR | |||
Philip A. Taylor | ||||
Principal Executive Officer |
By: | /s/ Sheri Morris | |||
Sheri Morris | ||||
Principal Financial Officer |
12(a) (1) | Not applicable. | |
12(a) (2) | Certifications of principal executive officer and Principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940. | |
12(a) (3) | Not applicable. | |
12(b) | Certifications of principal executive officer and Principal financial officer as required by Rule 30a-2(b) under the Investment Company Act of 1940. |