6-month

12-month  

  US large cap equities

  (S&P 500^® Index)

  US small cap equities

  (Russell 2000^® Index)

  International equities

  (MSCI Europe,

  Australasia, Far

  East Index)

  Emerging market

  equities (MSCI

  Emerging Markets Index)

  3-month Treasury bill

  (BofA Merrill Lynch

  3-Month Treasury

  Bill Index)

  US Treasury securities

  (BofA Merrill Lynch

  10-Year US

  Treasury Index)

  US investment grade

  bonds (Barclays

  Capital US Aggregate

  Bond Index)

  Tax-exempt municipal

  bonds (Barclays

  Capital Municipal Bond Index)

  US high yield bonds

  (Barclays Capital US

  Corporate High Yield

  2% Issuer Capped

  Index)

For the 12 months ended October 31, 2011, the Trust returned (0.41)% based on market price and 8.33% based on net asset value (“NAV”). For the same period, the Russell 1000^® Value Index returned 6.16%. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion of relative performance based on NAV pertains to the Russell 1000^® Value Index.

The largest contributor to performance was the Trust’s option writing strategy, as relatively low volatility for the majority of the trailing 12 months benefited the collection of call premium. The Trust’s underweight position and strong stock selection in financials added significantly to performance as well. Underweight positions in the diversified financial services and capital markets industries proved beneficial as the largest US retail and investment banks struggled amid more rigorous regulatory oversight and continued deleveraging. Stock selection in information technology and consumer discretionary also added to performance. High-quality, consistent dividend growers in the technology space proved particularly beneficial as International Business Machines Corp. and Microsoft Corp. continued to gain valuable market share. In consumer discretionary, VF Corp. delivered significant outperformance as a result of the firm’s acquisition of The Timberland Co.

Stock selection and the Trust’s underweight in the health care sector were the largest detractors from relative performance during the period, as the Trust’s holdings in the pharmaceuticals industry rallied less sharply than did the health care providers & services stocks represented in the Russell 1000^® Value Index. Stock selection in consumer staples, particularly in household products, hindered returns. In materials, an overweight in metals & mining detracted from performance as the industry declined amid recent fears of slowing global growth. Stock selection in energy and an underweight in information technology (“IT”) modestly detracted from performance as well during the period.

Trust management continues to focus on dividend-paying stocks that are exhibiting strong earnings growth, have globally diverse revenue streams and have offered excellent dividend growth and sustainability over time.

These companies are typically operating in the lowest quartile of production cost and are industry leaders that have the advantage of being able to market top-selling brands. Amid recent equity market volatility, stock correlations have elevated to all-time highs. Equity markets have focused more on the macroeconomic backdrop than on individual company fundamentals, which has provided Trust management the opportunity to increase the quality of the portfolio.

Consistent with the Trust’s long-term investment objective, the portfolio is positioned to continue to generate current income while producing market-equivalent or better total returns from a portfolio of higher-quality stocks. Equity markets remain remarkably volatile as macroeconomic headwinds involving Europe’s debt crisis, partisan politics, high rates of unemployment and the general uncertainty regarding a sustainable economic recovery continue to leave investors uneasy. Despite these concerns, the companies held in the portfolio continue to report strong earnings and remain optimistic, although cautious, about their prospects for growth in the future. This is a result of cleaner balance sheets, lower debt levels and the ability of companies to operate with higher degrees of efficiency. However, the combination of high sovereign debt levels and increasing austerity measures should serve to keep a lid on global growth rates in the near term. Earnings-per-share growth was quite strong coming out of the most recent recession (i.e., since 2009), but Trust management expects to see a moderation in earnings growth rates going forward. Management believes that a defensive stance is warranted in a world of extraordinary volatility and ongoing global macroeconomic concerns. The equity income asset class is an attractive option for investors who seek relative protection and require income. In the current environment, management will continue to place less of an emphasis on cyclical companies and exhibit a higher level of commitment to firms that have a proven ability to do well in all stages of an economic cycle.

On September 12, 2011, the Board approved a plan of reorganization, subject to shareholder approval and certain other conditions, whereby BlackRock Enhanced Equity Dividend Trust will acquire substantially all of the assets and assume certain stated liabilities of the Trust in exchange for newly issued shares of BlackRock Enhanced Equity Dividend Trust.

  Ten Largest Holdings

Chevron Corp.

BHP Billiton Ltd. - ADR

JPMorgan Chase & Co.

Exxon Mobil Corp.

Caterpillar, Inc.

Wells Fargo & Co.

International Business Machines Corp.

Deere & Co.

Philip Morris International, Inc.

McDonald’s Corp.

  Sector Allocations

Financials

Industrials

Energy

Consumer Staples

Materials

Consumer Discretionary

Utilities

Telecommunication Services

Health Care

Information Technology

For the 12 months ended October 31, 2011, the Trust returned (10.20)% based on market price and 6.88% based on NAV. For the same period, the Russell 1000^® Value Index returned 6.16%. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion of relative performance based on NAV pertains to the Russell 1000^® Value Index.

The largest contributor to performance was the Trust’s option writing strategy, as relatively low volatility for the majority of the trailing 12 months benefited the collection of call premium. The Trust’s underweight position and strong stock selection in financials significantly boosted returns as well. Underweight positions in the diversified financial services and capital markets industries proved beneficial as the largest US retail and investment banks struggled amid more rigorous regulatory oversight and continued deleveraging. Stock selection in information technology also added modestly to performance during the period.

Stock selection in industrials was the largest detractor from relative performance during the period as holdings in the machinery and aerospace & defense industries hurt returns. Stock selection and an underweight in the health care sector also hampered performance, as the Trust’s holdings in the pharmaceuticals industry rallied less sharply than did the health care providers & services stocks represented in the Russell 1000^® Value Index. The Trust’s stock selection in consumer staples and energy also hindered returns. In materials, an overweight in metals & mining detracted from performance as the industry declined amid recent fears of slowing global growth.

Trust management continues to focus on dividend-paying stocks that are exhibiting strong earnings growth, have globally diverse revenue streams and have offered excellent dividend growth and sustainability over time. These companies are typically operating in the lowest quartile of production cost and are industry leaders that have the advantage of being able to market top-selling brands. Amid recent equity market volatility, stock correlations have elevated to all-time highs. Equity markets have focused more on the macroeconomic backdrop than on individual company fundamentals, which has provided Trust management the opportunity to increase the quality of the portfolio.

Consistent with the Trust’s long-term investment objective, the portfolio is positioned to continue to generate current income while producing market-equivalent or better total returns from a portfolio of higher-quality stocks. Equity markets remain remarkably volatile as macroeconomic headwinds involving Europe’s debt crisis, partisan politics, high rates of unemployment and the general uncertainty regarding a sustainable economic recovery continue to leave investors uneasy. Despite these concerns, the companies held in the portfolio continue to report strong earnings and remain optimistic, although cautious, about their prospects for growth in the future. This is a result of cleaner balance sheets, lower debt levels and the ability of companies to operate with higher degrees of efficiency. However, the combination of high sovereign debt levels and increasing austerity measures should serve to keep a lid on global growth rates in the near term. Earnings-per-share growth was quite strong coming out of the most recent recession (i.e., since 2009), but Trust management expects to see a moderation in earnings growth rates going forward. Management believes that a defensive stance is warranted in a world of extraordinary volatility and ongoing global macroeconomic concerns. The equity income asset class is an attractive option for investors who seek relative protection and require income. In the current environment, management will continue to place less of an emphasis on cyclical companies and exhibit a higher level of commitment to firms that have a proven ability to do well in all stages of an economic cycle.

On September 12, 2011, the Board approved plans of reorganization, subject to shareholder approval and certain other conditions, whereby the Trust will acquire substantially all of the assets and assume certain stated liabilities of BlackRock Equity Dividend Trust and BlackRock Strategic Equity Dividend Trust in exchange for newly issued shares of the Trust.

  Ten Largest Holdings

Chevron Corp.

BHP Billiton Ltd. - ADR

JPMorgan Chase & Co.

Exxon Mobil Corp.

Caterpillar, Inc.

Wells Fargo & Co.

International Business Machines Corp.

Deere & Co.

Philip Morris International, Inc.

McDonald’s Corp.

  Sector Allocations

Industrials

Financials

Energy.

Consumer Staples

Materials

Utilities

Consumer Discretionary

Telecommunication Services

Health Care

Information Technology

For the 12 months ended October 31, 2011, the Trust returned 4.14% based on market price and 8.31% based on NAV. For the same period, the Russell Mid Cap^® Index returned 7.85%. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion of relative performance based on NAV pertains to the Russell Mid Cap^® Index.

The largest contributor to performance was the Trust’s option writing strategy, as relatively low volatility for the majority of the trailing 12 months benefited the collection of call premium. Industry allocation in the utilities and IT sectors also benefited performance. In particular, an overweight in the gas utilities industry boosted returns, as did underweight positions in internet software & services and office electronics, as each of these IT industries suffered double-digit declines during the period. Stock selection within consumer discretionary and financials also added modestly to performance.

Detracting from performance for the period was stock selection in the utilities sector, specifically within the multi-utilities and water utilities industries. The Trust’s underweight in the energy sector hurt relative performance. Zero exposure to oil, gas & consumable fuels stocks was particularly detrimental as the industry performed strongly during the period. Stock selection in industrials and materials also had a negative impact, as did an overweight in financials.

Trust management continues to focus on dividend-paying stocks that are exhibiting strong earnings growth, have globally diverse revenue streams and have offered excellent dividend growth and sustainability over time. Amid recent equity market volatility, stock correlations have elevated to all-time highs. Equity markets have focused more on the macroeconomic backdrop than on individual company fundamentals, which has provided Trust management the opportunity to increase the quality of the portfolio.

Consistent with the Trust’s long-term objective, the portfolio is positioned to continue to generate current income while producing market-equivalent or better total returns from a portfolio of higher-quality stocks. Equity markets remain remarkably volatile as macroeconomic headwinds involving Europe’s debt crisis, partisan politics, high rates of unemployment and the general uncertainty regarding a sustainable economic recovery continue to leave investors uneasy. Despite these concerns, the companies held in the portfolio continue to report strong earnings and remain optimistic, although cautious, about their prospects for growth in the future. This is a result of cleaner balance sheets, lower debt levels and the ability of companies to operate with higher degrees of efficiency. However, the combination of high sovereign debt levels and increasing austerity measures should serve to keep a lid on global growth rates in the near term. Earnings-per-share growth was quite strong coming out of the most recent recession (i.e., since 2009), but Trust management expects to see a moderation in earnings growth rates going forward. Management believes that a defensive stance is warranted in a world of extraordinary volatility and ongoing global macroeconomic concerns. The equity income asset class is an attractive option for investors who seek relative protection and require income. In the current environment, management will continue to place less of an emphasis on cyclical companies and exhibit a higher level of commitment to firms that have a proven ability to do well in all stages of an economic cycle.

On September 12, 2011, the Board approved a plan of reorganization, subject to shareholder approval and certain other conditions, whereby BlackRock Enhanced Equity Dividend Trust will acquire substantially all of the assets and assume certain stated liabilities of the Trust in exchange for newly issued shares of BlackRock Enhanced Equity Dividend Trust.

  Ten Largest Holdings

Hormel Foods Corp.

Polaris Industries, Inc.

Stanley Black & Decker, Inc.

NSTAR.

New Jersey Resources Corp.

Northeast Utilities

Roper Industries, Inc.

Cincinnati Financial Corp.

Aqua America, Inc.

Pentair, Inc.

  Sector Allocations

Financials

Utilities

Industrials

Consumer Staples

Consumer Discretionary

Materials

Information Technology

Health Care

Energy

Telecommunication Services

For the 12 months ended October 31, 2011, the Trust returned (18.45)% based on market price and (2.13)% based on NAV. For the same period, the closed-end Lipper Sector Equity Funds category posted an average return of 7.36% based on market price and 8.33% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

Weakness in the portfolio predominantly came from the Trust’s allocation to renewable developers and manufacturers within the New Energy segment. These holdings have been challenged during the 12-month period by pricing pressures due to increased capacity from the Asian market.

The strongest contribution to returns came from the Trust’s Water Resources segment. The segment benefited from heightened mergers & acquisitions (“M&A”) activity, including bids for both Nalco Holding Co. and Northumbrian Water Group Plc (and the latter being acquired). Positive performance also came from several US-based water utilities as investors sought out defensive, dividend-paying equities with improving fundamentals. The Trust also benefited from good performance by a

number of agricultural holdings, including Monsanto Co. and Syngenta AG. Agricultural stocks performed positively based an improved outlook from rising farm incomes. In addition, the Trust’s option-writing strategy had a positive impact on returns.

During the 12-month period, Trust management reduced the Trust’s exposure to the fertilizer sector in the Agriculture business segment. In New Energy, the team rotated the portfolio away from sub-sectors that are more dependent on government support, such as renewable developers and manufacturers, and increased the Trust’s weighting in energy efficiency companies. As of period end, the Trust’s cash and cash equivalents was 9%. Elevated cash levels, which positively contributed to performance, were due to near-term uncertainty over the market outlook.

At period end, the Trust held large positions in both the Agriculture business and Water Resources segments, as the outlook for these segments continues to look attractive. Improving profitability in agriculture should translate into increased spending on farming inputs. The water resources segment continues to look attractive as these strong dividend payers benefited from demand for yield coupled with increased M&A activity.

  Ten Largest Holdings

Monsanto Co.

Syngenta AG

Cia de Saneamento de Minas Gerais

Agrium, Inc.

BrasilAgro - Companhia Brasileira de Propriedades AG

Potash Corp. of Saskatchewan, Inc.

Severn Trent Plc

Aqua America, Inc.

Manila Water Co., Inc.

Pennon Group Plc

  Industry Allocations

Water Utilities

Chemicals

Food Products

Machinery

Electric Utilities

Electrical Equipment

Real Estate Investment Trusts (REITs)

Oil, Gas & Consumable Fuels

Commercial Services & Supplies

Construction & Engineering

Materials

Electronic Equipment, Instruments, & Components

Multi-Utilities

Independent Power Producers & Energy Traders

Other³

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

For the 12 months ended October 31, 2011, the Trust returned 10.95% based on market price and 16.09% based on NAV. For the same period, the closed-end Lipper Sector Equity Funds category posted an average return of 7.36% based on market price and 8.33% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

The Trust’s holdings in oil & gas exploration & production were the largest contributors to returns. Performance benefited directly from BHP Billiton’s acquisition of Petrohawk Energy Corp., and several natural gas-oriented names including Range Resources Corp., Brigham Exploration Co., EQT Corp. and Cabot Oil & Gas Corp., which were able to add economically viable reserves in a depressed natural gas price environment. Contributing to performance during the period was the Trust’s allocation to the lower beta (less market-sensitive) oil & gas storage & transportation segment, which generally held up well given the market volatility and the macroeconomic-driven environment of the third quarter. Natural gas transmission name El Paso Corp. also performed particularly well. The Trust’s holdings in oil & gas equipment & services names contributed to returns, with National Oilwell Varco, Inc. and Core Laboratories NV notably strong. In addition, the Trust’s option-writing strategy had a positive impact on returns.

Coal producers were among the worst performers in the broader market. Despite significant acquisition-related gains in Massey Energy Co., Alpha Natural Resources, Inc., James River Coal Co. and Peabody Energy Corp., these stocks had negative effects on returns.

Early in the 12-month period, Trust management added select natural gas-oriented holdings as these particular stocks lagged their more oil-oriented peers and offered attractive prices. In the second half of the period, the team continued adding to select natural gas positions amid further market weakness.

As of period end, the Trust continues to favor coal, oil and gas producers. The Trust’s largest concentrations are in oil & gas exploration & production, oil & gas equipment & services, coal & consumable fuels and oil & gas storage & transportation. From a fundamental standpoint, the team’s base case remains unchanged, and it believes that oil prices are supported above $90 per barrel. The possibility remains that prices will move higher in the coming years as spare capacity of the Organization of the Petroleum Exporting Countries continues to come out of the system. Chinese coal imports look poised to accelerate in the fourth quarter as inventory levels are extremely low. To the extent that 2010’s weather-related supply issues repeat themselves, Trust management would expect global prices to quickly accelerate to record levels. As a result, the team expects coal to be the leadership area of the sector as the market regains its footing.

  Ten Largest Holdings

Whiting Petroleum Corp.

Range Resources Corp.

Alpha Natural Resources, Inc.

Occidental Petroleum Corp.

Anadarko Petroleum Corp.

Brigham Exploration Co.

EQT Corp.

National Oilwell Varco, Inc.

Royal Dutch Shell Plc, Class A - ADR

Cheniere Energy, Inc.

  Industry Allocations

Oil, Gas & Consumable Fuels

Energy Equipment & Services

Metals & Mining

Construction & Engineering

Gas Utilities

Pipelines

Transportation

For the 12 months ended October 31, 2011, the Trust returned (10.93)% based on market price and (2.55)% based on NAV. For the same period, the MSCI All Country World Index posted a return of 0.43%. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion of relative to performance based on NAV pertains to the MSCI All Country World Index.

The largest relative underperformance came from the energy sector, with the Trust’s overweight position in coal producers and underweight in oil-related stocks detracting from performance. Coal producers consolidated previous gains, while the oil-related stocks re-rated on an unexpected increase in crack spreads (the differential between the price of crude oil and petroleum products extracted from it) early in 2011. Stock selection in financials had a negative impact as the Trust’s holdings of banks and exchange operators tied to the emerging markets underperformed as a result of inflationary pressures and tighter policy conditions. The Trust’s exposures to IT and materials also underperformed.

Aiding returns was stock selection in the utilities sector and the Trust’s positions in industrials and consumer staples. From an allocation perspective, an underweight in financials was also a positive contributor during the 12-month period. In addition, the Trust’s option overwrites on approximately half of its portfolio holdings had a positive impact on returns.

In an effort to bring down the Trust’s overall economic sensitivity, exposures were paired back in the industrials and materials sectors. The proceeds from these transactions helped close the underweight position in the integrated oil & gas industry, as well as move the Trust to overweights in consumer staples and IT industry.

Trust management’s current strategy is similar to the one held in place earlier in 2011. The portfolio is positioned to have modest overweights/ underweights with economic sensitivities similar to that of the MSCI All Country World Index. As of period end, the Trust’s largest underweights were in the industrials and materials sectors, while the largest over-weights were in IT and consumer staples.

  Ten Largest Holdings

Exxon Mobil Corp.

Royal Dutch Shell Plc, Class A - ADR

HSBC Holdings Plc

Pfizer, Inc.

The Procter & Gamble Co.

Apple, Inc.

JPMorgan Chase & Co.

Vodafone Group Plc - ADR

Google, Inc., Class A

Schlumberger Ltd.

  Geographic Allocations

United States

United Kingdom

Germany

Japan

Netherlands

Canada

France

Switzerland

South Korea

Hong Kong

Brazil

China

Spain

Other³

Other includes a 1% holding or less in each of the following countries; for 10/31/11, Australia, Thailand, Norway, Denmark, Italy, Belgium, Ireland, Mexico, South Africa, Singapore, Luxembourg, Columbia, Taiwan, Israel and Indonesia and for 10/31/10, Norway, Mexico, Netherlands, Thailand, Sweden, South Africa, Ireland, Indonesia, Denmark, Finland, Belgium, Taiwan, India and Malaysia.

For the 12 months ended October 31, 2011, the Trust returned 3.26% based on market price and 6.43% based on NAV. For the same period, the Russell 3000 Healthcare Index returned 10.06%. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

Stock selection in the biotechnology, health care equipment, health care services and health care distributors were the largest detractors from performance relative to the Russell 3000 Healthcare Index. From an allocation perspective, the Trust’s overweight position in health care equipment & supplies hampered performance, as this was the worst-performing industry within the index.

Key contributors to performance during the 12-month period were stock selection in the pharmaceuticals, health care facilities and life sciences tools & services. The Trust’s underweight exposure to pharmaceuticals was also beneficial, as the segment trailed the index’s return during the period. In addition, the Trust’s option overwrites on approximately one-third of its portfolio holdings had a positive impact on returns.

During the 12-month period, the Trust’s exposures to the health care providers & services and the health care equipment & supplies industries were reduced, with the proceeds going primarily to pharmaceuticals. Overall the Trust was positioned more defensively with less sensitivity to economic conditions.

At period end, the portfolio’s approximate allocation (and relative overweight/underweight) was 17% in medical devices (4% underweight), 17% in health care providers & services (4% underweight), 35% in pharmaceuticals (9% underweight) and 18% in biotechnology (4% overweight). The Trust’s cash and cash equivalents was elevated at period end due to the sale of several holdings prior to fiscal year end. In addition, the Trust typically holds cash as collateral for writing put options.

Trust management holds a relatively neutral view on health care and recognizes the defensive characteristics of the sector in down markets, even if prices are somewhat muted due to near-term government budget cut fears and flat health care consumption in developed markets.

  Ten Largest Holdings

Johnson & Johnson

Allergan, Inc.

Pfizer, Inc.

Roche Holding AG

Cardinal Health, Inc.

Aetna, Inc.

Celgene Corp.

Amgen, Inc.

Bristol-Myers Squibb Co.

Biogen Idec, Inc.

  Industry Allocations

Pharmaceuticals

Biotechnology

Health Care Providers & Services

Health Care Equipment & Supplies

Life Sciences Tools & Services

Machinery

Health Care Technology

Chemicals

For the 12 months ended October 31, 2011, the Trust returned (14.07)% based on market price and (4.55)% based on NAV. For the same period, the benchmark MSCI All Country World Index ex-US returned (4.66)%. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV pertains to the MSCI All Country World Index.

Relative to the MSCI All Country World Index ex-US, stock selection in the industrials sector contributed to performance, as did the Trust’s positions in IT and consumer discretionary. From an allocation perspective, underweights in financials, materials and utilities were also positive contributors during the 12-month period. In addition, the Trust’s option overwrites on approximately half its portfolio holdings had a positive impact on returns.

The largest relative underperformance came from the energy sector, with the Trust’s overweight position in coal producers and underweight in oil-related stocks detracting from performance. Coal producers consolidated previous gains, while the oil-related stocks re-rated on an unexpected

increase in crack spreads (the differential between the price of crude oil and petroleum products extracted from it) early in 2011. Despite being underweight in financials, stock selection was challenged within the sector. Banks and exchange operators tied to the emerging markets underperformed similar benchmark index holdings as a result of inflationary pressures and tighter policy conditions. The Trust’s exposure to telecommunication services also underperformed.

As Trust management aimed to reduce economic sensitivity, the Trust trimmed positions in the industrials and materials sectors. The Trust closed its underweight exposure to financials and gradually moved to a modest overweight. During the period, the Trust held cash for transactional liquidity and risk management purposes. The Trust’s cash and cash equivalents did not have a material impact on performance.

Trust management has reduced the economic cyclicality in the portfolio. To counterbalance this, new positions were initiated in IT, where there seems to be growth potential in mission-critical software companies and semiconductors. As of period end, the Trust is modestly overweight in the financials, IT and telecommunication services sectors, while the largest underweights are in materials, industrials and energy.

  Ten Largest Holdings

iShares MSCI EAFE Index Fund

Royal Dutch Shell Plc, Class A - ADR

HSBC Holdings Plc

Vodafone Group Plc - ADR

Danone SA

ASML Holding NV

Nestle SA

Telefonica SA

National Grid Plc

Singapore Telecommunications Ltd.

  Geographic Allocations

United Kingdom

Japan

Germany

Netherlands

France

Canada

Switzerland

United States

Hong Kong

South Korea

Australia

Brazil

China

Italy

Singapore

Ireland

Taiwan

Spain

Mexico

Denmark

Sweden

Other³

Other includes a 1% holding or less in each of the following countries; for 10/31/11, Norway, Israel, South Africa, Belgium, Bermuda, Luxembourg, India, Columbia, Indonesia, Thailand and Gibraltar and for 10/31/10, Norway, Indonesia, South Africa, United States, Thailand, Malaysia, Belgium, Ireland and Finland.

For the 12 months ended October 31, 2011, the Trust returned (4.64)% based on market price and 0.58% based on NAV. For the same period, the closed-end Lipper Sector Equity Funds category posted an average return of 7.36% based on market price and 8.33% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

The largest contribution to absolute returns was the Trust’s investment in the energy sector, particularly in oil & gas exploration & production, integrated oil & gas and oil & gas equipment & services. The Trust’s allocation to basic materials segment also benefited returns, especially in chemicals and machinery. In addition, the Trust’s option-writing strategy had a positive impact on returns.

The Trust’s investment in the metals & mining segment was the largest source of weakness, particularly in diversified metals. However, the Trust’s investments in precious metals & minerals held up better in the volatile, macroeconomic environment that encompassed the majority of the 12-month period.

Early in the 12-month period, Trust management added select natural gas-oriented holdings (within the energy sector) as these particular stocks lagged their more oil-oriented peers and offered attractive prices. In the second half of the period, the team continued adding to select natural gas positions amid further market weakness. The basic materials sector remained relatively unchanged. Additions were made to E.I. du Pont de Nemours & Co. and Cliffs Natural Resources, Inc. in the fourth quarter of 2010 and International Paper Co. in the second quarter of 2011. The team initiated positions in two compelling gold companies during the period, IAMGOLD Corp. and Detour Gold Corp. Trust management also invested in Glencore International Plc, a major commodities marketer and producer which listed in May 2011. The Trust’s nickel exposure shifted during the period, with the sale of Minara Resources Ltd.

At period end, the Trust’s allocation to metals (41%) was biased toward diversified and base metals, and also had material exposure to gold and other precious metals. Holdings in the energy sector (32%) were concentrated oil & gas exploration & production, coal producers, integrated oil & gas and oil & gas equipment & services names. In the basic materials sector (21%), the Trust had allocations to chemicals, machinery and paper & forest products.