Notional Value ($)
Unrealized Appreciation ($)
At June 30, 2014, open futures contracts purchased were as follows:
Futures S&P 500 E‐Mini Index
United States Dollar
For information on the Fund's policy and additional disclosures regarding futures contracts, please refer to Note B in the accompanying Notes to Financial Statements.
Fair Value Measurements
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.
The following is a summary of the inputs used as of June 30, 2014 in valuing the Fund's investments.
Common Stocks (e) Government & Agency Obligation Short‐Term Investments (e)
$607,177,362 $ — 35,792,333
—$ 699,928 —
Derivatives (f) Futures Contracts
33,560 $643,003,255 $
— 699,928 $
There have been no transfers between fair value measurement levels during the period ended June 30, 2014.
See Investment Portfolio for additional detailed categorizations.
Derivatives include unrealized appreciation (depreciation) on open futures contracts.
The accompanying notes are an integral part of the financial statements.
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