Date of fiscal year end:

February 28

Date of reporting period:

May 31, 2011

ING Risk Managed Natural Resources Fund

Shares

Value

Percentage
of Net
Assets

COMMON STOCK: 99.5%

Australia: 0.2%

44,931

@

Mount Gibson Iron Ltd.

$

89,326

0.0

198,443

OneSteel Ltd.

400,938

0.1

10,200

Sims Group Ltd.

186,479

0.1

676,743

0.2

Brazil: 0.3%

29,200

Petroleo Brasileiro SA ADR ADR

1,011,196

0.3

Canada: 6.0%

21,700

Alamos Gold, Inc.

326,334

0.1

58,465

Barrick Gold Corp.

2,792,288

0.8

83,782

Canadian Natural Resources Ltd.

3,653,733

1.1

38,300

Centerra Gold, Inc.

703,659

0.2

35,700

Ensign Energy Services, Inc.

713,742

0.2

19,564

GoldCorp, Inc.

979,569

0.3

42,000

@

Harry Winston Diamond Corp.

740,424

0.2

25,500

@

Lundin Mining Corp.

189,503

0.1

37,635

Nexen, Inc.

869,369

0.3

75,900

Pengrowth Energy Corp.

1,001,121

0.3

107,680

@

Precision Drilling Corp.

1,671,194

0.5

82,800

@

Southern Pacific Resource Corp.

144,431

0.0

116,370

Suncor Energy, Inc.

4,875,903

1.5

27,482

Teck Cominco Ltd. - Class B

1,444,729

0.4

20,105,999

6.0

China: 0.3%

991,813

China Petroleum & Chemical Corp.

991,176

0.3

Italy: 0.2%

13,364

Tenaris S.A. ADR ADR

650,693

0.2

Japan: 0.2%

117,400

Mitsui OSK Lines Ltd.

629,527

0.2

Netherlands: 0.6%

28,727

Royal Dutch Shell PLC ADR - Class A ADR

2,051,970

0.6

Russia: 0.3%

16,534

Lukoil-Spon ADR

1,063,136

0.3

Switzerland: 0.3%

12,379

@

Transocean Ltd.

857,988

0.3

United Kingdom: 0.8%

29,515

Ensco International PLC ADR ADR

1,573,740

0.5

4,300

@

Randgold Resources Ltd. ADR ADR

352,428

0.1

10,884

Rio Tinto PLC ADR ADR

763,186

0.2

2,689,354

0.8

United States: 90.3%

23,150

Air Products & Chemicals, Inc.

2,201,334

0.6

8,700

Airgas, Inc.

600,996

0.2

14,650

AK Steel Holding Corp.

224,145

0.1

113,800

Alcoa, Inc.

1,912,978

0.6

11,400

Allegheny Technologies, Inc.

763,800

0.2

34,190

@

Alpha Natural Resources, Inc.

1,873,270

0.6

67,650

Anadarko Petroleum Corp.

5,379,528

1.6

80,691

Apache Corp.

10,054,099

3.0

51,988

Arch Coal, Inc.

1,553,921

0.5

67,371

Baker Hughes, Inc.

4,980,738

1.5

19,600

Ball Corp.

774,396

0.2

12,900

Bemis Co.

427,248

0.1

18,900

@

Bill Barrett Corp.

842,373

0.2

26,450

Cabot Oil & Gas Corp.

1,553,937

0.5

50,117

@

Cal Dive International, Inc.

326,262

0.1

45,950

@

Cameron International Corp.

2,189,977

0.6

8,100

CF Industries Holdings, Inc.

1,245,618

0.4

102,400

Chesapeake Energy Corp.

3,209,216

1.0

288,732

Chevron Corp.

30,290,874

9.0

4,100

Cimarex Energy Co.

393,313

0.1

25,100

Cliffs Natural Resources, Inc.

2,276,118

0.7

28,800

@

Coeur d’Alene Mines Corp.

794,016

0.2

221,236

ConocoPhillips

16,198,900

4.8

42,400

Consol Energy, Inc.

2,173,848

0.6

162,200

@

Denbury Resources, Inc.

3,561,912

1.1

57,700

Devon Energy Corp.

4,850,839

1.4

13,400

Diamond Offshore Drilling

987,178

0.3

14,100

Domtar Corp.

1,444,968

0.4

126,750

Dow Chemical Co.

4,579,478

1.4

99,950

EI Du Pont de Nemours & Co.

5,327,335

1.6

8,150

Eastman Chemical Co.

862,678

0.3

26,150

Ecolab, Inc.

1,435,112

0.4

130,450

El Paso Corp.

2,745,972

0.8

63,350

EOG Resources, Inc.

6,914,019

2.1

17,500

EQT Corp.

948,150

0.3

510,747

S

ExxonMobil Corp.

42,632,052

12.7

8,300

FMC Corp.

700,105

0.2

50,500

@

FMC Technologies, Inc.

2,253,815

0.7

102,706

Freeport-McMoRan Copper & Gold, Inc.

5,303,738

1.6

150,121

Halliburton Co.

7,528,568

2.2

12,400

Helmerich & Payne, Inc.

777,232

0.2

78,400

Hess Corp.

6,195,952

1.8

9,300

International Flavors & Fragrances, Inc.

595,758

0.2

109,480

International Paper Co.

3,417,966

1.0

Shares

Value

Percentage
of Net
Assets

United States: (continued)

97,600

Marathon Oil Corp.

$

5,286,992

1.6

39,050

Massey Energy Co.

2,577,300

0.8

23,200

@

McMoRan Exploration Co.

427,344

0.1

19,400

MeadWestvaco Corp.

659,988

0.2

58,200

Monsanto Co.

4,134,528

1.2

63,000

Murphy Oil Corp.

4,340,070

1.3

61,600

@

Nabors Industries Ltd.

1,718,024

0.5

105,425

National Oilwell Varco, Inc.

7,651,746

2.3

15,700

@

Newfield Exploration Co.

1,171,063

0.3

88,650

Newmont Mining Corp.

5,014,524

1.5

29,500

@

Noble Corp.

1,235,165

0.4

28,050

Noble Energy, Inc.

2,614,260

0.8

34,850

Nucor Corp.

1,475,549

0.4

83,050

Occidental Petroleum Corp.

8,956,943

2.7

11,300

Overseas Shipholding Group

308,603

0.1

18,700

@

Owens-Illinois, Inc.

600,644

0.2

46,100

Peabody Energy Corp.

2,828,696

0.8

46,900

@

PetroHawk Energy Corp.

1,241,443

0.4

30,900

Pioneer Natural Resources Co.

2,837,238

0.8

17,850

PPG Industries, Inc.

1,583,295

0.5

22,050

Praxair, Inc.

2,333,772

0.7

20,600

QEP Resources, Inc.

896,100

0.3

55,750

Range Resources Corp.

3,117,540

0.9

39,950

@

Rowan Cos., Inc.

1,584,017

0.5

248,107

Schlumberger Ltd.

21,267,732

6.3

18,800

Sealed Air Corp.

482,784

0.1

10,100

Sherwin-Williams Co.

887,184

0.3

13,600

Sigma-Aldrich Corp.

955,944

0.3

52,000

@

Southwestern Energy Co.

2,276,040

0.7

101,879

Spectra Energy Corp.

2,810,842

0.8

57,600

Sunoco, Inc.

2,332,224

0.7

52,700

@

Tesoro Corp.

1,285,880

0.4

33,200

@

Tetra Technologies, Inc.

452,848

0.1

12,350

Titanium Metals Corp.

231,315

0.1

9,804

@

Unit Corp.

564,612

0.2

16,350

United States Steel Corp.

753,898

0.2

146,600

Valero Energy Corp.

4,031,500

1.2

14,800

Vulcan Materials Co.

599,252

0.2

71,400

@

Weatherford International Ltd.

1,411,578

0.4

96,750

Williams Cos., Inc.

3,036,983

0.9

303,279,192

90.3

Total Common Stock

(Cost $243,671,079)

334,006,974

99.5

# of
Contracts

Value

Percentage
of Net
Assets

PURCHASED OPTIONS: 1.1%

Options on Indices: 1.1%

54,787

@

Put on Basic Industries Select Sector Index, Strike @ 393.270, Exp. 07/15/11 Counterparty: Citigroup, Inc.

$

264,296

0.1

54,721

@

Put on Basic Industries Select Sector Index, Strike @ 384.370, Exp. 08/19/11 Counterparty: Citigroup, Inc.

364,460

0.1

57,599

@

Put on Basic Industries Select Sector Index, Strike @ 377.860, Exp. 06/17/11 Counterparty: Goldman Sachs & Co.

62,840

0.0

118,547

@

Put on Energy Select Sector Index, Strike @ 709.610, Exp. 08/19/11 Counterparty: Citigroup, Inc.

1,564,234

0.4

117,093

@

Put on Energy Select Sector Index, Strike @ 736.030, Exp. 07/15/11 Counterparty: Citigroup, Inc.

1,309,427

0.4

120,939

@

Put on Energy Select Sector Index, Strike @ 719.690, Exp. 06/17/11 Counterparty: Goldman Sachs & Co.

373,334

0.1

3,938,591

1.1

Total Purchased Options

(Cost $10,592,422)

3,938,591

1.1

Total Long-Term Investments

(Cost $254,263,501)

337,945,565

100.6

Shares

Value

Percentage
of Net
Assets

SHORT-TERM INVESTMENTS: 0.9%

Mutual Funds: 0.9%

2,880,000

BlackRock Liquidity Funds,TempFund, Institutional Class

(Cost $2,880,000)

2,880,000

0.9

Total Short-Term Investments

(Cost $2,880,000)

2,880,000

0.9

Total Investments in Securities
(Cost $257,143,501)*

$

340,825,565

101.5

Liabilities in Excess of Other Assets

(5,130,374)

(1.5)

Net Assets

$

335,695,191

100.0

@

Non-income producing security

ADR

American Depositary Receipt

S

All or a portion of this security has been identified by the Fund to cover future collateral requirements for applicable futures, options, swaps, foreign currency contracts and/or when-issued or delayed-delivery securities.

*

Cost for federal income tax purposes is $261,767,809.

Net unrealized appreciation consists of:

Gross Unrealized Appreciation

$

91,744,996

Gross Unrealized Depreciation

(12,687,240)

Net Unrealized appreciation

$

79,057,756

Industry

Percentage of
Net Assets

Energy

80.3%

Industrials

0.2

Materials

18.9

Options on Indices

1.2

Short-Term Investments

0.9

Other Assets and Liabilities - Net

(1.5)

Net Assets

100.0%

Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)

Significant
Other
Observable
Inputs #
(Level 2)

Significant
Unobservable
Inputs
(Level 3)

Fair Value
at
5/31/2011

Asset Table

Investments, at value

Common Stock

Australia

$

—

$

676,743

$

—

$

676,743

Brazil

1,011,196

—

—

1,011,196

Canada

20,105,999

—

—

20,105,999

China

—

991,176

—

991,176

Italy

650,693

—

—

650,693

Japan

—

629,527

—

629,527

Netherlands

2,051,970

—

—

2,051,970

Russia

1,063,136

—

—

1,063,136

Switzerland

857,988

—

—

857,988

United Kingdom

2,336,926

352,428

—

2,689,354

United States

303,279,192

—

—

303,279,192

Total Common Stock

331,357,100

2,649,874

—

334,006,974

Purchased Options

—

3,938,591

—

3,938,591

Short-Term Investments

2,880,000

—

—

2,880,000

Total Investments, at value

$

334,237,100

$

6,588,465

$

—

$

340,825,565

Liabilities Table

Other Financial Instruments+

Written OTC Options

$

—

$

(5,520,778)

$

—

$

(5,520,778)

Total Liabilities

$

—

$

(5,520,778)

$

—

$

(5,520,778)

Beginning
Balance

Accrued
Discounts/

Total
Realized

Total
Unrealized
Appreciation/

Transfers
Into

Transfers
Out of

Ending
Balance

2/28/2011

Purchases

Sales

(Premiums)

Gain/(Loss)

(Depreciation)

Level 3

Level 3

5/31/2011

Asset Table

Investments, at value

Positions In Purchased Options

$

3,294,874

$

—

$

—

$

—

$

(3,294,874)

$

—

$

—

$

—

$

—

Total Investments, at value

$

3,294,874

$

—

$

—

$

—

$

(3,294,874)

$

—

$

—

$

—

$

—

Liabilities Table

Other Financial Instruments+:

Written options

(6,633,292)

—

—

—

6,633,292

—

—

—

—

Total Liabilities

$

(6,633,292)

$

—

$

—

$

—

$

6,633,292

$

—

$

—

$

—

$

—

+

Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument.

#

The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a significant portion of the Portfolio’s investments are categorized as Level 2 investments.

There were no significant transfers between Level 1 and 2 during the period ended May 31, 2011.

Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any security or derivative instrument where a change in the pricing level occurred from the beginning to the end of the period. It is the policy of the Portfolio to recognize transfers at the end of the reporting period.

# of
Contracts

Counterparty

Description

Exercise
Price

Expiration
Date

Premiums
Received

Fair Value

Options on Indices

114,904

Citigroup, Inc.

Call on Basic Industries Select Sector Index

404.60 USD

06/17/11

$

1,102,747

$

(1,825,002)

248,942

Citigroup, Inc.

Call on Energy Select Sector Index

769.37 USD

06/17/11

2,121,686

(3,695,776)

Total Written OTC Options

$

3,224,433

$

(5,520,778)

(Registrant):   ING Risk Managed Natural Resources Fund

By

/s/ Shaun P. Mathews

Shaun P. Mathews

President and Chief Executive Officer

Date:

July 25, 2011

By

/s/ Shaun P. Mathews

Shaun P. Mathews

President and Chief Executive Officer

Date:

July 25, 2011