Date of fiscal year end:

February 28

Date of reporting period:

May 31, 2012

ING Risk Managed Natural Resources Fund

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

as of May 31, 2012 (Unaudited)

Shares

Value

Percentage
of Net
Assets

COMMON STOCK: 93.0%

Energy: 74.1%

24,091

@

Alpha Natural Resources, Inc.

$

 252,474

0.1

92,674

Anadarko Petroleum Corp.

5,653,114

2.1

48,543

Apache Corp.

3,950,429

1.5

92,588

Arch Coal, Inc.

587,008

0.2

63,596

Baker Hughes, Inc.

2,653,861

1.0

57,600

@

Basic Energy Services, Inc.

653,184

0.3

66,627

BG Group PLC

1,283,963

0.5

49,830

Cabot Oil & Gas Corp.

1,621,468

0.6

95,392

@

Cameron International Corp.

4,358,460

1.6

96,673

Chesapeake Energy Corp.

1,633,774

0.6

278,378

Chevron Corp.

27,367,341

10.3

22,307

Cimarex Energy Co.

1,188,294

0.5

128,323

ConocoPhillips

6,693,328

2.5

39,843

Consol Energy, Inc.

1,118,791

0.4

86,069

@

Denbury Resources, Inc.

1,301,363

0.5

81,868

Devon Energy Corp.

4,872,783

1.8

12,561

Diamond Offshore Drilling

730,799

0.3

34,800

@

Energy XXI Bermuda Ltd.

1,080,540

0.4

12,115

@

Ensco PLC

544,085

0.2

61,383

EOG Resources, Inc.

6,095,332

2.3

46,570

EQT Corp.

2,159,917

0.8

442,147

ExxonMobil Corp.

34,766,019

13.0

47,050

@

FMC Technologies, Inc.

1,893,292

0.7

36,800

@

Forum Energy Technologies, Inc.

790,464

0.3

48,400

@

FX Energy, Inc.

235,708

0.1

221,496

Halliburton Co.

6,658,170

2.5

11,737

Helmerich & Payne, Inc.

531,686

0.2

55,182

Hess Corp.

2,411,453

0.9

84,000

@

Key Energy Services, Inc.

832,440

0.3

56,562

Kinder Morgan, Inc./Delaware

1,933,859

0.7

15,100

@

Laredo Petroleum Holdings, Inc.

317,855

0.1

101,699

Marathon Oil Corp.

2,533,322

1.0

38,093

Marathon Petroleum Corp.

1,374,014

0.5

41,027

Murphy Oil Corp.

1,912,679

0.7

58,272

@

Nabors Industries Ltd.

789,586

0.3

106,018

National Oilwell Varco, Inc.

7,076,701

2.7

46,817

@

Newfield Exploration Co.

1,402,637

0.5

27,592

@

Noble Corp.

862,802

0.3

26,408

Noble Energy, Inc.

2,230,420

0.8

86,876

Occidental Petroleum Corp.

6,886,660

2.6

23,100

Patterson-UTI Energy, Inc.

349,272

0.1

43,447

Peabody Energy Corp.

1,014,922

0.4

65,162

@

Phillips 66

1,956,815

0.7

30,578

Pioneer Natural Resources Co.

2,956,893

1.1

19,459

QEP Resources, Inc.

512,161

0.2

62,229

Range Resources Corp.

3,574,434

1.3

86,800

@

Rowan Companies PLC

2,604,000

1.0

38,727

Royal Dutch Shell PLC - Class A ADR

2,408,045

0.9

212,582

Schlumberger Ltd.

13,445,811

5.0

108,803

@

Southwestern Energy Co.

3,049,748

1.2

95,828

Spectra Energy Corp.

2,751,222

1.0

83,600

Statoil ASA ADR

1,897,720

0.7

27,901

Sunoco, Inc.

1,296,001

0.5

9,554

Technip S.A.

874,858

0.3

47,874

@

Tesoro Corp.

1,058,973

0.4

52,669

Trican Well Services Ltd.

624,165

0.2

29,700

@

Unit Corp.

1,181,763

0.5

84,937

Valero Energy Corp.

1,792,171

0.7

91,577

Williams Cos., Inc.

2,795,846

1.1

21,775

@

WPX Energy, Inc.

319,439

0.1

197,704,334

74.1

Materials: 18.9%

19,304

Air Products & Chemicals, Inc.

1,525,788

0.6

7,001

Airgas, Inc.

607,757

0.2

101,924

Alcoa, Inc.

871,450

0.3

10,914

Allegheny Technologies, Inc.

350,558

0.1

25,110

Antofagasta PLC

389,325

0.1

15,649

Ball Corp.

625,490

0.2

10,914

Bemis Co., Inc.

331,349

0.1

21,300

Centerra Gold, Inc.

222,517

0.1

6,281

CF Industries Holdings, Inc.

1,073,800

0.4

43,396

Cliffs Natural Resources, Inc.

2,073,461

0.8

14,000

Domtar Corp.

1,107,540

0.4

63,883

Dow Chemical Co.

1,984,206

0.7

13,796

Eastman Chemical Co.

642,342

0.2

27,746

Ecolab, Inc.

1,753,825

0.7

85,297

EI Du Pont de Nemours & Co.

4,116,433

1.5

14,002

FMC Corp.

713,682

0.3

177,093

Freeport-McMoRan Copper & Gold, Inc.

5,674,060

2.1

32,964

GoldCorp, Inc.

1,194,286

0.5

41,800

@

Harry Winston Diamond Corp.

518,832

0.2

8,134

International Flavors & Fragrances, Inc.

458,595

0.2

41,799

International Paper Co.

1,220,531

0.5

17,400

MeadWestvaco Corp.

478,500

0.2

49,006

Monsanto Co.

3,783,263

1.4

43,707

Mosaic Co/The

2,083,950

0.8

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

as of May 31, 2012 (Unaudited) (continued)

Shares

Value

Percentage
of Net
Assets

Materials: (continued)

96,948

Newmont Mining Corp.

$

 4,572,068

1.7

30,423

Nucor Corp.

1,087,926

0.4

17,811

@

Owens-Illinois, Inc.

348,027

0.1

13,600

Packaging Corp. of America

364,888

0.1

14,465

PPG Industries, Inc.

1,496,260

0.6

27,335

Praxair, Inc.

2,904,070

1.1

9,300

Randgold Resources Ltd. ADR

737,955

0.3

20,591

Sealed Air Corp.

322,249

0.1

8,443

Sherwin-Williams Co.

1,094,550

0.4

11,737

Sigma-Aldrich Corp.

814,196

0.3

60,382

Teck Cominco Ltd. - Class B

1,799,987

0.7

71,413

@

Thompson Creek Metals Co., Inc.

244,947

0.1

10,450

Titanium Metals Corp.

119,966

0.1

15,186

United States Steel Corp.

308,276

0.1

13,281

Vulcan Materials Co.

460,187

0.2

50,477,092

18.9

Total Common Stock

(Cost $243,858,812)

248,181,426

93.0

WARRANTS: 0.0%

Energy: 0.0%

85,558

@

Kinder Morgan, Inc.

195,074

0.0

Total Warrants

(Cost $70,486)

195,074

0.0

# of Contracts

Value

Percentage
of Net
Assets

PURCHASED OPTIONS: 5.1%

Options on Indices: 5.1%

1,117,785

@

Put on Energy Select Sector SPDR Index, Strike @ 60.730, Exp. 06/15/12 Counterparty: Goldman Sachs & Co.

$

682,863

0.3

1,076,577

@

Put on Energy Select Sector SPDR Index, Strike @ 65.500, Exp. 06/15/12 Counterparty: UBS Warburg LLC

2,966,510

1.1

1,057,139

@

Put on Energy Select Sector SPDR Index, Strike @ 70.990, Exp. 06/15/12 Counterparty: UBS Warburg LLC

8,149,678

3.0

545,177

@

Put on Materials Select Sector SPDR Fund, Strike @ 31.120, Exp. 06/15/12 Counterparty: Goldman Sachs & Co.

96,950

0.0

532,345

@

Put on Materials Select Sector SPDR Fund, Strike @ 35.250, Exp. 06/15/12 Counterparty: UBS Warburg LLC

951,724

0.4

508,771

@

Put on Materials Select Sector SPDR Fund, Strike @ 34.660, Exp. 06/15/12 Counterparty: UBS Warburg LLC

689,039

0.3

13,536,764

5.1

Total Purchased Options

(Cost $5,980,649)

13,536,764

5.1

Total Long-Term Investments

(Cost $249,909,947)

261,913,264

98.1

Shares

Value

Percentage
of Net
Assets

SHORT-TERM INVESTMENTS: 1.0%

Mutual Funds: 1.0%

2,574,924

BlackRock Liquidity Funds, TempFund, Institutional Class

(Cost $2,574,924)

$

2,574,924

1.0

Total Short-Term Investments

(Cost $2,574,924)

2,574,924

1.0

Total Investments in Securities
(Cost $252,484,871)

$

 264,488,188

99.1

Assets in Excess of Other Liabilities

2,344,741

0.9

Net Assets

$

 266,832,929

100.0

@

Non-income producing security

ADR

American Depositary Receipt

Cost for federal income tax purposes is $255,235,636.

Net unrealized appreciation consists of:

Gross Unrealized Appreciation

$

32,491,176

Gross Unrealized Depreciation

(23,238,624)

Net Unrealized Appreciation

$

9,252,552

PORTFOLIO OF INVESTMENTS

ING Risk Managed Natural Resources Fund

as of May 31, 2012 (Unaudited) (continued)

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

Significant
Other
Observable
Inputs #
(Level 2)

Significant
Unobservable
Inputs
(Level 3)

Fair Value
at
5/31/2012

Asset Table

Investments, at value

Common Stock

Energy

$

195,545,513

$

2,158,821

$

—

$

197,704,334

Materials

49,349,812

1,127,280

—

50,477,092

Total Common Stock

244,895,325

3,286,101

—

248,181,426

Warrants

195,074

—

—

195,074

Purchased Options

—

13,536,764

—

13,536,764

Short-Term Investments

2,574,924

—

—

2,574,924

Total Investments, at value

$

247,665,323

$

16,822,865

$

—

$

264,488,188

#

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 Fund 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 Fund’s investments are categorized as Level 2 investments.

There were no significant transfers between Level 1 and 2 during the period ended May 31, 2012.

Item 2. Controls and Procedures.

(a)

Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-Q are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-Q and the officer certifications of such Form N-Q.

(b)

There were no significant changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

(Registrant):   ING Risk Managed Natural Resources Fund

By

/s/ Shaun P. Mathews

Shaun P. Mathews

President and Chief Executive Officer

Date:

July 27, 2012

By

/s/ Shaun P. Mathews

Shaun P. Mathews

President and Chief Executive Officer

Date:

July 27, 2012

By

/s/ Todd Modic

Todd Modic

Senior Vice President and Chief Financial Officer

Date:

July 27, 2012