N-CSRS 1 d369381dncsrs.htm GE INVESTMENTS - CERTIFIED SHAREHOLDER REPORT GE Investments - Certified Shareholder Report
Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04041

 

 

GE INVESTMENTS FUNDS, INC.

(Exact name of registrant as specified in charter)

 

 

1600 SUMMER STREET, STAMFORD, CONNECTICUT 06905

(Address of principal executive offices) (Zip code)

GE ASSET MANAGEMENT, INC.

1600 SUMMER STREET, STAMFORD, CONNECTICUT 06905

(Name and address of agent for service)

Registrant’s telephone number, including area code: 800-242-0134

Date of fiscal year end: 12/31

Date of reporting period: 06/30/12

Table of Contents
ITEM 1. REPORTS TO STOCKHOLDERS.

Table of Contents
 

GE Investments Funds, Inc.

U.S. Equity Fund

Semi-Annual Report

June 30, 2012

 

LOGO

Table of Contents

GE Investments Funds, Inc.

U.S. Equity Fund    Contents

 

 

Fund Information

     1   

Understanding Your Fund’s Expenses

      2   

Schedule of Investments

      3   

Notes to Schedule of Investments

      6   

Financial Statements

   

Financial Highlights

      7   

Statement of Assets and Liabilities

      8   

Statement of Operations

      9   

Statements of Changes in Net Assets

      10   

Notes to Financial Statements

      11   

Additional Information

      17   

Investment Team

      21   

 

This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.

Table of Contents
U.S. Equity Fund    (Unaudited)

Fund Information

 

Notes to Performance

Total return performance shown in this report for the GE Investments U.S. Equity Fund (the “Fund”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call 800-493-3042 or visit the Fund’s website at http://www.geam.com for the most recent month-end performance data.

An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.

Investment Profile

A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of U.S. companies, such as common and preferred stocks. A U.S. company is a company that generates at least 50% of its revenues or profits from business activities in the U.S., has at least 50% of its assets situated in the U.S., or has the principal trading market for its securities in the U.S.

 

Sector Allocation

as a % of Fair Value of $30,639 (in thousands) on June 30, 2012(a)(b)

 

 

LOGO

Top Ten Largest Holdings

as of June 30, 2012 as a % of Fair Value(a)(b)(c)

 

Apple Inc.

      4.29%   

Express Scripts Holding Co.

      2.95%   

Covidien PLC

      2.80%   

Microsoft Corp.

      2.60%   

Wells Fargo & Co.

      2.34%   

United Parcel Service Inc.

      2.29%   

Cisco Systems Inc.

      2.29%   

Chevron Corp.

      2.20%   

PepsiCo Inc.

      2.08%   

Time Warner Inc.

      1.99%   
 

 

(a) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.
(b) Fair value basis is inclusive of the short-term investment in GE Institutional Money Market Fund Investment Class.
(c) The figures presented to not include the Fund’s entire investment portfolio and may change at any time.
* Less than 0.01%.

GE Investment Distributors, Inc., Member of FINRA & SIPC, is the principal underwriter and distributor of the GE Investments Funds, Inc. and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Fund.

 

1

Table of Contents
U.S. Equity Fund    (Unaudited)

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2012.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses Paid During Period” to estimate the expenses paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.

 

January 1, 2012 - June 30, 2012

 

        Account value at the
beginning of the period  ($)		        Account value at the
end of the period  ($)		        Expenses paid
during the period ($)*		  

Actual Fund Return*

        1,000.00           1,086.50           4.05   

Hypothetical 5% Return (2.5% for the period)

        1,000.00           1,020.98           3.92   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.78% (for the period January 1, 2012 - June 30, 2012), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

2

Table of Contents

U.S. Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

U.S. Equity Fund

 

     Number
of Shares		      Fair Value         

Common Stock — 93.1%†

  

Advertising — 0.7%

  

   

Omnicom Group Inc.

      4,347       $ 211,264      

Aerospace & Defense — 1.4%

  

   

Honeywell International Inc.

      7,672         428,404      

Agricultural Products — 1.3%

  

   

Archer-Daniels-Midland Co.

      13,700         404,424      

Air Freight & Logistics — 2.4%

  

   

FedEx Corp.

      310         28,399      

United Parcel Service Inc.

      8,910         701,752      
        730,151      

Application Software — 0.4%

  

   

Intuit Inc.

      1,946         115,495      

Asset Management & Custody Banks — 4.3%

  

   

Ameriprise Financial Inc.

      9,013         471,019      

Invesco Ltd.

      19,103         431,728      

State Street Corp.

      9,067         404,751         (c ) 
            1,307,498      

Automobile Manufacturers — 0.2%

  

   

Ford Motor Co.

      6,211         59,563      

Biotechnology — 2.1%

  

   

Amgen Inc.

      6,293         459,641      

Gilead Sciences Inc.

      3,768         193,223         (a ) 
        652,864      

Broadcasting — 1.1%

  

   

CBS Corp.

      2,319         76,017      

Discovery Communications Inc.

      5,010         250,951         (a ) 
        326,968      

Cable & Satellite — 3.2%

  

   

Comcast Corp.

      14,272         456,276      

DIRECTV

      5,548         270,853         (a ) 

Liberty Global Inc.

      5,426         259,092         (a ) 
        986,221      

Casinos & Gaming — 0.4%

  

   

Las Vegas Sands Corp.

      3,105         135,036      

Communications Equipment — 3.9%

  

   

Cisco Systems Inc.

      40,836         701,154      

Qualcomm Inc.

      8,736         486,420      
        1,187,574      
     Number
of Shares		      Fair Value         

Computer Hardware — 4.3%

  

   

Apple Inc.

      2,252       $ 1,315,168         (a ) 

Construction & Farm Machinery & Heavy Trucks — 0.6%

  

   

Caterpillar Inc.

      538         45,682      

Deere & Co.

      1,656         133,921      
        179,603      

Consumer Finance — 1.3%

  

   

American Express Co.

      6,885         400,776      

Data Processing & Outsourced Services — 3.8%

  

   

Paychex Inc.

      8,281         260,106      

The Western Union Co.

      33,346         561,547      

Visa Inc.

      2,733         337,881      
            1,159,534      

Department Stores — 0.4%

  

   

Macy’s Inc.

      3,727         128,022      

Diversified Chemicals — 0.3%

  

   

EI du Pont de Nemours & Co.

      1,656         83,744      

Diversified Financial Services — 3.5%

  

   

Citigroup Inc.

      9,510         260,669      

JPMorgan Chase & Co.

      3,022         107,976      

Wells Fargo & Co.

      21,447         717,188      
        1,085,833      

Diversified Metals & Mining — 0.9%

  

   

Freeport-McMoRan Copper & Gold Inc.

      7,730         263,361      

Drug Retail — 0.4%

  

   

CVS Caremark Corp.

      2,774         129,629      

Electric Utilities — 1.2%

  

   

Exelon Corp.

      3,105         116,810      

FirstEnergy Corp.

      4,852         238,670      
        355,480      

Electrical Components & Equipment — 0.3%

  

   

Cooper Industries PLC

      1,366         93,134      

Fertilizers & Agricultural Chemicals — 1.2%

  

   

Monsanto Co.

      3,395         281,038      

Potash Corporation of Saskatchewan Inc.

      2,194         95,856      
        376,894      

General Merchandise Stores — 1.1%

  

   

Target Corp.

      5,850         340,412      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

3

Table of Contents

U.S. Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value         

Healthcare Equipment — 3.1%

  

   

Covidien PLC

      16,056       $ 858,996      

Medtronic Inc.

      2,692         104,261      
        963,257      

Healthcare Facilities — 0.3%

  

   

HCA Holdings Inc.

      2,691         81,887      

Healthcare Services — 2.9%

  

   

Express Scripts Holding Co.

      16,213         905,172         (a ) 

Heavy Electrical Equipment — 0.2%

  

   

ABB Ltd. ADR

      3,643         59,454      

Home Building — 0.7%

  

   

MDC Holdings Inc.

      6,409         209,382      

Home Furnishing Retail — 0.5%

  

   

Bed Bath & Beyond Inc.

      2,608         161,174         (a ) 

Home Improvement Retail — 2.0%

  

   

Lowe’s Companies Inc.

      21,157         601,705      

Independent Power Producers & Energy Traders — 0.9%

  

   

Calpine Corp.

      6,086         100,480         (a ) 

The AES Corp.

      12,835         164,673         (a ) 
        265,153      

Industrial Machinery — 0.9%

  

   

Dover Corp.

      4,265         228,647      

Eaton Corp.

      1,035         41,017      
        269,664      

Insurance Brokers — 0.3%

  

   

Marsh & McLennan Companies Inc.

      2,774         89,406      

Integrated Oil & Gas — 4.3%

  

   

Chevron Corp.

      6,380         673,090      

Exxon Mobil Corp.

      1,780         152,315         (d ) 

Hess Corp.

      2,153         93,548      

Occidental Petroleum Corp.

      4,658         399,517      
            1,318,470      

Integrated Telecommunication Services — 0.2%

  

   

AT&T Inc.

      2,070         73,816      

Internet Retail — 0.4%

  

   

Amazon.com Inc.

      518         118,285         (a ) 
     Number
of Shares		      Fair Value         

Internet Software & Services — 2.7%

  

   

Baidu Inc. ADR

      2,960       $ 340,341         (a ) 

eBay Inc.

      9,730         408,757         (a ) 

Google Inc.

      124         71,929         (a ) 
        821,027      

Investment Banking & Brokerage — 1.1%

  

   

The Goldman Sachs Group Inc.

      3,416         327,458      

IT Consulting & Other Services — 0.7%

  

   

International Business Machines Corp.

      1,159         226,677      

Life & Health Insurance — 0.6%

  

   

MetLife Inc.

      2,277         70,245      

Prudential Financial Inc.

      2,070         100,250      
        170,495      

Life Sciences Tools & Services — 1.3%

  

   

Agilent Technologies Inc.

      7,515         294,889      

PerkinElmer Inc.

      4,554         117,493      
        412,382      

Managed Healthcare — 0.1%

  

   

UnitedHealth Group Inc.

      787         46,040      

Movies & Entertainment — 2.7%

  

   

The Walt Disney Co.

      4,720         228,920      

Time Warner Inc.

      15,808         608,608      
              837,528      

Multi-Line Insurance — 0.4%

  

   

American International Group Inc.

      2,789         89,499         (a ) 

Hartford Financial Services Group Inc.

      1,739         30,659      
        120,158      

Oil & Gas Equipment & Services — 1.7%

  

   

Schlumberger Ltd.

      7,991         518,696      

Oil & Gas Exploration & Production — 1.6%

  

   

Anadarko Petroleum Corp.

      6,579         435,530      

Southwestern Energy Co.

      2,277         72,705         (a ) 
        508,235      

Oil & Gas Refining & Marketing — 0.2%

  

   

Marathon Petroleum Corp.

      1,408         63,247      

Oil & Gas Storage & Transportation — 0.2%

  

   

The Williams Companies Inc.

      1,739         50,118      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

4

Table of Contents

U.S. Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value         

Packaged Foods & Meats — 1.9%

  

   

Kraft Foods Inc.

      13,766       $ 531,643      

Nestle S.A. ADR

      994         59,382      
        591,025      

Pharmaceuticals — 3.9%

  

   

Bristol-Myers Squibb Co.

      7,622         274,011      

Johnson & Johnson

      4,140         279,698      

Novartis AG ADR

      787         43,993      

Pfizer Inc.

      26,146         601,358      
            1,199,060      

Property & Casualty Insurance — 1.4%

  

   

ACE Ltd.

      5,987         443,816      

Real Estate Services — 0.3%

  

   

CBRE Group Inc.

      5,507         90,095         (a ) 

Regional Banks — 0.9%

  

   

Regions Financial Corp.

      40,343         272,315      

Reinsurance — 0.2%

  

   

PartnerRe Ltd.

      745         56,374      

Research & Consulting Services — 0.3%

  

   

Nielsen Holdings N.V.

      3,354         87,942         (a ) 

Semiconductors — 2.8%

  

   

Altera Corp.

      1,656         56,039      

Analog Devices Inc.

      1,656         62,381      

Intel Corp.

      16,934         451,291      

Texas Instruments Inc.

      10,115         290,199      
        859,910      

Soft Drinks — 2.6%

  

   

Coca-Cola Enterprises Inc.

      6,086         170,651      

PepsiCo Inc.

      9,026         637,777      
        808,428      

Specialized Finance — 1.0%

  

   

CME Group Inc.

      1,201         322,000      

Specialized REITs — 0.9%

  

   

American Tower Corp.

      4,140         289,427      

Specialty Stores — 0.4%

  

   

Dick’s Sporting Goods Inc.

      2,815         135,120      

Steel — 0.4%

  

   

Allegheny Technologies Inc.

      3,727         118,854      
     Number
of Shares		      Fair Value         

Systems Software — 4.5%

  

   

Microsoft Corp.

      26,059       $ 797,145      

Oracle Corp.

      19,501         579,180      
        1,376,325      

Tobacco — 0.9%

  

   

Altria Group Inc.

      7,958         274,949      

Total Common Stock
(Cost $26,039,272)

           28,601,578      

Exchange Traded Funds — 1.6%

  

         

Financial Select Sector SPDR Fund

      6,768         98,948         (f ) 

Industrial Select Sector SPDR Fund

      10,966         391,157         (f ) 

Total Exchange Traded Funds
(Cost $451,837)

         490,105      

Other Investments — 0.1%

  

GEI Investment Fund
(Cost $6,663)

         7,196         (e ) 

Total Investments in Securities
(Cost $26,497,772)

         29,098,879      

Short-Term Investments — 5.0%

  

GE Institutional Money Market
Fund — Investment
Class 0.04%
(Cost $1,540,451)

         1,540,451         (b,e ) 

Total Investments
(Cost $28,038,223)

         30,639,330      

Other Assets and Liabilities,
net — 0.2%

         71,655      
     

 

 

     

NET ASSETS — 100.0%

       $ 30,710,985      
     

 

 

     

Other Information

  

The Fund had the following long futures contracts open at June 30, 2012 (Unaudited):

 

Description    Expiration
date		     Number
of
Contracts		     Current
Notional
Value		     Unrealized
Appreciation		  

S&P 500 Emini Index Futures

      September 2012        14      $ 949,480      $ 4,438   
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

5

Table of Contents
Notes to Schedule of Investments    June 30, 2012 (Unaudited)

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities information regarding holdings, allocations and other characteristics are presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a) Non-income producing security.

 

(b) Coupon amount represents effective yield.

 

(c) State Street Corp. is the parent company of State Street Bank & Trust Co., the Fund’s custodian and accounting agent.

 

(d) At June 30, 2012 , all or a portion of this security was pledged to cover collateral requirements for futures, options, forward foreign currency contracts and/or TBA’s.
(e) GE Asset Management, the investment adviser of the Fund, also serves as investment adviser of the GEI Investment Fund and the GE Institutional Money Market Fund. The GEI Investment Fund has been determined to be illiquid using procedures established by the Board of Directors.

 

(f) Sponsored by SSgA Funds Management, Inc., an affiliate of State Street Bank & Trust Co., the Fund’s custodian and accounting agent.

 

* Less than 0.05%.

 

† Percentages are based on net assets as of June 30, 2012 .

Abbreviations:

 

ADR

    American Depository Receipt

REIT

    Real Estate Investment Trust

SPDR

    Standard & Poors Depository Receipts
 

 

6

Table of Contents

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

 

 

     CLASS 1  
     6/30/12†     12/31/11     12/31/10     12/31/09     12/31/08     12/31/07  
Inception date      —        —        —        —        —        1/3/95   

Net asset value,
beginning of period

    $ 30.74      $ 31.92      $ 29.23      $ 22.44      $ 36.41      $ 39.02   

Income/(loss)
from
investment
operations:

             

Net investment
income

     0.17        0.24        0.28 **      0.30        0.37        0.45   

Net realized and unrealized
gains/(losses) on invest
ments

      2.49        (1.17 )      2.72        6.80        (13.52 )      2.70   

Total income/(loss)
from
investment
operations

      2.66        (0.93 )      3.00        7.10        (13.15 )      3.15   

Less distributions
from:

             

Net investment
income

      —        0.25        0.31        0.31        0.36        0.44   

Net realized
gains

      —        —        —        —        0.46        5.32   

Total distributions

      —        0.25        0.31        0.31        0.82        5.76   

Net asset value,
end of period

    $ 33.40      $ 30.74      $ 31.92      $ 29.23      $ 22.44      $ 36.41   

TOTAL RETURN(a)

      8.65 %      (2.91 )%      10.26 %      31.63 %      (36.05 )%      8.01 % 

RATIOS/
SUPPLE
MENTAL
DATA:

             

Net assets,
end of period
(in thousands)

    $ 30,711      $ 30,940      $ 38,305      $ 41,792      $ 37,917      $ 77,777   

Ratios to
average
net assets:

             

Net invest
ment
income

      0.97 %*      0.70 %      0.96 %      1.11 %      1.03 %      0.94 % 

Net Expenses

      0.78 %(b)*      0.89 %(b)      0.69 %(b)      0.86 %(b)      0.72 %(b)      0.66 % 

Gross expenses

      0.78 %*      0.90 %      0.69 %      0.86 %      0.72 %      0.66 % 

Portfolio turnover rate

      45 %      39 %      42 %      46 %      56 %      55 % 

Notes to Financial Highlights

 

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(b) Reflects GE Asset Management’s waiver of a portion of the Fund’s management fee in an amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund or, prior to 2011, in another affiliated Money Market Fund formerly managed by GEAM.
* Annualized for periods less than one year.
** Per share values have been calculated using the average share method.
† Unaudited.

 

The accompanying Notes are an integral part of these financial statements.

 

7

Table of Contents

Statement of Assets and Liabilities

June 30, 2012

     (Unaudited)  

ASSETS

     

Investments in securities, at Fair Value (cost $26,491,109)

        $29,091,683   

Investments in affiliated securities, at Fair Value (cost $6,663)

        7,196   

Short-term affiliated investments (at amortized cost)

        1,540,451   

Foreign cash (cost $200)

        203   

Receivable for investments sold

        314,945   

Income receivables

        20,672   

Variation margin receivable

        26,354   

Other assets

        1,208   

Total assets

        31,002,712   

LIABILITIES

     

Payable for investments purchased

        228,346   

Payable for fund shares redeemed

        7,402   

Payable to GEAM

        13,473   

Accrued other expenses

        42,506   

Total liabilities

        291,727   

NET ASSETS

        $30,710,985   

NET ASSETS CONSIST OF:

     

Capital paid in

        34,175,269   

Undistributed net investment income

        153,591   

Accumulated net realized loss

        (6,223,423 ) 

Net unrealized appreciation on:

     

Investments

        2,601,107   

Futures

        4,438   

Foreign currency related transactions

        3   

NET ASSETS

        $30,710,985   

Class 1

     

Net Assets

        30,710,985   

Shares outstanding( $.001 par value; unlimited shares authorized)

        919,554   

Net asset value per share

        $33.40   

 

The accompanying Notes are an integral part of these financial statements.

 

8

Table of Contents

Statement of Operations

For the period ending June 30, 2012

     (Unaudited)  

INVESTMENT INCOME

     

Income:

     

Dividend

        $279,863   

Interest

        788   

Interest from affiliated investments

        181   

Less: Foreign taxes withheld

        (2,150 ) 

Total Income

        278,682   

Expenses:

     

Advisory and administration fees

        88,278   

Director’s fees

        662   

Custody and accounting expenses

        16,427   

Professional fees

        9,206   

Other expenses

        9,948   

Total expenses before waiver and reimbursement

        124,521   

Less: Expenses waived or borne by the adviser

        (390 ) 

Net expenses

        124,131   

Net investment income

        154,551   

NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS

     

Realized gain (loss) on:

     

Investments

        2,008,498   

Futures

        33,672   

Foreign currency related transactions

        (85 ) 

Increase (decrease) in unrealized appreciation/(depreciation) on:

     

Investments

        499,247   

Futures

        (5,339 ) 

Foreign currency related transactions

        2   

Net realized and unrealized gain on investments

        2,535,995   

Net increase in net assets resulting from operations

      $ 2,690,546   

 

The accompanying Notes are an integral part of these financial statements.

 

9

Table of Contents
Statements of Changes in Net Assets          
        Six months ended
June 30,
2012*		      Year Ended
December 31,
2011		  

INCREASE (DECREASE) IN NET ASSETS

        

Operations:

        

Net investment income

        $     154,551         $     243,965   

Net realized gain on investments, futures and foreign currency transactions

        2,042,085         2,538,831   

Net increase (decrease) in unrealized appreciation / (depreciation) on investments, futures and foreign currency transaction

        493,910         (3,704,644 ) 

Net increase (decrease) from operations

        2,690,546         (921,848 ) 

Distributions to shareholders from :

        

Net investment income

        

Class 1

        —         (249,303 ) 

Class 4**

        —         —   

Total distributions

        —         (249,303 ) 

Increase (decrease) in net assets from operations and distributions

        2,690,546         (1,171,151 ) 

Share transactions :

        

Proceeds from sale of shares

        

Class 1

        146,984         509,995   

Class 4**

        —         —   

Value of distributions reinvested

        

Class 1

        —         249,303   

Class 4**

        —         —   

Cost of shares redeemed

        

Class 1

        (3,066,443 )       (6,952,804 ) 

Class 4**

        —         (10,163 ) 

Net decrease from share transactions

        (2,919,459 )       (6,203,669 ) 

Total decrease in net assets

        (228,913 )       (7,374,820 ) 

NET ASSETS

        

Beginning of period

        30,939,898         38,314,718   

End of period

        $30,710,985         $30,939,898   

Undistributed (distribution in excess of)
net investment income, end of period

        $    153,591         $         (960)   

CHANGES IN FUND SHARES

        

Class 1

        

Shares sold

        4,455         15,638   

Issued for distributions reinvested

        —         8,171   

Shares redeemed

        (91,521 )       (217,371 ) 

Net decrease in fund shares

        (87,066 )       (193,562 ) 

Class 4**

        

Shares sold

        —         —   

Issued for distributions reinvested

        —         —   

Shares redeemed

        —         (296 ) 

Net decrease in fund shares

        —        (296 ) 

 

* (Unaudited)
** Share Class 4 was closed effective April 30, 2011

 

The accompanying Notes are an integral part of these financial statements.

 

10

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

1. Organization of the Company

GE Investments Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is composed of thirteen investment portfolios (collectively the “Funds”), although only the following ten are currently being offered: U.S. Equity Fund, (the “Fund”) S&P 500 Index Fund, Premier Growth Equity Fund, Core Value Equity Fund, Mid-Cap Equity Fund, Small-Cap Equity Fund, Total Return Fund, Income Fund, Money Market Fund and Real Estate Securities Fund.

Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts. GE Asset Management Incorporated (“GEAM”) is the investment adviser and administrator of each of the Funds.

The Company currently offers one share class (Class 1) as an investment option for variable life insurance contracts and variable annuity contracts.

 

2. Summary of Significant Accounting Policies

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

The following summarizes the significant accounting policies of the Company:

Securities Valuation and Transactions. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.

Derivatives The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The

Fund may enter into derivative transactions to gain market exposure for residual and accumulating cash positions.

Futures Contracts A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The Fund invested in futures for a variety of portfolio management purposes such as hedging against the effects of changes in the value of portfolio securities due to anticipated changes in market conditions, gaining market exposure for accumulating and residual cash positions, or when the transactions were economically appropriate to the reduction of risks inherent in the management of the Fund. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or hedge other Fund investments. The Fund will not enter into a transaction involving futures for speculative purposes. With futures contracts, there is minimal counterparty credit risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. The Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.

Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Fund each day, depending on the daily fluctuation in the fair value of the underlying security. The Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Fund recognizes a realized gain or loss on the expiration or closing of a futures contract.

Investment Income Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after the ex-dividend date as such information becomes available. Withholding taxes in foreign dividends have been provided

 

 

11

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.

Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.

Expenses Fund specific expenses are allocated to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Expenses of the Fund are generally paid directly by the Fund, however, expenses may be paid by GEAM and reimbursed by the Fund.

Federal Income Taxes The Fund intends to comply with all sections of the Internal Revenue Code applicable to regulated investment companies including the distribution of substantially all of its taxable net investment income and net realized capital gains to its shareholders. Therefore, no provision for federal income tax has been made.

 

3. Securities Valuation

The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.

Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:

Level 1 — Quoted prices for identical investments in active markets.

Level 2 — Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 — Significant inputs to the valuation model are unobservable.

Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.

Fair Value Measurement The following section describes the valuation methodologies the Fund uses to measure different financial investments at fair value.

The Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price, Level 1 securities primarily include publicly-traded equity securities. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances the Fund classifies the investment securities in Level 2.

Short-term investments of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.

The Fund uses the net asset value per unit for collective funds (i.e., GEI Investment Fund). The Fund classifies the investment security in Level 2.

If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using procedures approved by the Fund’s Board of Directors that are designed to establish its “fair” value. These securities are typically classified in Level 3. Those procedures require

 

 

12

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

that the fair value of a security be established by a valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of the Fund in the appropriate circumstances.

Fair value determinations generally are used for securities whose value is affected by a significant event that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of the Fund’s NAV.

The value established for such a portfolio security may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that the Fund could sell a portfolio security for the value established for it

at any time and it is possible that the Fund would incur a loss because a portfolio security is sold at a discount to its established value.

Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps, and written options contracts, which are valued based on fair value as discussed above.

The Fund uses closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the counter markets. Derivative assets and liabilities included in Level 2 primarily represent interest rate swaps, cross-currency swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

The following tables present the Fund’s investments measured at fair value on a recurring basis at June 30, 2012:

 

Investments    Level 1      Level 2      Level 3      Total  

Investments in Securities†

            

Common Stock

    $ 28,601,578       $ —       $ —       $ 28,601,578   

Exchange Traded Funds

      490,105         —         —         490,105   

Other Investments

      —         7,196         —         7,196   

Short-Term Investments

      1,540,451         —         —         1,540,451   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 30,632,134       $ 7,196       $ —       $ 30,639,330   
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments*

            

Futures Contracts — Unrealized Appreciation

    $ 4,438       $ —       $ —       $ 4,438   

† See Schedule of Investments for Industry Classification

*  Other financial instruments include derivative instruments such as futures contracts. Amounts shown represent unrealized appreciation (depreciation), at period end.

    

      

There were no transfers between fair value levels. Transfers between fair value levels are considered to occur at the beginning of the period.

 

13

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

 

4. Derivatives Transactions

Shown below are the derivative contracts entered into by the Fund, summarized by primary risk exposure as they appear on the Statement of Assets and Liabilities, all of which are not accounted for as hedging instruments under FASB Accounting Standards Codification (“ASC”) No. 815 Derivatives and Hedging as of June 30, 2012.

 

    

Asset Derivatives June 30, 2012

   

Liability Derivatives June 30, 2012

  
Derivatives not accounted for as hedging
instruments under ASC 815		    Location in the Statement
of Assets and Liabilities		    Fair
Value ($)		     Location in the Statements
of Assets and Liabilities		    Fair
Value ($)		  
Equity Contracts    Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures      4,438 *    Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures      —   

 

* Includes cumulative unrealized appreciation/(depreciation) of futures contracts as reported in the Schedule of Investments and within the components of the net assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities.

Shown below are the effects of derivative instruments on the Fund’s Statement of Operation, summarized by primary risk exposure all of which are not accounted for as hedging instruments under ASC 815.

 

Derivatives not accounted for
as hedging instruments under
ASC 815		   Location in the Statements of
Operations		   Total Notional Amount of
Futures Contracts
Purchased/(Sold) ($)		     Realized Gain or
(Loss) on
Derivatives
Recognized in
Income ($)		     Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
in Income ($)		  

Equity Contracts

   Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures     4,988,305/(4,442,937)        33,672        (5,339 ) 
5. Line of Credit

The Company shares a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is with its custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.100% per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Funds generally is borne proportionally based upon net assets. In addition, the Company has a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal Funds Rate plus 50 basis points and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i) 33.33% of its total assets or (ii) 20% of its net assets. The credit facilities were not utilized by the Fund during the six-month period ended June 30, 2012.

 

6. Compensation and Fees Paid to Affiliates

GEAM, a registered investment adviser, was retained by the Company’s Board of Directors effective November 17, 1997

to act as investment adviser and administrator of the Fund. GEAM’s compensation for investment advisory and administrative services is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.55%.

GEAM has a contractual arrangement with the Fund to waive a portion of the Fund’s management fee in the amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund.

Directors’ Compensation The Fund pays no compensation to its directors who are officers or employees of GEAM or its affiliates. Directors who are not such officers or employees also serve in a similar capacity for other funds advised by GEAM. Compensation paid to non-interested Directors are reflected on the Statement of Operations. These fees are allocated pro rata across all of the mutual fund platforms served by the Directors, including the Fund, and are based upon the relative net assets of each Fund within such platforms.

 

 

14

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

 

7. Investment Transactions

Purchases and Sales of Securities The cost of purchases and the proceeds from sales of investments, other than short-term securities, for the six-month period ended June 30, 2012 were as follows:

 

Non U.S. Government Securities
Purchases   Sales
$13,944,781   $17,495,515
 

 

8. Income Taxes

The Fund is subject to ASC 740, Income Taxes. ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to the Fund’s net assets required under ASC 740. The Fund’s 2008, 2009, 2010 and 2011 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities.

At June 30, 2012, information on the tax cost of investments was as follows:

 

    Gross Tax    
Cost of
Investments For
Tax Purposes		   Appreciation   Depreciation  

Net Tax
Appreciation

$29,006,130   $3,406,485   $(1,773,285)   $1,633,200

As of December 31, 2011, the Fund has capital loss carryovers as indicated below. Capital loss carryovers are available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders because they would be taxable as ordinary income.

 

Amount    
Short-Term   Long-Term   Expires
$6,866,202   $—   12/31/2017
     412,664     —   12/31/2018

These amounts will be available to offset future taxable capital gains. Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain

their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

During the year ended December 31, 2011, the Fund utilized $1,864,022 of prior year capital loss carryovers.

Any qualified late-year loss is deemed to arise on the first day of the Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, the Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.

The Fund elected to defer qualified late-year losses for the year ended December 31, 2011 as follows:

 

Capital   Ordinary
$9,968   $17

The tax composition of distributions paid during the years ended December 31, 2011 and December 31, 2010 were as follows:

 

      Ordinary
Income		      Long-Term
Capital Gains		      Total  

2011

    $ 249,303       $ —       $ 249,303   

2010

      369,300         —         369,300   

 

 

 

15

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

Distributions to Shareholders The Fund declares and pays any dividends from net investment income annually. The Fund declares and pays any net realized capital gains in excess of capital loss carryforwards distributions annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences include (but are not limited to) futures investments organized as partnerships for tax purposes and losses deferred due to wash sale transactions. Reclassifications due to permanent book/tax differences are made to the Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or the net asset value of the Fund. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.

The reclassifications for the year ended December 31, 2011 were as follows:

 

Undistributed
Net Investment Income		   Accumulated
Net Realized
Gain (Loss)		   Capital
Paid In
$3,476   $106   $(3,582)

 

9. Subsequent Events

Subsequent events after the balance sheet date through the date the financial statements were issued have been evaluated in the preparation of the financial statements. As of August 3, 2012, the assets of the Mid-Cap Equity Fund and the Money Market Fund were liquidated. These funds ceased operations and are no longer offered for investment.

 

 

16

Table of Contents
Additional Information    (Unaudited)

 

Information about Directors and Executive Officers:

The business and affairs of the Funds are managed under the direction of the Funds’ Board of Directors. Information pertaining to the Directors and officers of the Funds is set forth below.

Interested Directors and Executive Officers

 

 

Michael J. Cosgrove

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    63

Position(s) Held with Fund    Chairman of the Board and President

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    President of Mutual Funds and Global Investment Programs of GEAM since November 2011; President and Chief Executive Officer – Mutual Funds and Intermediary Business of GEAM from March 2007 to November 2011; Executive Vice President of GEAM from February 1997 to March 2007; and Executive Vice President-Mutual Funds of GEAM from March 1993 to March 2007. Also serves as Treasurer of GE Foundation since 1988.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Chairman of the Board and President of GE Institutional Funds since 1997; Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since 1988; Director of GEAM since 1988; Trustee of Fordham University from 2002 to June 30, 2010 and since July 2011; Director of GE Investments Distributors, Inc since June 2011; Director of Skin Cancer Foundation since August 2010; Member of the Board of Governors for the Investment Company Institute since October 2006; Director, GE Asset Management (Ireland) Limited, since February 1999, GE Asset Management Funds Plc since 1998, GE Asset Management Canada Company since 1998, GE Asset Management Limited since 1998; Trustee of General Electric Pension Trust since 1988; and Chairman of the Board and President of GE Funds from 1993 to February 2011.

 

 

Matthew J. Simpson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    51

Position(s) Held with Fund    Director and Executive Vice President

Term of Office and Length of Time Served    Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 years    Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Savings & Security Funds since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since July 2007; Trustee and Executive Vice President of GE Institutional Funds since July 2007; Director of GEAM since July 2007; and Trustee and Executive Vice President of GE Funds from July 2007 to February 2011.

 

17

Table of Contents
Additional Information    (Unaudited)

 

 

Joon Won Choe

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    42

Position(s) Held with Fund    Vice President & Secretary

Term of Office and Length of Time Served    Until successor is elected and qualified – Vice President and Secretary – 1 year

Principal Occupation(s) During Past 5 years    Senior Vice President and Deputy General Counsel at GEAM since March 2011; Vice President and Secretary of GE Institutional Funds since September 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds since September 2010; Senior Vice President and Associate General Counsel at GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010 and Vice President and Secretary of GE Funds from September 2010 to February 2011.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Robert Herlihy

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    44

Position(s) Held with Fund    Chief Compliance Officer

Term of Office and Length of Time Served    Until successor is elected and qualified — 6 years

Principal Occupation(s) During Past 5 years    Chief Compliance Officer of GEAM, GE Institutional Funds, Elfun Funds, and GE Savings & Security Funds since July 2005; Chief Compliance Officer of GE Funds from July 2005 to February 2011 and Manager of Fund Administration at GEAM from 2002-2005.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Arthur A. Jensen

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    45

Position(s) Held with Fund    Treasurer

Term of Office and Length of Time Served    Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years    Treasurer of GE Institutional Funds, Elfun Funds and GE Savings & Security Funds since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

18

Table of Contents
Additional Information    (Unaudited)

 

 

 

Jeanne M. LaPorta

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    46

Position(s) Held with Fund    Vice President

Term of Office and Length of Time Served     Until successor is elected and qualified – 8 years

Principal Occupation(s) During Past 5 Years    Senior Vice President and Commercial Administrative Officer of GEAM since April 2010; Vice President of GE Institutional Funds since July 2003; Vice President of Elfun Funds and GE Savings & Security Funds since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

Non-Interested Directors

 

 

John R. Costantino

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    66

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    General Partner, NGN Capital LLC since 2006; Managing Director, Vice President of Walden Capital Management since 1996.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since 1997; Trustee of Fordham University from 1989 to 1995 and from 2001 to 2007 and Trustee Emeritus since 2007; Trustee of Neuroscience Research Institute since 1986; Trustee of GE Funds from 1993 to February 2011; Director of Artes Medical from 2006-2008 and Trustee of Gregorian University Foundation from 1992-2007.

 

19

Table of Contents
Additional Information    (Unaudited)

 

 

 

R. Sheldon Johnson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    65

Positions(s) Held with Fund    Director

Term of office and Length of Time served    Unit Successor is elected and qualified – 1 year.

Principal Occupation(s) During Past 5 years    Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. from 2002 to 2006 and Managing Director at Morgan Stanley & Co., Inc. from 1988 to 2006.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since April 2011 and Trustee of St. Lawrence University since 2003.

 

 

Donna M. Rapaccioli

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    49

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – Less than 1 year

Principal Occupation(s) During Past 5 Years    Dean of the Gabelli School of Business since 2007 and Accounting professor since 1987 at Fordham University.

Number of Portfolios in Fund Complex Overseen by Officer    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since January 2012 and Trustee of Emmanuel College since 2010.

 

 

The Statement of Additional Information for the Funds includes additional information about the Directors and Officers and is available, without charge, upon request by calling 1-800-242-0134.

 

20

Table of Contents
Investment Team    (Unaudited)

 

Investment Adviser and Administrator

GE Asset Management Incorporated

Board of Directors

Michael J. Cosgrove, Chairman

John R. Costantino

R. Sheldon Johnson

Donna M. Rapaccioli

Matthew J. Simpson

Secretary

Joon Won Choe

Assistant Secretary

Michelle Matzelle

Treasurer

Arthur A. Jensen

Assistant Treasurer

Casey Yantosca

Distributor

GE Investment Distributors, Inc.

Member FINRA and SIPC

 

 

Custodian

State Street Bank & Trust Company

Officers of the Investment Adviser

Dmitri Stockton, President and Chief Executive Officer

Cheryl H. Beacock, Senior Vice President, Human Resources

George A. Bicher, Chief Risk Officer

Paul M. Colonna, President and Chief Investment Officer – Public Investments

Michael J. Cosgrove, President of Mutual Funds and Global Investment Programs

Gregory B. Hartch, Senior Vice President – Strategy and Business Development Leader

Ralph R. Layman, Executive Vice President and Chief Investment Officer Emeritus Public Equities

Maureen B. Mitchell, President of Global Sales and Marketing

Steven M. Rullo, Senior Vice President – Services and Technology

Matthew J. Simpson, Executive Vice President, General Counsel and Secretary

Donald W. Torey, President and Chief Investment Officer – Alternative Investments

David Wiederecht, President and Chief Investment Officer – Investment Solutions

Jessica Holscott, Executive Vice President, Chief Financial Officer*

 
* Effective August 1, 2012, Ms. Holcott replaced Tracie A. Winbigler as Executive Vice President and Chief Financial Officer

At GE Asset Management, we’re dedicated to providing the investment options you’ll need to tailor your financial portfolio to every stage of your life. Each member of the GE Family of Funds is managed according to the same principles of integrity and quality that have guided GE over the past century, and have made it the world-class company that it is today. Each fund draws strength from a heritage of investment management experience that spans more than 80 years. Whether you’re creating a new investment portfolio or adding to an established one, the GE Family of Funds offers an array of professionally managed investment options that will help you meet a lifetime of financial needs.

 

21

Table of Contents

Investment Adviser

GE Asset Management Incorporated

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

Distributor

GE Investment Distributors, Inc.

member FINRA and SIPC

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

 

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-493-3042; (ii) on the Fund’s website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC – information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov.

 

LOGO

Table of Contents
 

GE Investments Funds, Inc.

S&P 500 Index Fund

Semi-Annual Report

June 30, 2012

 

LOGO

Table of Contents

GE Investments Funds, Inc.

S&P 500 Index Fund    Contents

 

 

Fund Information

     1   

Understanding Your Fund’s Expenses

      2   

Schedule of Investments

      3   

Notes to Schedule of Investments

      12   

Financial Statements

   

Financial Highlights

      13   

Statement of Assets and Liabilities

      14   

Statement of Operations

      15   

Statements of Changes in Net Assets

      16   

Notes to Financial Statements

      17   

Additional Information

      23   

Investment Team

      27   

 

This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.

Table of Contents

 

 

S&P 500 Index Fund    (Unaudited)

Fund Information

 

Notes to Performance

Total return performance shown in this report for the GE Investments S&P 500 Index Fund (the “Fund”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call 800-493-3042 or visit the Fund’s website at http://www.geam.com for the most recent month-end performance data.

An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.

Investment Profile

A mutual fund designed for investors who seek growth of capital and accumulation of income that corresponds to the investment return of the Standard & Poor’s 500® Composite Stock Index (S&P 500 Index). The Fund seeks to replicate the return of the S&P 500® Index while holding transaction costs low and minimizing portfolio turnover.

 

Sector Allocation

as a % of Fair Value of $189,678 (in thousands) on June 30, 2012(a)(b)

 

 

 

LOGO

Top Ten Largest Holdings

as of June 30, 2012 as a % of Fair Value(a)(b)(c)

 

Apple Inc.

      4.34%   

Exxon Mobil Corp.

      3.18%   

Microsoft Corp.

      1.81%   

International Business Machines Corp.

      1.80%   

General Electric Co.

      1.75%   

AT&T Inc.

      1.66%   

Chevron Corp.

      1.66%   

Johnson & Johnson

      1.47%   

Wells Fargo & Co.

      1.41%   

The Coca-Cola Co.

      1.40%   
 

 

(a) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.
(b) Fair value basis is inclusive of the short-term investment in GE Institutional Money Market Fund Investment Class.
(c) The figures presented to not include the Fund’s entire investment portfolio and may change at any time.
* Less than 0.05%

GE Investment Distributors, Inc., Member of FINRA & SIPC, is the principal underwriter and distributor of the GE Investments Funds, Inc. and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Fund.

 

1

Table of Contents
S&P 500 Index Fund    (Unaudited)

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2012.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses Paid During Period” to estimate the expenses paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.

 

January 1, 2012 – June 30, 2012

 

        Account value at the
beginning of the period  ($)		        Account value at the
end of the period ($)		        Expenses paid
during the period ($)*		  

Actual Fund Return*

        1,000.00           1,093.20           1.93   

Hypothetical 5% Return (2.5% for the period)

        1,000.00           1,023.02           1.86   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.37% (for the period January 1, 2012 - June 30, 2012), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

2

Table of Contents

S&P 500 Index Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

S&P 500 Index Fund

 

     Number
of Shares		      Fair Value       

Common Stock — 97.7%†

Advertising — 0.1%

Omnicom Group Inc.

      3,980       $ 193,428      

The Interpublic Group of Companies Inc.

      6,930         75,191      
        268,619      

Aerospace & Defense — 2.5%

General Dynamics Corp.

      5,267         347,411      

Goodrich Corp.

      1,884         239,080      

Honeywell International Inc.

      11,543         644,561      

L-3 Communications Holdings Inc.

      1,500         111,015      

Lockheed Martin Corp.

      4,052         352,848      

Northrop Grumman Corp.

      3,922         250,184      

Precision Castparts Corp.

      2,200         361,878      

Raytheon Co.

      5,169         292,514      

Rockwell Collins Inc.

      2,268         111,926      

Textron Inc.

      4,225         105,076      

The Boeing Co.

      11,186         831,120       (d)

United Technologies Corp.

      13,672         1,032,646       (d)
            4,680,259      

Agricultural Products — 0.2%

Archer-Daniels-Midland Co.

      10,086         297,739      

Air Freight & Logistics — 1.0%

CH Robinson Worldwide Inc.

      2,500         146,325      

Expeditors International of Washington Inc.

      3,200         124,000      

FedEx Corp.

      4,811         440,736      

United Parcel Service Inc.

      14,396         1,133,829      
        1,844,890      

Airlines — 0.1%

Southwest Airlines Co.

      11,049         101,872      

Aluminum — 0.1%

Alcoa Inc.

      16,840         147,350       (d)

Apparel Retail — 0.6%

Abercrombie & Fitch Co.

      1,300         44,382      

Ltd Brands Inc.

      3,888         165,357      

Ross Stores Inc.

      3,400         212,398      

The Gap Inc.

      5,179         141,697      

TJX Companies Inc.

      11,260         483,392      

Urban Outfitters Inc.

      1,700         46,903       (a)
        1,094,129      

Apparel, Accessories & Luxury Goods — 0.3%

Coach Inc.

      4,400         257,312      

Fossil Inc.

      800         61,232       (a)
     Number
of Shares		      Fair Value       

Ralph Lauren Corp.

      1,000       $ 140,060      

VF Corp.

      1,302         173,752      
        632,356      

Application Software — 0.6%

Adobe Systems Inc.

      7,384         239,020       (a,d)

Autodesk Inc.

      3,348         117,147       (a)

Citrix Systems Inc.

      2,900         243,426       (a)

Intuit Inc.

      4,300         255,205      

Salesforce.com Inc.

      2,100         290,346       (a)
        1,145,144      

Asset Management & Custody Banks — 1.1%

Ameriprise Financial Inc.

      3,304         172,667      

BlackRock Inc.

      1,965         333,696      

Federated Investors Inc.

      1,500         32,775      

Franklin Resources Inc.

      2,200         244,178      

Invesco Ltd.

      6,800         153,680      

Legg Mason Inc.

      1,800         47,466      

Northern Trust Corp.

      3,700         170,274      

State Street Corp.

      7,200         321,408       (c)

T Rowe Price Group Inc.

      3,800         239,248      

The Bank of New York Mellon Corp.

      18,503         406,141      
            2,121,533      

Auto Parts & Equipment — 0.2%

BorgWarner Inc.

      1,700         111,503       (a)

Johnson Controls Inc.

      10,346         286,688      
        398,191      

Automobile Manufacturers — 0.3%

Ford Motor Co.

      56,727         544,012      

Automotive Retail — 0.2%

AutoNation Inc.

      486         17,146       (a)

AutoZone Inc.

      344         126,306       (a)

CarMax Inc.

      3,400         88,196       (a)

O’Reilly Automotive Inc.

      1,900         159,163       (a)
        390,811      

Biotechnology — 1.4%

Alexion Pharmaceuticals Inc.

      2,700         268,110       (a)

Amgen Inc.

      11,681         853,180       (d)

Biogen Idec Inc.

      3,600         519,768       (a)

Celgene Corp.

      6,563         421,082       (a)

Gilead Sciences Inc.

      11,549         592,233       (a)
        2,654,373      

Brewers — 0.1%

Molson Coors Brewing Co.

      2,298         95,620      

Broadcasting — 0.3%

CBS Corp.

      9,809         321,539      

Discovery Communications Inc.

      3,800         205,200       (a)

Scripps Networks Interactive Inc.

      1,300         73,918      
        600,657      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

3

Table of Contents

S&P 500 Index Fund

 

Schedule of Investments    June 30, 2012 (unaudited)

 

     Number
of Shares		      Fair Value       

Building Products — 0.0%*

Masco Corp.

      5,990       $ 83,081      

Cable & Satellite — 1.2%

Cablevision Systems Corp.

      3,900         51,831      

Comcast Corp.

      40,458         1,293,442      

DIRECTV

      9,800         478,436       (a)

Time Warner Cable Inc.

      4,696         385,542      
        2,209,251      

Casinos & Gaming — 0.1%

International Game Technology

      4,500         70,875      

Wynn Resorts Ltd.

      1,100         114,092      
        184,967      

Coal & Consumable Fuels — 0.1%

Alpha Natural Resources Inc.

      3,300         28,743       (a)

CONSOL Energy Inc.

      3,600         108,864      

Peabody Energy Corp.

      4,279         104,921      
        242,528      

Commercial Printing — 0.0%*

RR Donnelley & Sons Co.

      2,599         30,590      

Communications Equipment — 1.8%

Cisco Systems Inc.

      80,764         1,386,718       (d)

Comverse Technology Inc.

      99         576       (a)

F5 Networks Inc.

      1,200         119,472       (a)

Harris Corp.

      1,700         71,145      

JDS Uniphase Corp.

      3,650         40,150       (a)

Juniper Networks Inc.

      8,100         132,111       (a)

Motorola Solutions Inc.

      4,335         208,557      

Qualcomm Inc.

      25,729         1,432,591      
        3,391,320      

Computer & Electronics Retail — 0.1%

Best Buy Company Inc.

      4,200         88,032      

GameStop Corp.

      2,300         42,228      
        130,260      

Computer Hardware — 4.8%

Apple Inc.

      14,089         8,227,976       (a)

Dell Inc.

      23,128         289,563       (a,d)

Hewlett-Packard Co.

      29,549         594,230      
            9,111,769      

Computer Storage & Peripherals — 0.7%

EMC Corp.

      31,514         807,704       (a)

Lexmark International Inc.

      1,000         26,580      

NetApp Inc.

      5,700         181,374       (a)

SanDisk Corp.

      3,800         138,624       (a)

Seagate Technology PLC

      5,700         140,961      

Western Digital Corp.

      3,300         100,584       (a)
        1,395,827      
     Number
of Shares		      Fair Value       

Construction & Engineering — 0.2%

Fluor Corp.

      2,578       $ 127,199      

Jacobs Engineering Group Inc.

      1,900         71,934       (a)

Quanta Services Inc.

      3,200         77,024       (a)
        276,157      

Construction & Farm Machinery & Heavy Trucks — 1.0%

Caterpillar Inc.

      9,732         826,344      

Cummins Inc.

      2,956         286,466      

Deere & Co.

      6,140         496,542      

Joy Global Inc.

      1,600         90,768      

PACCAR Inc.

      5,403         211,744      
        1,911,864      

Construction Materials — 0.0%*

Vulcan Materials Co.

      2,000         79,420      

Consumer Electronics — 0.0%*

Harman International Industries Inc.

      1,200         47,520      

Consumer Finance — 0.9%

American Express Co.

      15,191         884,268       (d)

Capital One Financial Corp.

      8,725         476,908      

Discover Financial Services

      8,098         280,029      

SLM Corp.

      7,600         119,396      
        1,760,601      

Data Processing & Outsourced Services — 1.4%

Automatic Data Processing Inc.

      7,480         416,337      

Computer Sciences Corp.

      2,282         56,639      

Fidelity National Information Services Inc.

      3,400         115,872      

Fiserv Inc.

      2,078         150,073       (a)

Mastercard Inc.

      1,550         666,671      

Paychex Inc.

      4,725         148,412      

The Western Union Co.

      9,524         160,384      

Total System Services Inc.

      2,302         55,087      

Visa Inc.

      7,400         914,862      
            2,684,337      

Department Stores — 0.3%

JC Penney Company Inc.

      2,287         53,310      

Kohl’s Corp.

      3,700         168,313      

Macy’s Inc.

      6,130         210,566      

Nordstrom Inc.

      2,492         123,827      

Sears Holdings Corp.

      519         30,984      
        587,000      

Distillers & Vintners — 0.2%

Beam Inc.

      2,241         140,040      

Brown-Forman Corp.

      1,547         149,827      

Constellation Brands Inc.

      2,400         64,944       (a)
        354,811      

Distributors — 0.1%

Genuine Parts Co.

      2,296         138,334      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

4

Table of Contents

S&P 500 Index Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Diversified Chemicals — 0.9%

Eastman Chemical Co.

      2,018       $ 101,647      

EI du Pont de Nemours & Co.

      14,161         716,122      

FMC Corp.

      2,200         117,656      

PPG Industries Inc.

      2,237         237,390      

The Dow Chemical Co.

      18,094         569,961      
            1,742,776      

Diversified Financial Services — 4.3%

Bank of America Corp.

      160,929         1,316,399      

Citigroup Inc.

      43,870         1,202,477      

Comerica Inc.

      2,856         87,708      

JPMorgan Chase & Co.

      57,350         2,049,116       (d)

US Bancorp

      28,609         920,065      

Wells Fargo & Co.

      79,902         2,671,923      
        8,247,688      

Diversified Metals & Mining — 0.3%

Freeport-McMoRan Copper & Gold Inc.

      14,510         494,356      

Titanium Metals Corp.

      1,600         18,096      
        512,452      

Diversified REITs — 0.1%

Vornado Realty Trust

      2,847         239,091      

Diversified Support Services — 0.1%

Cintas Corp.

      1,500         57,915      

Iron Mountain Inc.

      2,700         88,992      
        146,907      

Drug Retail — 0.7%

CVS Caremark Corp.

      19,227         898,478      

Walgreen Co.

      13,313         393,799      
        1,292,277      

Education Services — 0.1%

Apollo Group Inc.

      1,900         68,761       (a)

DeVry Inc.

      800         24,776      
        93,537      

Electric Utilities — 2.0%

American Electric Power Company Inc.

      7,125         284,287       (d)

Duke Energy Corp.

      20,409         470,632      

Edison International

      4,842         223,700      

Entergy Corp.

      2,585         175,496      

Exelon Corp.

      12,644         475,667      

FirstEnergy Corp.

      6,354         312,553      

NextEra Energy Inc.

      6,162         424,007      

Northeast Utilities

      4,830         187,452      

Pepco Holdings Inc.

      3,300         64,581      

Pinnacle West Capital Corp.

      1,600         82,784      

PPL Corp.

      8,944         248,733      
     Number
of Shares		      Fair Value       

Progress Energy Inc.

      4,556       $ 274,135      

The Southern Co.

      12,958         599,955      
            3,823,982      

Electrical Components & Equipment — 0.5%

Cooper Industries PLC

      2,400         163,632      

Emerson Electric Co.

      10,938         509,492      

Rockwell Automation Inc.

      2,168         143,218      

Roper Industries Inc.

      1,500         147,870      
        964,212      

Electronic Components — 0.2%

Amphenol Corp.

      2,500         137,300      

Corning Inc.

      23,139         299,187      
        436,487      

Electronic Equipment & Instruments — 0.0%*

FLIR Systems Inc.

      2,100         40,950      

Electronic Manufacturing Services — 0.2%

Jabil Circuit Inc.

      2,900         58,957      

Molex Inc.

      1,950         46,683      

TE Connectivity Ltd.

      6,400         204,224      
        309,864      

Environmental & Facilities Services — 0.2%

Republic Services Inc.

      4,750         125,685      

Stericycle Inc.

      1,200         110,004       (a)

Waste Management Inc.

      6,803         227,220      
        462,909      

Fertilizers & Agricultural Chemicals — 0.6%

CF Industries Holdings Inc.

      970         187,928      

Monsanto Co.

      8,023         664,144       (d)

The Mosaic Co.

      4,600         251,896      
        1,103,968      

Food Distributors — 0.1%

Sysco Corp.

      8,644         257,678      

Food Retail — 0.3%

Safeway Inc.

      3,900         70,785      

The Kroger Co.

      8,666         200,965      

Whole Foods Market Inc.

      2,400         228,768      
        500,518      

Footwear — 0.3%

NIKE Inc.

      5,510         483,668      

Gas Utilities — 0.1%

AGL Resources Inc.

      1,800         69,750      

ONEOK Inc.

      3,000         126,930      
        196,680      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

5

Table of Contents

S&P 500 Index Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

General Merchandise Stores — 0.5%

Big Lots Inc.

      900       $ 36,711       (a)

Dollar Tree Inc.

      3,400         182,920       (a)

Family Dollar Stores Inc.

      1,800         119,664      

Target Corp.

      9,949         578,932      
        918,227      

Gold — 0.2%

Newmont Mining Corp.

      7,528         365,183      

Healthcare Distributors — 0.4%

AmerisourceBergen Corp.

      3,761         147,995      

Cardinal Health Inc.

      5,351         224,742      

McKesson Corp.

      3,602         337,687      

Patterson Companies Inc.

      1,200         41,364      
        751,788      

Healthcare Equipment — 1.7%

Baxter International Inc.

      8,329         442,686       (d)

Becton Dickinson and Co.

      3,188         238,303      

Boston Scientific Corp.

      21,443         121,582       (a)

CareFusion Corp.

      3,375         86,670       (a)

Covidien PLC

      7,400         395,900      

CR Bard Inc.

      1,302         139,887      

Edwards Lifesciences Corp.

      1,800         185,940       (a)

Intuitive Surgical Inc.

      620         343,350       (a)

Medtronic Inc.

      15,532         601,554      

St Jude Medical Inc.

      4,992         199,231      

Stryker Corp.

      4,752         261,835      

Varian Medical Systems Inc.

      1,700         103,309       (a)

Zimmer Holdings Inc.

      2,700         173,772      
            3,294,019      

Healthcare Facilities — 0.0%*

Tenet Healthcare Corp.

      7,895         41,370       (a)

Healthcare Services — 0.6%

DaVita Inc.

      1,400         137,494       (a)

Express Scripts Holding Co.

      11,951         667,224       (a)

Laboratory Corporation of America Holdings

      1,400         129,654       (a)

Quest Diagnostics Inc.

      2,400         143,760      
        1,078,132      

Healthcare Supplies — 0.0%*

DENTSPLY International Inc.

      2,100         79,401      

Healthcare Technology — 0.1%

Cerner Corp.

      2,200         181,852       (a)

Home Building — 0.1%

DR Horton Inc.

      4,000         73,520      

Lennar Corp.

      2,200         68,002      

PulteGroup Inc.

      4,635         49,595       (a)
        191,117      
     Number
of Shares		      Fair Value       

Home Entertainment Software — 0.0%*

Electronic Arts Inc.

      5,400       $ 66,690       (a)

Home Furnishing Retail — 0.1%

Bed Bath & Beyond Inc.

      3,600         222,480       (a)

Home Furnishings — 0.0%*

Leggett & Platt Inc.

      1,900         40,147      

Home Improvement Retail — 0.9%

Lowe’s Companies Inc.

      17,602         500,601      

The Home Depot Inc.

      23,133         1,225,818      
        1,726,419      

Hotels, Resorts & Cruise Lines — 0.3%

Carnival Corp.

      6,700         229,609      

Marriott International Inc.

      4,014         157,349      

Starwood Hotels & Resorts Worldwide Inc.

      2,900         153,816      

Wyndham Worldwide Corp.

      2,249         118,612      
        659,386      

Household Appliances — 0.0%*

Whirlpool Corp.

      1,143         69,906      

Household Products — 2.1%

Colgate-Palmolive Co.

      7,272         757,015      

Kimberly-Clark Corp.

      5,836         488,882       (d)

The Clorox Co.

      1,984         143,761      

The Procter & Gamble Co.

      41,373         2,534,096      
            3,923,754      

Housewares & Specialties — 0.0%*

Newell Rubbermaid Inc.

      4,256         77,204      

Human Resource & Employment Services — 0.0%*

Robert Half International Inc.

      2,100         59,997      

Hypermarkets & Super Centers — 1.3%

Costco Wholesale Corp.

      6,617         628,615      

Wal-Mart Stores Inc.

      25,987         1,811,814      
        2,440,429      

Independent Power Producers & Energy Traders — 0.1%

NRG Energy Inc.

      3,500         60,760       (a)

The AES Corp.

      9,300         119,319       (a)
        180,079      

Industrial Conglomerates — 2.7%

Danaher Corp.

      8,700         453,096      

General Electric Co.

      159,462         3,323,188       (f)

Tyco International Ltd.

      7,000         369,950      

3M Co.

      10,380         930,048      
        5,076,282      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

6

Table of Contents

S&P 500 Index Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Industrial Gases — 0.4%

Air Products & Chemicals Inc.

      3,132       $ 252,846       (d)

Airgas Inc.

      1,100         92,411      

Praxair Inc.

      4,565         496,352      
        841,609      

Industrial Machinery — 0.8%

Dover Corp.

      2,858         153,217      

Eaton Corp.

      5,100         202,113      

Flowserve Corp.

      800         91,800      

Illinois Tool Works Inc.

      7,427         392,814      

Ingersoll-Rand PLC

      4,300         181,374      

Pall Corp.

      1,778         97,452      

Parker Hannifin Corp.

      2,372         182,359      

Snap-on Inc.

      1,009         62,810      

Stanley Black & Decker Inc.

      2,492         160,385      

Xylem Inc.

      3,026         76,164      
        1,600,488      

Industrial REITs — 0.1%

Prologis Inc.

      6,699         222,608      

Insurance Brokers — 0.3%

Aon PLC

      5,036         235,584      

Marsh & McLennan Companies Inc.

      8,153         262,771      
        498,355      

Integrated Oil & Gas — 5.6%

Chevron Corp.

      29,758         3,139,469      

Exxon Mobil Corp.

      70,393         6,023,529       (d)

Hess Corp.

      4,670         202,912       (d)

Murphy Oil Corp.

      2,900         145,841      

Occidental Petroleum Corp.

      12,179         1,044,593      
          10,556,344      

Integrated Telecommunication Services — 2.9%

AT&T Inc.

      88,180         3,144,499      

CenturyLink Inc.

      9,399         371,167      

Frontier Communications Corp.

      14,674         56,201      

Verizon Communications Inc.

      42,567         1,891,677      

Windstream Corp.

      9,143         88,321      
        5,551,865      

Internet Retail — 1.0%

Amazon.com Inc.

      5,400         1,233,090       (a)

Expedia Inc.

      1,550         74,508      

Netflix Inc.

      900         61,623       (a)

priceline.com Inc.

      790         524,971       (a)

TripAdvisor Inc.

      1,550         69,269       (a)
        1,963,461      

Internet Software & Services — 1.8%

Akamai Technologies Inc.

      2,500         79,375       (a)

eBay Inc.

      17,100         718,371       (a)

Google Inc.

      3,824         2,218,188       (a)
     Number
of Shares		      Fair Value       

VeriSign Inc.

      2,362       $ 102,912       (a)

Yahoo! Inc.

      18,389         291,098       (a)
        3,409,944      

Investment Banking & Brokerage — 0.7%

E*TRADE Financial Corp.

      3,440         27,658       (a)

Morgan Stanley

      22,696         331,135      

The Charles Schwab Corp.

      16,211         209,608      

The Goldman Sachs Group Inc.

      7,399         709,268      
        1,277,669      

IT Consulting & Other Services — 2.4%

Accenture PLC

      9,700         582,873      

Cognizant Technology Solutions Corp.

      4,700         282,000       (a)

International Business Machines Corp.

      17,430         3,408,959      

SAIC Inc.

      3,700         44,844      

Teradata Corp.

      2,600         187,226       (a)
        4,505,902      

Leisure Products — 0.1%

Hasbro Inc.

      1,696         57,444      

Mattel Inc.

      5,151         167,098      
        224,542      

Life & Health Insurance — 0.8%

Aflac Inc.

      7,000         298,130      

Lincoln National Corp.

      4,642         101,521      

MetLife Inc.

      15,773         486,597      

Principal Financial Group Inc.

      4,500         118,035      

Prudential Financial Inc.

      7,200         348,696      

Torchmark Corp.

      1,508         76,229      

Unum Group

      4,589         87,788      
            1,516,996      

Life Sciences Tools & Services — 0.4%

Agilent Technologies Inc.

      5,285         207,383      

Life Technologies Corp.

      2,603         117,109       (a)

PerkinElmer Inc.

      1,410         36,378      

Thermo Fisher Scientific Inc.

      5,528         286,958      

Waters Corp.

      1,300         103,311       (a)
        751,139      

Managed Healthcare — 1.0%

Aetna Inc.

      5,108         198,037      

Cigna Corp.

      4,489         197,516      

Coventry Healthcare Inc.

      2,000         63,580      

Humana Inc.

      2,527         195,691      

UnitedHealth Group Inc.

      15,676         917,046      

WellPoint Inc.

      5,100         325,329      
        1,897,199      

Metal & Glass Containers — 0.1%

Ball Corp.

      2,232         91,624      

Owens-Illinois Inc.

      2,300         44,091       (a)
        135,715      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

7

Table of Contents

S&P 500 Index Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Motorcycle Manufacturers — 0.1%

Harley-Davidson Inc.

      3,300       $ 150,909      

Movies & Entertainment — 1.6%

News Corp.

      31,600         704,364      

The Walt Disney Co.

      26,920         1,305,620      

Time Warner Inc.

      14,438         555,863      

Viacom Inc.

      8,013         376,771      
        2,942,618      

Multi-Line Insurance — 0.4%

American International Group Inc.

      9,825         315,284       (a)

Assurant Inc.

      1,300         45,292      

Genworth Financial Inc.

      8,400         47,544       (a)

Hartford Financial Services Group Inc.

      6,704         118,192      

Loews Corp.

      4,466         182,704      
        709,016      

Multi-Sector Holdings — 0.0%*

         

Leucadia National Corp.

      3,100         65,937      

Multi-Utilities — 1.4%

Ameren Corp.

      3,842         128,861      

CenterPoint Energy Inc.

      6,418         132,660      

CMS Energy Corp.

      3,800         89,300      

Consolidated Edison Inc.

      4,407         274,071      

Dominion Resources Inc.

      8,700         469,800      

DTE Energy Co.

      2,566         152,241      

Integrys Energy Group Inc.

      1,231         70,007      

NiSource Inc.

      4,115         101,846      

PG&E Corp.

      6,154         278,592      

Public Service Enterprise Group Inc.

      7,592         246,740      

SCANA Corp.

      1,700         81,328      

Sempra Energy

      3,575         246,246      

TECO Energy Inc.

      3,600         65,016      

Wisconsin Energy Corp.

      3,400         134,538      

Xcel Energy Inc.

      7,480         212,507      
            2,683,753      

Office Electronics — 0.1%

Xerox Corp.

      19,947         156,983      

Office REITs — 0.1%

Boston Properties Inc.

      2,300         249,251      

Office Services & Supplies — 0.1%

Avery Dennison Corp.

      1,555         42,514      

Pitney Bowes Inc.

      2,932         43,892      
        86,406      

Oil & Gas Drilling — 0.4%

Diamond Offshore Drilling Inc.

      1,100         65,043      

Helmerich & Payne Inc.

      1,600         69,568      

Nabors Industries Ltd.

      4,500         64,800       (a)
     Number
of Shares		      Fair Value       

Noble Corp.

      4,000       $ 130,120      

Phillips 66

      9,859         327,713       (a)

Rowan Companies PLC

      1,677         54,217       (a)
        711,461      

Oil & Gas Equipment & Services — 1.4%

Baker Hughes Inc.

      6,632         272,575      

Cameron International Corp.

      3,800         162,298       (a)

FMC Technologies Inc.

      3,686         144,602       (a)

Halliburton Co.

      14,091         400,043      

National Oilwell Varco Inc.

      6,500         418,860      

Schlumberger Ltd.

      20,046         1,301,186      
            2,699,564      

Oil & Gas Exploration & Production — 2.4%

Anadarko Petroleum Corp.

      7,456         493,587      

Apache Corp.

      5,848         513,981      

Cabot Oil & Gas Corp.

      3,200         126,080      

Chesapeake Energy Corp.

      9,700         180,420      

ConocoPhillips

      19,219         1,073,958      

Denbury Resources Inc.

      5,700         86,127       (a)

Devon Energy Corp.

      6,192         359,074      

EOG Resources Inc.

      4,000         360,440      

EQT Corp.

      2,314         124,100      

Marathon Oil Corp.

      10,342         264,445      

Newfield Exploration Co.

      1,900         55,689       (a)

Noble Energy Inc.

      2,700         229,014      

Pioneer Natural Resources Co.

      1,900         167,599      

QEP Resources Inc.

      2,900         86,913      

Range Resources Corp.

      2,400         148,488      

Southwestern Energy Co.

      5,500         175,615       (a)

WPX Energy Inc.

      2,995         48,459       (a)
        4,493,989      

Oil & Gas Refining & Marketing — 0.3%

Marathon Petroleum Corp.

      5,421         243,511      

Sunoco Inc.

      1,576         74,860      

Tesoro Corp.

      2,300         57,408       (a)

Valero Energy Corp.

      8,400         202,860      
        578,639      

Oil & Gas Storage & Transportation — 0.3%

Spectra Energy Corp.

      9,877         287,026      

The Williams Companies Inc.

      8,886         256,095      
        543,121      

Packaged Foods & Meats — 1.5%

Campbell Soup Co.

      2,615         87,289      

ConAgra Foods Inc.

      5,968         154,750      

Dean Foods Co.

      2,400         40,872       (a)

General Mills Inc.

      9,862         380,081      

HJ Heinz Co.

      4,697         255,423      

Hormel Foods Corp.

      2,200         66,924      

Kellogg Co.

      3,590         177,095      

Kraft Foods Inc.

      26,490         1,023,044      

McCormick & Company Inc.

      2,000         121,300      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

8

Table of Contents

S&P 500 Index Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Mead Johnson Nutrition Co.

      3,050       $ 245,556      

The Hershey Co.

      2,284         164,517      

The JM Smucker Co.

      1,717         129,668      

Tyson Foods Inc.

      4,600         86,618      
        2,933,137      

Paper Packaging — 0.1%

Bemis Company Inc.

      1,362         42,685      

Sealed Air Corp.

      2,814         43,448      
        86,133      

Paper Products — 0.1%

International Paper Co.

      6,775         195,865      

MeadWestvaco Corp.

      2,500         71,875      
        267,740      

Personal Products — 0.2%

Avon Products Inc.

      6,728         109,061      

The Estee Lauder Companies Inc.

      3,500         189,420      
        298,481      

Pharmaceuticals — 6.1%

Abbott Laboratories

      23,604         1,521,750       (d)

Allergan Inc.

      4,655         430,913      

Bristol-Myers Squibb Co.

      25,318         910,182       (d)

Eli Lilly & Co.

      15,243         654,077      

Forest Laboratories Inc.

      4,100         143,459       (a)

Hospira Inc.

      2,639         92,312       (a)

Johnson & Johnson

      41,286         2,789,282      

Merck & Company Inc.

      45,745         1,909,854      

Mylan Inc.

      6,165         131,746       (a)

Perrigo Co.

      1,400         165,102      

Pfizer Inc.

      112,614         2,590,122      

Watson Pharmaceuticals Inc.

      2,000         147,980       (a)
          11,486,779      

Pipelines — 0.1%

Kinder Morgan Inc.

      7,484         241,134      

Property & Casualty Insurance — 2.1%

ACE Ltd.

      5,100         378,063      

Berkshire Hathaway Inc.

      26,369         2,197,329       (a)

Cincinnati Financial Corp.

      2,292         87,256      

The Allstate Corp.

      7,386         259,175       (d)

The Chubb Corp.

      4,094         298,125      

The Progressive Corp.

      9,273         193,157      

The Travelers Companies Inc.

      5,999         382,976      

XL Group PLC

      4,600         96,784      
        3,892,865      

Publishing — 0.1%

Gannett Company Inc.

      3,508         51,673      

The McGraw-Hill Companies Inc.

      4,221         189,945      

The Washington Post Co.

      90         33,644      
        275,262      
     Number
of Shares		      Fair Value       

Railroads — 0.8%

CSX Corp.

      16,017       $ 358,140      

Norfolk Southern Corp.

      5,018         360,142      

Union Pacific Corp.

      7,137         851,515      
            1,569,797      

Real Estate Services — 0.0%*

CBRE Group Inc.

      4,900         80,164       (a)

Regional Banks — 0.9%

BB&T Corp.

      10,600         327,010      

Fifth Third Bancorp

      13,416         179,774      

First Horizon National Corp.

      4,055         35,076      

Huntington Bancshares Inc.

      13,934         89,178      

KeyCorp

      15,228         117,865      

M&T Bank Corp.

      1,900         156,883      

PNC Financial Services Group Inc.

      7,804         476,902      

Regions Financial Corp.

      18,468         124,659      

SunTrust Banks Inc.

      7,729         187,274      

Zions Bancorporation

      2,500         48,550      
        1,743,171      

Research & Consulting Services — 0.1%

Equifax Inc.

      1,800         83,880      

The Dun & Bradstreet Corp.

      700         49,819      
        133,699      

Residential REITs — 0.3%

Apartment Investment & Management Co.

      1,831         49,492      

AvalonBay Communities Inc.

      1,401         198,213      

Equity Residential

      4,400         274,384      
        522,089      

Restaurants — 1.4%

Chipotle Mexican Grill Inc.

      500         189,975       (a)

Darden Restaurants Inc.

      1,829         92,602      

McDonald’s Corp.

      15,290         1,353,624      

Starbucks Corp.

      11,398         607,741      

Yum! Brands Inc.

      7,029         452,808      
        2,696,750      

Retail REITs — 0.4%

Kimco Realty Corp.

      6,500         123,695      

Simon Property Group Inc.

      4,537         706,229      
        829,924      

Semiconductor Equipment — 0.3%

Applied Materials Inc.

      18,900         216,594       (d)

KLA-Tencor Corp.

      2,500         123,125      

Lam Research Corp.

      3,125         117,937       (a)

Teradyne Inc.

      2,500         35,150       (a)
        492,806      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

9

Table of Contents

S&P 500 Index Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Semiconductors — 2.0%

Advanced Micro Devices Inc.

      10,074       $ 57,724       (a,d)

Altera Corp.

      4,700         159,048      

Analog Devices Inc.

      4,700         177,049      

Broadcom Corp.

      7,550         255,190      

First Solar Inc.

      910         13,705       (a)

Intel Corp.

      75,665         2,016,472       (d)

Linear Technology Corp.

      3,400         106,522      

LSI Corp.

      8,092         51,546       (a)

Microchip Technology Inc.

      3,000         99,240      

Micron Technology Inc.

      15,254         96,253       (a)

NVIDIA Corp.

      9,300         128,526       (a)

Texas Instruments Inc.

      17,051         489,193      

Xilinx Inc.

      4,187         140,558      
            3,791,026      

Soft Drinks — 2.5%

Coca-Cola Enterprises Inc.

      4,818         135,097      

Dr Pepper Snapple Group Inc.

      3,300         144,375      

Monster Beverage Corp.

      2,300         163,760      

PepsiCo Inc.

      23,549         1,663,972       (d)

The Coca-Cola Co.

      34,002         2,658,616       (d)
        4,765,820      

Specialized Consumer Services — 0.0%*

H&R Block Inc.

      4,492         71,782      

Specialized Finance — 0.4%

CME Group Inc.

      961         257,654      

IntercontinentalExchange Inc.

      1,100         149,578       (a)

Moody’s Corp.

      2,784         101,755      

NYSE Euronext

      4,200         107,436      

The NASDAQ OMX Group Inc.

      1,700         38,539      
        654,962      

Specialized REITs — 1.0%

American Tower Corp.

      6,000         419,460      

HCP Inc.

      6,200         273,730      

Healthcare Inc.

      3,100         180,730      

Host Hotels & Resorts Inc.

      10,617         167,961      

Plum Creek Timber Company Inc.

      2,400         95,280      

Public Storage

      2,200         317,702      

Ventas Inc.

      4,300         271,416      

Weyerhaeuser Co.

      8,167         182,614      
        1,908,893      

Specialty Chemicals — 0.4%

Ecolab Inc.

      4,452         305,096      

International Flavors & Fragrances Inc.

      1,247         68,336      

Sigma-Aldrich Corp.

      1,882         139,136      

The Sherwin-Williams Co.

      1,363         180,393      
        692,961      

Specialty Stores — 0.1%

Staples Inc.

      11,050         144,203      
     Number
of Shares		      Fair Value       

Tiffany & Co.

      2,000       $ 105,900      
        250,103      

Steel — 0.2%

Allegheny Technologies Inc.

      1,751         55,839      

Cliffs Natural Resources Inc.

      2,200         108,438      

Nucor Corp.

      4,936         187,074      

United States Steel Corp.

      2,065         42,539      
        393,890      

Systems Software — 3.0%

BMC Software Inc.

      2,400         102,432       (a)

CA Inc.

      5,700         154,413      

Microsoft Corp.

      112,239         3,433,391       (d)

Oracle Corp.

      58,852         1,747,904       (d)

Red Hat Inc.

      2,900         163,792       (a)

Symantec Corp.

      10,585         154,647       (a)
            5,756,579      

Thrifts & Mortgage Finance — 0.1%

Hudson City Bancorp Inc.

      7,500         47,775      

People’s United Financial Inc.

      5,400         62,694      
        110,469      

Tires & Rubber — 0.0%*

The Goodyear Tire & Rubber Co.

      3,419         40,378       (a)

Tobacco — 2.0%

Altria Group Inc.

      30,653         1,059,061      

Lorillard Inc.

      2,011         265,351      

Philip Morris International Inc.

      25,679         2,240,750      

Reynolds American Inc.

      4,900         219,863      
        3,785,025      

Trading Companies & Distributors — 0.2%

Fastenal Co.

      4,500         181,395      

WW Grainger Inc.

      882         168,674      
        350,069      

Trucking — 0.0%*

Ryder System Inc.

      931         33,525      

Wireless Telecommunication Services — 0.2%

Crown Castle International Corp.

      3,900         228,774       (a)

MetroPCS Communications Inc.

      4,600         27,830       (a)

Sprint Nextel Corp.

      47,500         154,850       (a)
        411,454      

Total Common Stock
(Cost $148,658,045)

         185,529,048      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

10

Table of Contents

S&P 500 Index Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		    Fair Value       

Other Investments — 0.0%*

                   

GEI Investment Fund
(Cost $59,592)

       $ 64,359       (e)

Total Investments in Securities
(Cost $148,717,637)

         185,593,407      

Short-Term Investments — 2.1%

                   

GE Institutional Money Market Fund — Investment Class 0.04%
(Cost $4,085,064)

         4,085,064       (b,e)

Total Investments
(Cost $152,802,701)

         189,678,471      

Other Assets and Liabilities,
net — 0.2%

         299,541      
     

 

 

     

NET ASSETS — 100.0%

       $ 189,978,012      
     

 

 

     

Other Information

                   

The Fund had the following long futures contracts open at June 30, 2012 (unaudited);

 

Description    Expiration
date		     Number
of
Contracts		     Current
Notional
Value		     Unrealized
Appreciation		  

S&P
500
Emini
Index Futures

      September
2012		        75      $ 5,086,500      $ 172,438   
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

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Table of Contents
Notes to Schedules of Investments    June 30, 2012 (Unaudited)

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities information regarding holdings, allocations and other characteristics are presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a) Non-income producing security.

 

(b) Coupon amount represents effective yield.

 

(c) State Street Corp. is the parent company of State Street Bank & Trust Co., the Fund’s custodian and accounting agent. State Street Corp. is also affiliated with SSgA Management, Inc., the sub-adviser.
(d) At June 30, 2012 , all or a portion of this security was pledged to cover collateral requirements for futures, options, forward foreign currency contracts and/or TBA’s.

 

(e) GE Asset Management, the investment adviser of the Fund, also serves as investment adviser of the GEI Investment Fund and the GE Institutional Money Market Fund. The GE Investment Fund has been determined to be illiquid using procedures established by the Board of Directors.

 

(f) General Electric Co. is the parent company of GE Asset Management Incorporated, the Fund’s investment Adviser.

 

* Less than 0.05%.

 

† Percentages are based on net assets as of June 30, 2012.

Abbreviations:

 

REIT

    Real Estate Investment Trust
 

 

12

Table of Contents

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

 

 

     6/30/12†     12/31/11     12/31/10     12/31/09     12/31/08     12/31/07  
Inception date      —        —        —        —        —        4/15/85   

Net asset value, beginning of period

    $ 22.31      $ 22.37      $ 19.82      $ 15.99      $ 26.52      $ 26.06   

Income/(loss) from investment operations:

             

Net investment income

    $ 0.22        0.44        0.40        0.38        0.52        0.47   

Net realized and unrealized
gains/(losses) on investments

      1.86        (0.06)        2.54        3.84        (10.46)        0.86   

Total income/(loss) from
investment operations

      2.08        0.38        2.94        4.22        (9.94)        1.33   

Less distributions from:

             

Net investment income

      —        0.44        0.39        0.39        0.50        0.47   

Net realized gains

      —        —        —        —        0.09        0.40   

Total distributions

      —        0.44        0.39        0.39        0.59        0.87   

Net asset value, end of period

    $ 24.39      $ 22.31      $ 22.37      $ 19.82      $ 15.99      $ 26.52   

TOTAL RETURN (a)

      9.32%        1.71%        14.84%        26.30%        (37.40)%        5.10%   

RATIOS/SUPPLEMENTAL DATA:

             

Net assets, end of period (in thousands)

    $ 189,978      $ 179,556      $ 217,344      $ 224,165      $ 209,176      $ 447,426   

Ratios to average net assets:

             

Net investment income

     1.76% *      1.73%        1.79%        2.05%        1.91%        1.62%   

Net Expenses

      0.37% (b)(c)*      0.40% (b)(c)      0.33% (b)(c)      0.43% (b)      0.41% (b)      0.39%   

Gross Expenses

      0.42% *      0.45%        0.38%        0.43%        0.41%        0.39%   

Portfolio turnover rate

      4%        3%        4%        5%        4%        6%   

Notes to Financial Highlights

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(b) Reflects GE Asset Management’s waiver of a portion of the Fund’s management fee in an amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund or, prior to 2011, in another affiliated money market fund formerly managed by GEAM.
(c) Reflects GE Asset Management’s contractual arrangement with the Company to limit the management fee charged to the Fund to 0.30% of the average daily net assets of the Fund.
† Unaudited
* Annualized for periods less than one year.

 

The accompanying Notes are an integral part of these financial statements.

 

13

Table of Contents
Statement of Assets and Liabilities June 30, 2012      (Unaudited)  

ASSETS

     

Investments in securities, at Fair Value (cost $148,658,045)

        $185,529,048   

Investments in affiliated securities, at Fair Value (cost $59,592)

        64,359   

Short-term affiliated investments (at amortized cost)

        4,085,064   

Restricted cash

        216,002   

Receivable for investments sold

        164,375   

Income receivables

        241,794   

Variation margin receivable

        174,000   

Other assets

        5,175   

Total assets

        190,479,817   

LIABILITIES

     

Payable for investments purchased

        298,730   

Payable for Fund shares redeemed

        88,089   

Payable to GEAM

        45,268   

Accrued other expenses

        69,718   

Total liabilities

        501,805   

NET ASSETS

        $189,978,012   

NET ASSETS CONSIST OF

     

Capital paid in

        200,611,875   

Undistributed net investment income

        1,677,583   

Accumulated net realized loss

        (49,359,654 ) 

Net unrealized appreciation on:

     

Investments

        36,875,770   

Futures

        172,438   

NET ASSETS

        $189,978,012   

Shares outstanding ($0.01 par value; unlimited shares authorized)

        7,787,918   

Net asset value per share

        $24.39   

 

The accompanying Notes are an integral part of these financial statements.

 

14

Table of Contents

Statement of Operations

For the period ending June 30, 2012

      (Unaudited)  

INVESTMENT INCOME

     

Income

     

Dividends

      $ 2,033,303   

Interest

        11,636   

Interest from affiliated investments

        817   

Total income

        2,045,756   

Expenses

     

Advisory and administration fees

        337,406   

Transfer agent fees

        11   

Director’s fees

        3,817   

Custody and accounting expenses

        19,369   

Professional fees

        6,045   

Other expenses

        39,625   

Total expenses before waiver and reimbursement

        406,273   

Less: Expenses waived or borne by the adviser

        (1,887 ) 

Less: Expenses reimbursed by the adviser

        (47,974 ) 

Net expenses

        356,412   

Net investment income

        1,689,344   

NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS

     

Realized gain (loss) on:

     

Investments

        3,604,471   

Futures

        150,210   

Foreign currency related transactions

        (28 ) 

Increase in unrealized appreciation on:

     

Investments

        11,309,731   

Futures

        173,086   

Net realized and unrealized gain on Investments

        15,237,470   

Net increase in net assets resulting from operations

      $ 16,926,814   

 

The accompanying Notes are an integral part of these financial statements.

 

15

Table of Contents
Statements of Changes in Net Assets          
        Six months ended
June 30,
2012*		      Year Ended
December 31,
2011		  

INCREASE (DECREASE) IN NET ASSETS

        

Operations:

        

Net investment income

      $ 1,689,344       $ 3,435,564   

Net realized gain on investments and futures

        3,754,653         2,895,094   

Net increase (decrease) in unrealized appreciationon /(depreciation) on investments and futures

        11,482,817         (2,574,176 ) 

Net Increase from operations

        16,926,814         3,756,482   

Distributions to shareholders from:

        

Net investment loss

        —         (3,467,935 ) 

Total distributions

        —         (3,467,935 ) 

Increase in assets from operations and distributions

        16,926,814         288,547   

Share transactions:

        

Proceeds from sale of shares

        11,162,218         3,811,699   

Value of distributions reinvested

        —         3,467,935   

Cost of shares redeemed

        (17,666,603 )       (45,356,166 ) 

Net decrease from share transactions

        (6,504,385 )       (38,076,532 ) 

Total increase(decrease) in net assets

        10,422,429         (37,787,985 ) 

NET ASSETS

        

Beginning of period

        179,555,583         217,343,568   

End of period

      $ 189,978,012       $ 179,555,583   

Undistributed (distributions in excess of)
net investment income (end of period)

      $ 1,677,583       $ (13,910 ) 

CHANGES IN FUND SHARES

        

Shares sold

        471,214         169,212   

Issued for distributions reinvested

        —         156,425   

Shares redeemed

        (731,614 )       (1,993,589 ) 

Net Decrease in Fund Shares

        (260,400 )       (1,667,952 ) 

 

* Unaudited

 

The accompanying Notes are an integral part of these financial statements.

 

16

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

1. Organization of the Company

GE Investments Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is composed of thirteen investment portfolios (collectively the “Funds”), although only the following ten are currently being offered: U.S. Equity Fund, S&P 500 Index Fund (the “Fund”), Premier Growth Equity Fund, Core Value Equity Fund, Mid-Cap Equity Fund, Small-Cap Equity Fund, Total Return Fund, Income Fund, Money Market Fund and Real Estate Securities Fund.

Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts. GE Asset Management Incorporated (“GEAM”) is the investment adviser and administrator of each of the Funds.

 

2. Summary of Significant Accounting Policies

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

The following summarizes the significant accounting policies of the Company:

Securities Valuation and Transactions. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.

Derivatives The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Fund may enter into derivative transactions to gain market exposure for residual and accumulating cash positions.

Futures Contracts A futures contract represents a commitment for the future purchase or sale of an asset at a

specified price on a specified date. The Fund invested in futures for a variety of portfolio management purposes such as hedging against the effects of changes in the value of portfolio securities due to anticipated changes in market conditions, gaining market exposure for accumulating and residual cash positions, or when the transactions were economically appropriate to the reduction of risks inherent in the management of the Fund. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or hedge other Fund investments. The Fund will not enter into a transaction involving futures for speculative purposes. With futures contracts, there is minimal counterparty credit risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. The Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.

Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Fund each day, depending on the daily fluctuation in the fair value of the underlying security. The Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Fund recognizes a realized gain or loss on the expiration or closing of a futures contract.

Investment Income Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after the ex-dividend date as such information becomes available. Withholding taxes in foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.

Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.

 

 

17

Table of Contents
Notes to Financial Statements    June 30, 2012 (unaudited)

 

Expenses Fund specific expenses are allocated to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Expenses of the Fund are generally paid directly by the Fund, however, expenses may be paid by GEAM and reimbursed by the Fund.

Federal Income Taxes The Fund intends to comply with all sections of the Internal Revenue Code applicable to regulated investment companies including the distribution of substantially all of its taxable net investment income and net realized capital gains to its shareholders. Therefore, no provision for federal income tax has been made.

 

3. Securities Valuation

The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.

Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:

Level 1 — Quoted prices for identical investments in active markets.

Level 2 — Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 — Significant inputs to the valuation model are unobservable.

Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.

Fair Value Measurement The following section describes the valuation methodologies the Fund uses to measure different financial investments at fair value.

The Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price, Level 1 securities primarily include publicly-traded equity securities. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances the Fund classifies the investment securities in Level 2.

Short-term investments of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not

approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.

The Fund uses the net asset value per unit for collective funds (i.e., GEI Investment Fund). The Fund classifies the investment security in Level 2.

If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using procedures approved by the Fund’s Board of Directors that are designed to establish its “fair” value. These securities are typically classified in Level 3. Those procedures require that the fair value of a security be established by a valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of the Fund in the appropriate circumstances.

Fair value determinations generally are used for securities whose value is affected by a significant event that will

 

 

18

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of the Fund’s NAV.

The value established for such a portfolio security may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that the Fund could sell a portfolio security for the value established for it at any time and it is possible that the Fund would incur a loss because a portfolio security is sold at a discount to its established value.

Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps, and written options contracts, which are valued based on fair value as discussed above.

The Fund uses closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the counter markets. Derivative assets and liabilities included in Level 2 primarily represent interest rate swaps, cross-currency swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2012:

 

Investments

      Level 1         Level 2         Level 3         Total   

Investments in Securities†

            

Common Stock

    $ 185,529,048       $ —       $ —       $ 185,529,048   

Other Investments

      —         64,359         —         64,359   

Short-Term Investments

      4,085,064         —         —         4,085,064   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 189,614,112       $ 64,359       $ —       $ 189,678,471   
  

 

 

     

 

 

     

 

 

     

 

 

  
                                     

Other Financial Instruments*

            

Futures Contracts — Unrealized Appreciation

    $ 172,438       $ —       $ —       $ 172,438   
  

 

 

     

 

 

     

 

 

     

 

 

  
                                     

† See Schedule of Investments for Industry Classification

*  Other financial instruments include derivative instruments such as futures contracts. Amounts shown represent unrealized appreciation, at period end.

    

      

The following table presents the changes in Level 3 investments measured on a recurring basis for the period ended June 30, 2012:

 

S&P 500 Index Fund

      
 		 Common
Stock		   
  		       
 		 Preferred
Stock		   
  		        Total   

Balance at 12/31/11

      $ 173         $ —         $ 173   

Accrued discounts/premiums

        —           —           —   

Realized gain (loss)

        (2,105 )         (21 )         (2,126 ) 

Change in unrealized gain (loss)

        78           252           330   

Issuances

        2,271           (175 )         2,096   

Sales

        (417 )         (56 )         (473 ) 
Balance at 06/30/12      $ —         $ —         $ —   

Change in unrealized depreciation relating to securities still held at 06/30/12

     

 

$

 

—

 

  

     

 

$

 

—

 

  

     

 

$

 

—

 

  

There were no transfers between fair value levels. Transfers between fair value levels are considered to occur at the beginning of the period.

 

 

19

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

4. Derivatives Transactions

Shown below are the derivative contracts entered into by the Fund, summarized by primary risk exposure as they appear on the Statement of Assets and Liabilities, all of which are not accounted for as hedging instruments under FASB Accounting Standards Codification (“ASC”) No. 815 Derivatives and Hedging as of June 30, 2012.

 

    

Asset Derivatives June 30, 2012

     

Liability Derivatives June 30, 2012

  

Derivatives not accounted for as hedging

instruments under ASC 815

   Location in the Statement of
Assets and Liabilities		   Fair
Value ($)		      Location in the Statements of
Assets and Liabilities		   Fair
Value ($)		  
Equity Contracts    Assets, Net Assets – Net Unrealized Appreciation/ (Depreciation) on Futures     172,438*       Liabilities, Net Assets – Net Unrealized Appreciation/ (Depreciation) on Futures     —   

 

* Includes cumulative unrealized appreciation/(depreciation) of futures contracts reported in the Schedule of Investments and as within the components of the net assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities.

Shown below are the effects of derivative instruments on the Fund’s Statement of Operation, summarized by primary risk exposure all of which are not accounted for as hedging instruments under ASC 815.

 

Derivatives not accounted
for as hedging instruments
under ASC 815		    Location in the Statements of
Operations		    Total Notional Amount of
Futures Contracts
Purchased/(Sold) ($)		      Realized Gain
or (Loss) on
Derivatives
Recognized
in Income ($)		      Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
in Income ($)		  

Equity Contracts

    Realized gain/(loss) on
Futures, Increase/(decrease)
in unrealized appreciation/ (depreciation) on Futures		      20,802,563/(18,358,230)         150,210         173,086   

 

5. Compensation and Fees Paid to Affiliates

GEAM, a registered investment adviser, was retained by the Company’s Board of Directors effective May 1, 1997 to act as investment adviser and administrator of the Fund. GEAM’s compensation for investment advisory and administrative services is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.35%.

GEAM has entered into a contractual arrangement with the Company to limit the management fee charged to the Fund to 0.30% of the average daily net assets of the Fund (the “Agreement”). Unless terminated or amended, this Agreement will continue in effect until April 30, 2013. The Agreement may only be changed or terminated with the approval of the Company’s Board of Directors and GEAM.

GEAM has a contractual arrangement with the Fund to waive a portion of the Fund’s management fee in the amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund, if any.

Directors’ Compensation The Fund pays no compensation to its directors who are officers or employees of GEAM or its affiliates. Directors who are not such officers or employees also serve in a similar capacity for other funds advised by GEAM. Compensation paid to

non-interested Directors are reflected on the Statement of Operations. These fees are allocated pro rata across all of the mutual fund platforms served by the Directors, including the Fund, and are based upon the relative net assets of each fund within such platforms.

 

6. Sub-advisory Fees

Pursuant to an investment sub-advisory agreement with GEAM, SSgA Funds Management, Inc. (“SSgA”) is the sub-adviser to the S&P 500 Index Fund. SSgA is responsible for the day-to-day portfolio management of the assets of the Fund, including the responsibility for making decisions to buy, sell or hold a particular security, under the general supervision of GEAM and the Board.

For its services, GEAM pays SSgA monthly sub-advisory fees which are calculated as a percentage of the average daily net assets of the Fund.

 

7. Investment Transactions

Purchases and Sales of Securities The cost of purchases and the proceeds from sales of investments, other than short-term securities, for the six-month period ended June 30, 2012 were as follows:

 

Non-U.S. Government Securities
Purchases   Sales
$7,956,283   $14,975,381

 

 

 

20

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

 

8. Income Taxes

The Fund is subject to ASC 740, Income Taxes. ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions

taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to the Fund’s net assets required under ASC 740. The Fund’s 2008, 2009, 2010 and 2011 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities.

 

 

At June 30, 2012, information on the tax cost of investments was as follows:

 

    Gross Tax   Net Tax Appreciation
Cost of Investments
For Tax Purposes		   Appreciation   Depreciation  

$160,989,123

   $57,858,037   $(29,168,689)   $28,689,348

 

As of December 31, 2011, the Fund has capital loss carryovers, as indicated below. Capital loss carryovers are available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders because they would be taxable as ordinary income.

 

Amount

    
Short-Term   Long-Term   Expires
$21,017,557   $—   12/31/2016
  20,177,021     —   12/31/2017
    3,073,444     —   12/31/2018

These amounts will be available to offset future taxable capital gains. Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

During the year ended December 31, 2011, the Fund utilized $834,766 of prior year capital loss carryovers.

Any qualified late-year loss is deemed to arise on the first day of the Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, the Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.

The Fund elected to defer qualified late-year losses for the year ended December 31, 2011 as follows:

 

Capital    Ordinary
$672,990    $—

The tax composition of distributions paid during the years ended December 31, 2011 and December 31, 2010 were as follows:

 

      Ordinary
Income		      Long-Term
Capital Gains		      Total  

2011

    $ 3,467,935       $ —       $ 3,467,935   

2010

      3,730,010         —         4,356,429   

Distributions to Shareholders The Fund declares and pays any dividends from net investment income annually. The Fund declares and pays any net realized capital gains in excess of capital loss carryforwards distributions annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences include (but are not limited to) futures, investments organized as partnerships for tax purposes, distributions from Real Estate Investment Trusts (REITs) and other equity investments, and losses deferred due to wash sale transactions. Reclassifications due to permanent book/tax differences are made to the Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or the net asset value of the Fund. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.

 

 

21

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

The reclassifications for the year ended December 31, 2011 were as follows:

 

Undistributed
Net Investment Income		   

Accumulated

Net Realized
Gain (Loss)

    Capital Paid In
$1,483    $28,544    $(30,027)
9. Subsequent Events

Subsequent events after the balance sheet date through the date the financial statements were issued have been evaluated in the preparation of the financial statements. As of August 3, 2012, the assets of the Mid-Cap Equity Fund and the Money Market Fund were liquidated. These funds ceased operations and are no longer offered for investment.

 

 

22

Table of Contents
Additional Information    (Unaudited)

 

Information about Directors and Executive Officers:

The business and affairs of the Funds are managed under the direction of the Funds’ Board of Directors. Information pertaining to the Directors and officers of the Funds is set forth below.

Interested Directors and Executive Officers

 

 

Michael J. Cosgrove

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    63

Position(s) Held with Fund    Chairman of the Board and President

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    President of Mutual Funds and Global Investment Programs of GEAM since November 2011; President and Chief Executive Officer – Mutual Funds and Intermediary Business of GEAM from March 2007 to November 2011; Executive Vice President of GEAM from February 1997 to March 2007; and Executive Vice President-Mutual Funds of GEAM from March 1993 to March 2007. Also serves as Treasurer of GE Foundation since 1988.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Chairman of the Board and President of GE Institutional Funds since 1997; Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since 1988; Director of GEAM since 1988; Trustee of Fordham University from 2002 to June 30, 2010 and since July 2011; Director of GE Investments Distributors, Inc since June 2011; Director of Skin Cancer Foundation since August 2010; Member of the Board of Governors for the Investment Company Institute since October 2006; Director, GE Asset Management (Ireland) Limited, since February 1999, GE Asset Management Funds Plc since 1998, GE Asset Management Canada Company since 1998, GE Asset Management Limited since 1998; Trustee of General Electric Pension Trust since 1988; and Chairman of the Board and President of GE Funds from 1993 to February 2011.

 

 

Matthew J. Simpson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    51

Position(s) Held with Fund    Director and Executive Vice President

Term of Office and Length of Time Served    Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 years    Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Savings & Security Funds since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since July 2007; Trustee and Executive Vice President of GE Institutional Funds since July 2007; Director of GEAM since July 2007; and Trustee and Executive Vice President of GE Funds from July 2007 to February 2011.

 

23

Table of Contents
Additional Information    (Unaudited)

 

 

Joon Won Choe

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    42

Position(s) Held with Fund    Vice President & Secretary

Term of Office and Length of Time Served    Until successor is elected and qualified – Vice President and Secretary – 1 year

Principal Occupation(s) During Past 5 years    Senior Vice President and Deputy General Counsel at GEAM since March 2011; Vice President and Secretary of GE Institutional Funds since September 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds since September 2010; Senior Vice President and Associate General Counsel at GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010 and Vice President and Secretary of GE Funds from September 2010 to February 2011.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Robert Herlihy

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    44

Position(s) Held with Fund    Chief Compliance Officer

Term of Office and Length of Time Served    Until successor is elected and qualified — 6 years

Principal Occupation(s) During Past 5 years    Chief Compliance Officer of GEAM, GE Institutional Funds, Elfun Funds, and GE Savings & Security Funds since July 2005; Chief Compliance Officer of GE Funds from July 2005 to February 2011 and Manager of Fund Administration at GEAM from 2002-2005.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Arthur A. Jensen

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    45

Position(s) Held with Fund    Treasurer

Term of Office and Length of Time Served    Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years    Treasurer of GE Institutional Funds, Elfun Funds and GE Savings & Security Funds since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

24

Table of Contents
Additional Information    (Unaudited)

 

 

 

Jeanne M. LaPorta

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    46

Position(s) Held with Fund    Vice President

Term of Office and Length of Time Served     Until successor is elected and qualified – 8 years

Principal Occupation(s) During Past 5 Years    Senior Vice President and Commercial Administrative Officer of GEAM since April 2010; Vice President of GE Institutional Funds since July 2003; Vice President of Elfun Funds and GE Savings & Security Funds since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

Non-Interested Directors

 

 

John R. Costantino

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    66

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    General Partner, NGN Capital LLC since 2006; Managing Director, Vice President of Walden Capital Management since 1996.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since 1997; Trustee of Fordham University from 1989 to 1995 and from 2001 to 2007 and Trustee Emeritus since 2007; Trustee of Neuroscience Research Institute since 1986; Trustee of GE Funds from 1993 to February 2011; Director of Artes Medical from 2006-2008 and Trustee of Gregorian University Foundation from 1992-2007.

 

25

Table of Contents
Additional Information    (Unaudited)

 

 

 

R. Sheldon Johnson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    65

Positions(s) Held with Fund    Director

Term of office and Length of Time served    Unit Successor is elected and qualified – 1 year.

Principal Occupation(s) During Past 5 years    Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. from 2002 to 2006 and Managing Director at Morgan Stanley & Co., Inc. from 1988 to 2006.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since April 2011 and Trustee of St. Lawrence University since 2003.

 

 

Donna M. Rapaccioli

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    49

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – Less than 1 year

Principal Occupation(s) During Past 5 Years    Dean of the Gabelli School of Business since 2007 and Accounting professor since 1987 at Fordham University.

Number of Portfolios in Fund Complex Overseen by Officer    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since January 2012 and Trustee of Emmanuel College since 2010.

 

 

The Statement of Additional Information for the Funds includes additional information about the Directors and Officers and is available, without charge, upon request by calling 1-800-242-0134.

 

26

Table of Contents
Investment Team    (Unaudited)

 

Investment Adviser and Administrator

GE Asset Management Incorporated

Board of Directors

Michael J. Cosgrove, Chairman

John R. Costantino

R. Sheldon Johnson

Donna M. Rapaccioli

Matthew J. Simpson

Secretary

Joon Won Choe

Assistant Secretary

Michelle Matzelle

Treasurer

Arthur A. Jensen

Assistant Treasurer

Casey Yantosca

Distributor

GE Investment Distributors, Inc.

Member FINRA and SIPC

 

 

Custodian

State Street Bank & Trust Company

Officers of the Investment Adviser

Dmitri Stockton, President and Chief Executive Officer

Cheryl H. Beacock, Senior Vice President, Human Resources

George A. Bicher, Chief Risk Officer

Paul M. Colonna, President and Chief Investment Officer – Public Investments

Michael J. Cosgrove, President of Mutual Funds and Global Investment Programs

Gregory B. Hartch, Senior Vice President – Strategy and Business Development Leader

Ralph R. Layman, Executive Vice President and Chief Investment Officer Emeritus Public Equities

Maureen B. Mitchell, President of Global Sales and Marketing

Steven M. Rullo, Senior Vice President – Services and Technology

Matthew J. Simpson, Executive Vice President, General Counsel and Secretary

Donald W. Torey, President and Chief Investment Officer – Alternative Investments

David Wiederecht, President and Chief Investment Officer – Investment Solutions

Jessica Holscott, Executive Vice President, Chief Financial Officer*

 
* Effective August 1, 2012, Ms. Holcott replaced Tracie A. Winbigler as Executive Vice President and Chief Financial Officer.

 

At GE Asset Management, we’re dedicated to providing the investment options you’ll need to tailor your financial portfolio to every stage of your life. Each member of the GE Family of Funds is managed according to the same principles of integrity and quality that have guided GE over the past century, and have made it the world-class company that it is today. Each fund draws strength from a heritage of investment management experience that spans more than 80 years. Whether you’re creating a new investment portfolio or adding to an established one, the GE Family of Funds offers an array of professionally managed investment options that will help you meet a lifetime of financial needs.

 

27

Table of Contents

Investment Adviser

GE Asset Management Incorporated

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

Distributor

GE Investment Distributors, Inc.

member FINRA and SIPC

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

 

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-493-3042; (ii) on the Fund’s website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC—information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov.

 

LOGO

Table of Contents
 

GE Investments Funds, Inc.

Premier Growth Equity Fund

Semi-Annual Report

June 30, 2012

 

LOGO

Table of Contents

GE Investments Funds, Inc.

Premier Growth Equity Fund    Contents

 

Fund Information

     1   

Understanding Your Fund’s Expenses

      2   

Schedule of Investments .

      3   

Notes to Schedule of Investments

      5   

Financial Statements

   

Financial Highlights

      6   

Statement of Assets and Liabilities

      7   

Statement of Operations

      8   

Statements of Changes in Net Assets .

      9   

Notes to Financial Statements

      10   

Additional Information

     16   

Investment Team

     20   

 

This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.

Table of Contents
Premier Growth Equity Fund    (Unaudited)

Fund Information

 

Notes to Performance

Total return performance shown in this report for the GE Investments Premier Growth Equity Fund (the “Fund”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call 800-493-3042 or visit the Fund’s website at http://www.geam.com for the most recent month-end performance data.

An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.

Investment Profile

A mutual fund designed for investors who seek long-term growth of capital and future income rather than current income. The Fund seeks its investment objectives by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks. The Fund invests primarily in a limited number of large-and medium-sized companies (meaning companies with a market capitalization of $2 billion or more) that the portfolio manager believes have above-average growth histories and/or growth potential.

 

Sector Allocation

as a % of Fair Value of $36,827 (in thousands) on June 30, 2012 (a) (b)

 

 

 

LOGO

Top Ten Largest Holdings

as of June 30, 2012 (as a % of Fair Value) (a) (b) (c)

 

 

Apple Inc.

      6.80%   

eBay Inc.

      4.44%   

Express Scripts Holding Co.

      4.35%   

Schlumberger Ltd.

      4.13%   

Qualcomm Inc.

      4.09%   

Covidien PLC

      3.91%   

Liberty Global Inc.

      3.84%   

Visa Inc.

      3.78%   

PepsiCo Inc.

      3.63%   

CME Group Inc.

      3.60%   
 

 

(a) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.
(b) Fair value basis is inclusive of the short-term investment in GE Institutional Money Market Fund Investment Class.
(c) The figures presented to not include the Fund’s entire investment portfolio and may change at any time.
* Less than 0.05%.

GE Investment Distributors, Inc., Member of FINRA & SIPC, is the principal underwriter and distributor of the GE Investments Funds, Inc. and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Fund.

 

1

Table of Contents

Premier Growth Equity Fund

(Unaudited)

 

 

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2012.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during period” to estimate the expenses paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.

 

January 1, 2012 – June 30, 2012

 

        Account value at the
beginning of the period  ($)		        Account value at the
end of the period ($)		        Expenses paid
during the period ($)*		  

Actual Fund Return

        1,000.00           1,125.10           4.39   

Hypothetical 5% Return (2.5% for the period)

        1,000.00           1,020.74           4.17   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.83% (for the period January 1, 2012—June 30, 2012), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

2

Table of Contents

Premier Growth Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

Premier Growth Equity Fund

 

     Number
of Shares		      Fair Value       

Common Stock — 96.1% †

  

     

Air Freight & Logistics — 3.0%

  

   

United Parcel Service Inc.

      14,028       $   1,104,845      

Application Software — 1.3%

  

   

Intuit Inc.

      7,995         474,503      

Asset Management & Custody Banks — 2.5%

  

   

State Street Corp.

      20,933         934,449       (c)

Biotechnology — 5.0%

  

   

Amgen Inc.

      14,536         1,061,709      

Gilead Sciences Inc.

      15,627         801,353       (a)
        1,863,062      

Broadcasting — 2.8%

  

   

Discovery Communications Inc.

      20,714         1,037,564       (a)

Cable & Satellite — 6.8%

  

   

DIRECTV

      22,895         1,117,734       (a)

Liberty Global Inc.

      29,654         1,415,979       (a)
        2,533,713      

Casinos & Gaming — 1.5%

  

   

Las Vegas Sands Corp.

      12,848         558,759      

Communications Equipment — 5.2%

  

   

Cisco Systems Inc.

      24,712         424,305       (d)

Qualcomm Inc.

      27,038         1,505,476      
        1,929,781      

Computer Hardware — 6.8%

  

   

Apple Inc.

      4,288         2,504,192       (a)

Data Processing & Outsourced Services — 10.2%

Paychex Inc.

      34,161         1,072,997      

The Western Union Co.

      78,134         1,315,777      

Visa Inc.

      11,266         1,392,816      
        3,781,590      

Fertilizers & Agricultural Chemicals — 3.1%

  

   

Monsanto Co.

      13,955         1,155,195      

Healthcare Equipment — 3.9%

  

   

Covidien PLC

      26,892         1,438,722      

Healthcare Services — 4.3%

  

   

Express Scripts Holding Co.

      28,710         1,602,879       (a)
     Number
of Shares		      Fair Value       

Home Furnishing Retail — 1.8%

  

   

Bed Bath & Beyond Inc.

      10,830       $ 669,294       (a)

Home Improvement Retail — 3.2%

  

   

Lowe’s Companies Inc.

      41,429         1,178,241      

Industrial Machinery — 2.5%

  

   

Dover Corp.

      17,589         942,946      

Internet Retail — 1.3%

  

   

Amazon.com Inc.

      2,071         472,913       (a)

Internet Software & Services — 7.6%

  

   

Baidu Inc. ADR

      10,248         1,178,315       (a)

eBay Inc.

      38,885         1,633,559       (a)
        2,811,874      

Investment Banking & Brokerage — 1.7%

  

   

The Goldman Sachs Group Inc.

      6,541         627,020      

Oil & Gas Equipment & Services — 4.1%

  

   

Schlumberger Ltd.

      23,434         1,521,101      

Oil & Gas Exploration & Production — 1.2%

  

   

Anadarko Petroleum Corp.

      6,862         454,264      

Real Estate Services — 1.0%

  

   

CBRE Group Inc.

      22,789         372,828       (a)

Soft Drinks — 3.6%

  

   

PepsiCo Inc.

      18,897         1,335,262      

Specialized Finance — 3.6%

  

   

CME Group Inc.

      4,942         1,325,000      

Specialized REITs — 3.2%

  

   

American Tower Corp.

      17,080         1,194,063      

Specialty Stores — 1.5%

  

   

Dick’s Sporting Goods Inc.

      11,629         558,192      

Systems Software — 3.4%

  

   

Microsoft Corp.

      25,802         789,283       (d)

Oracle Corp.

      15,990         474,903      
        1,264,186      

Total Common Stock
(Cost $27,132,992)

         35,646,438      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

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Table of Contents

Premier Growth Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

          Fair Value       

Other Investments — 0.0%*

                   

GEI Investment Fund
(Cost $2,277)

       $ 2,459       (e)

Total Investments in Securities
(Cost $27,135,269)

         35,648,897      
        

Short-Term Investments — 3.2%

              

GE Institutional Money Market Fund—Investment Class 0.04%
(Cost $1,178,167)

         1,178,167       (b,e)

Total Investments
(Cost $28,313,436)

         36,827,064      

Other Assets and Liabilities,
net — 0.7%

         270,183      
     

 

 

     

 

NET ASSETS — 100.0%

       $ 37,097,247      
     

 

 

     

 

        

Other Information

                   

The Fund had the following long futures contracts open at June 30, 2012 (Unaudited):

 

Description   Expiration
date		     Number
of
Contracts		     Current
Notional
Value		     Unrealized
Appreciation		  

S&P 500 Emini Index Futures

     September 2012        1      $ 67,820      $ 2,802   

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

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Table of Contents
Notes to Schedule of Investments    June 30, 2012 (Unaudited)

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities information regarding holdings, allocations and other characteristics are presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a) Non-income producing security.

 

(b) Coupon amount represents effective yield.

 

(c) State Street Corp. is the parent company of State Street Bank & Trust Co., the Fund’s custodian and accounting agent.
(d) At June 30, 2012 , all or a portion of this security was pledged to cover collateral requirements for futures, options, forward foreign currency contracts and/or TBA’s.

 

(e) GE Asset Management, the investment adviser of the Fund, also serves as investment adviser of the GEI Investment Fund and the GE Institutional Money Market Fund. The GE Investment Fund has been determined to be illiquid using procedures established by the Board of Directors.

 

* Less than 0.05%.

 

† Percentages are based on net assets as of June 30, 2012 .

Abbreviations:

 

ADR

    American Depository Receipt
 

 

5

Table of Contents

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

 

 

 

    CLASS 1  
    6/30/12†     12/31/11     12/31/10     12/31/09     12/31/08     12/31/07  
Inception date     —        —        —        —        —        12/12/97   

Net asset value, beginning of period

     $71.78        $71.60        $64.30        $46.49        $78.95        $82.17   

Income/(loss) from investment operations:

            

Net investment income (loss)

     0.22        0.15        0.14 *      0.20        0.30        0.23   

Net realized and unrealized gains/(losses) on investments

     8.76        0.19        7.32        17.81        (29.32)        4.19   

Total income/(loss) from investment operations

     8.98        0.34        7.46        18.01        (29.02)        4.42   

Less distributions from:

            

Net investment income

     —        0.16        0.16        0.20        0.26        0.23   

Return of Capital

     —        —        —        —        0.01        —   

Net realized gains

     —        —        —        —        3.17        7.41   

Total distributions

     —        0.16        0.16        0.20        3.44        7.64   

Net asset value, end of period

     $80.76        $71.78        $71.60        $64.30        $46.49        $78.95   

TOTAL RETURN(a)

     12.51%        0.47%        11.61%        38.74%        (36.66)%        5.34%   

RATIOS/SUPPLEMENTAL DATA:

            

Net assets, end of period (in thousands)

     $37,097        $37,871        $45,280        $48,620        $43,308        $94,720   

Ratios to average net assets:

            

Net investment income (loss)

     0.52% **      0.19%        0.22%        0.33%        0.36%        0.24%   

Net expenses

     0.83% (b)**      0.91% (b)      0.76% (b)      0.90% (b)      0.76% (b)      0.72%   

Gross expenses

     0.84% **      0.92%        0.76%        0.90%        0.76%        0.72%   

Portfolio turnover rate

     8%        21%        19%        18%        23%        29%   

Notes to Financial Highlights

 

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(b) Reflects GE Asset Management waiver of a portion of the Fund’s management fee in an amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund or, prior to 2011, in another affiliated Money Market Fund formerly managed by GEAM.
* Per share values have been calculated using the average share method.
** Annualized for periods less than one year.
† Unaudited

 

The accompanying Notes are an integral part of these financial statements.

 

6

Table of Contents
Statement of Assets and Liabilities
June 30, 2012 		     (Unaudited)  

ASSETS

     

Investments in securities, at Fair Value (cost $27,132,992)

        $35,646,438   

Investments in affiliated securities, at Fair Value (cost $2,277)

        2,459   

Short-term affiliated investments (at amortized cost)

        1,178,167   

Receivable for investments sold

        46,114   

Income receivables

        15,097   

Receivable for fund shares sold

        331,064   

Variation margin receivable

        1,700   

Other assets

        1,593   

Total assets

        37,222,632   

LIABILITIES

     

Payable for investments purchased

        65,550   

Payable for fund shares redeemed

        94   

Payable to GEAM

        19,145   

Accrued other expenses

        40,596   

Total liabilities

        125,385   

NET ASSETS

        $37,097,247   

NET ASSETS CONSIST OF:

     

Capital paid in

        32,512,225   

Undistributed net investment income

        100,489   

Accumulated net realized loss

        (4,031,897 ) 

Net unrealized appreciation on:

     

Investments

        8,513,628   

Futures

        2,802   

NET ASSETS

        $37,097,247   

Class 1

     

NET ASSETS

        37,097,247   

Shares outstanding( $.001 par value; unlimited shares authorized)

        459,350   

Net asset value per share

        $80.76   

 

The accompanying Notes are an integral part of these financial statements.

 

7

Table of Contents

Statements of Operations

For the period ending June 30, 2012

      (Unaudited)  

INVESTMENT INCOME

     

Income:

     

Dividend

        $262,290   

Interest

        101   

Interest from affiliated investments

        337   

Total Income

        262,728   

Expenses:

     

Advisory and administration fees

        126,358   

Director’s fees

        820   

Custody and accounting expenses

        14,912   

Professional fees

        9,341   

Other expenses

        11,035   

Total expenses before waiver and reimbursement

        162,466   

Less: Expenses waived or borne by the adviser

        (702 ) 

Net expenses

        161,764   

Net investment income

        100,964   

NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS

     

Realized gain (loss) on:

     

Investments

        1,486,878   

Futures

        (69,607 ) 

Increase (decrease) in unrealized appreciation/ (depreciation) on:

     

Investments

        3,180,675   

Futures

        (13,493 ) 

Net realized and unrealized gain on investments

        4,584,453   

Net increase in net assets resulting from operations

        $4,685,417   

 

The accompanying Notes are an integral part of these financial statements.

 

8

Table of Contents

Statements of Changes in Net Assets

          
       

Six months ended
June 30,

2012 *

      Year Ended
December 31,
2011		  

INCREASE (DECREASE) IN NET ASSETS

        

Operations:

        

Net investment income

      $ 100,964       $ 79,873   

Net realized gain on investments and futures

        1,417,271         1,979,153   

Net increase (decrease) in unrealized appreciation /(depreciation) on investments and futures

        3,167,182         (1,697,130 ) 

Net increase from operations

        4,685,417         361,896   

Distributions to shareholders from :

        

Net investment income

        

Class 1

        —         (82,406 ) 

Class 4 **

        —         —   

Total distributions

        —         (82,406 ) 

Increase in net assets from operations and distributions

        4,685,417         279,490   

Share transactions :

        

Proceeds from sale of shares

        

Class 1

        506,021         1,061,170   

Class 4 **

        —         —   

Value of distributions reinvested

        

Class 1

        —         82,406   

Class 4 **

        —         —   

Cost of shares redeemed

        

Class 1

        (5,965,183 )       (8,830,674 ) 

Class 4 **

        —         (10,658 ) 

Net decrease from share transactions

        (5,459,162 )       (7,697,756 ) 

Total decrease in net assets

        (773,745 )       (7,418,266 ) 

NET ASSETS

        

Beginning of period

        37,870,992         45,289,258   

End of period

      $ 37,097,247       $ 37,870,992   

Undistributed (distribution in excess of)
net investment income, end of period

      $ 100,489       $ (475 ) 

CHANGES IN FUND SHARES

        

Class 1

        

Shares sold

        6,289         14,293   

Issued for distributions reinvested

        —         1,155   

Shares redeemed

        (74,567 )       (120,204 ) 

Net Decrease in Fund Shares

        (68,278 )       (104,756 ) 

Class 4**

        

Shares sold

        —         —   

Issued for distributions reinvested

        —         —   

Shares redeemed

        —         (136 ) 

Net Decrease in Fund Shares

        —         (136 ) 

 

*   (Unaudited)
** Share Class 4 was closed effective April 30, 2011

 

The accompanying Notes are an integral part of these financial statements.

 

9

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

1. Organization of the Company

GE Investments Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is composed of thirteen investment portfolios (collectively the “Funds”), although only the following ten are currently being offered: U.S. Equity Fund, S&P 500 Index Fund, Premier Growth Equity Fund (the “Fund”), Core Value Equity Fund, Mid-Cap Equity Fund, Small-Cap Equity Fund, International Equity Fund, Total Return Fund, Income Fund, Money Market Fund and Real Estate Securities Fund.

Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts. GE Asset Management Incorporated (“GEAM”) is the investment adviser and administrator of each of the Funds.

The Company currently offers one share class (Class 1) as an investment option for variable life insurance and variable annuity contracts.

 

2. Summary of Significant Accounting Policies

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

The following summarizes the significant accounting policies of the Company:

Securities Valuation and Transactions. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.

Derivatives The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The

Fund may enter into derivative transactions to gain market exposure for residual and accumulating cash positions.

Futures Contracts A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The Fund invested in futures for a variety of portfolio management purposes such as hedging against the effects of changes in the value of portfolio securities due to anticipated changes in market conditions, gaining market exposure for accumulating and residual cash positions, or when the transactions were economically appropriate to the reduction of risks inherent in the management of the Fund. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or hedge other Fund investments. The Fund will not enter into a transaction involving futures for speculative purposes. With futures contracts, there is minimal counterparty credit risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. The Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.

Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Fund each day, depending on the daily fluctuation in the fair value of the underlying security. The Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Fund recognizes a realized gain or loss on the expiration or closing of a futures contract.

Investment Income Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after the ex-dividend date as such information becomes available. Withholding taxes in foreign dividends have been provided

 

 

10

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.

Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.

Expenses Fund specific expenses are allocated to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Expenses of the Fund are generally paid directly by the Fund, however, expenses may be paid by GEAM and reimbursed by the Fund.

Federal Income Taxes The Fund intends to comply with all sections of the Internal Revenue Code applicable to regulated investment companies including the distribution of substantially all of its taxable net investment income and net realized capital gains to its shareholders. Therefore, no provision for federal income tax has been made.

 

3. Securities Valuation

The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.

Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:

Level 1 — Quoted prices for identical investments in active markets.

 

Level 2 — Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 — Significant inputs to the valuation model are unobservable.

Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.

Fair Value Measurement The following section describes the valuation methodologies the Fund uses to measure different financial investments at fair value.

The Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price, Level 1 securities primarily include publicly-traded equity securities. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances the Fund classifies the investment securities in Level 2.

Short-term investments of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.

The Fund uses the net asset value per unit for collective funds (i.e., GEI Investment Fund). The Fund classifies the investment security in Level 2.

If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using procedures approved by the Fund’s Board of Directors that are designed to establish its “fair” value. These securities

 

 

11

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

are typically classified in Level 3. Those procedures require that the fair value of a security be established by a valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of the Fund in the appropriate circumstances.

Fair value determinations generally are used for securities whose value is affected by a significant event that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of the Fund’s NAV.

The value established for such a portfolio security may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance

that the Fund could sell a portfolio security for the value established for it at any time and it is possible that the Fund would incur a loss because a portfolio security is sold at a discount to its established value.

Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps, and written options contracts, which are valued based on fair value as discussed above.

The Fund uses closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the counter markets. Derivative assets and liabilities included in Level 2 primarily represent interest rate swaps, cross-currency swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

 

The following tables present the Fund’s investments measured at fair value on a recurring basis at June 30, 2012:

 

Investments

      Level 1         Level 2         Level 3         Total   

Investments in Securities†

            

Common Stock

    $ 35,646,438       $ —       $ —       $ 35,646,438   

Other Investments

      —         2,459         —         2,459   

Short-Term Investments

      1,178,167         —         —         1,178,167   

Total Investments in Securities

    $ 36,824,605       $ 2,459       $ —       $ 36,827,064   

Other Financial Instruments*

            

Futures Contracts — Unrealized Appreciation

    $ 2,802       $ —       $ —       $ 2,802   

 

† See Schedule of Investments for Industry Classification.
* Other financial instruments include derivative instruments such as futures contracts. Amounts shown represent unrealized appreciation (depreciation), at period end.

There were no transfers between the fair value levels. Transfers between fair value levels are considered to occur at the beginning of the period.

 

12

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

 

4. Derivatives Transactions

Shown below are the derivative contracts entered into by the Fund, summarized by primary risk exposure as they appear on the Statement of Assets and Liabilities, all of which are not accounted for as hedging instruments under FASB Accounting Standards Codification (“ASC”) No. 815 Derivatives and Hedging as of June 30, 2012.

 

      Asset Derivatives June 30, 2012     Liability Derivatives June 30, 2012  
Derivatives not accounted for as hedging
instruments under ASC 815		    Location in the Statement of
Assets and Liabilities		    Fair Value ($)     Location in the Statements of
Assets and Liabilities		    Fair Value ($)  

Equity Contracts

   Assets, Net Assets – Net Unrealized Appreciation/ (Depreciation) on Futures      2,802 *    Liabilities, Net Assets – Net Unrealized Appreciation/ (Depreciation) on Futures      —   

 

* Includes cumulative unrealized appreciation/(depreciation) of futures contracts as reported in the Schedule of Investments and within the components of the net assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities.

Shown below are the effects of derivative instruments on each Fund’s Statement of Operation, summarized by primary risk exposure all of which are not accounted for as hedging instruments under ASC 815.

 

Derivatives not accounted for
as hedging instruments under
ASC 815		    Location in the Statements
of Operations		   

Total Notional Amount
of Futures Contracts

Purchased/(Sold) ($)

     Realized Gain or (Loss)
on Derivatives
Recognized in Income ($)		     Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
in Income ($)		  

Equity Contracts

    Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on
Futures		     

 

 7,081,574/

(7,556,954

   

) 

     (69,607 )      (13,493 ) 

 

5. Line of Credit

The Company shares a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is with its custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.100% per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Fund generally is borne proportionally based upon net assets. In addition, the Company has a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal Funds Rate plus 50 basis points and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i) 33.33% of the Fund’s total assets or (ii) 20% of its net assets. The credit facilities were not utilized by the Fund during the six-month period ended June 30, 2012.

6. Compensation and Fees Paid to Affiliates

GEAM, a registered investment adviser, was retained by the Company’s Board of Directors effective November 15, 1997 to act as investment adviser and administrator of the Fund. GEAM’s compensation for investment advisory and administrative services is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.65%.

GEAM has a contractual arrangement with the Fund to waive a portion of the Fund’s management fee in the amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund, if any.

 

Directors’ Compensation The Fund pays no compensation to its directors who are officers or employees of GEAM or its affiliates. Directors who are not such officers or employees also serve in a similar capacity for other funds advised by GEAM. Compensation paid to non-interested Directors are reflected on the Statement of Operations. These fees are allocated pro rata across all of

 

 

13

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

the mutual fund platforms and share classes served by the Directors, including the Fund, and are based upon the relative net assets of each fund within such platforms.

 

7. Investment Transactions

Purchases and Sales of Securities The cost of purchases and the proceeds from sales of investments, other than short-term securities, for the six-month period ended June 30, 2012 were as follows:

 

Non-U.S. Government Securities
Purchases   Sales
$2,992,843   $8,074,503
8. Income Taxes

The Fund is subject to ASC 740, Income Taxes. ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to the Fund’s net assets required under ASC 740. The Fund’s 2008, 2009, 2010 and 2011 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities.

 

 

At June 30, 2012, information on the tax cost of investments was as follows:

 

Cost of Investments For
Tax Purposes		   Gross Tax  

Net Tax Appreciation

  Appreciation   Depreciation  

$30,115,699

  

$9,146,797

  

$(2,435,432)

  

$6,711,365

 

As of December 31, 2011, the Fund has capital loss carryovers as indicated below. Capital loss carryovers are available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders because they would be taxable as ordinary income.

 

Amount     
Short-Term   Long-Term   Expires
$2,273,559   $—   12/31/2017
  1,355,120     —   12/31/2018

These amounts will be available to offset future taxable capital gains. Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the

losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

During the year ended December 31, 2011 the Fund utilized $1,693,552 of prior year capital loss carryovers.

Any qualified late-year loss is deemed to arise on the first day of the Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, the Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.

The Fund elected to defer qualified late-year losses for the year ended December 31, 2011 as follows:

 

Capital   Ordinary
$2,434   $—
 

 

14

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

The tax composition of distributions paid during the years ended December 31, 2011 and December 31, 2010 were as follows:

 

     Ordinary
Income		   Long-Term
Capital
Gains		   Total

2011

   $  82,406   $—   $  82,406

2010

   102,983     —   102,983

Distributions to Shareholders The Fund declares and pays any dividends from net investment income annually. The Fund declares and pays any net realized capital gains in excess of capital loss carryforwards distributions annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences include (but are not limited to) futures, investments organized as partnerships for tax purposes, and losses deferred due to wash sale transactions. Reclassifications due to permanent book/tax differences are made to the Fund’s capital accounts to

reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or the net asset value of the Fund. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.

 

Undistributed
Net Investment
Income		   Accumulated
Net Realized
Gain (Loss)		   Capital Paid In
$2,288   $—   $(2,288)

 

9. Subsequent Events

Subsequent events after the balance sheet date through the date the financial statements were issued have been evaluated in the preparation of the financial statements. As of August 3, 2012, the assets of the Mid-Cap Equity Fund and the Money Market Fund were liquidated. These funds ceased operations and are no longer offered for investment.

 

 

15

Table of Contents
Additional Information    (Unaudited)

 

Information about Directors and Executive Officers:

The business and affairs of the Funds are managed under the direction of the Funds’ Board of Directors. Information pertaining to the Directors and officers of the Funds is set forth below.

Interested Directors and Executive Officers

 

 

Michael J. Cosgrove

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    63

Position(s) Held with Fund    Chairman of the Board and President

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    President of Mutual Funds and Global Investment Programs of GEAM since November 2011; President and Chief Executive Officer – Mutual Funds and Intermediary Business of GEAM from March 2007 to November 2011; Executive Vice President of GEAM from February 1997 to March 2007; and Executive Vice President-Mutual Funds of GEAM from March 1993 to March 2007. Also serves as Treasurer of GE Foundation since 1988.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Chairman of the Board and President of GE Institutional Funds since 1997; Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since 1988; Director of GEAM since 1988; Trustee of Fordham University from 2002 to June 30, 2010 and since July 2011; Director of GE Investments Distributors, Inc since June 2011; Director of Skin Cancer Foundation since August 2010; Member of the Board of Governors for the Investment Company Institute since October 2006; Director, GE Asset Management (Ireland) Limited, since February 1999, GE Asset Management Funds Plc since 1998, GE Asset Management Canada Company since 1998, GE Asset Management Limited since 1998; Trustee of General Electric Pension Trust since 1988; and Chairman of the Board and President of GE Funds from 1993 to February 2011.

 

 

Matthew J. Simpson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    51

Position(s) Held with Fund    Director and Executive Vice President

Term of Office and Length of Time Served    Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 years    Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Savings & Security Funds since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since July 2007; Trustee and Executive Vice President of GE Institutional Funds since July 2007; Director of GEAM since July 2007; and Trustee and Executive Vice President of GE Funds from July 2007 to February 2011.

 

16

Table of Contents
Additional Information    (Unaudited)

 

 

Joon Won Choe

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    42

Position(s) Held with Fund    Vice President & Secretary

Term of Office and Length of Time Served    Until successor is elected and qualified – Vice President and Secretary – 1 year

Principal Occupation(s) During Past 5 years    Senior Vice President and Deputy General Counsel at GEAM since March 2011; Vice President and Secretary of GE Institutional Funds since September 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds since September 2010; Senior Vice President and Associate General Counsel at GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010 and Vice President and Secretary of GE Funds from September 2010 to February 2011.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Robert Herlihy

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    44

Position(s) Held with Fund    Chief Compliance Officer

Term of Office and Length of Time Served    Until successor is elected and qualified – 6 years

Principal Occupation(s) During Past 5 years    Chief Compliance Officer of GEAM, GE Institutional Funds, Elfun Funds, and GE Savings & Security Funds since July 2005; Chief Compliance Officer of GE Funds from July 2005 to February 2011 and Manager of Fund Administration at GEAM from 2002-2005.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Arthur A. Jensen

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    45

Position(s) Held with Fund    Treasurer

Term of Office and Length of Time Served    Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years    Treasurer of GE Institutional Funds, Elfun Funds and GE Savings & Security Funds since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

17

Table of Contents
Additional Information    (Unaudited)

 

 

 

Jeanne M. LaPorta

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    46

Position(s) Held with Fund    Vice President

Term of Office and Length of Time Served     Until successor is elected and qualified – 8 years

Principal Occupation(s) During Past 5 Years    Senior Vice President and Commercial Administrative Officer of GEAM since April 2010; Vice President of GE Institutional Funds since July 2003; Vice President of Elfun Funds and GE Savings & Security Funds since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

Non-Interested Directors

 

 

John R. Costantino

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    66

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    General Partner, NGN Capital LLC since 2006; Managing Director, Vice President of Walden Capital Management since 1996.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since 1997; Trustee of Fordham University from 1989 to 1995 and from 2001 to 2007 and Trustee Emeritus since 2007; Trustee of Neuroscience Research Institute since 1986; Trustee of GE Funds from 1993 to February 2011; Director of Artes Medical from 2006-2008 and Trustee of Gregorian University Foundation from 1992-2007.

 

18

Table of Contents
Additional Information    (Unaudited)

 

 

 

R. Sheldon Johnson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    65

Positions(s) Held with Fund    Director

Term of office and Length of Time served    Unit Successor is elected and qualified – 1 year.

Principal Occupation(s) During Past 5 years    Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. from 2002 to 2006 and Managing Director at Morgan Stanley & Co., Inc. from 1988 to 2006.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since April 2011 and Trustee of St. Lawrence University since 2003.

 

 

Donna M. Rapaccioli

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    49

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – Less than 1 year

Principal Occupation(s) During Past 5 Years    Dean of the Gabelli School of Business since 2007 and Accounting professor since 1987 at Fordham University.

Number of Portfolios in Fund Complex Overseen by Officer    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since January 2012 and Trustee of Emmanuel College since 2010.

 

 

The Statement of Additional Information for the Funds includes additional information about the Directors and Officers and is available, without charge, upon request by calling 1-800-242-0134.

 

19

Table of Contents
Investment Team    (Unaudited)

 

Investment Adviser and Administrator

GE Asset Management Incorporated

Board of Directors

Michael J. Cosgrove, Chairman

John R. Costantino

R. Sheldon Johnson

Donna M. Rapaccioli

Matthew J. Simpson

Secretary

Joon Won Choe

Assistant Secretary

Michelle Matzelle

Treasurer

Arthur A. Jensen

Assistant Treasurer

Casey Yantosca

Distributor

GE Investment Distributors, Inc.

Member FINRA and SIPC

 

 

Custodian

State Street Bank & Trust Company

Officers of the Investment Adviser

Dmitri Stockton, President and Chief Executive Officer

Cheryl H. Beacock, Senior Vice President, Human Resources

George A. Bicher, Chief Risk Officer

Paul M. Colonna, President and Chief Investment Officer – Public Investments

Michael J. Cosgrove, President of Mutual Funds and Global Investment Programs

Gregory B. Hartch, Senior Vice President – Strategy and Business Development Leader

Ralph R. Layman, Executive Vice President and Chief Investment Officer Emeritus Public Equities

Maureen B. Mitchell, President of Global Sales and Marketing

Steven M. Rullo, Senior Vice President – Services and Technology

Matthew J. Simpson, Executive Vice President, General Counsel and Secretary

Donald W. Torey, President and Chief Investment Officer – Alternative Investments

David Wiederecht, President and Chief Investment Officer – Investment Solutions

Jessica Holscott, Executive Vice President, Chief Financial Officer*

 
* Effective August 1, 2012, Ms. Holcott replaced Tracie A. Winbigler as Executive Vice President and Chief Financial Officer.

 

At GE Asset Management, we’re dedicated to providing the investment options you’ll need to tailor your financial portfolio to every stage of your life. Each member of the GE Family of Funds is managed according to the same principles of integrity and quality that have guided GE over the past century, and have made it the world-class company that it is today. Each fund draws strength from a heritage of investment management experience that spans more than 80 years. Whether you’re creating a new investment portfolio or adding to an established one, the GE Family of Funds offers an array of professionally managed investment options that will help you meet a lifetime of financial needs.

 

20

Table of Contents

Investment Adviser

GE Asset Management Incorporated

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

Distributor

GE Investment Distributors, Inc.

member FINRA and SIPC

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

 

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-493-3042; (ii) on the Fund’s website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC—information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov.

 

LOGO

Table of Contents
 

GE Investments Funds, Inc.

Core Value Equity Fund

Semi–Annual Report

June 30, 2012

 

LOGO

Table of Contents

GE Investments Funds, Inc.

Core Value Equity Fund    Contents

 

Fund Information

     1   

Understanding Your Fund’s Expenses

     2   

Schedule of Investments

     3   

Notes to Schedule of Investments

     6   

Financial Statements

   

Financial Highlights

      7   

Statement of Assets and Liabilities

      8   

Statement of Operations

      9   

Statements of Changes in Net Assets

      10   

Notes to Financial Statements

      11   

Additional Information

      17   

Investment Team

      21   

 

This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.

Table of Contents
Core Value Equity Fund    (Unaudited)

Fund Information

 

Notes to Performance

Total return performance shown in this report for the GE Investments Core Value Equity Fund (the “Fund”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call 800-493-3042 or visit the Fund’s website at http://www.geam.com for the most recent month-end performance data.

An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.

Investment Profile

A mutual fund designed for investors who seek long-term growth of capital and future income. The Fund seeks its investment objectives by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks. The Fund invests primarily in U.S. companies that the portfolio managers believe are undervalued by the market but have solid growth prospects.

 

Sector Allocation

as a % of Fair Value of $15,746 (in thousands) on June 30, 2012 (a)(b)

 

 

 

 

LOGO

 

Top Ten Largest Holdings

as of June 30, 2012 (as a % of Fair Value) (a)(b)(c)

 

Apple Inc.

      4.25%   

Microsoft Corp.

      3.42%   

Wells Fargo & Co.

      2.81%   

Cisco Systems Inc.

      2.64%   

Time Warner Inc.

      2.60%   

PepsiCo Inc.

      2.51%   

Chevron Corp.

      2.50%   

Covidien PLC

      2.32%   

Johnson & Johnson

      2.25%   

Oracle Corp.

      2.21%   
 

 

(a) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.
(b) Fair value basis is inclusive of the short-term investment in GE Institutional Money Market Fund Investment Class.
(c) The figures presented to not include the Fund’s entire investment portfolio and may change at any time.
* Less than 0.05%

GE Investment Distributors, Inc., Member of FINRA & SIPC, is the principal underwriter and distributor of the GE Investments Funds, Inc. and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Fund.

 

1

Table of Contents
Core Value Equity Fund      (Unaudited)   

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2012.

 

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during period” to estimate the expenses paid during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.

 

January 1, 2012 – June 30, 2012

 

        Account value at the
beginning of the  period ($)		        Account value at the
end of the period  ($)		        Expenses paid
during the period ($)*		  

Actual Fund Return*

        1,000.00           1,070.70           5.20   

Hypothetical 5% Return (2.5% for the period)

        1,000.00           1,019.84           5.07   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 1.01% (for the period January 1, 2012 – June 30, 2012), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

2

Table of Contents

Core Value Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

Core Value Equity Fund

 

     Number
of Shares		      Fair Value       

Common Stock — 93.5%†

                       

Advertising — 1.7%

         

Omnicom Group Inc.

      5,504       $ 267,494      

Aerospace & Defense — 1.7%

  

   

Honeywell International Inc.

      4,756         265,575      

Agricultural Products — 1.3%

  

   

Archer-Daniels-Midland Co.

      7,178         211,895      

Air Freight & Logistics — 1.6%

  

   

FedEx Corp.

      404         37,010      

United Parcel Service Inc.

      2,630         207,139      
        244,149      

Asset Management & Custody Banks — 4.4%

  

   

Ameriprise Financial Inc.

      4,624         241,650      

Invesco Ltd.

      9,600         216,960      

State Street Corp.

      5,064         226,057       (c)
        684,667      

Automobile Manufacturers — 0.5%

         

Ford Motor Co.

      7,873         75,502      

Biotechnology — 1.6%

         

Amgen Inc.

      3,481         254,252      

Broadcasting — 0.6%

         

CBS Corp.

      2,950         96,701      

Cable & Satellite — 1.4%

         

Comcast Corp.

      7,134         228,074      

Communications Equipment — 3.6%

         

Cisco Systems Inc.

      24,219         415,840      

Qualcomm Inc.

      2,799         155,848      
        571,688      

Computer Hardware — 4.2%

  

   

Apple Inc.

      1,145         668,680       (a)

Construction & Farm Machinery & Heavy Trucks — 1.4%

  

   

Caterpillar Inc.

      671         56,975      

Deere & Co.

      2,098         169,665      
        226,640      
     Number
of Shares		      Fair Value       

Consumer Finance — 1.4%

  

   

American Express Co.

      3,747       $ 218,113      

Data Processing & Outsourced Services — 0.5%

  

   

The Western Union Co.

      4,998         84,166      

Department Stores — 1.0%

  

   

Macy’s Inc.

      4,747         163,059      

Diversified Chemicals — 0.7%

  

   

EI du Pont de Nemours & Co.

      2,070         104,680      

Diversified Financial Services — 4.4%

         

Citigroup Inc.

      3,963         108,626      

JPMorgan Chase & Co.

      3,831         136,882      

Wells Fargo & Co.

      13,210         441,742      
        687,250      

Diversified Metals & Mining — 0.7%

         

Freeport-McMoRan Copper & Gold Inc.

      3,303         112,533      

Drug Retail — 1.0%

         

CVS Caremark Corp.

      3,523         164,630      

Electric Utilities — 1.4%

         

Exelon Corp.

      3,963         149,088      

FirstEnergy Corp.

      1,499         73,736      
        222,824      

Electrical Components & Equipment — 0.7%

  

   

Cooper Industries PLC

      1,717         117,065      

Fertilizers & Agricultural Chemicals — 0.8%

  

   

Potash Corporation of Saskatchewan Inc.

      2,818         123,118      

General Merchandise Stores — 1.0%

         

Target Corp.

      2,605         151,585      

Healthcare Equipment — 3.2%

  

   

Covidien PLC

      6,825         365,137      

Medtronic Inc.

      3,422         132,534      
        497,671      

Healthcare Facilities — 0.7%

  

   

HCA Holdings Inc.

      3,376         102,732      

Healthcare Services — 2.0%

  

   

Express Scripts Holding Co.

      5,502         307,177       (a)

Heavy Electrical Equipment — 0.5%

  

   

ABB Ltd. ADR

      4,624         75,464      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

3

Table of Contents

Core Value Equity Fund

 

Schedule of Investments   

June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Home Improvement Retail — 0.8%

  

   

Lowe’s Companies Inc.

      4,183       $ 118,965      

Independent Power Producers & Energy Traders — 2.1%

  

   

Calpine Corp.

      7,706         127,226       (a)

The AES Corp.

      16,293         209,039       (a)
        336,265      

Industrial Machinery — 0.3%

  

   

Eaton Corp.

      1,321         52,351      

Insurance Brokers — 0.7%

  

   

Marsh & McLennan Companies Inc.

      3,523         113,546      

Integrated Oil & Gas — 5.6%

  

   

Chevron Corp.

      3,734         393,937      

Exxon Mobil Corp.

      2,234         191,163       (d)

Hess Corp.

      2,774         120,530      

Occidental Petroleum Corp.

      2,023         173,513      
        879,143      

Integrated Telecommunication Services — 0.6%

  

   

AT&T Inc.

      2,642         94,214      

Internet Software & Services — 1.1%

         

Baidu Inc. ADR

      603         69,333       (a)

eBay Inc.

      440         18,484       (a)

Google Inc.

      157         91,071       (a)
        178,888      

IT Consulting & Other Services — 1.8%

         

International Business Machines Corp.

      1,446         282,809      

Life & Health Insurance — 1.4%

  

   

MetLife Inc.

      2,862         88,293      

Prudential Financial Inc.

      2,642         127,952      
        216,245      

Life Sciences Tools & Services — 1.6%

         

Agilent Technologies Inc.

      2,686         105,399      

PerkinElmer Inc.

      5,769         148,840      
        254,239      

Managed Healthcare — 0.4%

  

   

UnitedHealth Group Inc.

      1,013         59,261      

Movies & Entertainment — 4.4%

  

   

The Walt Disney Co.

      5,945         288,333      

Time Warner Inc.

      10,634         409,409      
        697,742      
     Number
of Shares		      Fair Value       

Multi-Line Insurance — 1.0%

  

   

American International Group Inc.

      3,523       $ 113,053       (a)

Hartford Financial Services Group Inc.

      2,202         38,821      
        151,874      

Oil & Gas Equipment & Services — 1.2%

         

Schlumberger Ltd.

      2,950         191,485      

Oil & Gas Exploration & Production — 1.8%

  

   

Anadarko Petroleum Corp.

      2,818         186,552      

Southwestern Energy Co.

      2,862         91,384       (a)
        277,936      

Oil & Gas Refining & Marketing — 0.5%

         

Marathon Petroleum Corp.

      1,761         79,104      

Oil & Gas Storage & Transportation — 0.4%

  

   

The Williams Companies Inc.

      2,202         63,462      

Packaged Foods & Meats — 2.6%

  

   

Kraft Foods Inc.

      8,807         340,126      

Nestle S.A. ADR

      1,277         76,288      
        416,414      

Pharmaceuticals — 4.5%

         

Johnson & Johnson

      5,252         354,825      

Novartis AG ADR

      977         54,614      

Pfizer Inc.

      13,127         301,921      
        711,360      

Property & Casualty Insurance — 1.4%

         

ACE Ltd.

      3,038         225,207      

Regional Banks — 0.6%

         

Regions Financial Corp.

      14,972         101,061      

Reinsurance — 0.5%

         

PartnerRe Ltd.

      969         73,324      

Research & Consulting Services — 0.7%

         

Nielsen Holdings N.V.

      4,227         110,832       (a)

Semiconductors — 3.0%

         

Altera Corp.

      2,114         71,538      

Analog Devices Inc.

      2,114         79,634      

Intel Corp.

      6,605         176,023      

Texas Instruments Inc.

      5,064         145,286      
        472,481      

Soft Drinks — 3.9%

         

Coca-Cola Enterprises Inc.

      7,706         216,076      

PepsiCo Inc.

      5,592         395,131      
        611,207      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

4

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Core Value Equity Fund

 

Schedule of Investments   

June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Steel — 1.0%

         

Allegheny Technologies Inc.

      4,699       $ 149,851      

Systems Software — 5.6%

  

   

Microsoft Corp.

      17,614         538,812       (d)

Oracle Corp.

      11,701         347,520      
        886,332      

Total Common Stock
(Cost $13,208,194)

         14,732,982      

Exchange Traded Funds — 1.6%

                       

Financial Select Sector SPDR Fund

      3,461         50,600       (f)

Industrial Select Sector SPDR Fund

      5,546         197,826       (d,f)

Total Exchange Traded Funds
(Cost $252,545)

         248,426      

Other Investments — 0.1%

  

   

GEI Investment Fund
(Cost $6,665)

         7,198       (e)

Total Investments in Securities
(Cost $13,467,404)

         14,988,606      
          Fair Value       

Short-Term Investments — 4.8%

                   

GE Institutional Money Market Fund — Investment Class 0.04%
(Cost $757,546)

       $ 757,546       (b,e)

Total Investments
(Cost $14,224,950)

         15,746,152      

Other Assets and Liabilities,
net — 0.0%*

         3,091      
     

 

 

     

 

NET ASSETS —100.0%

       $ 15,749,243      
     

 

 

     

 

 

Other Information

              

The Fund had the following long futures contracts open at June 30, 2012 (Unaudited):

 

Description   Expiration
date		     Number
of
Contracts		     Current
Notional
Value		     Unrealized
Appreciation		  

S&P 500 Emini Index Futures

     September 2012        9      $ 610,380      $ 18,716   
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

 

5

Table of Contents
Notes to Schedule of Investments   

June 30, 2012 (Unaudited)

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities information regarding holdings, allocations and other characteristics are presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a) Non-income producing security.

 

(b) Coupon amount represents effective yield.

 

(c) State Street Corp. is the parent company of State Street Bank & Trust Co., the Fund’s custodian and accounting agent.

 

(d) At June 30, 2012 , all or a portion of this security was pledged to cover collateral requirements for futures, options, forward foreign currency contracts and/or TBA’s.
(e) GE Asset Management, the investment adviser of the Fund, also serves as investment adviser of the GEI Investment Fund and the GE Institutional Money Market Fund. The GE Investment Fund has been determined to be illiquid using procedures determined by the Board of Directors.

 

(f) Sponsored by SSgA Funds Management, Inc., an affiliate of State Street Bank & Trust Co., the Fund’s custodian and accounting agent.

 

* Less than 0.05%.

 

† Percentages are based on net assets as of June 30, 2012 .

Abbreviations:

 

ADR

    American Depository Receipt

SPDR

    Standard & Poors Depository Receipts

 

 

 

 

6

Table of Contents

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

 

 

     CLASS 1  
     6/30/12†     12/31/11     12/31/10     12/31/09     12/31/08     12/31/07  
Inception date      —        —        —        —        —        4/28/00   

Net asset value, beginning of period

    $ 8.63      $ 8.85      $ 8.04      $ 6.48      $ 10.16      $ 10.70   

Income/(loss) from investment operations:

             

Net investment income

      0.06        0.08        0.11 **      0.08        0.11        0.12   

Net realized and unrealized
gains/(losses) on investments

      0.55        (0.22)        0.82        1.57        (3.46)        0.97   

Total income/(loss) from
investment operations

      0.61        (0.14)        0.93        1.65        (3.35)        1.09   

Less distributions from:

             

Net investment income

      —        0.08        0.12        0.09        0.12        0.12   

Net realized gains

      —        —        —        —        0.21        1.51   

Total distributions

      —        0.08        0.12        0.09        0.33        1.63   

Net asset value, end of period

    $ 9.24      $ 8.63      $ 8.85      $ 8.04      $ 6.48      $ 10.16   

TOTAL RETURN (a)

      7.07%        (1.60)%        11.57%        25.40%        (32.94)%        10.10%   

RATIOS/SUPPLEMENTAL DATA:

             

Net assets, end of period (in thousands)

    $ 15,749        $16,251        $19,756        $21,847        $20,361        $37,765   

Ratios to average net assets:

             

Net investment income

      1.21% *      0.80%        1.32%        1.16%        1.18%        0.96%   

Net expenses

      1.01% (b)*      1.28% (b)      0.97% (b)      1.24% (b)      0.95% (b)      0.81%   

Gross expenses

      1.01% *      1.28%        0.97%        1.24%        0.95%        0.81%   

Portfolio turnover rate

      30%        49%        45%        61%        68%        45%   

Notes to Financial Highlights

 

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions, and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(b) Reflects GE Asset Management’s waiver of a portion of the Fund’s management fee in an amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund or, prior to 2011, in another affiliated Money Market Fund formerly managed by GEAM.
* Annualized for periods less than one year.
** Per share values have been calculated using the average share method.
† Unaudited

 

The accompanying Notes are an integral part of these financial statements.

 

7

Table of Contents

Statement of Assets and Liabilities

June 30, 2012

      (Unaudited)  

ASSETS

     

Investments in securities, at Fair Value (cost $13,460,739)

      $ 14,981,408   

Investments in affiliated securities, at Fair Value (cost $6,665)

        7,198   

Short-Term affiliated investments (at amortized cost)

        757,546   

Receivable for investments sold

        258,459   

Income receivables

        11,982   

Variation margin receivable

        15,300   

Other assets

        772   

Total Assets

        16,032,665   

LIABILITIES

     

Payable for investments purchased

        225,443   

Payable for Fund shares redeemed

        11,074   

Payable to GEAM

        8,135   

Accrued other expenses

        38,770   

Total Liabilities

        283,422   

NET ASSETS

      $ 15,749,243   

NET ASSETS CONSIST OF

     

Capital paid in

        15,393,538   

Undistributed net investment income

        98,030   

Accumulated net realized loss

        (1,282,243 ) 

Net unrealized appreciation on:

     

Investments

        1,521,202   

Futures

        18,716   

NET ASSETS

      $ 15,749,243   

Class 1

     

NET ASSETS

        15,749,243   

Shares outstanding( $0.01 par value; unlimited shares authorized)

        1,703,798   

Net asset value per share

        $9.24   

 

The accompanying Notes are an integral part of these financial statements.

 

8

Table of Contents

Statement of Operations

For the period ending June 30, 2012

      Unaudited  

INVESTMENT INCOME

     

Income

     

Dividends

      $ 184,518   

Interest

        104   

Interest from affiliated investments

        153   

Less: Foreign taxes withheld

        (1,899 ) 

Total Income

        182,876   

Expenses

     

Advisory and administration fees

        53,817   

Distribution fees
Class 4*

        23   

Director’s fees

        343   

Custody and accounting expenses

        16,731   

Professional fees

        8,952   

Other expenses

        3,813   

Total expenses before waiver and reimbursement

        83,679   

Less: Expenses waived or borne by the adviser

        (325 ) 

Net expenses

        83,354   

Net investment income

        99,522   

NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS

     

Realized gain on:

     

Investments

        528,237   

Futures

        45,652   

Increase in unrealized appreciation on:

     

Investments

        472,603   

Futures

        23,071   

Net realized and unrealized gain on Investments

        1,069,563   

Net increase in net assets resulting from operations

      $    1,169,085   

 

* Share Class 4 was closed effective June 29, 2012.

 

The accompanying Notes are an integral part of these financial statements.

 

9

Table of Contents
Statements of Changes in Net Assets                  
       

Six months

ended June 30,
2012 *

      Year Ended
December 31,
2011		  

INCREASE (DECREASE) IN NET ASSETS

        

Operations:

        

Net investment income

      $ 99,522       $ 144,038   

Net realized gain on investments, futures and foreign currency transactions

        573,889         1,546,491   

Net increase(decrease) in unrealized appreciation/depreciation
on investments and futures

        495,674         (1,929,577 ) 

Net Increase (decrease) from operations

        1,169,085         (239,048 ) 

Distributions to shareholders from:

        

Net investment income

        

Class 1

        —         (146,121 ) 

Class 4 **

        —         (42 ) 

Total distributions

        —         (146,163 ) 

Increase (decrease) in assets from operations and distributions

        1,169,085         (385,211 ) 

Share transactions:

        

Proceeds from sale of shares

        

Class 1

        160,446         318,371   

Class 4 **

        —         —   

Value of distributions reinvested

        

Class 1

        —         146,121   

Class 4 **

        —         42   

Cost of shares redeemed

        

Class 1

        (1,831,054 )       (3,583,731 ) 

Class 4 **

        (10,054 )       —   

Net decrease from share transactions

        (1,680,662 )       (3,119,197 ) 

Total decrease in net assets

        (511,577 )       (3,504,408 ) 

NET ASSETS

        

Beginning of period

        16,260,820         19,765,228   

End of period

      $ 15,749,243       $ 16,260,820   

Undistributed (distribution in excess of)
net investment income, end of period

      $ 98,030       $ (1,492 ) 

CHANGES IN FUND SHARES

        

Class 1

        

Shares sold

        17,507         35,822   

Issued for distributions reinvested

        —         17,050   

Shares redeemed

        (197,186 )       (402,427 ) 

Net decrease in fund shares

        (179,679 )       (349,555 ) 

Class 4 **

        

Shares sold

        —         —   

Issued for distributions reinvested

        —         5   

Shares redeemed

        (1,089 )       —   

Net increase (decrease) in fund shares

        (1,089 )       5   

 

* (Unaudited)
** Share Class 4 was closed effective June 29, 2012

 

The accompanying Notes are an integral part of these financial statements.

 

10

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

1. Organization of the Company

GE Investments Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is composed of thirteen investment portfolios (collectively the “Funds”), although only the following ten are currently being offered: U.S. Equity Fund, S&P 500 Index Fund, Premier Growth Equity Fund, Core Value Equity Fund (the “Fund”), Mid-Cap Equity Fund, Small-Cap Equity Fund, International Equity Fund, Total Return Fund, Income Fund, Money Market Fund and Real Estate Securities Fund.

Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts. GE Asset Management Incorporated (“GEAM”) is the investment adviser and administrator of each of the Funds.

The Company currently offers one share class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts. Class 4 shares were closed on June 29, 2012.

 

2. Summary of Significant Accounting Policies

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

The following summarizes the significant accounting policies of the Company:

Securities Valuation and Transactions. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.

The Fund’s income, expenses (other than distribution fees) and realized and unrealized gains and losses are allocated proportionally each day among the share classes based upon the relative net assets of each class.

Derivatives The Fund is subject to equity price risk, in the normal course of pursuing its investment objectives. The Fund may enter into derivative transactions to gain market exposure for residual and accumulating cash positions.

Futures Contracts A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The Fund invested in futures for a variety of portfolio management purposes such as hedging against the effects of changes in the value of portfolio securities due to anticipated changes in market conditions, gaining market exposure for accumulating and residual cash positions, or when the transactions were economically appropriate to the reduction of risks inherent in the management of the Fund. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or hedge other Fund investments. The Fund will not enter into a transaction involving futures for speculative purposes. With futures contracts, there is minimal counterparty credit risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. The Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.

Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Fund each day, depending on the daily fluctuation in the fair value of the underlying security. The Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Fund recognizes a realized gain or loss on the expiration or closing of a futures contract.

Investment Income Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after the ex-dividend date as such information becomes available.

 

 

11

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

Withholding taxes in foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.

Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.

Expenses Fund specific expenses are allocated to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Certain class specific expenses (such as distribution fees) are allocated to the class that incurs such expense. Expenses of the Fund are generally paid directly by the Fund, however, expenses may be paid by GEAM and reimbursed by the Fund.

Federal Income Taxes The Fund intends to comply with all sections of the Internal Revenue Code applicable to regulated investment companies including the distribution of substantially all of its taxable net investment income and net realized capital gains to its shareholders. Therefore, no provision for federal income tax has been made.

 

3. Securities Valuation

The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.

Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:

 

Level 1 — Quoted prices for identical investments in active markets.

Level 2 — Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 — Significant inputs to the valuation model are unobservable.

Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.

Fair Value Measurement The following section describes the valuation methodologies the Fund uses to measure different financial investments at fair value.

The Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price, Level 1 securities primarily include publicly-traded equity securities. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances the Fund classifies the investment securities in Level 2.

Short-term investments of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.

The Fund uses the net asset value per unit for collective funds (i.e., GEI Investment Fund). The Fund classifies the investment security in Level 2.

If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using procedures approved by the Fund’s Board of Directors that

 

 

12

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

are designed to establish its “fair” value. These securities are typically classified in Level 3. Those procedures require that the fair value of a security be established by a valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of the Fund in the appropriate circumstances.

Fair value determinations generally are used for securities whose value is affected by a significant event that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of the Fund’s NAV.

The value established for such a portfolio security may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that the Fund

could sell a portfolio security for the value established for it at any time and it is possible that the Fund would incur a loss because a portfolio security is sold at a discount to its established value.

Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps, and written options contracts, which are valued based on fair value as discussed above.

The Fund uses closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the counter markets. Derivative assets and liabilities included in Level 2 primarily represent interest rate swaps, cross-currency swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2012:

 

Investments

      Level 1         Level 2         Level 3         Total   

Investments in Securities†

            

Common Stock

    $ 14,732,982       $ —       $ —       $ 14,732,982   

Exchange Traded Funds

      248,426         —         —         248,426   

Other Investments

      —         7,198         —         7,198   

Short-Term Investments

      757,546         —         —         757,546   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 15,738,954       $ 7,198       $ —       $ 15,746,152   
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments*

            

Futures Contracts — Unrealized Appreciation

    $ 18,716       $ —       $ —       $ 18,716   
  

 

 

     

 

 

     

 

 

     

 

 

  
                                     

 

†   See Schedule of Investments for Industry Classification
*   Other financial instruments include derivative instruments such as futures contracts. Amounts shown represent unrealized appreciation (depreciation), at period end.

There were no transfers between the fair value levels. Transfers between fair value levels are considered to occur at the beginning of the period.

 

13

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

 

4. Derivatives Transactions

Shown below are the derivative contracts entered into by the Fund, summarized by primary risk exposure as they appear on the Statement of Assets and Liabilities, all of which are not accounted for as hedging instruments under FASB Accounting Standards Codification (“ASC”) No. 815 Derivatives and Hedging as of June 30, 2012.

 

   

Asset Derivatives June 30, 2012

  

Liability Derivatives June 30, 2012

Derivatives not accounted for as

hedging instruments under ASC 815

   Location in the Statement of
Assets and Liabilities		   Fair
Value ($)		   Location in the Statements of
Assets and Liabilities		    Fair
Value ($)
Equity Contracts   Assets, Net Assets — Net Unrealized Appreciation/(Depreciation) on Futures   18,716*   Liabilities, Net Assets — Net Unrealized Appreciation/(Depreciation) on Futures    —

 

*   Includes cumulative unrealized appreciation/(depreciation) of futures contracts reported in the Schedule of Investments and as within the components of the net assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities.

Shown below are the effects of derivative instruments on the Fund’s Statement of Operation, summarized by primary risk exposure all of which are not accounted for as hedging instruments under ASC 815.

 

Derivatives not accounted for as

hedging instruments under ASC 815

   

Location in the

Statements of Operations

   

Total Notional Amount of
Futures Contracts

Purchased/(Sold) ($)

   Realized Gain
or (Loss) on
Derivatives
Recognized
in Income ($)		    Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
in Income ($)

Equity Contracts

    Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures    2,149,471/(2,234,114)   45,652    23,071

 

5. Line of Credit

The Company shares a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is with its custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.100% per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Fund generally is borne proportionally based upon net assets. In addition, the Company has a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal Funds Rate plus 50 basis points and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i) 33.33% of its total assets or (ii) 20% of its net assets. The credit facilities were not utilized by the Fund during the six-month period ended June 30, 2012.

 

6. Compensation and Fees Paid to Affiliates

GEAM, a registered investment adviser, was retained by the Company’s Board of Directors effective March 16, 2000 to act as investment adviser and administrator of the Fund. GEAM’s compensation for investment advisory and administrative

services is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.65%.

GEAM has a contractual arrangement with the Fund to waive a portion of the Fund’s management fee in the amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund, if any.

Distribution and Service (12b-1) Fee Prior to the closure of Class 4 shares on June 29, 2012 the Company had adopted a Distribution and Service (12b-1) Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to Class 4 shares of the Fund. Under the Plan, the Fund could compensate GE Investment Distributors, Inc. (“GEID”), a wholly-owned subsidiary of GEAM and the Fund’s principal distributor, for certain sales services provided by GEID or other broker dealers and investor services provided by GEID or other service providers relating to the Fund’s Class 4 shares, including services to owners or prospective owners of variable contracts issued by insurance companies that offered such share class as an investment option. The amount of compensation paid under the Plan by the Fund’s Class 4 shares was not exceed to 0.45% of the average daily net assets of the Fund attributable to such share class.

 

 

14

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

Directors’ Compensation The Fund pays no compensation to its directors who are officers or employees of GEAM or its affiliates. Directors who are not such officers or employees also serve in a similar capacity for other funds advised by GEAM. Compensation paid to non-interested Directors are reflected on the Statement of Operations. These fees are allocated pro rata across all of the mutual fund platforms served by the Directors, including the Fund, and are based upon the relative net assets of each fund within such platforms.

 

7. Investment Transactions

Purchases and Sales of Securities The cost of purchases and the proceeds from sales of investments, other than short-term securities, for the six-month period ended June 30, 2012 were as follows:

 

Non-U.S. Government Securities
Purchases   Sales
$4,832,991   $6,379,565

 

8. Income Taxes

The Fund is subject to ASC 740, Income Taxes. ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to the Fund’s net assets required under ASC 740. The Fund’s 2008, 2009, 2010 and 2011 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities.

 

 

At June 30, 2012, information on the tax cost of investments was as follows:

 

Cost of Investments For Tax
Purposes		   Gross Tax    
  Appreciation   Depreciation  

Net Tax Appreciation

$14,454,703

  

$1,902,623

  

$(611,174)

  

$1,291,449

 

As of December 31, 2011, the Fund has capital loss carryovers as indicated below. Capital loss carryovers are available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders because they would be taxable as ordinary income.

 

 

Amount     
Short-Term   Long-Term   Expires
$1,583,949   $—   12/31/2017

These amounts will be available to offset future taxable capital gains. Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of

this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

During the year ended December 31, 2011, the Fund utilized $1,375,316 of prior year capital loss carryovers.

Any qualified late-year loss is deemed to arise on the first day of the Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, the Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.

The Fund elected to defer qualified late-year losses for the year ended December 31, 2011 as follows:

 

Capital   Ordinary
$48,361   $—
 

 

15

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

The tax composition of distributions paid during the years ended December 31, 2011 and December 31, 2010 were as follows:

 

        
 		 Ordinary
Income		   
  		       
 
 		 Long-Term
Capital
Gains		   
  
  		        Total   

2011

      $ 146,163         $ —         $ 146,163   

2010

        265,456           —           265,456   

Distributions to Shareholders The Fund declares and pays any dividends from net investment income annually. The Fund declares and pays any net realized capital gains in excess of capital loss carryforwards distributions annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences include (but are not limited to) futures, investments organized as partnerships for tax purposes, and losses deferred due to wash sale transactions. Reclassifications due to permanent book/tax differences are made to the Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss

carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or the net asset value of the Fund. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.

The reclassifications for the year ended December 31, 2011 were as follows:

 

Undistributed
Net Investment
Income		   Accumulated
Net Realized
Gain (Loss)		   Capital Paid In
$1,304   $25   ($1,329)

 

9. Subsequent Events

Subsequent events after the balance sheet date through the date the financial statements were issued have been evaluated in the preparation of the financial statements. As of August 3, 2012, the assets of the Mid-Cap Equity Fund and the Money Market Fund were liquidated. These funds ceased operations and are no longer offered for investment.

 

 

16

Table of Contents
Additional Information    (Unaudited)

 

Information about Directors and Executive Officers:

The business and affairs of the Funds are managed under the direction of the Funds’ Board of Directors. Information pertaining to the Directors and officers of the Funds is set forth below.

Interested Directors and Executive Officers

 

 

Michael J. Cosgrove

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    63

Position(s) Held with Fund    Chairman of the Board and President

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    President of Mutual Funds and Global Investment Programs of GEAM since November 2011; President and Chief Executive Officer – Mutual Funds and Intermediary Business of GEAM from March 2007 to November 2011; Executive Vice President of GEAM from February 1997 to March 2007; and Executive Vice President-Mutual Funds of GEAM from March 1993 to March 2007. Also serves as Treasurer of GE Foundation since 1988.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Chairman of the Board and President of GE Institutional Funds since 1997; Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since 1988; Director of GEAM since 1988; Trustee of Fordham University from 2002 to June 30, 2010 and since July 2011; Director of GE Investments Distributors, Inc since June 2011; Director of Skin Cancer Foundation since August 2010; Member of the Board of Governors for the Investment Company Institute since October 2006; Director, GE Asset Management (Ireland) Limited, since February 1999, GE Asset Management Funds Plc since 1998, GE Asset Management Canada Company since 1998, GE Asset Management Limited since 1998; Trustee of General Electric Pension Trust since 1988; and Chairman of the Board and President of GE Funds from 1993 to February 2011.

 

 

Matthew J. Simpson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    51

Position(s) Held with Fund    Director and Executive Vice President

Term of Office and Length of Time Served    Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 years    Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Savings & Security Funds since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since July 2007; Trustee and Executive Vice President of GE Institutional Funds since July 2007; Director of GEAM since July 2007; and Trustee and Executive Vice President of GE Funds from July 2007 to February 2011.

 

17

Table of Contents
Additional Information    (Unaudited)

 

 

Joon Won Choe

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    42

Position(s) Held with Fund    Vice President & Secretary

Term of Office and Length of Time Served    Until successor is elected and qualified – Vice President and Secretary – 1 year

Principal Occupation(s) During Past 5 years    Senior Vice President and Deputy General Counsel at GEAM since March 2011; Vice President and Secretary of GE Institutional Funds since September 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds since September 2010; Senior Vice President and Associate General Counsel at GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010 and Vice President and Secretary of GE Funds from September 2010 to February 2011.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Robert Herlihy

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    44

Position(s) Held with Fund    Chief Compliance Officer

Term of Office and Length of Time Served    Until successor is elected and qualified – 6 years

Principal Occupation(s) During Past 5 years    Chief Compliance Officer of GEAM, GE Institutional Funds, Elfun Funds, and GE Savings & Security Funds since July 2005; Chief Compliance Officer of GE Funds from July 2005 to February 2011 and Manager of Fund Administration at GEAM from 2002-2005.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Arthur A. Jensen

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    45

Position(s) Held with Fund    Treasurer

Term of Office and Length of Time Served    Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years    Treasurer of GE Institutional Funds, Elfun Funds and GE Savings & Security Funds since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

18

Table of Contents
Additional Information    (Unaudited)

 

 

 

Jeanne M. LaPorta

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    46

Position(s) Held with Fund    Vice President

Term of Office and Length of Time Served     Until successor is elected and qualified – 8 years

Principal Occupation(s) During Past 5 Years    Senior Vice President and Commercial Administrative Officer of GEAM since April 2010; Vice President of GE Institutional Funds since July 2003; Vice President of Elfun Funds and GE Savings & Security Funds since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

Non-Interested Directors

 

 

John R. Costantino

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    66

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    General Partner, NGN Capital LLC since 2006; Managing Director, Vice President of Walden Capital Management since 1996.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since 1997; Trustee of Fordham University from 1989 to 1995 and from 2001 to 2007 and Trustee Emeritus since 2007; Trustee of Neuroscience Research Institute since 1986; Trustee of GE Funds from 1993 to February 2011; Director of Artes Medical from 2006-2008 and Trustee of Gregorian University Foundation from 1992-2007.

 

19

Table of Contents
Additional Information    (Unaudited)

 

 

 

R. Sheldon Johnson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    65

Positions(s) Held with Fund    Director

Term of office and Length of Time served    Unit Successor is elected and qualified – 1 year.

Principal Occupation(s) During Past 5 years    Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. from 2002 to 2006 and Managing Director at Morgan Stanley & Co., Inc. from 1988 to 2006.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since April 2011 and Trustee of St. Lawrence University since 2003.

 

 

Donna M. Rapaccioli

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    49

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – Less than 1 year

Principal Occupation(s) During Past 5 Years    Dean of the Gabelli School of Business since 2007 and Accounting professor since 1987 at Fordham University.

Number of Portfolios in Fund Complex Overseen by Officer    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since January 2012 and Trustee of Emmanuel College since 2010.

 

 

The Statement of Additional Information for the Funds includes additional information about the Directors and Officers and is available, without charge, upon request by calling 1-800-242-0134.

 

20

Table of Contents
Investment Team    (Unaudited)

 

Investment Adviser and Administrator

GE Asset Management Incorporated

Board of Directors

Michael J. Cosgrove, Chairman

John R. Costantino

R. Sheldon Johnson

Donna M. Rapaccioli

Matthew J. Simpson

Secretary

Joon Won Choe

Assistant Secretary

Michelle Matzelle

Treasurer

Arthur A. Jensen

Assistant Treasurer

Casey Yantosca

Distributor

GE Investment Distributors, Inc.

Member FINRA and SIPC

 

 

Custodian

State Street Bank & Trust Company

Officers of the Investment Adviser

Dmitri Stockton, President and Chief Executive Officer

Cheryl H. Beacock, Senior Vice President, Human Resources

George A. Bicher, Chief Risk Officer

Paul M. Colonna, President and Chief Investment Officer – Public Investments

Michael J. Cosgrove, President of Mutual Funds and Global Investment Programs

Gregory B. Hartch, Senior Vice President – Strategy and Business Development Leader

Ralph R. Layman, Executive Vice President and Chief Investment Officer Emeritus Public Equities

Maureen B. Mitchell, President of Global Sales and Marketing

Steven M. Rullo, Senior Vice President – Services and Technology

Matthew J. Simpson, Executive Vice President, General Counsel and Secretary

Donald W. Torey, President and Chief Investment Officer – Alternative Investments

David Wiederecht, President and Chief Investment Officer – Investment Solutions

Jessica Holscott, Executive Vice President, Chief Financial Officer*

 

 
* Effective August 1, 2012, Ms. Holcott replaced Tracie A. Winbigler as Executive Vice President and Chief Financial Officer.

 

At GE Asset Management, we’re dedicated to providing the investment options you’ll need to tailor your financial portfolio to every stage of your life. Each member of the GE Family of Funds is managed according to the same principles of integrity and quality that have guided GE over the past century, and have made it the world-class company that it is today. Each fund draws strength from a heritage of investment management experience that spans more than 80 years. Whether you’re creating a new investment portfolio or adding to an established one, the GE Family of Funds offers an array of professionally managed investment options that will help you meet a lifetime of financial needs.

 

21

Table of Contents

Investment Adviser

GE Asset Management Incorporated

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

Distributor

GE Investment Distributors, Inc.

member FINRA and SIPC

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

 

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-493-3042; (ii) on the Fund’s website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC—information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov.

 

LOGO

Table of Contents
 

GE Investments Funds, Inc.

Mid-Cap Equity Fund

Semi-Annual Report

June 30, 2012

 

LOGO

Table of Contents

GE Investments Funds, Inc.

Mid-Cap Equity Fund    Contents

 

Fund Information

     1   

Understanding Your Fund’s Expenses

     2   

Schedule of Investments

      3   

Notes to Schedule of Investments

      6   

Financial Statements

   

Financial Highlights

      7   

Statement of Assets and Liabilities

      8   

Statement of Operations

      9   

Statements of Changes in Net Assets

      10   

Notes to Financial Statements

      11   

Additional Information

      17   

Investment Team

      21   

 

This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.

Table of Contents
Mid-Cap Equity Fund†   (Unaudited)

Fund Information

 

Notes to Performance

Total return performance shown in this report for the GE Investments Mid-Cap Equity Fund (the “Fund”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call 800-493-3042 or visit the Fund’s website at http://www.geam.com for the most recent month-end performance data.

An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.

Investment Profile

A mutual fund designed for investors who seek long-term growth of capital and future income. The Fund seeks its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of mid-cap companies, such as common and preferred stocks. The Fund invests primarily in mid-cap companies the portfolio manager believes are undervalued by the market and have above-average growth potential.

 

Sector Allocation

as a % of Fair Value(c) of $71,294 (in thousands) on June 30, 2012(a)(b)

 

 

 

LOGO

Top Ten Largest Holdings

as of June 30, 2012 as a % of Fair Value (a)(b)(c)

 

Alexion Pharmaceuticals Inc.

      2.39 % 

Catalyst Health Solutions Inc.

      2.34 % 

HCC Insurance Holdings Inc.

      2.27 % 

American Tower Corp. (REIT)

      2.08 % 

Affiliated Managers Group Inc.

      1.99 % 

IHS Inc.

      1.93 % 

Corrections Corporation of America

      1.91 % 

Citrix Systems Inc.

      1.89 % 

ITC Holdings Corp.

      1.87 % 

Bed Bath & Beyond Inc.

      1.66 % 
 

 

(a) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.
(b) Fair value basis is inclusive of the short-term investment in GE Institutional Money Market Fund Investment Class.
(c) The figures presented to not include the Fund’s entire investment portfolio and may change at any time.
* Less than 0.01%.
† As of August 3, 2012, the assets of the Fund were liquidated. The Fund ceased operations and is and no longer offered for investment.

GE Investment Distributors, Inc., Member of FINRA & SIPC, is the principal underwriter and distributor of the GE Investments Funds, Inc. and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Fund.

 

1

Table of Contents
Mid-Cap Equity Fund    (Unaudited)

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2012.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses Paid During Period” to estimate the expenses paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.

 

January 1, 2012 – June 30, 2012

 

      Account value at the
beginning of the period  ($)		      Account value at the
end of the period ($)		      Expenses paid
during the period ($)*		  

Actual Fund Return*

      1,000.00         1,107.90         3.98   

Hypothetical 5% Return (2.5% for the period)

      1,000.00         1,021.08         3.82   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.76% for (for the period January 1, 2012 – June 30, 2012), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

2

Table of Contents

Mid-Cap Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

Mid-Cap Equity Fund

 

     Number
of Shares		      Fair Value       

Common Stock — 93.3%†

Advertising — 1.1%

Omnicom Group Inc.

      15,847       $ 770,164      

Aerospace & Defense — 1.1%

Hexcel Corp.

      29,074         749,818       (a)

Apparel Retail — 0.8%

Urban Outfitters Inc.

      20,956         578,176       (a)

Apparel, Accessories & Luxury Goods — 1.4%

  

   

Coach Inc.

      17,046         996,850      

Application Software — 2.5%

Citrix Systems Inc.

      16,027         1,345,306       (a)

Splunk Inc.

      14,539         408,546       (a)
        1,753,852      

Asset Management & Custody Banks — 3.3%

  

   

Affiliated Managers Group Inc.

      12,974         1,420,004       (a)

Financial Engines Inc.

      6,637         142,364       (a)

Invesco Ltd.

      34,812         786,751      
          2,349,119      

Automotive Retail — 1.5%

O’Reilly Automotive Inc.

      12,606         1,056,005       (a)

Biotechnology — 5.3%

Alexion Pharmaceuticals Inc.

      17,183         1,706,272       (a)

Human Genome Sciences Inc.

      24,263         318,573       (a)

Incyte Corp Ltd.

      24,737         561,530       (a)

Isis Pharmaceuticals Inc.

      28,851         346,212       (a)

Vertex Pharmaceuticals Inc.

      14,775         826,218       (a)
        3,758,805      

Brewers — 0.4%

Molson Coors Brewing Co.

      7,512         312,574      

Broadcasting — 2.3%

Discovery Communications Inc. ††

      6,333         341,982       (a)

Discovery Communications Inc. ††

      10,617         531,806       (a)

Liberty Media Corporation — Capital

      8,342         733,345       (a)
        1,607,133      

Cable & Satellite — 1.4%

Liberty Global Inc.

      21,615         1,032,116       (a)

Casinos & Gaming — 1.6%

Penn National Gaming Inc.

      24,942         1,112,164       (a)
     Number
of Shares		      Fair Value       

Coal & Consumable Fuels — 0.6%

Peabody Energy Corp.

      16,667       $ 408,675      

Communications Equipment — 0.7%

Juniper Networks Inc.

      30,194         492,464       (a)

Computer Storage & Peripherals — 1.0%

Synaptics Inc.

      24,058         688,781       (a)

Construction & Engineering — 1.2%

Quanta Services Inc.

      36,976         890,012       (a)

Construction & Farm Machinery & Heavy Trucks — 0.9%

Cummins Inc.

      6,875         666,256      

Diversified Financial Services — 0.8%

Comerica Inc.

      17,428         535,214      

Diversified Metals & Mining — 0.4%

Molycorp Inc.

      12,072         260,152       (a)

Electric Utilities — 1.9%

ITC Holdings Corp.

      19,320         1,331,341      

Electrical Components & Equipment — 0.7%

Cooper Industries PLC

      7,815         532,827      

Environmental & Facilities Services — 1.0%

Stericycle Inc.

      8,010         734,277       (a)

Fertilizers & Agricultural Chemicals — 1.3%

Intrepid Potash Inc.

      13,907         316,523       (a)

Monsanto Co.

      6,958         575,983       (c)
        892,506      

Healthcare Equipment — 1.4%

Gen-Probe Inc.

      6,808         559,618       (a)

Insulet Corp.

      20,395         435,841       (a)
        995,459      

Healthcare Facilities — 1.3%

Universal Health Services Inc.

      21,696         936,399      

Healthcare Services — 2.3%

Catalyst Health Solutions Inc.

      17,859           1,668,745       (a)

Home Building — 1.0%

MDC Holdings Inc.

      21,929         716,420      

Home Entertainment Software — 1.4%

Activision Blizzard Inc.

      83,467         1,000,769      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

3

Table of Contents

Mid-Cap Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Home Furnishing Retail — 1.7%

Bed Bath & Beyond Inc.

      19,172       $   1,184,830       (a)

Hotels, Resorts & Cruise Lines — 1.1%

Royal Caribbean Cruises Ltd.

      29,434         766,167      

Household Products — 1.2%

The Clorox Co.

      11,737         850,463      

Independent Power Producers & Energy Traders — 1.2%

The AES Corp.

      68,020         872,697       (a)

Industrial Machinery — 2.5%

Harsco Corp.

      46,530         948,281      

Rexnord Corp.

      41,138         824,406       (a)
        1,772,687      

Internet Software & Services — 3.3%

Baidu Inc. ADR

      5,092         585,478       (a)

Equinix Inc.

      5,886         1,033,876       (a)

MercadoLibre Inc.

      10,047         761,563      
        2,380,917      

Life Sciences Tools & Services — 4.3%

Covance Inc.

      15,029         719,138       (a)

Illumina Inc.

      18,943         765,108      

Mettler-Toledo International Inc.

      3,749         584,282       (a,c)

Thermo Fisher Scientific Inc.

      19,695         1,022,367       (c)
        3,090,895      

Multi-Line Insurance — 2.3%

HCC Insurance Holdings Inc.

      51,482         1,616,535      

Office REITs — 1.7%

Douglas Emmett Inc.

      30,854         712,727      

SL Green Realty Corp.

      6,444         517,067      
        1,229,794      

Oil & Gas Drilling — 1.1%

Noble Corp.

      23,567         766,634      

Oil & Gas Equipment & Services — 2.4%

Cameron International Corp.

      9,348         399,253       (a)

McDermott International Inc.

      48,059         535,377       (a)

Weatherford International Ltd.

      63,197         798,178       (a)
        1,732,808      

Oil & Gas Exploration & Production — 2.5%

Forest Oil Corp.

      33,341         244,390       (a)

Pioneer Natural Resources Co.

      7,661         675,777      

Range Resources Corp.

      13,980         864,943      
        1,785,110      
     Number
of Shares		      Fair Value       

Packaged Foods & Meats — 2.3%

McCormick & Company Inc.

      14,021       $ 850,374       (c)

Mead Johnson Nutrition Co.

      9,804         789,320      
          1,639,694      

Property & Casualty Insurance — 1.4%

ACE Ltd.

      13,471         998,605      

Real Estate Services — 1.3%

CBRE Group Inc.

      56,908         931,015       (a,c)

Regional Banks — 1.4%

Regions Financial Corp.

      39,799         268,643      

Zions Bancorporation

      37,253         723,453      
        992,096      

Research & Consulting Services — 4.0%

FTI Consulting Inc.

      20,807         598,201       (a)

IHS Inc.

      12,757         1,374,312       (a)

Nielsen Holdings N.V.

      34,109         894,338       (a)
        2,866,851      

Restaurants — 1.0%

Arcos Dorados Holdings Inc.

      46,360         685,201      

Security & Alarm Services — 1.9%

Corrections Corporation of America

      46,217         1,361,091      

Semiconductors — 2.1%

Hittite Microwave Corp.

      17,719         905,795       (a)

Marvell Technology Group Ltd.

      54,696         616,971      
        1,522,766      

Soft Drinks — 1.2%

Coca-Cola Enterprises Inc.

      31,772         890,887      

Specialized Finance — 0.6%

MSCI Inc.

      13,363         454,609       (a)

Specialized REITs — 2.1%

American Tower Corp.

      21,161         1,479,365      

Specialty Chemicals — 2.3%

Cytec Industries Inc.

      12,349         724,145      

Ecolab Inc.

      13,134         900,073      
        1,624,218      

Steel — 0.7%

Allegheny Technologies Inc.

      16,684         532,053      

Systems Software — 1.8%

Fortinet Inc.

      25,864         600,562       (a)

Rovi Corp.

      33,900         665,118       (a)
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

4

Table of Contents

Mid-Cap Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value      

ServiceNow Inc.

      603       $ 14,834      (a)
          1,280,514     

Thrifts & Mortgage Finance — 2.0%

BankUnited Inc.

      21,093         497,373     

People’s United Financial Inc.

      78,269         908,703     
        1,406,076     

Trading Companies & Distributors — 1.3%

MSC Industrial Direct Company Inc.

      13,822         906,032     

Total Common Stock
(Cost $51,778,029)

         66,447,683     

Other Investments — 0.0%*

                      

GEI Investment Fund
(Cost $17,057)

         18,422      (d)

Total Investments in Securities
(Cost $51,795,086)

         66,466,105     

Short-Term Investments — 6.8%

                      

GE Institutional Money Market Fund —Investment Class 0.04%
(Cost $4,827,840)

         4,827,840      (b,d)

Total Investments
(Cost $56,622,926)

         71,293,945     

Liabilities in Excess of Other Assets, net — (0.1)%

         (47,172 )   
     

 

 

    

NET ASSETS — 100.0%

       $ 71,246,773     
     

 

 

    

Other Information

                      

The Fund had the following long futures contracts open at June 30, 2012 (Unaudited);

 

Description   Expiration
date		     Number
of
Contracts		     Current
Notional
Value		     Unrealized
Appreciation		  

S&P Midcap 400 Emini Index Futures

     September 2012        35      $ 3,288,250      $ 13,974   

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

5

Table of Contents
Notes to Schedule of Investments    June 30, 2012 (Unaudited)

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities information regarding holdings, allocations and other characteristics are presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a) Non-income producing security.

 

(b) Coupon amount represents effective yield.

 

(c) At June 30, 2012 , all or a portion of this security was pledged to cover collateral requirements for futures, options, forward foreign currency contracts and/or TBA’s.
(d) GE Asset Management ("GEAM"), the investment adviser of the Fund, also serves as investment adviser of the GEI Investment Fund and the GE Institutional Money Market Fund. The GE Investment Fund has been determined to be illiquid using procedures established by the Board of Directors.

 

† Percentages are based on net assets as of June 30, 2012 .

 

†† Security traded on different exchanges.

 

* Less than 0.05%.

Abbreviations:

 

ADR

    American Depository Receipt

REIT

    Real Estate Investment Trust
 

 

6

Table of Contents

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

 

 

     CLASS 1
     6/30/12†     12/31/11     12/31/10     12/31/09     12/31/08     12/31/07      
Inception date      —        —        —        —        —        5/1/97     

Net asset value, beginning of period

    $ 15.75      $ 18.64      $ 14.82      $ 10.50      $ 17.30      $ 18.19     

Income/(loss) from investment operations:

               

Net investment income

      0.02        0.03        0.06 **      0.09        0.10        0.08     

Net realized and unrealized gains/(losses) on investments

      1.68        (1.60)        3.82        4.26        (6.65)        2.23       

Total income/(loss) from investment operations

      1.70        (1.57)        3.88        4.35        (6.55)        2.31       

Less distributions from:

               

Net investment income

      —        0.02        0.06        0.03        0.05        0.07     

Return of capital

        0.35        —        —        —        —     

Net realized gains

      —        0.95        —        —        0.20        3.13       

Total distributions

      —        1.32        0.06        0.03        0.25        3.20       

Net asset value, end of period

    $ 17.45      $ 15.75      $ 18.64      $ 14.82      $ 10.50      $ 17.30       

TOTAL RETURN (a)

      10.79%        (8.34)%        26.18%        41.45%        (37.82)%        12.60%     

RATIOS/SUPPLEMENTAL DATA:

               

Net assets, end of period (in thousands)

    $ 71,247      $ 71,253      $ 97,829      $ 92,374      $ 81,791      $ 191,339     

Ratios to average net assets:

               

Net investment income

      0.22% *      0.12%        0.35%        0.19%        0.29%        0.35%     

Net expenses

      0.76% (b)*      0.82% (b)      0.71% (b)      0.80% (b)      0.73% (b)      0.70% (b)   

Gross expenses

      0.76% *      0.83%        0.71%        0.80%        0.73%        0.70%     

Portfolio turnover rate

      12%        26%        31%        24%        49%        65%     

Notes to Financial Highlights

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions, and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(b) Reflects GEAM’s waiver of a portion of the Fund’s management fee in an amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund or, prior to 2011, in another affiliated money market fund formerly managed by GEAM. Excluding waiver, the expense ratios would be unchanged.
* Annualized for periods less than one year.
** Per share values have been calculated using the average share method.
† Unaudited.

 

The accompanying Notes are an integral part of these financial statements.

 

7

Table of Contents
Statement of Assets and Liabilities
June 30, 2012		      (Unaudited)  

ASSETS

     

Investments in securities, at Fair Value (cost $51,778,029)

        $66,447,683   

Investments in affiliated securities, at Fair Value (cost $17,057)

        18,422   

Short-term affiliated investments (at amortized cost)

        4,827,840   

Income receivables

        52,110   

Receivable for fund shares sold

        40   

Variation margin receivable

        95,977   

Other assets

        2,426   

Total Assets

        71,444,498   

LIABILITIES

     

Payable for investments purchased

        10,854   

Payable for fund shares redeemed

        102,752   

Payable to GEAM

        37,080   

Accrued other expenses

        47,039   

Total Liabilities

        197,725   

NET ASSETS

        $71,246,773   

NET ASSETS CONSIST OF :

     

Capital paid in

        56,492,993   

Undistributed net investment income

        99,096   

Accumulated net realized loss

        (30,309 ) 

Net unrealized appreciation on:

     

Investments

        14,671,019   

Futures

        13,974   

NET ASSETS

        $71,246,773   

Class 1

     

NET ASSETS

        71,246,773   

Shares outstanding( $0.01 par value; unlimited shares authorized)

        4,082,352   

Net asset value per share

        $17.45   

 

The accompanying Notes are an integral part of these financial statements.

 

8

Table of Contents
Statement of Operations
For the period ending June 30, 2012		      (Unaudited)  

INVESTMENT INCOME

     

Income:

     

Dividend

      $ 324,008   

Interest

        42,278   

Interest from affiliated investments

        699   

Less: Foreign taxes withheld

        (675 ) 

Total Income

        366,310   

Expenses:

     

Advisory and administration fees

        244,085   

Distribution fees
Class 4*

        25   

Director’s fees

        1,592   

Custody and accounting expenses

        16,305   

Professional fees

        9,967   

Other expenses

        14,290   

Total expenses before waiver and reimbursement

        286,264   

Less: Expenses waived or borne by the adviser

        (1,497 ) 

Net expenses

        284,767   

Net investment income

        81,543   

NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS

     

Realized gain on:

     

Investments

        2,445,843   

Futures

        108,685   

Increase in unrealized appreciation on:

     

Investments

        5,050,583   

Futures

        23,251   

Net realized and unrealized gain on investments

        7,628,362   

Net increase in net assets resulting from operations

      $ 7,709,905   

 

* Share Class 4 was closed effective June 29, 2012.

 

The accompanying Notes are an integral part of these financial statements.

 

9

Table of Contents
Statements of Changes in Net Assets          
        Six Months Ended
June 30,
2012*		      Year Ended
December 31,
2011		  

INCREASE (DECREASE) IN NET ASSETS

        

Operations:

        

Net investment income

      $ 81,543       $ 107,028   

Net realized gain on investments and futures

        2,554,528         8,960,389   

Net increase (decrease) in unrealized appreciation/(depreciation) on investments and futures

        5,073,834         (15,515,301 ) 

Net increase (decrease) from operations

        7,709,905         (6,447,884 ) 

Distributions to shareholders from :

        

Net investment income

        

Class 1

        —         (93,615 ) 

Class 4**

        —         —   

Return of capital

        

Class 1

        —         (1,471,706 ) 

Class 4**

        —         (213 ) 

Net realized gains

        

Class 1

        —         (3,964,505 ) 

Class 4**

        —         (575 ) 

Total distributions

        —         (5,530,614 ) 

Increase (decrease) in assets from operations and distributions

        7,709,905         (11,978,498 ) 

Share transactions :

        

Proceeds from sale of shares

        

Class 1

        549,238         2,636,455   

Class 4**

        —         —   

Value of distributions reinvested

        

Class 1

        —         5,529,827   

Class 4**

        —         788   

Cost of shares redeemed

        

Class 1

        (8,263,987 )       (22,765,404 ) 

Class 4**

        (11,366 )       —   

Net decrease from share transactions

        (7,726,115 )       (14,598,334 ) 

Total decrease in net assets

        (16,210 )       (26,576,832 ) 

NET ASSETS

        

Beginning of period

        71,262,983         97,839,815   

End of period

      $ 71,246,773       $ 71,262,983   

Undistributed net investment income, end of period

      $ 99,096       $ 17,553   

CHANGES IN FUND SHARES

        

Class 1

        

Shares sold

        31,150         137,227   

Issued for distributions reinvested

        —         354,249   

Shares redeemed

        (472,644 )       (1,216,132 ) 

Net decrease in fund shares

        (441,494 )       (724,656 ) 

Class 4**

        

Shares sold

        —         —   

Issued for distributions reinvested

        —         50   

Shares redeemed

        (656 )       —   

Net Increase (decrease) in Fund Shares

        (656 )       50   

 

* (Unaudited)
** Share Class 4 was closed effective June 29, 2012

 

The accompanying Notes are an integral part of these financial statements.

 

10

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

1. Organization of the Company

GE Investments Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is composed of thirteen investment portfolios (collectively the “Funds”), although only the following ten are currently being offered: U.S. Equity Fund, S&P 500 Index Fund, Premier Growth Equity Fund, Core Value Equity Fund, Mid-Cap Equity Fund (the “Fund”), Small-Cap Equity Fund, Total Return Fund, Income Fund, Money Market Fund and Real Estate Securities Fund.

Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts. GE Asset Management Incorporated (“GEAM”), is the investment adviser and administrator of each of the Funds.

The Company currently offers one share class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts. Class 4 shares were closed on June 29, 2012.

 

2. Summary of Significant Accounting Policies

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

The following summarizes the significant accounting policies of the Company:

Securities Valuation and Transactions. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.

The Fund’s income, expenses (other than distribution fees) and realized and unrealized gains and losses are allocated proportionally each day among the share classes based upon the relative net assets of each class.

Derivatives The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Fund may enter into derivative transactions to gain market exposure for residual and accumulating cash positions.

Futures Contracts A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The Fund invested in futures for a variety of portfolio management purposes such as hedging against the effects of changes in the value of portfolio securities due to anticipated changes in market conditions, gaining market exposure for accumulating and residual cash positions, or when the transactions were economically appropriate to the reduction of risks inherent in the management of the Fund. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or hedge other Fund investments. The Fund will not enter into a transaction involving futures for speculative purposes. With futures contracts, there is minimal counterparty credit risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. The Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.

Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Fund each day, depending on the daily fluctuation in the fair value of the underlying security. The Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Fund recognizes a realized gain or loss on the expiration or closing of a futures contract.

Investment Income Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after the ex-dividend date as such information becomes available.

 

 

11

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

Withholding taxes in foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.

Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.

Expenses Fund specific expenses are allocated to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Certain class specific expenses (such as distribution fees) are allocated to the class that incurs such expense. Expenses of the Fund are generally paid directly by the Fund, however, expenses may be paid by GEAM and reimbursed by the Fund.

Federal Income Taxes The Fund intends to comply with all sections of the Internal Revenue Code applicable to regulated investment companies including the distribution of substantially all of its taxable net investment income and net realized capital gains to its shareholders. Therefore, no provision for federal income tax has been made.

 

3. Securities Valuation

The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.

Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:

Level 1 — Quoted prices for identical investments in active markets.

Level 2 — Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 — Significant inputs to the valuation model are unobservable.

Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.

Fair Value Measurement The following section describes the valuation methodologies the Fund uses to measure different financial investments at fair value.

The Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price, Level 1 securities primarily include publicly-traded equity securities. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances the Fund classifies the investment securities in Level 2.

Short-term investments of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.

The Fund uses the net asset value per unit for collective funds (i.e., GEI Investment Fund). The Fund classifies the investment security in Level 2.

If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not

 

 

12

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Notes to Financial Statements    June 30, 2012 (Unaudited)

 

represent its fair value, the security may be valued using procedures approved by the Fund’s Board of Directors that are designed to establish its “fair” value. These securities are typically classified in Level 3. Those procedures require that the fair value of a security be established by a valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of the Fund in the appropriate circumstances.

Fair value determinations generally are used for securities whose value is affected by a significant event that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of the Fund’s NAV.

The value established for such a portfolio security may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations

were used. In addition, there is no assurance that the Fund could sell a portfolio security for the value established for it at any time and it is possible that the Fund would incur a loss because a portfolio security is sold at a discount to its established value.

Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps, and written options contracts, which are valued based on fair value as discussed above.

The Fund uses closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the counter markets. Derivative assets and liabilities included in Level 2 primarily represent interest rate swaps, cross-currency swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2012:

 

Investments

      Level 1         Level 2         Level 3         Total   

Investments in Securities†

            

Common Stock

    $ 66,447,683       $ —       $ —       $ 66,447,683   

Other Investments

      —         18,422         —         18,422   

Short-Term Investments

      4,827,840         —         —         4,827,840   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 71,275,523       $ 18,422       $ —       $ 71,293,945   
  

 

 

     

 

 

     

 

 

     

 

 

  
                                     

Other Financial Instruments*

            

Futures Contracts — Unrealized Appreciation

    $ 13,974       $ —       $ —       $ 13,974   
  

 

 

     

 

 

     

 

 

     

 

 

  
                                     

† See Schedule of Investments for Industry Classification

* Other financial instruments include derivative instruments such as futures contracts. Amounts shown represent unrealized appreciation (depreciation), at period end.

  

   

There were no transfers between the fair value levels. Transfers between fair value levels are considered to occur at the beginning of the period.

 

4. Derivatives Transactions

Shown below are the derivative contracts entered into by each Fund, summarized by primary risk exposure as they appear on the Statement of Assets and Liabilities, all of which are not accounted for as hedging instruments under FASB Accounting Standards Codification (“ASC”) No. 815 Derivatives and Hedging as of June 30, 2012.

 

13

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Notes to Financial Statements    June 30, 2012 (Unaudited)

 

 

   

Asset Derivatives June 30, 2012

  

Liability Derivatives June 30, 2012

Derivatives not accounted for as hedging
instruments under ASC 815		   Location in the Statement of
Assets and Liabilities		    Fair
Value ($)		   Location in the Statements of
Assets and Liabilities		    Fair
Value ($)
Equity Contracts   Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures    13,974*   Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures    —

* Includes cumulative unrealized appreciation/(depreciation) of futures contracts as reported in the Schedule of Investments and within the components of the net assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities.

Shown below are the effects of derivative instruments on the Fund’s Statement of Operations, summarized by primary risk exposure all of which are not accounted for as hedging instruments under ASC 815.

 

Derivatives not accounted for as
hedging instruments under ASC 815		   Location in the Statements of
Operations		   Total Notional Amount of
Futures Contracts
Purchased/(Sold) ($)		     Realized Gain
or (Loss) on
Derivatives
Recognized
in Income ($)		     Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
in Income ($)		  
Equity Contracts   Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures     13,055,997/(9,110,113)        108,685        23,251   
5. Line of Credit

The Company shares a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is with its custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.100% per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Funds generally is borne proportionally based upon net assets. In addition, the Company has a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal Funds Rate plus 50 basis points and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i) 10% of its total assets or (ii) 20% of its net assets. The credit facilities were not utilized by the Fund during the six-month period ended June 30, 2012.

 

6. Compensation and Fees Paid to Affiliates

GEAM, a registered investment adviser, was retained by the Company’s Board of Directors effective May 1, 1997 to act as investment adviser and administrator of the Fund.

GEAM’s compensation for investment advisory and administrative services is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.65%.

GEAM has a contractual arrangement with the Fund to waive a portion of the Fund’s management fee in the

amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund, if any.

Distribution and Service (12b-1) Fees Prior to the closure of Class 4 shares on June 29, 2012, the Company had adopted a Distribution and Service (12b-1) Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to Class 4 shares of the Fund. Under the Plan, the Fund could compensate GE Investment Distributors, Inc. (“GEID”), a wholly-owned subsidiary of GEAM and the Fund’s principal distributor, for certain sales services provided by GEID or other broker dealers and investor services provided by GEID or other service providers relating to the Fund’s Class 4 shares, including services to owners or prospective owners of variable contracts issued by insurance companies that offered such share class as an investment option. The amount of compensation paid under the Plan by the Fund’s Class 4 shares was not to exceed 0.45% of the average daily net assets of the Fund attributable to such share class.

Directors’ Compensation The Fund pays no compensation to its directors who are officers or employees of GEAM or its affiliates. Directors who are not such officers or employees also serve in a similar capacity for other funds advised by GEAM. Compensation paid to non-interested Directors are reflected on the Statement of Operations. These fees are allocated pro rata across all of the mutual fund platforms served by the Directors, including the Fund, and are based upon the relative net assets of each fund within such platforms.

 

 

14

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Notes to Financial Statements    June 30, 2012 (Unaudited)

 

 

7. Investment Transactions

Purchases and Sales of Securities The cost of purchases and the proceeds from sales of investments, other than short-term securities and options, for the six-month period ended June 30, 2012, were as follows:

Non U.S. Government Securities
Purchases    Sales
$8,721,174    $20,401,710
 
8. Income Taxes

The Fund is subject to ASC 740, Income Taxes. ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to the Fund’s net assets required under ASC 740. The Fund’s 2008, 2009, 2010 and 2011 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities.

At June 30, 2012, information on the tax cost of investments was as follows:

 

    Gross Tax    
Cost of Investments
for Tax Purposes		   Appreciation   Depreciation   Net Tax
Appreciation

$58,585,333

   $18,583,925   $(5,875,313)   $12,708,612

Capital loss carryovers are available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders because they would be taxable as ordinary income. As of December 31, 2011, the Fund did not have any capital loss carryovers.

Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

During the year ended December 31, 2011, the Fund utilized $5,212,895 of prior year capital loss carryovers.

Any qualified late-year loss is deemed to arise on the first day of the Fund’s next tax year (if the Fund elects to defer

such loss). Under this regime, generally, the Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.

The Fund elected to defer qualified late-year losses for the year ended December 31, 2011 as follows:

 

Capital    Ordinary

$635,157

    $—

The tax composition of distributions paid during the years ended December 31, 2011 and December 31, 2010 were as follows:

 

     Ordinary
Income		      Long-Term
Capital Gains		      Return of
Capital		      Total  

2011

   $ 93,615         $3,965,080         $1,471,919       $ 5,530,614   

2010

     316,553         —         —         316,553   

Distributions to Shareholders The Fund declares and pays any dividends from net investment income annually. The Fund declares and pays any net realized capital gains in excess of capital loss carryforwards distributions annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences include (but are not limited to) futures, distributions from Real Estate Investment Trusts (REITS) and other equity investments, investments

 

 

15

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

organized as partnerships for tax purposes, and losses deferred due to wash sale transactions. Reclassifications due to permanent book/tax differences are made to the Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or the net asset value of the Fund. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.

The reclassifications for the year ended December 31, 2011 were as follows:

Undistributed
Net Investment

Income

   Accumulated
Net Realized Gain
(Loss)		   Capital Paid In
$(4,836)   $1,476,755   $(1,471,919)

 

9. Subsequent Events

Subsequent events after the balance sheet date through the date the financial statements were issued have been evaluated in the preparation of the financial statements. As of August 3, 2012, the assets of the Fund and the Money Market Fund were liquidated. These funds ceased operations and are no longer offered for investment.

 

 

16

Table of Contents
Additional Information    (Unaudited)

 

Information about Directors and Executive Officers:

The business and affairs of the Funds are managed under the direction of the Funds’ Board of Directors. Information pertaining to the Directors and officers of the Funds is set forth below.

Interested Directors and Executive Officers

 

 

Michael J. Cosgrove

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    63

Position(s) Held with Fund    Chairman of the Board and President

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    President of Mutual Funds and Global Investment Programs of GEAM since November 2011; President and Chief Executive Officer – Mutual Funds and Intermediary Business of GEAM from March 2007 to November 2011; Executive Vice President of GEAM from February 1997 to March 2007; and Executive Vice President-Mutual Funds of GEAM from March 1993 to March 2007. Also serves as Treasurer of GE Foundation since 1988.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Chairman of the Board and President of GE Institutional Funds since 1997; Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since 1988; Director of GEAM since 1988; Trustee of Fordham University from 2002 to June 30, 2010 and since July 2011; Director of GE Investments Distributors, Inc since June 2011; Director of Skin Cancer Foundation since August 2010; Member of the Board of Governors for the Investment Company Institute since October 2006; Director, GE Asset Management (Ireland) Limited, since February 1999, GE Asset Management Funds Plc since 1998, GE Asset Management Canada Company since 1998, GE Asset Management Limited since 1998; Trustee of General Electric Pension Trust since 1988; and Chairman of the Board and President of GE Funds from 1993 to February 2011.

 

 

Matthew J. Simpson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    51

Position(s) Held with Fund    Director and Executive Vice President

Term of Office and Length of Time Served    Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 years    Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Savings & Security Funds since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since July 2007; Trustee and Executive Vice President of GE Institutional Funds since July 2007; Director of GEAM since July 2007; and Trustee and Executive Vice President of GE Funds from July 2007 to February 2011.

 

17

Table of Contents
Additional Information    (Unaudited)

 

 

Joon Won Choe

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    42

Position(s) Held with Fund    Vice President & Secretary

Term of Office and Length of Time Served    Until successor is elected and qualified – Vice President and Secretary – 1 year

Principal Occupation(s) During Past 5 years    Senior Vice President and Deputy General Counsel at GEAM since March 2011; Vice President and Secretary of GE Institutional Funds since September 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds since September 2010; Senior Vice President and Associate General Counsel at GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010 and Vice President and Secretary of GE Funds from September 2010 to February 2011.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Robert Herlihy

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    44

Position(s) Held with Fund    Chief Compliance Officer

Term of Office and Length of Time Served    Until successor is elected and qualified — 6 years

Principal Occupation(s) During Past 5 years    Chief Compliance Officer of GEAM, GE Institutional Funds, Elfun Funds, and GE Savings & Security Funds since July 2005; Chief Compliance Officer of GE Funds from July 2005 to February 2011 and Manager of Fund Administration at GEAM from 2002-2005.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Arthur A. Jensen

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    45

Position(s) Held with Fund    Treasurer

Term of Office and Length of Time Served    Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years    Treasurer of GE Institutional Funds, Elfun Funds and GE Savings & Security Funds since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

18

Table of Contents
Additional Information    (Unaudited)

 

 

 

Jeanne M. LaPorta

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    46

Position(s) Held with Fund    Vice President

Term of Office and Length of Time Served     Until successor is elected and qualified – 8 years

Principal Occupation(s) During Past 5 Years    Senior Vice President and Commercial Administrative Officer of GEAM since April 2010; Vice President of GE Institutional Funds since July 2003; Vice President of Elfun Funds and GE Savings & Security Funds since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

Non-Interested Directors

 

 

John R. Costantino

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    66

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    General Partner, NGN Capital LLC since 2006; Managing Director, Vice President of Walden Capital Management since 1996.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since 1997; Trustee of Fordham University from 1989 to 1995 and from 2001 to 2007 and Trustee Emeritus since 2007; Trustee of Neuroscience Research Institute since 1986; Trustee of GE Funds from 1993 to February 2011; Director of Artes Medical from 2006-2008 and Trustee of Gregorian University Foundation from 1992-2007.

 

19

Table of Contents
Additional Information    (Unaudited)

 

 

 

R. Sheldon Johnson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    65

Positions(s) Held with Fund    Director

Term of office and Length of Time served    Unit Successor is elected and qualified – 1 year.

Principal Occupation(s) During Past 5 years    Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. from 2002 to 2006 and Managing Director at Morgan Stanley & Co., Inc. from 1988 to 2006.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since April 2011 and Trustee of St. Lawrence University since 2003.

 

 

Donna M. Rapaccioli

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    49

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – Less than 1 year

Principal Occupation(s) During Past 5 Years    Dean of the Gabelli School of Business since 2007 and Accounting professor since 1987 at Fordham University.

Number of Portfolios in Fund Complex Overseen by Officer    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since January 2012 and Trustee of Emmanuel College since 2010.

 

 

The Statement of Additional Information for the Funds includes additional information about the Directors and Officers and is available, without charge, upon request by calling 1-800-242-0134.

 

20

Table of Contents
Investment Team    (Unaudited)

 

Investment Adviser and Administrator

GE Asset Management Incorporated

Board of Directors

Michael J. Cosgrove, Chairman

John R. Costantino

R. Sheldon Johnson

Donna M. Rapaccioli

Matthew J. Simpson

Secretary

Joon Won Choe

Assistant Secretary

Michelle Matzelle

Treasurer

Arthur A. Jensen

Assistant Treasurer

Casey Yantosca

Distributor

GE Investment Distributors, Inc.

Member FINRA and SIPC

 

 

Custodian

State Street Bank & Trust Company

Officers of the Investment Adviser

Dmitri Stockton, President and Chief Executive Officer

Cheryl H. Beacock, Senior Vice President, Human Resources

George A. Bicher, Chief Risk Officer

Paul M. Colonna, President and Chief Investment Officer – Public Investments

Michael J. Cosgrove, President of Mutual Funds and Global Investment Programs

Gregory B. Hartch, Senior Vice President – Strategy and Business Development Leader

Ralph R. Layman, Executive Vice President and Chief Investment Officer Emeritus Public Equities

Maureen B. Mitchell, President of Global Sales and Marketing

Steven M. Rullo, Senior Vice President – Services and Technology

Matthew J. Simpson, Executive Vice President, General Counsel and Secretary

Donald W. Torey, President and Chief Investment Officer – Alternative Investments

David Wiederecht, President and Chief Investment Officer – Investment Solutions

Jessica Holscott, Executive Vice President, Chief Financial Officer*

 
* Effective August 1, 2012, Ms. Holcott replaced Tracie A. Winbigler as Executive Vice President and Chief Financial Officer.

 

At GE Asset Management, we’re dedicated to providing the investment options you’ll need to tailor your financial portfolio to every stage of your life. Each member of the GE Family of Funds is managed according to the same principles of integrity and quality that have guided GE over the past century, and have made it the world-class company that it is today. Each fund draws strength from a heritage of investment management experience that spans more than 80 years. Whether you’re creating a new investment portfolio or adding to an established one, the GE Family of Funds offers an array of professionally managed investment options that will help you meet a lifetime of financial needs.

 

21

Table of Contents

Investment Adviser

GE Asset Management Incorporated

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

Distributor

GE Investment Distributors, Inc.

member FINRA and SIPC

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

 

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-493-3042; (ii) on the Fund’s website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC—information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov.

 

LOGO

Table of Contents
 

GE Investments Funds, Inc.

Small-Cap Equity Fund

Semi-Annual Report

June 30, 2012

 

LOGO

Table of Contents

GE Investments Funds, Inc.

Small-Cap Equity Fund    Contents

 

Fund Information

      1   

Understanding Your Fund’s Expenses

     2   

Schedule of Investments

     3   

Notes to Schedule of Investments

     10   

Financial Statements

   

Financial Highlights

      11   

Statement of Assets and Liabilities

      12   

Statement of Operations

      13   

Statements of Changes in Net Assets

      14   

Notes to Financial Statements

      15   

Additional Information

     21   

Investment Team

     25   

 

This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.

Table of Contents
Small-Cap Equity Fund    (Unaudited)

Fund Information

 

Notes to Performance

Total return performance shown in this report for the GE Investments Small Cap Equity Fund (the “Fund”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call 800-493-3042 or visit the Fund’s website at http://www.geam.com for the most recent month-end performance data.

An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.

Investment Profile

A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of small-cap companies, such as common and preferred stocks. The Fund uses a multi-sub-adviser investment strategy that combines growth, value and core investment management styles. This orientation will typically produce a portfolio that does not materially favor value or growth style investing, and allows the Fund the potential to benefit from both value and growth cycles in the marketplace.

Sector Allocation

as a % of Fair Value of $43,974 (in thousands) on June 30, 2012 (a)(b)

 

 

 

LOGO

Top Ten Largest Holdings

as of June 30, 2012 as a % of Fair Value (a)(b)(c)

 

 

Sensient Technologies Corp.

      1.21%   

Bio-Reference Labs Inc.

      1.18%   

LKQ Corp.

      0.98%   

Jarden Corp.

      0.96%   

John Wiley & Sons Inc.

      0.91%   

Darling International Inc.

      0.90%   

Allied World Assurance Company Holdings AG

      0.89%   

AGCO Corp.

      0.87%   

Smithfield Foods Inc.

      0.87%   

Omega Healthcare Investors Inc. (REIT)

      0.84%   
 

 

(a) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.
(b) Fair value basis is inclusive of the short-term investment in GE Institutional Money Market Fund Investment Class.
(c) The figures presented to not include the Fund’s entire investment portfolio and may change at any time.
* Less than 0.01%.

GE Investment Distributors, Inc., Member of FINRA & SIPC, is the principal underwriter and distributor of the GE Investments Funds, Inc. and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Fund.

 

1

Table of Contents
Small-Cap Equity Fund    (Unaudited)

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2012.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the

number given for your class under the heading “Expenses Paid During Period” to estimate the expenses paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.

 

January 1, 2012 - June 30, 2012

 

      Account value at the
beginning of the period ($)		      Account value at the
end of the period ($)		      Expenses paid
during the period ($)*		  
        

Actual Fund Return

      1,000.00         1,066.90         6.68   

Hypothetical 5% Return (2.5% for the period)

      1,000.00         1,018.40         6.52   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 1.30% (for the period January 1, 2012 - June 30, 2012), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

2

Table of Contents

Small-Cap Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

Small-Cap Equity Fund

 

     Number
of Shares		      Fair Value       

Common Stock—96.0% †

  

     

Advertising — 0.8%

  

   

Arbitron Inc.

      9,500       $      332,500      

RtheLocal Inc.

      1,700         18,700       (a)
        351,200      

Aerospace & Defense — 1.1%

  

   

AAR Corp.

      529         7,131      

Esterline Technologies Corp.

      2,735         170,527       (a)

Hexcel Corp.

      800         20,632       (a)

Moog Inc.

      991         40,978       (a)

Teledyne Technologies Inc.

      3,000         184,950       (a)

Triumph Group Inc.

      746         41,977      
        466,195      

Agricultural Products — 1.0%

  

   

Darling International Inc.

      24,075         396,997       (a)

Fresh Del Monte Produce Inc.

      1,942         45,579      
        442,576      

Air Freight & Logistics — 0.5%

  

   

Hub Group Inc.

      3,100         112,220       (a)

UTi Worldwide Inc.

      7,300         106,653      
        218,873      

Alternative Carriers — 0.0%*

  

   

Vonage Holdings Corp.

      5,800         11,658       (a)

Apparel Retail — 1.3%

         

Aeropostale Inc.

      8,676         154,693       (a)

American Eagle Outfitters Inc.

      4,900         96,677      

Ascena Retail Group Inc.

      1,000         18,620      

Crocs Inc.

      1,200         19,380       (a)

DSW Inc.

      400         21,760      

Express Inc.

      700         12,719       (a)

Genesco Inc.

      368         22,135       (a)

The Buckle Inc.

      5,500         217,635      

Zumiez Inc.

      600         23,760       (a)
        587,379      

Apparel, Accessories & Luxury Goods — 1.5%

  

   

Columbia Sportswear Co.

      5,619         301,291      

Iconix Brand Group Inc.

      15,250         266,418       (a)

Maidenform Brands Inc.

      3,900         77,688       (a)

True Religion Apparel Inc.

      600         17,388      
        662,785      

Application Software — 4.8%

  

   

ACI Worldwide Inc.

      6,250         276,313       (a)

Actuate Corp.

      3,200         22,176       (a)
     Number
of Shares		      Fair Value       

Advent Software Inc.

      1,400       $      37,954       (a)

Blackbaud Inc.

      7,000         179,690      

Bottomline Technologies Inc.

      7,200         129,960       (a)

Compuware Corp.

      2,200         20,438       (a)

Concur Technologies Inc.

      3,700         251,970       (a)

Ebix Inc.

      4,800         95,760      

Fair Isaac Corp.

      500         21,140      

Kenexa Corp.

      700         20,321       (a)

Mentor Graphics Corp.

      1,500         22,500       (a)

Monotype Imaging Holdings Inc.

      1,700         28,509       (a)

NICE Systems Ltd. ADR

      3,900         142,740       (a)

Parametric Technology Corp.

      14,800         310,208       (a)

PROS Holdings Inc.

      3,200         53,824       (a)

QLIK Technologies Inc.

      8,100         179,172       (a)

SolarWinds Inc.

      550         23,958       (a)

SS&C Technologies Holdings Inc.

      10,890         272,250       (a)

Tyler Technologies Inc.

      500         20,175       (a)
        2,109,058      

Asset Management & Custody Banks — 1.3%

  

   

Affiliated Managers Group Inc.

      2,875         314,669       (a)

Financial Engines Inc.

      4,900         105,105       (a)

Manning & Napier Inc.

      1,500         21,345      

Waddell & Reed Financial Inc.

      4,900         148,372      
        589,491      

Auto Parts & Equipment — 0.3%

         

Accuride Corp.

      1,731         10,386      

Dana Holding Corp.

      5,438         69,661      

Federal-Mogul Corp.

      800         8,800       (a)

Modine Manufacturing Co.

      3,522         24,407       (a)

Stoneridge Inc.

      2,911         19,824       (a)

Tenneco Inc.

      600         16,092       (a)
        149,170      

Automobile Manufacturers — 0.5%

  

   

Thor Industries Inc.

      8,635         236,685      

Automotive Retail — 0.1%

  

   

America’s Car-Mart Inc.

      676         26,263       (a)

Biotechnology — 1.2%

  

   

Acorda Therapeutics Inc.

      900         21,204       (a)

Alkermes PLC

      1,100         18,667       (a)

Cepheid Inc.

      400         17,900       (a)

Cubist Pharmaceuticals Inc.

      4,300         163,013       (a)

Emergent Biosolutions Inc.

      1,400         21,210       (a)

Genomic Health Inc.

      2,400         80,160       (a)

Myriad Genetics Inc.

      5,800         137,866       (a)

PDL BioPharma Inc.

      2,220         14,719      

Sciclone Pharmaceuticals Inc.

      4,800         33,648       (a)

Spectrum Pharmaceuticals Inc.

      1,800         28,008       (a)
        536,395      

Building Products — 0.3%

  

   

AAON Inc.

      1,252         23,600      

Apogee Enterprises Inc.

      1,880         30,212      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

3

Table of Contents

Small-Cap Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Simpson Manufacturing Company Inc.

      600       $        17,706      

Universal Forest Products Inc.

      1,230         47,945      
        119,463      

Casinos & Gaming — 0.1%

  

   

Ameristar Casinos Inc.

      1,000         17,770      

WMS Industries Inc.

      2,262         45,127       (a)
        62,897      

Catalog Retail — 0.0%*

  

   

HSN Inc.

      500         20,175      

Commercial Banks — 0.0%*

  

   

First Commonwealth Financial Corp.

      1,647         11,084      

Sterling Financial Corp.

      273         5,157       (a)
        16,241      

Commercial Printing — 0.0%*

  

   

Consolidated Graphics Inc.

      435         12,637       (a)

Commodity Chemicals — 0.6%

  

   

Koppers Holdings Inc.

      7,825         266,050      

OM Group Inc.

      984         18,696       (a)
        284,746      

Communications Equipment — 0.4%

  

   

Arris Group Inc.

      3,650         50,772       (a)

Calix Inc.

      2,800         23,016       (a)

NETGEAR Inc.

      1,789         61,738       (a)

Plantronics Inc.

      1,621         54,141      
        189,667      

Computer & Electronics Retail — 0.0%*

  

   

Conn’s Inc.

      1,300         19,240       (a)

Computer Storage & Peripherals — 0.1%

  

   

MTS Systems Corp.

      863         33,269      

QLogic Corp.

      1,200         16,428       (a)
        49,697      

Construction & Engineering — 1.9%

  

   

Chicago Bridge & Iron Company N.V.

      7,765         294,759      

Dycom Industries Inc.

      1,000         18,610       (a)

Quanta Services Inc.

      8,500         204,595       (a)

URS Corp.

      8,850         308,688      
        826,652      

Construction & Farm Machinery & Heavy Trucks — 2.1%

AGCO Corp.

      8,400         384,132       (a)

Astec Industries Inc.

      2,330         71,484       (a)

Greenbrier Companies Inc.

      3,859         67,841       (a)

Lindsay Corp.

      300         19,470      

Sauer-Danfoss Inc.

      600         20,958      

Trinity Industries Inc.

      13,825         345,349      
        909,234      
     Number
of Shares		      Fair Value       

Construction Materials — 0.1%

  

      

Drew Industries Inc.

      965       $        26,875       (a)

Eagle Materials Inc.

      600         22,404      
        49,279      

Consumer Electronics — 0.0%*

  

      

Harman International Industries Inc.

      358         14,177      

Consumer Finance — 0.0%*

  

      

EZCORP Inc.

      750         17,595       (a)

Data Processing & Outsourced Services — 2.6%

Broadridge Financial Solutions Inc.

      13,875         295,121      

Cardtronics Inc.

      3,700         111,777       (a)

Global Cash Access Holdings Inc.

      27,600         198,996       (a)

Heartland Payment Systems Inc.

      700         21,056      

Jack Henry & Associates Inc.

      4,900         169,148      

NeuStar Inc.

      3,700         123,580       (a)

TeleTech Holdings Inc.

      1,150         18,400       (a)

TNS Inc.

      2,496         44,778       (a)

Wright Express Corp.

      2,400         148,128       (a)
        1,130,984      

Distributors — 1.0%

  

      

LKQ Corp.

      12,901         430,893       (a)

Diversified Metals & Mining — 0.3%

  

   

Compass Minerals International Inc.

      2,000         152,560      

Diversified REITs — 0.1%

  

      

Cousins Properties Inc.

      2,378         18,429      

Washington Real Estate Investment Trust

      1,142         32,490      
        50,919      

Diversified Support Services — 0.6%

  

   

Coinstar Inc.

      340         23,344       (a)

Healthcare Services Group Inc.

      9,800         189,924      

UniFirst Corp.

      708         45,135      
        258,403      

Education Services — 0.8%

  

      

American Public Education Inc.

      1,700         54,400       (a)

Capella Education Co.

      1,900         66,044       (a)

K12 Inc.

      4,900         114,170       (a)

Lincoln Educational Services Corp.

      2,850         18,525      

Strayer Education Inc.

      800         87,216      
        340,355      

Electric Utilities — 0.8%

  

      

ALLETE Inc.

      1,201         50,202      

IDACORP Inc.

      6,634         279,159      

Westar Energy Inc.

      1,436         43,008      
        372,369      
 
See Notes to Schedule of Investments and Notes to Financial Statements.

 

 

4

Table of Contents

Small-Cap Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Electrical Components & Equipment — 1.2%

  

   

Acuity Brands Inc.

      330       $        16,800      

Belden Inc.

      500         16,675      

Brady Corp.

      6,100         167,811      

EnerSys

      2,181         76,488       (a)

Generac Holdings Inc.

      800         19,248       (a)

General Cable Corp.

      700         18,158       (a)

II-VI Inc.

      7,318         121,991       (a)

LSI Industries Inc.

      1,779         12,666      

Regal-Beloit Corp.

      620         38,601      

Vicor Corp.

      3,000         20,820      
        509,258      

Electronic Components — 0.3%

  

   

Dolby Laboratories Inc.

      550         22,715       (a)

Littelfuse Inc.

      369         20,992      

Micrel Inc.

      1,900         18,107      

Monolithic Power Systems Inc.

      1,000         19,870       (a)

Silicon Laboratories Inc.

      600         22,740       (a)

Ultratech Inc.

      700         22,050       (a)
        126,474      

Electronic Equipment & Instruments — 0.4%

  

   

Badger Meter Inc.

      367         13,781      

National Instruments Corp.

      5,600         150,416      
        164,197      

Electronic Manufacturing Services — 0.7%

  

   

Measurement Specialties Inc.

      5,157         167,654       (a)

Methode Electronics Inc.

      3,898         33,172      

Multi-Fineline Electronix Inc.

      2,505         61,723       (a)

Plexus Corp.

      1,256         35,419       (a)
        297,968      

Environmental & Facilities Services — 0.3%

  

   

ABM Industries Inc.

      6,000         117,360      

Food Distributors — 0.1%

  

   

Nash Finch Co.

      268         5,757      

Spartan Stores Inc.

      3,250         58,923      
        64,680      

Food Retail — 0.6%

         

Harris Teeter Supermarkets Inc.

      6,600         270,534      

Footwear — 1.1%

         

Deckers Outdoor Corp.

      4,300         189,243       (a)

Wolverine World Wide Inc.

      8,009         310,589      
        499,832      

Gas Utilities — 0.1%

         

South Jersey Industries Inc.

      1,077         54,895      

Healthcare Distributors — 0.6%

  

   

Owens & Minor Inc.

      9,202         281,857      
     Number
of Shares		      Fair Value       

Healthcare Equipment — 3.8%

  

   

Analogic Corp.

      370       $        22,940      

Conceptus Inc.

      1,200         23,784       (a)

Cyberonics Inc.

      600         26,964       (a)

Exactech Inc.

      770         12,913       (a)

Gen-Probe Inc.

      3,700         304,140       (a)

Hill-Rom Holdings Inc.

      1,478         45,596      

Integra LifeSciences Holdings Corp.

      6,100         226,798       (a)

Masimo Corp.

      8,600         192,468       (a)

NuVasive Inc.

      8,400         213,024       (a)

Orthofix International N.V.

      500         20,625       (a)

STERIS Corp.

      4,700         147,439      

Teleflex Inc.

      3,300         201,003      

Thoratec Corp.

      4,100         137,678       (a)

Volcano Corp.

      3,700         106,005       (a)
        1,681,377      

Healthcare Facilities — 0.4%

  

   

The Ensign Group Inc.

      823         23,266      

VCA Antech Inc.

      6,100         134,078       (a)
        157,344      

Healthcare Services — 2.6%

  

   

Bio-Reference Labs Inc.

      19,700         517,716       (a)

HMS Holdings Corp.

      7,600         253,156      

Magellan Health Services Inc.

      528         23,934       (a)

MEDNAX Inc.

      4,500         308,430       (a)

Metropolitan Health Networks Inc.

      2,636         25,227       (a)
        1,128,463      

Healthcare Supplies — 0.9%

  

   

Align Technology Inc.

      700         23,422       (a)

Merit Medical Systems Inc.

      1,664         22,980       (a)

RTI Biologics Inc.

      4,900         18,424       (a)

Staar Surgical Co.

      2,100         16,317       (a)

West Pharmaceutical Services Inc.

      6,100         307,989      
        389,132      

Healthcare Technology — 1.3%

  

   

Computer Programs & Systems Inc.

      1,850         105,857      

MedAssets Inc.

      9,600         129,120       (a)

Medidata Solutions Inc.

      4,200         137,214       (a)

Omnicell Inc.

      1,400         20,496       (a)

Quality Systems Inc.

      7,200         198,072      
        590,759      

Heavy Electrical Equipment — 0.1%

  

   

AZZ Inc.

      400         24,504      

Home Furnishing Retail — 0.6%

  

   

Aaron’s Inc.

      8,972         253,997      

Home Furnishings — 0.0%*

  

   

Hooker Furniture Corp.

      960         11,318      
 
See Notes to Schedule of Investments and Notes to Financial Statements.

 

 

5

Table of Contents

Small-Cap Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Household Products — 0.5%

  

   

Spectrum Brands Holdings Inc.

      6,375       $      207,634       (a)

Housewares & Specialties — 1.3%

         

American Greetings Corp.

      1,200         17,544      

Jarden Corp.

      10,050         422,301      

Tupperware Brands Corp.

      2,400         131,424      
        571,269      

Human Resource & Employment Services — 0.1%

GP Strategies Corp.

      1,200         22,164       (a)

Industrial Conglomerates — 0.3%

  

   

Raven Industries Inc.

      1,800         125,262      

Industrial Machinery — 5.8%

  

   

Actuant Corp.

      1,222         33,190      

Briggs & Stratton Corp.

      1,496         26,165      

CLARCOR Inc.

      2,400         115,584      

Columbus McKinnon Corp.

      1,802         27,192       (a)

EnPro Industries Inc.

      5,100         190,587       (a)

ESCO Technologies Inc.

      2,600         94,744      

Flowserve Corp.

      2,300         263,925      

Harsco Corp.

      3,000         61,140      

IDEX Corp.

      4,900         191,002      

Kaydon Corp.

      1,800         38,502      

LB Foster Co.

      433         12,388      

Lincoln Electric Holdings Inc.

      100         4,379      

Middleby Corp.

      2,800         278,908       (a)

Mueller Industries Inc.

      2,600         110,734      

Nordson Corp.

      3,675         188,491      

RBC Bearings Inc.

      700         33,110       (a)

Robbins & Myers Inc.

      3,600         150,552      

Timken Co.

      6,000         274,740      

Trimas Corp.

      9,600         192,960       (a)

Valmont Industries Inc.

      379         45,848      

Woodward Inc.

      5,300         209,032      
        2,543,173      

Industrial REITs — 0.1%

  

   

DuPont Fabros Technology Inc.

      873         24,933      

First Potomac Realty Trust

      3,481         40,971      
        65,904      

Insurance Brokers — 0.4%

  

   

Brown & Brown Inc.

      6,100         166,347      

Internet Software & Services — 1.5%

  

   

Ancestry.com Inc.

      600         16,518       (a)

comScore Inc.

      7,200         118,512       (a)

CoStar Group Inc.

      1,200         97,440       (a)

Demand Media Inc.

      2,200         24,640       (a)

Dice Holdings Inc.

      2,000         18,780       (a)

IntraLinks Holdings Inc.

      4,500         19,710       (a)

Liquidity Services Inc.

      500         25,595       (a)
     Number
of Shares		      Fair Value       

LogMeIn Inc.

      4,300       $      131,236       (a)

Monster Worldwide Inc.

      2,000         17,000       (a)

NIC Inc.

      9,100         115,570      

Responsys Inc.

      1,800         21,816       (a)

The Active Network Inc.

      1,800         27,702       (a)

XO Group Inc.

      2,000         17,740       (a)
        652,259      

Investment Banking & Brokerage — 1.1%

  

   

BGC Partners Inc.

      3,908         22,940      

Duff & Phelps Corp.

      1,400         20,300      

GFI Group Inc.

      17,600         62,656      

Greenhill & Company Inc.

      500         17,825      

Piper Jaffray Co.

      2,169         50,820       (a)

Raymond James Financial Inc.

      8,400         287,616      

Stifel Financial Corp.

      1,144         35,350       (a)
        497,507      

IT Consulting & Other Services — 0.3%

  

   

Sapient Corp.

      10,900         109,763      

Unisys Corp.

      1,300         25,415       (a)
        135,178      

Leisure Products — 0.5%

  

   

Brunswick Corp.

      2,346         52,128      

Polaris Industries Inc.

      2,450         175,126      
        227,254      

Life & Health Insurance — 0.1%

  

   

American Equity Investment Life Holding Co.

      3,691         40,638      

StanCorp Financial Group Inc.

      652         24,228      
        64,866      

Life Sciences Tools & Services — 2.3%

  

   

Bio-Rad Laboratories Inc.

      2,400         240,024       (a)

Bruker Corp.

      18,600         247,566       (a)

Charles River Laboratories International Inc.

      600         19,656       (a)

ICON PLC ADR

      7,300         164,469       (a)

Luminex Corp.

      6,100         149,389       (a)

PAREXEL International Corp.

      1,200         33,876       (a)

Techne Corp.

      1,900         140,980      
        995,960      

Managed Healthcare — 1.2%

  

   

Centene Corp.

      10,770         324,823       (a)

Molina Healthcare Inc.

      8,100         190,026       (a)

WellCare Health Plans Inc.

      400         21,200       (a)
        536,049      

Metal & Glass Containers — 1.0%

  

   

AEP Industries Inc.

      674         29,353       (a)

Aptargroup Inc.

      3,700         188,885      

Kaiser Aluminum Corp.

      400         20,736      

Silgan Holdings Inc.

      4,900         209,181      
        448,155      
 
See Notes to Schedule of Investments and Notes to Financial Statements.

 

6

 

Table of Contents

Small-Cap Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Movies & Entertainment — 0.1%

  

   

Cinemark Holdings Inc.

      900       $      20,565      

Regal Entertainment Group

      1,500         20,640      
        41,205      

Multi-Line Insurance — 0.7%

  

   

HCC Insurance Holdings Inc.

      8,200         257,480      

Horace Mann Educators Corp.

      2,097         36,656      
        294,136      

Multi-Utilities — 0.9%

  

   

Avista Corp.

      2,283         60,956      

Black Hills Corp.

      1,166         37,510      

OGE Energy Corp.

      5,675         293,908      
        392,374      

Office Electronics — 0.4%

  

   

Zebra Technologies Corp.

      5,400         185,544       (a)

Office REITs — 1.6%

  

      

BioMed Realty Trust Inc.

      18,641         348,214      

Coresite Realty Corp.

      6,350         163,957      

Digital Realty Trust Inc.

      1,400         105,098      

Kilroy Realty Corp.

      879         42,552      

Lexington Realty Trust

      3,107         26,316      
        686,137      

Office Services & Supplies — 0.3%

  

   

Herman Miller Inc.

      5,200         96,304      

Knoll Inc.

      1,208         16,211      
        112,515      

Oil & Gas Drilling — 0.5%

  

   

Pioneer Drilling Co.

      29,500         235,115       (a)

Oil & Gas Equipment & Services — 2.7%

  

   

Basic Energy Services Inc.

      1,100         11,352       (a)

Cal Dive International Inc.

      5,350         15,515       (a)

CARBO Ceramics Inc.

      2,875         220,599      

Dawson Geophysical Co.

      544         12,958       (a)

Dril-Quip Inc.

      900         59,031       (a)

Hornbeck Offshore Services Inc.

      1,001         38,819       (a)

Key Energy Services Inc.

      15,600         118,560       (a)

Lufkin Industries Inc.

      1,800         97,776      

Natural Gas Services Group Inc.

      826         12,241       (a)

Oil States International Inc.

      5,100         337,620       (a)

Superior Energy Services Inc.

      8,100         163,863       (a)

TETRA Technologies Inc.

      11,900         84,847       (a)
        1,173,181      

Oil & Gas Exploration & Production — 3.0%

  

   

Approach Resources Inc.

      6,200         158,348       (a)

Berry Petroleum Co.

      1,066         42,278      

Bill Barrett Corp.

      1,804         38,642       (a)
     Number
of Shares		      Fair Value       

Carrizo Oil & Gas Inc.

      550       $      12,931       (a)

Energy XXI Bermuda Ltd.

      900         28,161      

Gulfport Energy Corp.

      5,000         103,150       (a)

Kodiak Oil & Gas Corp.

      2,154         17,684       (a)

Newfield Exploration Co.

      9,000         263,790       (a)

Northern Oil and Gas Inc.

      8,400         133,896       (a)

Oasis Petroleum Inc.

      4,900         118,482       (a)

PDC Energy Inc.

      2,500         61,300       (a)

Petroquest Energy Inc.

      2,600         13,000       (a)

Resolute Energy Corp.

      14,500         138,765       (a)

SM Energy Co.

      3,900         191,529      

Stone Energy Corp.

      900         22,806       (a)
        1,344,762      

Oil & Gas Refining & Marketing — 0.2%

  

   

Alon USA Energy Inc.

      2,300         19,458      

Western Refining Inc.

      3,148         70,106      
        89,564      

Oil & Gas Storage & Transportation — 0.0%*

  

   

Targa Resources Corp.

      500         21,350      

Packaged Foods & Meats — 4.0%

  

   

Flowers Foods Inc.

      13,300         308,959      

Lancaster Colony Corp.

      3,700         263,477      

Sanderson Farms Inc.

      5,925         271,484      

Smart Balance Inc.

      9,600         90,144       (a)

Smithfield Foods Inc.

      17,750         383,933       (a)

Snyders-Lance Inc.

      8,400         211,932      

TreeHouse Foods Inc.

      4,200         261,618       (a)
        1,791,547      

Paper Packaging — 0.7%

  

   

Packaging Corporation of America

      11,700         330,408      

Paper Products — 0.1%

  

   

Buckeye Technologies Inc.

      911         25,954      

Personal Products — 0.1%

  

   

Revlon Inc.

      900         12,807       (a)

USANA Health Sciences Inc.

      500         20,560       (a)
        33,367      

Pharmaceuticals — 0.4%

  

   

Auxilium Pharmaceuticals Inc.

      900         24,201       (a)

Hi-Tech Pharmacal Company Inc.

      922         29,873       (a)

Medicis Pharmaceutical Corp.

      600         20,490      

Par Pharmaceutical Companies Inc.

      2,355         85,110       (a)
        159,674      

Property & Casualty Insurance — 2.4%

  

   

Allied World Assurance Company Holdings AG

      4,900         389,403      

American Safety Insurance
Holdings Ltd.

      1,735         32,531       (a)
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

7

Table of Contents

Small-Cap Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Amtrust Financial Services Inc.

      3,700       $      109,927      

Argo Group International
Holdings Ltd.

      5,495         160,839      

Aspen Insurance Holdings Ltd.

      6,700         193,630      

The Navigators Group Inc.

      3,700         185,185       (a)
        1,071,515      

Publishing — 1.3%

         

John Wiley & Sons Inc.

      8,200         401,718      

Morningstar Inc.

      3,000         173,520      
        575,238      

Railroads — 0.7%

         

Genesee & Wyoming Inc.

      5,500         290,620       (a)

Regional Banks — 4.8%

  

   

BancorpSouth Inc.

      1,524         22,128      

Bank of the Ozarks Inc.

      1,501         45,150      

Banner Corp.

      1,277         27,979      

Bryn Mawr Bank Corp.

      3,000         63,210      

Camden National Corp.

      520         19,042      

Cardinal Financial Corp.

      894         10,978      

CoBiz Financial Inc.

      1,493         9,346      

Community Bank System Inc.

      2,200         59,664      

Cullen Frost Bankers Inc.

      3,400         195,466      

East West Bancorp Inc.

      2,379         55,811      

First Horizon National Corp.

      2,964         25,639      

Fulton Financial Corp.

      6,200         61,938      

Glacier Bancorp Inc.

      1,259         19,502      

Great Southern Bancorp Inc.

      881         24,298      

Hancock Holding Co.

      745         22,678      

Home Bancshares Inc.

      1,335         40,824      

Iberiabank Corp.

      2,082         105,037      

Independent Bank Corp.

      2,400         70,104      

Lakeland Financial Corp.

      924         24,791      

Old National Bancorp

      1,553         18,652      

PacWest Bancorp

      550         13,018      

Prosperity Bancshares Inc.

      5,500         231,165      

Southwest Bancorp Inc.

      2,232         21,003       (a)

Susquehanna Bancshares Inc.

      5,074         52,262      

SVB Financial Group

      3,700         217,264       (a)

UMB Financial Corp.

      7,200         368,856      

Umpqua Holdings Corp.

      3,312         43,586      

Washington Trust Bancorp Inc.

      3,000         73,140      

Westamerica Bancorporation

      3,000         141,570      

Wintrust Financial Corp.

      751         26,661      
        2,110,762      

Reinsurance — 0.5%

         

Endurance Specialty Holdings Ltd.

      4,200         160,944      

Maiden Holdings Ltd.

      2,662         23,106      

Platinum Underwriters Holdings Ltd.

      1,016         38,710      
        222,760      

Research & Consulting Services — 0.3%

  

   

ICF International Inc.

      1,949         46,464       (a)

Resources Connection Inc.

      3,400         41,820      
     Number
of Shares		      Fair Value       

The Corporate Executive Board Co.

      600       $      24,528      
        112,812      

Residential REITs — 0.3%

  

   

American Capital Mortgage Investment Corp.

     800         19,104      

Colonial Properties Trust

      496         10,981      

Home Properties Inc.

      300         18,408      

Mid-America Apartment Communities Inc.

      1,133         77,316      
        125,809      

Restaurants — 0.9%

         

CEC Entertainment Inc.

      600         21,822      

Cracker Barrel Old Country Store Inc.

      4,300         270,040      

Einstein Noah Restaurant Group Inc.

      1,050         18,438      

Texas Roadhouse Inc.

      1,300         23,959      

The Wendy’s Co.

      15,700         74,104      
        408,363      

Retail REITs — 0.1%

         

CBL & Associates Properties Inc.

      1,100         21,494      

Ramco-Gershenson Properties Trust

      2,539         31,915      
        53,409      

Security & Alarm Services — 0.8%

         

The Brink’s Co.

      15,125         350,598      

Semiconductor Equipment — 0.5%

         

MKS Instruments Inc.

      1,028         29,740      

Rudolph Technologies Inc.

      19,800         172,656       (a)

Veeco Instruments Inc.

      550         18,898       (a)
        221,294      

Semiconductors — 1.7%

  

   

Diodes Inc.

      1,661         31,177       (a)

Fairchild Semiconductor International Inc.

      2,944         41,510       (a)

First Solar Inc.

      1,500         22,590       (a)

Hittite Microwave Corp.

      1,900         97,128       (a)

Integrated Device Technology Inc.

      4,096         23,020       (a)

Microsemi Corp.

      12,900         238,521       (a)

Pericom Semiconductor Corp.

      1,397         12,573       (a)

RF Micro Devices Inc.

      4,545         19,316       (a)

Semtech Corp.

      6,300         153,216       (a)

Standard Microsystems Corp.

      1,872         69,058       (a)

TriQuint Semiconductor Inc.

      4,898         26,939       (a)
        735,048      

Specialized Consumer Services — 0.1%

  

   

Matthews International Corp.

      1,100         35,739      

Specialized Finance — 0.1%

  

   

NewStar Financial Inc.

      3,206         41,550       (a)
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

8

Table of Contents

Small-Cap Equity Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

     Number
of Shares		      Fair Value       

Specialized REITs — 1.4%

  

   

DiamondRock Hospitality Co.

      3,749       $      38,240      

Hersha Hospitality Trust

      4,855         25,634      

Inland Real Estate Corp.

      1,846         15,469      

National Health Investors Inc.

      553         28,159      

Omega Healthcare Investors Inc.

      16,500         371,250      

Sabra Healthcare REIT Inc.

      7,900         135,169      

Summit Hotel Properties Inc.

      2,632         22,030      
        635,951      

Specialty Chemicals — 1.6%

  

   

Chemtura Corp.

      1,300         18,850       (a)

HB Fuller Co.

      2,961         90,903      

Rockwood Holdings Inc.

      400         17,740      

Sensient Technologies Corp.

      14,463         531,226      

Stepan Co.

      488         45,960      
        704,679      

Specialty Stores — 0.3%

  

   

Cabela’s Inc.

      1,456         55,051       (a)

Tractor Supply Co.

      1,125         93,443      
        148,494      

Steel — 0.6%

         

Carpenter Technology Corp.

      610         29,182      

Commercial Metals Co.

      14,500         183,280      

Schnitzer Steel Industries Inc.

      1,705         47,774      
        260,236      

Systems Software — 1.6%

  

   

Ariba Inc.

      7,100         317,796       (a)

CommVault Systems Inc.

      500         24,785       (a)

Fortinet Inc.

      700         16,254       (a)

MICROS Systems Inc.

      6,730         344,576       (a)
        703,411      

Technology Distributors — 0.2%

  

   

ScanSource Inc.

      918         28,128       (a)

Tech Data Corp.

      988         47,592       (a)
        75,720      

Thrifts & Mortgage Finance — 0.2%

         

BankUnited Inc.

      1,246         29,381      

Dime Community Bancshares Inc.

      328         4,359      

Northwest Bancshares Inc.

      2,703         31,652      

Washington Federal Inc.

      2,394         40,435      
        105,827      

Tires & Rubber — 0.2%

         

Cooper Tire & Rubber Co.

      5,438         95,383      

Trading Companies & Distributors — 0.8%

  

   

Applied Industrial Technologies Inc.

      8,800         324,280      

DXP Enterprises Inc.

      505         20,952       (a)
        345,232      
     Number
of Shares		      Fair Value       

Trucking — 1.0%

Avis Budget Group Inc.

      1,300       $ 19,760       (a)

Dollar Thrifty Automotive Group Inc.

      270         21,859       (a)

Marten Transport Ltd.

      1,873         39,820      

Old Dominion Freight Line Inc.

      8,300         359,307       (a)

Swift Transportation Co.

      1,700         16,065       (a)
        456,811      

Wire & Cable Products — 0.1%

Encore Wire Corp.

      939         25,146      

Wireless Telecommunication Services — 0.0%*

Leap Wireless International Inc.

      2,100         13,503       (a)

Total Common Stock
(Cost $38,196,151)

         42,441,584      

Other Investments — 0.0%*

GEI Investment Fund
(Cost $9)

         9       (c)

Total Investments in Securities
(Cost $38,196,160)

         42,441,593      

Short-Term Investments — 3.5%

GE Institutional Money Market
Fund - Investment Class 0.04%
(Cost $1,532,601)

         1,532,601      

(b,c)

Total Investments
(Cost $39,728,761)

         43,974,194      

Other Assets and Liabilities, net — 0.5%

  

      234,544      
     

 

 

     

NET ASSETS — 100.0%

  

    $ 44,208,738      
     

 

 

     
        

Other Information

                       

The Fund had the following long futures contracts open at June 30, 2012 (Unaudited):

 

Description   Expiration
date		   Number
of
Contracts		     Current
Notional
Value		     Unrealized
Appreciation		  

Russell 2000
Mini Index
Futures

   September
2012		     7      $ 556,780      $ 11,389   
 
See Notes to Schedule of Investments and Notes to Financial Statements.

 

 

9

Table of Contents
Notes to Schedule of Investments    June 30, 2012 (Unaudited)

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities information regarding holdings, allocations and other characteristics are presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a) Non-income producing security.

 

(b) Coupon amount represents effective yield.
(c) GE Asset Management, the investment adviser of the Fund, also serves as investment adviser of the GEI Investment Fund and the GE Institutional Money Market Fund. The GE Investment Fund has been determined to be illiquid using procedures established by the Board of Directors.

 

* Less than 0.05%.

 

† Percentages are based on net assets as of June 30, 2012.

Abbreviations:

 

ADR

    American Depository Receipt

REIT

    Real Estate Investment Trust
 

 

10

Table of Contents

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

 

 

    CLASS 1  
    6/30/12†     12/31/11     12/31/10     12/31/09     12/31/08(c)     12/31/07  
Inception date     —        —        —        —        —        4/28/00   

Net asset value, beginning of period

   $ 12.85      $ 12.46      $ 9.79      $ 7.48      $ 12.17      $ 14.39   

Income/(loss) from investment operations:

            

Net investment income (loss)

     (0.02)        (0.01)        0.02 **      0.04        0.09        0.06   

Net realized and unrealized
gains/(losses) on investments

     0.88        0.40        2.67        2.27        (4.67)        0.31   

Total income/(loss) from investment operations

     0.86        0.39        2.69        2.31        (4.58)        0.37   

Less distributions from:

            

Net investment income

     —        0.00 ***      0.02        —        0.05        0.06   

Net realized gains

     —        —        —        —        0.06        2.53   

Total distributions

     —        0.00        0.02        0.00        0.11        2.59   

Net asset value, end of period

   $ 13.71      $ 12.85      $ 12.46      $ 9.79      $ 7.48      $ 12.17   

TOTAL RETURN (a)

     6.69%        3.13%        27.47%        30.88%        (37.59)%        2.39%   

RATIOS/
SUPPLEMENTAL DATA:

            

Net assets, end of period (in thousands)

   $ 44,209      $ 46,855      $ 55,527      $ 54,114      $ 50,210      $ 104,010   

Ratios to average net assets:

            

Net investment income (loss)

     (0.25)% *      (0.07)%        0.18%        (0.04)%        0.46%        0.31%   

Net Expenses

     1.30% (b)(d)*      1.28% (b)(d)      1.12% (b)      1.52% (b)      0.94% (b)      0.87%   

Gross Expenses

     1.36% *      1.50%        1.13%        1.52%        0.94%        0.87%   

Portfolio turnover rate

     18%        44%        47%        40%        85%        25%   

Notes to Financial Highlights

 

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(b) Reflects GE Asset Management’s waiver of a portion of the Fund’s management fee in an amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund or, prior to 2011, in another affiliated money market fund formerly managed by GEAM.
(c) Less than $0.01 per share of the distribution paid was from return of capital.
(d) Reflects a voluntary reimbursement of other operating expenses by GE Asset Management.
* Annualized for periods less than one year.
** Per share values have been calculated using the average share method.
*** Rounds to less than $0.01.
† Unaudited

 

The accompanying Notes are an integral part of these financial statements.

 

11

Table of Contents
Statement of Assets and Liabilities
June 30, 2012		     

(Unaudited)

  

ASSETS

     

Investments in securities, at Fair Value (cost $38,196,151)

      $ 42,441,584   

Investments in affiliated securities, at Fair Value (cost $9)

        9   

Short-term affiliated investments (at amortized cost)

        1,532,601   

Restricted cash

        144,000   

Receivable for investments sold

        212,229   

Income receivables

        35,235   

Variation margin receivable

        18,210   

Other assets

        1,779   

Total Assets

        44,385,647   

LIABILITIES

     

Payable for investments purchased

        32,862   

Payable for fund shares redeemed

        14,882   

Payable to GEAM

        33,551   

Accrued other expenses

        95,614   

Total Liabilities

        176,909   

NET ASSETS

      $ 44,208,738   

NET ASSETS CONSIST OF:

     

Capital paid in

        38,136,189   

Distribution in excess of net investment income

        (58,754 ) 

Accumulated net realized gain

        1,874,481   

Net unrealized appreciation on:

     

Investments

        4,245,433   

Futures

        11,389   

NET ASSETS

      $ 44,208,738   

Class 1

     

NET ASSETS

        44,208,738   

Shares outstanding( $.001 par value; unlimited shares authorized)

        3,223,881   

Net asset value per share

        $13.71   

 

The accompanying Notes are an integral part of these financial statements.

 

12

Table of Contents
Statement of Operations
For the period ending June 30, 2012		      (Unaudited)  

INVESTMENT INCOME

     

Income:

     

Dividend

      $ 247,845   

Interest

        —   

Interest from affiliated investments

        621   

Less: Foreign taxes withheld

        —   

Total Income

        248,466   

Expenses

     

Advisory and administration fees

        225,326   

Distribution fees

     

Class 4*

        26   

Director’s fees

        984   

Custody and accounting expenses

        65,980   

Professional fees

        14,534   

Other expenses

        15,237   

Total expenses before waiver and reimbursement

        322,087   

Less: Expenses waived or borne by the adviser

        (1,383 ) 

Less: Expenses reimbursed by the adviser

        (13,485 ) 

Net expenses

        307,219   

Net investment loss

        (58,753 ) 

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

     

Realized gain on:

     

Investments

        3,230,826   

Futures

        8,845   

Increase (decrease) in unrealized appreciation/depreciation on:

     

Investments

        (26,338 ) 

Futures

        (13,821 ) 

Net realized and unrealized gain on investments

        3,199,512   

Net increase in net assets resulting from operations

      $ 3,140,759   

 

*   Share Class 4 was closed effective June 29, 2012.

 

The accompanying Notes are an integral part of these financial statements.

 

13

Table of Contents
Statements of Changes in Net Assets          
       

Six Months Ended

June 30,

2012*

      Year Ended
December 31,
2011		  

INCREASE (DECREASE) IN NET ASSETS

        

Operations:

        

Net investment loss

      $ (58,753 )     $ (37,987 ) 

Net realized gain on investments, futures and foreign currency transactions

        3,239,671         7,231,408   

Net increase (decrease) in unrealized appreciation/depreciation on investments and futures

        (40,159 )       (5,304,670 ) 

Net increase from operations

        3,140,759         1,888,751   

Distributions to shareholders from :

        

Net investment income

        

Class 1

        —         (120 ) 

Class 4 **

        —         —   

Total distributions

        —         (120 ) 

Increase in net assets from operations and distributions

        3,140,759         1,888,631   

Share transactions :

        

Proceeds from sale of shares

        

Class 1

        266,371         1,756,337   

Class 4 **

        —         —   

Value of distributions reinvested

        

Class 1

        —         120   

Class 4 **

        —         —   

Cost of shares redeemed

        

Class 1

        (6,052,390 )       (12,317,178 ) 

Class 4 **

        (11,353 )       —   

Net decrease from share transactions

        (5,797,372 )       (10,560,721 ) 

Total decrease in net assets

        (2,656,613 )       (8,672,090 ) 

NET ASSETS

        

Beginning of period

        46,865,351         55,537,441   

End of period

      $ 44,208,738       $ 46,865,351   

Distribution in excess of net investment income, end of period

     $ (58,754 )     $ (1 ) 

CHANGES IN FUND SHARES

        

Class 1

        

Shares sold

        19,273         139,662   

Issued for distributions reinvested

        —         10   

Shares redeemed

        (440,482 )       (949,935 ) 

Net Decrease in Fund Shares

        (421,209 )       (810,263 ) 

Class 4 **

        

Shares sold

        —         —   

Issued for distributions reinvested

        —         —   

Shares redeemed

        (838 )       —   

Net Decrease in Fund Shares

        (838 )       —   

 

**   Share Class 4 was closed effective June 29, 2012
*   (Unaudited)

 

The accompanying Notes are an integral part of these financial statements.

 

14

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

1. Organization of the Company

GE Investments Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is composed of thirteen investment portfolios (collectively the “Funds”), although only the following ten are currently being offered: U.S. Equity Fund, S&P 500 Index Fund, Premier Growth Equity Fund, Core Value Equity Fund, Mid-Cap Equity Fund, Small-Cap Equity Fund (the “Fund”), Total Return Fund, Income Fund, Money Market Fund and Real Estate Securities Fund.

Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts. GE Asset Management Incorporated (“GEAM”) is the investment adviser and administrator of each of the Funds.

The Company offers one share class (Class 1) of the Fund as investment options for variable life insurance and variable annuity contracts. Class 4 shares were closed on June 29, 2012.

 

2. Summary of Significant Accounting Policies

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

The following summarizes the significant accounting policies of the Company:

Securities Valuation and Transactions. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.

The Fund’s income, expenses (other than distribution fees) and realized and unrealized gains and losses are allocated

proportionally each day among the share classes based upon the relative net assets of each class.

Derivatives The Fund is subject to equity price risk in the normal course of pursuing its investment objective. The Fund may enter into derivative transactions to gain market exposure for residual and accumulating cash positions.

Futures Contracts A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The Fund invested in futures for a variety of portfolio management purposes such as hedging against the effects of changes in the value of portfolio securities due to anticipated changes in market conditions, gaining market exposure for accumulating and residual cash positions, or when the transactions are economically appropriate to the reduction of risks inherent in the management of the Fund. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument or to hedge other Fund investments. The Fund will not enter into a transaction involving futures for speculative purposes. With futures contracts, there is minimal counterparty credit risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. The Fund’s risks in using these contracts include changes in the value of the underlying instruments, non- performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.

Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Fund each day, depending on the daily fluctuation in the fair value of the underlying security. The Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Fund recognizes a realized gain or loss upon the expiration or closing of a futures contract.

Investment Income Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign

 

 

15

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

corporate actions which are recorded as soon after ex-dividend date as such information becomes available. Interest income is recorded on the accrual basis.

Expenses Fund specific expenses are allocated to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Certain class specific expenses (such as distribution fees) are allocated to the class that incurs such expense. Expenses of the Fund are generally paid directly by the Fund however, expenses may be paid by GEAM and reimbursed by the Fund.

Federal Income Taxes The Fund intends to comply with all sections of the Internal Revenue Code applicable to regulated investment companies including the distribution of substantially all of its taxable net investment income and net realized capital gains to its shareholders. Therefore, no provision for federal income tax has been made. The Fund is treated as a separate taxpayer for federal income tax purposes.

 

3. Securities Valuation

The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.

Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:

Level 1 — Quoted prices for identical investments in active markets.

 

Level 2 — Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 — Significant inputs to the valuation model are unobservable.

Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.

Fair Value Measurement The following section describes the valuation methodologies the Fund uses to measure different financial investments at fair value.

The Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price, Level 1 securities primarily include publicly-traded equity securities. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances the Fund classifies the investment securities in Level 2.

Short-term investments of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.

The Fund uses the net asset value per unit for collective funds (i.e., GEI Investment Fund). The Fund classifies the investment security in Level 2.

If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using

procedures approved by the Fund’s Board of Directors that are designed to establish its “fair” value. These securities

 

 

16

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

are typically classified in Level 3. Those procedures require that the fair value of a security be established by a valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of the Fund in the appropriate circumstances.

Fair value determinations generally are used for securities whose value is affected by a significant event that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of the Fund’s NAV.

The value established for such a portfolio security may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance

that the Fund could sell a portfolio security for the value established for it at any time and it is possible that the Fund would incur a loss because a portfolio security is sold at a discount to its established value.

Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps, and written options contracts, which are valued based on fair value as discussed above.

The Fund uses closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the counter markets. Derivative assets and liabilities included in Level 2 primarily represent interest rate swaps, cross-currency swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

 

The following tables present the Fund’s investments measured at fair value on a recurring basis at June 30, 2012:

 

Investments

     Level 1         Level 2         Level 3         Total   

Investments in Securities†

            

Common Stock

    $ 42,441,584       $ —       $ —       $ 42,441,584   

Other Investments

      —         9         —         9   

Short-Term Investments

      1,532,601         —         —         1,532,601   

Total Investments in Securities

    $ 43,974,185       $ 9       $ —       $ 43,974,194   

Other Financial Instruments*

            

Futures Contracts — Unrealized Appreciation

    $ 11,389       $ —       $ —       $ 11,389   

†  See Schedule of Investments for Industry Classification

*  Other financial instruments include derivative instruments such as futures contracts. Amounts shown represent unrealized appreciation (depreciation), at period end.

     

      

There were no transfers between the fair value levels. Transfers between fair value levels are considered to occur at the beginning of the period.

 

17

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

 

4. Derivatives Transactions

Shown below are the derivative contracts entered into by the Fund, summarized by primary risk exposure as they

appear on the Statement of Assets and Liabilities, all of which are not accounted for as hedging instruments under FASB Accounting Standards Codification (“ASC”) No. 815 Derivatives and Hedging as of June 30, 2012.

 

    

Asset Derivatives
June 30, 2012

   

Liability Derivatives
June 30, 2012

  
Derivatives not accounted for as hedging instruments
under ASC 815		    Location in the
Statement of Assets
and Liabilities		    Fair
Value ($)		     Location in the
Statements of Assets and
Liabilities		    Fair
Value ($)		  

Equity Contracts

    Assets, Net Assets — Net
Unrealized Appreciation/
(Depreciation) on Futures		      11,389 *    Liabilities, Net Assets — Net
Unrealized Appreciation/
(Depreciation) on Futures		      —   

 

* Includes cumulative unrealized appreciation/(depreciation) of futures contracts as reported in the Schedule of Investments and as within the components of the net assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities.

Shown below are the effects of derivative instruments on the Fund’s Statement of Operation, summarized by primary risk exposure all of which are not accounted for as hedging instruments under ASC 815.

 

Derivatives not accounted for

as hedging instruments under

ASC 815

    Location in the Statements
of Operations		    Total Notional Amount of
Futures Contracts
Purchased/(Sold) ($)		    Realized Gain
or (Loss) on
Derivatives
Recognized in
Income ($)		     

Change in Unrealized
Appreciation/(Depreciation)

on Derivatives Recognized in
Income ($)

  

Equity Contracts

    Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures    6,290,039/(6,467,083)      8,845         (13,821 ) 

 

5. Line of Credit

The Company shares a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is with its custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.100% per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Funds generally is borne proportionally based upon net assets. In addition, the Company has a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal Funds Rate plus 50 basis points and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i) 33.33% of its total assets or (ii) 20% of its net assets. The credit facilities were not utilized by the Fund during the six-month period ended June 30, 2012.

 

6. Compensation and Fees Paid to Affiliates

GEAM, a registered investment adviser, was retained by the Company’s Board of Directors effective March 16, 2000 to act as investment adviser and administrator of the Fund. GEAM’s compensation for investment advisory and administrative

services is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.95%.

GEAM has a contractual arrangement with the Fund to waive a portion of the Fund’s management fee in the amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund, if any.

Distribution and Service (12b-1) Fees Prior to the closure of Class 4 shares on June 29, 2012, the Company had adopted a Distribution and Service (12b-1) Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to Class 4 shares of the Fund. Under the Plan, the Fund could compensate GE Investment Distributors, Inc. (“GEID”), a wholly-owned subsidiary of GEAM and the Fund’s principal distributor, for certain sales services provided by GEID or other broker dealers and investor services provided by GEID or other service providers relating to the Fund’s Class 4 shares, including services to owners or prospective owners of variable contracts issued by insurance companies that offered such share class as an investment option. The amount of compensation paid under the Plan by the Fund’s Class 4 shares was not to exceed 0.45% of the average daily net assets of the Fund attributable to such share class.

 

 

18

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

Directors’ Compensation The Fund pays no compensation to its directors who are officers or employees of GEAM or its affiliates. Directors who are not such officers or employees also serve in a similar capacity for other funds advised by GEAM. Compensation paid to non-interested Directors are reflected on the Statement of Operations. These fees are allocated pro rata across all of the mutual fund platforms and share classes served by the Directors, including the Fund, and are based upon the relative net assets of each fund within such platforms.

 

7. Sub-advisory Fees

Pursuant to investment sub-advisory agreements with GEAM, the assets of the Small-Cap Equity Fund are allocated to and managed by each of the following sub-advisers: (i) Palisade Capital Management, L.L.C.; (ii) Champlain Investment Partners, LLC; (iii) GlobeFlex Capital, LP; (iv) Kennedy Capital Management, Inc. and (v) SouthernSun Asset Management, LLC. GEAM is responsible for allocating the Fund’s assets among the sub-advisers in its discretion (Allocated Assets), and for managing the Fund’s cash position, while each sub-adviser is responsible for the day-to-day management of their portion of the Allocated Assets, under the general supervision and oversight of GEAM and the Board.

For their services, GEAM pays each sub-adviser an investment sub-advisory fee, which is calculated as a percentage of the average daily net assets of the respective Allocated Assets that it manages.

8. Investment Transactions

Purchases and Sales of Securities The cost of purchases and the proceeds from sales of investments, other than short-term securities, for the six-month period ended June 30, 2012 were as follows:

 

Non-U.S. Government Securities
Purchases   Sales

$7,904,738

   $13,418,721

 

9. Income Taxes

The Fund is subject to ASC 740, Income Taxes. ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to the Fund’s net assets required under ASC 740. The Fund’s 2008, 2009, 2010 and 2011 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities.

 

 

At June 30, 2012, information on the tax cost of investments was as follows:

 

     Gross Tax    
Cost of Investments
For Tax Purposes		    Appreciation    Depreciation  

Net Tax

Appreciation

$40,401,784    $6,537,068    $(2,964,658)   $3,572,410

 

As of December 31, 2011, the Fund has capital loss carryovers as indicated below. Capital loss carryovers are available to offset future realized capital gain to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that gains so offset will not be distributed to shareholders because they would be taxable as ordinary income.

 

Amount     
Short-Term   Long-Term   Expires
$666,956   $—   12/31/2017

These amounts will be available to offset future taxable capital gains. Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

 

 

19

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

During the year ended December 31, 2011, the Fund utilized $7,120,864 of prior year capital loss carryovers.

Any qualified late-year loss is deemed to arise on the first day of the Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, the Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.

The Fund did not defer any such losses for the year ended December 31, 2011.

The tax composition of distributions paid during the years ended December 31, 2011 and December 31, 2010 were as follows:

 

     Ordinary
Income		   Long-Term
Capital
Gains		   Total

2011

   $     120   $—   $     120

2010

   86,511   —   86,511

Distributions to Shareholders The Fund declares and pays any dividends from net investment income annually. The Fund declares and pays any net realized capital gains in excess of capital loss carryforwards distributions annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally accepted

accounting principles. These differences include (but are not limited to) futures, distributions from Real Estate Investment Trusts (REITS) and losses deferred due to wash sale transactions. Reclassifications due to permanent book/tax differences are made to the Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or the net asset value of the Fund. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.

The reclassifications for the year ended December 31, 2011 were as follows:

 

Undistributed
Net Investment
Income		   Accumulated
Net Realized
Gain (Loss)		   Capital
Paid In
$31,156   $2,038   $(33,194)

 

10. Subsequent Events

Subsequent events after the balance sheet date through the date the financial statements were issued have been evaluated in the preparation of the financial statements. As of August 3, 2012, the assets of the Mid-Cap Equity Fund and the Money Market Fund were liquidated. These funds ceased operations and are no longer offered for investment.

 

 

20

Table of Contents
Additional Information    (Unaudited)

 

Information about Directors and Executive Officers:

The business and affairs of the Funds are managed under the direction of the Funds’ Board of Directors. Information pertaining to the Directors and officers of the Funds is set forth below.

Interested Directors and Executive Officers

 

 

Michael J. Cosgrove

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    63

Position(s) Held with Fund    Chairman of the Board and President

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    President of Mutual Funds and Global Investment Programs of GEAM since November 2011; President and Chief Executive Officer – Mutual Funds and Intermediary Business of GEAM from March 2007 to November 2011; Executive Vice President of GEAM from February 1997 to March 2007; and Executive Vice President-Mutual Funds of GEAM from March 1993 to March 2007. Also serves as Treasurer of GE Foundation since 1988.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Chairman of the Board and President of GE Institutional Funds since 1997; Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since 1988; Director of GEAM since 1988; Trustee of Fordham University from 2002 to June 30, 2010 and since July 2011; Director of GE Investments Distributors, Inc since June 2011; Director of Skin Cancer Foundation since August 2010; Member of the Board of Governors for the Investment Company Institute since October 2006; Director, GE Asset Management (Ireland) Limited, since February 1999, GE Asset Management Funds Plc since 1998, GE Asset Management Canada Company since 1998, GE Asset Management Limited since 1998; Trustee of General Electric Pension Trust since 1988; and Chairman of the Board and President of GE Funds from 1993 to February 2011.

 

 

Matthew J. Simpson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    51

Position(s) Held with Fund    Director and Executive Vice President

Term of Office and Length of Time Served    Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 years    Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Savings & Security Funds since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since July 2007; Trustee and Executive Vice President of GE Institutional Funds since July 2007; Director of GEAM since July 2007; and Trustee and Executive Vice President of GE Funds from July 2007 to February 2011.

 

21

Table of Contents
Additional Information    (Unaudited)

 

 

Joon Won Choe

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    42

Position(s) Held with Fund    Vice President & Secretary

Term of Office and Length of Time Served    Until successor is elected and qualified – Vice President and Secretary – 1 year

Principal Occupation(s) During Past 5 years    Senior Vice President and Deputy General Counsel at GEAM since March 2011; Vice President and Secretary of GE Institutional Funds since September 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds since September 2010; Senior Vice President and Associate General Counsel at GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010 and Vice President and Secretary of GE Funds from September 2010 to February 2011.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Robert Herlihy

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    44

Position(s) Held with Fund    Chief Compliance Officer

Term of Office and Length of Time Served    Until successor is elected and qualified – 6 years

Principal Occupation(s) During Past 5 years    Chief Compliance Officer of GEAM, GE Institutional Funds, Elfun Funds, and GE Savings & Security Funds since July 2005; Chief Compliance Officer of GE Funds from July 2005 to February 2011 and Manager of Fund Administration at GEAM from 2002-2005.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Arthur A. Jensen

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    45

Position(s) Held with Fund    Treasurer

Term of Office and Length of Time Served    Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years    Treasurer of GE Institutional Funds, Elfun Funds and GE Savings & Security Funds since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

22

Table of Contents
Additional Information    (Unaudited)

 

 

 

Jeanne M. LaPorta

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    46

Position(s) Held with Fund    Vice President

Term of Office and Length of Time Served     Until successor is elected and qualified – 8 years

Principal Occupation(s) During Past 5 Years    Senior Vice President and Commercial Administrative Officer of GEAM since April 2010; Vice President of GE Institutional Funds since July 2003; Vice President of Elfun Funds and GE Savings & Security Funds since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

Non-Interested Directors

 

 

John R. Costantino

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    66

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    General Partner, NGN Capital LLC since 2006; Managing Director, Vice President of Walden Capital Management since 1996.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since 1997; Trustee of Fordham University from 1989 to 1995 and from 2001 to 2007 and Trustee Emeritus since 2007; Trustee of Neuroscience Research Institute since 1986; Trustee of GE Funds from 1993 to February 2011; Director of Artes Medical from 2006-2008 and Trustee of Gregorian University Foundation from 1992-2007.

 

23

Table of Contents
Additional Information    (Unaudited)

 

 

 

R. Sheldon Johnson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    65

Positions(s) Held with Fund    Director

Term of office and Length of Time served    Unit Successor is elected and qualified – 1 year.

Principal Occupation(s) During Past 5 years    Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. from 2002 to 2006 and Managing Director at Morgan Stanley & Co., Inc. from 1988 to 2006.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since April 2011 and Trustee of St. Lawrence University since 2003.

 

 

Donna M. Rapaccioli

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    49

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – Less than 1 year

Principal Occupation(s) During Past 5 Years    Dean of the Gabelli School of Business since 2007 and Accounting professor since 1987 at Fordham University.

Number of Portfolios in Fund Complex Overseen by Officer    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since January 2012 and Trustee of Emmanuel College since 2010.

 

 

The Statement of Additional Information for the Funds includes additional information about the Directors and Officers and is available, without charge, upon request by calling 1-800-242-0134.

 

24

Table of Contents
Investment Team    (Unaudited)

 

Investment Adviser and Administrator

GE Asset Management Incorporated

Board of Directors

Michael J. Cosgrove, Chairman

John R. Costantino

R. Sheldon Johnson

Donna M. Rapaccioli

Matthew J. Simpson

Secretary

Joon Won Choe

Assistant Secretary

Michelle Matzelle

Treasurer

Arthur A. Jensen

Assistant Treasurer

Casey Yantosca

Distributor

GE Investment Distributors, Inc.

Member FINRA and SIPC

 

 

Custodian

State Street Bank & Trust Company

Officers of the Investment Adviser

Dmitri Stockton, President and Chief Executive Officer

Cheryl H. Beacock, Senior Vice President, Human Resources

George A. Bicher, Chief Risk Officer

Paul M. Colonna, President and Chief Investment Officer – Public Investments

Michael J. Cosgrove, President of Mutual Funds and Global Investment Programs

Gregory B. Hartch, Senior Vice President – Strategy and Business Development Leader

Ralph R. Layman, Executive Vice President and Chief Investment Officer Emeritus Public Equities

Maureen B. Mitchell, President of Global Sales and Marketing

Steven M. Rullo, Senior Vice President – Services and Technology

Matthew J. Simpson, Executive Vice President, General Counsel and Secretary

Donald W. Torey, President and Chief Investment Officer – Alternative Investments

David Wiederecht, President and Chief Investment Officer – Investment Solutions

Jessica Holscott, Executive Vice President, Chief Financial Officer*

 
* Effective August 1, 2012, Ms. Holcott replaced Tracie A. Winbigler as Executive Vice President and Chief Financial Officer.

 

At GE Asset Management, we’re dedicated to providing the investment options you’ll need to tailor your financial portfolio to every stage of your life. Each member of the GE Family of Funds is managed according to the same principles of integrity and quality that have guided GE over the past century, and have made it the world-class company that it is today. Each fund draws strength from a heritage of investment management experience that spans more than 80 years. Whether you’re creating a new investment portfolio or adding to an established one, the GE Family of Funds offers an array of professionally managed investment options that will help you meet a lifetime of financial needs.

 

25

Table of Contents

Investment Adviser

GE Asset Management Incorporated

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

Distributor

GE Investment Distributors, Inc.

member FINRA and SIPC

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

 

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-493-3042; (ii) on the Fund’s website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC—information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov.

 

LOGO

Table of Contents
 

GE Investments Funds, Inc.

Income Fund

Semi–Annual Report

June 30, 2012

 

LOGO

Table of Contents

GE Investments Funds, Inc.

Income Fund    Contents

 

Fund Information

     1   

Understanding Your Fund’s Expenses

      2   

Schedule of Investments

     3   

Notes to Schedule of Investments

     10   

Financial Statements

   

Financial Highlights

      11   

Statement of Assets and Liabilities

      12   

Statement of Operations

      13   

Statements of Changes in Net Assets

      14   

Notes to Financial Statements

      15   

Additional Information

     22   

Investment Team

     26   

 

This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.

Table of Contents
Income Fund    (Unaudited)

Fund Information

 

Notes to Performance

Total return performance shown in this report for the GE Investments Income Fund (the “Fund”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call 800-493-3042 or visit the Fund’s website at http://www.geam.com for the most recent month-end performance data.

An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.

Investment Profile

A mutual fund designed for investors who seek maximum income consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in debt securities.

 

Sector Allocation

as a % of Fair Value of $54,936 (in thousands) on June 30, 2012(a)(b)

 

 

 

LOGO

Quality Ratings

as of June 30, 2012 (as a % of Fair Value) (a) (b)

 

 

Moody’s / S&P Rating *

     
 		 Percentage of
Fair Value		   
  

Aaa / AAA

      24.64%   

Aa / AA

      45.43%   

A / A

      10.58%   

Baa / BBB

      13.38%   

Ba / BB and lower

      5.73%   

NR / Other

      0.24%   

Total

      100.00%   
 

 

(a) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.
(b) Fair value basis is inclusive of the short-term investment in the GE Institutional Money Market Fund.

 

* Moody’s Investors Services Inc and Standard & Poor’s are nationally recognized statistical rating organizations.

GE Investment Distributors, Inc., Member of FINRA & SIPC, is the principal underwriter and distributor of the GE Investments Funds, Inc. and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Fund.

 

1

Table of Contents
Income Fund    (Unaudited)

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in the fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2012.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses Paid During Period” to estimate the expenses paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.

 

January 1, 2012 – June 30, 2012

 

        Account value at the
beginning of the period  ($)		        Account value at the
end of the period ($)		       

Expenses paid

during the period ($)*

  

Actual Fund Return*

        1,000.00           1,035.20           3.90   

Hypothetical 5% Return (2.5% for the period)

        1,000.00           1,021.03           3.87   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.77% (for the period January 1, 2012—June 30, 2012), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

2

Table of Contents

Income Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

Income Fund

 

          Principal
Amount		      Fair Value       

Bonds and Notes — 87.8%†

U.S. Treasuries — 13.5%

  

      

U.S. Treasury Bonds

         

3.00%

   

05/15/42

    $ 1,017,400       $ 1,065,568      

3.13%

   

02/15/42

      2,692,400         2,891,805       (f)

U.S. Treasury Notes

         

0.32%

   

03/31/14

      220,600         220,341       (c,f)

0.72%

   

05/31/17

      838,500         834,635       (c)

1.75%

   

05/15/22

      1,580,500         1,593,342      
             6,605,691      

Agency Mortgage Backed — 35.0%

  

   

Federal Home Loan Mortgage Corp.

         

2.38%

   

01/13/22

      282,000         289,404      

4.50%

   

06/01/33 - 02/01/35

      21,650         23,178       (f)

5.00%

   

07/01/35 - 06/01/41

      404,685         448,739       (f)

5.50%

   

05/01/20 - 01/01/38

      213,451         237,471       (f)

6.00%

   

04/01/17 - 11/01/37

      487,812         544,732       (f)

6.50%

   

02/01/29

      241         275       (f)

7.00%

   

10/01/16 - 08/01/36

      66,222         78,157       (f)

7.50%

   

09/01/12 - 09/01/33

      10,098         12,049       (f)

8.00%

   

11/01/30

      14,972         18,209       (f)

8.25%

   

06/01/26

      60,000         90,991       (f,h)

8.50%

   

04/01/30 - 05/01/30

      16,390         20,551       (f)

Federal National Mortgage Assoc.

         

2.72%

   

04/01/37

      1,149         1,198       (g)

2.89%

   

03/01/37

      1,847         1,873       (g)

4.00%

   

05/01/19 - 05/01/42

      3,118,406         3,332,590       (f)

4.50%

   

05/01/18 - 04/01/41

      2,184,045         2,350,457       (f)

5.00%

   

03/01/34 - 06/01/41

      655,336         727,718       (f)

5.50%

   

12/01/13 - 01/01/39

      1,121,918         1,232,608       (f)

6.00%

   

06/01/14 - 07/01/35

      995,964         1,119,108       (f)

6.50%

   

07/01/17 - 08/01/34

      133,045         150,602       (f)

7.00%

   

03/01/15 - 02/01/34

      53,383         60,871       (f)

7.50%

   

08/01/13 - 03/01/34

      79,068         92,605       (f)

8.00%

   

07/01/15 - 11/01/33

      55,593         67,208       (f)

8.50%

   

05/01/31

      3,572         4,474       (f)

9.00%

   

12/01/17 - 12/01/22

      6,186         7,136       (f)

3.50%

   

TBA

      3,035,000         3,190,070       (b)

4.00%

   

TBA

      490,000         521,467       (b)

5.00%

   

TBA

      547,000         589,563       (b)

Government National Mortgage Assoc.

         

1.63%

   

02/20/23 - 12/20/24

      9,841         10,203       (f,g)

2.38%

   

02/20/26

      703         729       (f,g)

4.50%

   

08/15/33 - 03/20/41

      700,539         771,343       (f)

6.00%

   

04/15/27 - 09/15/36

      254,916         290,538       (f)

6.50%

   

04/15/19 - 08/15/36

      206,788         239,740       (f)

7.00%

   

01/15/28 - 10/15/36

      118,932         141,976       (f)

7.50%

   

11/15/31 - 10/15/33

      4,654         5,599       (f)

8.00%

   

12/15/29

      2,536         2,819       (f)

8.50%

   

10/15/17

      7,110         7,680       (f)

9.00%

   

11/15/16 - 12/15/21

      20,543         22,900       (f)
          Principal
Amount		      Fair Value       

4.00%

   

TBA

    $ 395,000       $ 431,352       (b)
             17,138,183      

Agency Collateralized Mortgage Obligations — 1.2%

Federal Home Loan Mortgage Corp.

         

0.08%

   

09/25/43

      991,764         8,004       (e,f,g)

Federal Home Loan Mortgage Corp. REMIC

         

3.50%

   

03/15/27 - 11/15/30

      559,954         70,518       (e,k)

4.50%

   

02/15/18 - 03/15/18

      90,857         4,559       (e,f,k)

5.00%

   

05/15/17 - 10/15/18

      92,138         4,140       (e,f,k)

5.50%

   

06/15/33

      113,782         16,298       (e,f,k)

6.36%

   

08/15/25

      180,971         26,090       (e,g)

7.50%

   

07/15/27

      6,194         1,365       (e,f,k)

Federal Home Loan Mortgage Corp. STRIPS

         

3.33%

   

08/01/27

      805         708       (c,d,f)

8.00%

   

02/01/23 - 07/01/24

      2,901         593       (e,f,k)

Federal National Mortgage Assoc. REMIC

         

1.19%

   

12/25/42

      58,194         1,634       (e,f,g)

2.53%

   

12/25/22

      180         167       (c,d,f)

3.50%

   

05/25/27

      137,716         17,557       (e,k)

4.50%

   

05/25/18

      3,614         41       (e,f,k)

5.00%

   

08/25/17 - 09/25/40

      343,480         37,573       (e,f,k)

5.75%

   

07/25/38

      90,344         11,990       (e,g)

7.00%

   

09/25/20

      426         470       (f)

7.25%

   

05/25/18

      215,093         24,280       (e,f,g)

8.00%

   

05/25/22

      4         103       (e,f,k)

Federal National Mortgage Assoc. STRIPS

         

1.49%

   

12/01/34

      117,442         112,097       (c,d,f)

4.50%

   

08/01/35 - 01/01/36

      165,596         19,207       (e,f,k)

5.00%

   

03/25/38 - 05/25/38

      103,507         13,901       (e,f,k)

5.50%

   

12/01/33

      30,010         4,116       (e,f,k)

6.00%

   

01/01/35

      42,268         7,380       (e,f,k)

7.50%

   

11/01/23

      17,629         3,751       (e,f,k)

8.00%

   

08/01/23 - 07/01/24

      6,093         1,307       (e,f,k)

8.50%

   

07/25/22

      264         46       (e,f,k)

9.00%

   

05/25/22

      184         32       (e,f,k)

Government National Mortgage Assoc.

         

4.50%

   

10/20/37 - 08/16/39

      380,920         43,716       (e,k)

5.00%

   

12/20/35 - 09/20/38

      432,525         43,751       (e,f,k)

6.41%

   

06/20/40

      694,633         107,594       (e,g)
           582,988      

Asset Backed — 0.7%

Bear Stearns Asset Backed
Securities Trust

         

3.46%

   

02/25/36

      229,362         223,770       (c,f,g)

Chase Funding Mortgage Loan
Asset-Backed Certificates

         

2.81%

   

02/25/33

      18,289         15,995       (c,f,g)

Citicorp Residential Mortgage Securities Inc.

         

6.04%

   

09/25/36

      60,000         44,155       (f)

Mid-State Trust

         

7.54%

   

07/01/35

      1,609         1,633      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

3

Table of Contents

Income Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

          Principal
Amount		      Fair Value       

Popular ABS Mortgage Pass-Through Trust

         

5.30%

   

11/25/35

    $ 50,000       $ 29,553       (f)

Residential Asset Mortgage Products Inc.

         

5.04%

   

06/25/32

      19,766         15,926       (c,f,g)

Residential Asset Securities Corp.

         

14.91%

   

07/25/32

      3,339         2,037       (c,f,g)
           333,069      

Corporate Notes — 31.5%

  

   

ABB Finance USA Inc.

         

1.63%

   

05/08/17

      54,000         54,261      

2.88%

   

05/08/22

      54,000         54,624      

AES Panama S.A.

         

6.35%

   

12/21/16

      40,000         43,000       (a,f)

Agilent Technologies Inc.

         

5.50%

   

09/14/15

      59,000         66,025       (f)

Allergan Inc.

         

3.38%

   

09/15/20

      49,000         52,120       (f)

ALROSA Finance S.A.

         

7.75%

   

11/03/20

      200,000         209,454       (a)

American Axle & Manufacturing Inc.

         

7.88%

   

03/01/17

      52,000         53,690       (f)

American Express Credit Corp.

         

1.75%

   

06/12/15

      79,000         79,897      

American International Group Inc.

         

4.88%

   

06/01/22

      40,000         40,929      

Amgen Inc.

         

2.13%

   

05/15/17

      27,000         27,317      

2.30%

   

06/15/16

      42,000         43,166       (f)

2.50%

   

11/15/16

      24,000         24,936       (f)

3.63%

   

05/15/22

      27,000         27,920      

5.38%

   

05/15/43

      27,000         29,207      

5.65%

   

06/15/42

      27,000         30,130       (f)

Amphenol Corp.

         

4.00%

   

02/01/22

      111,000         113,080       (f)

Amsted Industries Inc.

         

8.13%

   

03/15/18

      44,000         46,530       (a,f)

Anadarko Petroleum Corp.

         

5.95%

   

09/15/16

      48,000         54,469       (f)

6.38%

   

09/15/17

      22,000         25,556       (f)

Anheuser-Busch InBev Worldwide Inc.

         

3.63%

   

04/15/15

      96,000         102,793       (f)

5.38%

   

11/15/14

      64,000         70,555       (f)

Apache Corp.

         

4.75%

   

04/15/43

      56,000         62,203       (f)

Arch Coal Inc.

         

7.00%

   

06/15/19

      52,000         43,940      

Archer-Daniels-Midland Co.

         

5.77%

   

03/01/41

      96,000         122,087       (f)

Arizona Public Service Co.

         

6.25%

   

08/01/16

      122,000         143,113       (f)

AT&T Inc.

         

0.90%

   

02/13/15

      112,000         111,916       (c,f)

1.60%

   

02/15/17

      56,000         56,072       (f)

2.95%

   

05/15/16

      48,000         50,840       (f)

5.55%

   

08/15/41

      39,000         46,486       (f)

5.60%

   

05/15/18

      10,000         11,969      

6.40%

   

05/15/38

      84,000         105,725       (f)
          Principal
Amount		      Fair Value       

Banco Mercantil del Norte S.A.

         

6.86%

   

10/13/21

    $ 50,000       $ 51,750       (a,f,g)

Bank of America Corp.

         

3.88%

   

03/22/17

      83,000         84,552       (f)

5.63%

   

10/14/16

      30,000         31,883       (f)

5.70%

   

01/24/22

      142,000         156,384       (f)

5.75%

   

12/01/17

      55,000         58,696       (f)

5.88%

   

02/07/42

      28,000         30,671       (f)

6.50%

   

08/01/16

      35,000         38,435       (f)

Barclays Bank PLC

         

2.25%

   

05/10/17

      200,000         199,988       (a)

Baxter International Inc.

         

1.85%

   

01/15/17

      68,000         69,485       (f)

Berkshire Hathaway Finance Corp.

         

1.60%

   

05/15/17

      54,000         54,376      

3.00%

   

05/15/22

      81,000         81,967      

Berkshire Hathaway Inc.

         

3.75%

   

08/15/21

      27,000         28,803      

BG Energy Capital PLC

         

4.00%

   

10/15/21

      57,000         60,822       (a,f)

BHP Billiton Finance USA Ltd.

         

1.63%

   

02/24/17

      79,000         79,543       (f)

Bombardier Inc.

         

7.75%

   

03/15/20

      52,000         57,850       (a,f)

Boston Properties LP (REIT)

         

3.85%

   

02/01/23

      53,000         53,498      

BP Capital Markets PLC

         

1.85%

   

05/05/17

      38,000         38,378      

2.25%

   

11/01/16

      86,000         88,569       (f)

3.25%

   

05/06/22

      82,000         84,902      

Broadcom Corp.

         

2.70%

   

11/01/18

      57,000         58,771       (f)

Calpine Corp.

         

7.25%

   

10/15/17

      16,000         17,200       (a,f)

Cameron International Corp.

         

1.60%

   

04/30/15

      27,000         27,019      

3.60%

   

04/30/22

      27,000         27,044      

Cardinal Health Inc.

         

1.90%

   

06/15/17

      81,000         81,607      

Cargill Inc.

         

5.20%

   

01/22/13

      162,000         165,869       (a,f)

6.00%

   

11/27/17

      63,000         74,933       (a,f)

Carolina Power & Light Co.

         

2.80%

   

05/15/22

      101,000         102,657      

Case New Holland Inc.

         

7.88%

   

12/01/17

      31,000         35,805       (f)

Caterpillar Inc.

         

1.50%

   

06/26/17

      60,000         60,083      

2.60%

   

06/26/22

      49,000         48,872      

CBS Corp.

         

1.95%

   

07/01/17

      25,000         24,975      

4.85%

   

07/01/42

      25,000         24,469      

CCO Holdings LLC

         

8.13%

   

04/30/20

      60,000         66,900       (f)

Central American Bank for Economic Integration

         

5.38%

   

09/24/14

      70,000         74,876       (a,f)

CenturyLink Inc.

         

5.80%

   

03/15/22

      31,000         30,861       (f)

7.65%

   

03/15/42

      32,000         31,058       (f)
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

4

Table of Contents

Income Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

          Principal
Amount		      Fair Value       

Cigna Corp.

         

2.75%

   

11/15/16

    $ 189,000       $ 194,721       (f)

5.38%

   

02/15/42

      57,000         60,648       (f)

Cincinnati Bell Inc.

         

8.25%

   

10/15/17

      72,000         74,880       (f)

Citigroup Inc.

         

4.45%

   

01/10/17

      112,000         117,403       (f)

5.00%

   

09/15/14

      133,000         136,334       (f)

5.88%

   

01/30/42

      42,000         45,871       (f)

CityCenter Holdings LLC

         

7.63%

   

01/15/16

      31,000         32,705       (f)

CNA Financial Corp.

         

5.88%

   

08/15/20

      56,000         61,581       (f)

Consolidated Edison Company of
New York Inc.

         

5.85%

   

04/01/18

      44,000         53,617       (f)

6.65%

   

04/01/19

      49,000         62,199       (f)

Corning Inc.

         

4.75%

   

03/15/42

      65,000         68,113       (f)

Corp Nacional del Cobre de Chile

         

3.75%

   

11/04/20

      100,000         104,288       (a,f)

5.63%

   

09/21/35

      14,000         16,371       (a,f)

Covidien International Finance S.A.

         

1.35%

   

05/29/15

      54,000         54,070      

3.20%

   

06/15/22

      54,000         55,672      

Crown Castle Towers LLC

         

4.88%

   

08/15/40

      100,000         108,572       (a,f)

6.11%

   

01/15/40

      66,000         76,403       (a,f)

CSX Corp.

         

4.25%

   

06/01/21

      55,000         60,067       (f)

CVS Caremark Corp.

         

3.25%

   

05/18/15

      35,000         36,841       (f)

5.75%

   

06/01/17

      66,000         77,945       (f)

DaVita Inc.

         

6.38%

   

11/01/18

      51,000         52,658       (f)

DDR Corp. (REIT)

         

4.63%

   

07/15/22

      35,000         34,542      

Deere & Co.

         

2.60%

   

06/08/22

      53,000         52,907      

3.90%

   

06/09/42

      47,000         46,695      

Denbury Resources Inc.

         

6.38%

   

08/15/21

      45,000         46,800       (f)

8.25%

   

02/15/20

      40,000         43,800       (f)

DENTSPLY International Inc.

         

2.75%

   

08/15/16

      87,000         88,454       (f)

4.13%

   

08/15/21

      57,000         59,341       (f)

Devon Energy Corp.

         

1.88%

   

05/15/17

      54,000         54,009      

Diageo Capital PLC

         

1.50%

   

05/11/17

      81,000         81,298      

Diageo Investment Corp.

         

2.88%

   

05/11/22

      81,000         83,207      

4.25%

   

05/11/42

      22,000         23,282      

DIRECTV Holdings LLC

         

2.40%

   

03/15/17

      25,000         25,165      

3.80%

   

03/15/22

      14,000         14,158      

4.60%

   

02/15/21

      56,000         59,558       (f)

4.75%

   

10/01/14

      70,000         75,140       (f)

5.15%

   

03/15/42

      25,000         25,161      
          Principal
Amount		      Fair Value       

Dominion Resources Inc.

         

1.95%

   

08/15/16

    $ 40,000       $ 40,761       (f)

4.90%

   

08/01/41

      23,000         25,994       (f)

DPL Inc.

         

7.25%

   

10/15/21

      138,000         153,180       (a,f)

Duke Realty LP (REIT)

         

6.50%

   

01/15/18

      59,000         66,871       (f)

Eastman Chemical Co.

         

2.40%

   

06/01/17

      150,000         151,589      

Ecopetrol S.A.

         

7.63%

   

07/23/19

      10,000         12,600      

Empresa de Energia de Bogota S.A.

         

6.13%

   

11/10/21

      10,000         10,550       (a)

Energy Transfer Equity LP

         

7.50%

   

10/15/20

      39,000         42,803       (f)

Energy Transfer Partners LP

         

6.50%

   

02/01/42

      13,000         13,931      

6.70%

   

07/01/18

      41,000         47,029       (f)

European Investment Bank

         

0.73%

   

12/15/14

      100,000         100,343       (c,f)

4.88%

   

01/17/17

      200,000         230,143       (f)

Exelon Corp.

         

4.90%

   

06/15/15

      70,000         76,082       (f)

Express Scripts Holding Co.

         

2.65%

   

02/15/17

      95,000         96,650       (a,f)

3.13%

   

05/15/16

      84,000         87,458       (f)

3.90%

   

02/15/22

      28,000         29,022       (a,f)

4.75%

   

11/15/21

      28,000         30,984       (a,f)

6.13%

   

11/15/41

      43,000         52,253       (a,f)

Florida Power & Light Co.

         

4.13%

   

02/01/42

      51,000         53,397       (f)

Ford Motor Credit Company LLC

         

3.00%

   

06/12/17

      53,000         52,708      

Forest Oil Corp.

         

7.25%

   

06/15/19

      51,000         46,793       (f)

Fresenius Medical Care US Finance Inc.

         

5.75%

   

02/15/21

      30,000         31,238       (a,f)

Frontier Communications Corp.

         

7.13%

   

03/15/19

      52,000         52,520       (f)

Georgia Power Co.

         

4.30%

   

03/15/42

      27,000         28,125      

Goldman Sachs Capital I

         

6.35%

   

02/15/34

      49,000         46,347       (f)

Great Plains Energy Inc.

         

4.85%

   

06/01/21

      60,000         64,439       (f)

Hanesbrands Inc.

         

6.38%

   

12/15/20

      59,000         62,098       (f)

Hartford Financial Services Group Inc.

         

5.13%

   

04/15/22

      56,000         57,666       (f)

HCA Inc.

         

6.50%

   

02/15/20

      36,000         39,015       (f)

Heineken N.V.

         

3.40%

   

04/01/22

      112,000         114,708       (a,f)

Hewlett-Packard Co.

         

4.05%

   

09/15/22

      67,000         67,498      

Host Hotels & Resorts LP (REIT)

         

6.00%

   

11/01/20

      25,000         27,125       (f)

HSBC Finance Corp.

         

6.68%

   

01/15/21

      34,000         36,812       (f)
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

5

Table of Contents

Income Fund

 

Schedule of Investments   

June 30, 2012 (Unaudited)

 

          Principal
Amount		      Fair Value       

HSBC Holdings PLC

         

4.00%

   

03/30/22

    $ 56,000       $ 58,150       (f)

Hughes Satellite Systems Corp.

         

6.50%

   

06/15/19

      28,000         29,750       (f)

Ingles Markets Inc.

         

8.88%

   

05/15/17

      103,000         112,141       (f)

Inter-American Development Bank

         

1.38%

   

10/18/16

      86,000         87,959       (f)

Intergas Finance BV

         

6.38%

   

05/14/17

      100,000         108,558       (a,f)

John Deere Capital Corp.

         

2.25%

   

04/17/19

      56,000         57,238      

3.15%

   

10/15/21

      67,000         69,682       (f)

JPMorgan Chase & Co.

         

4.35%

   

08/15/21

      74,000         78,099       (f)

4.50%

   

01/24/22

      109,000         117,417      

Kinross Gold Corp.

         

6.88%

   

09/01/41

      17,000         17,252      

Koninklijke Philips Electronics N.V.

         

3.75%

   

03/15/22

      27,000         28,023       (f)

5.00%

   

03/15/42

      28,000         30,101       (f)

Korea Development Bank

         

3.25%

   

03/09/16

      100,000         103,226       (f)

Korea National Oil Corp.

         

2.88%

   

11/09/15

      100,000         101,635       (a,f)

Kraft Foods Group Inc.

         

1.63%

   

06/04/15

      53,000         53,561       (a)

2.25%

   

06/05/17

      53,000         54,266       (a)

5.00%

   

06/04/42

      64,000         67,736       (a)

Kreditanstalt fuer Wiederaufbau

         

3.50%

   

03/10/14

      44,000         46,188       (f)

4.50%

   

07/16/18

      85,000         99,628       (f)

Liberty Mutual Group Inc.

         

4.95%

   

05/01/22

      37,000         36,770       (a)

6.50%

   

05/01/42

      41,000         41,500       (a)

Linn Energy LLC

         

8.63%

   

04/15/20

      42,000         45,255       (f)

Lorillard Tobacco Co.

         

3.50%

   

08/04/16

      58,000         60,463       (f)

Lowe’s Companies Inc.

         

4.65%

   

04/15/42

      29,000         30,795      

Marathon Petroleum Corp.

         

6.50%

   

03/01/41

      27,000         30,684       (f)

McDonald’s Corp.

         

1.88%

   

05/29/19

      54,000         53,878      

MidAmerican Energy Holdings Co.

         

6.13%

   

04/01/36

      115,000         143,893       (f)

Molson Coors Brewing Co.

         

5.00%

   

05/01/42

      43,000         46,456      

Morgan Stanley

         

5.50%

   

07/28/21

      51,000         50,248       (f)

5.75%

   

01/25/21

      100,000         98,604       (f)

Mylan Inc.

         

7.88%

   

07/15/20

      70,000         78,488       (a,f)

National Agricultural Cooperative Federation

         

4.25%

   

01/28/16

      100,000         105,305       (a,f)

National JSC Naftogaz of Ukraine

         

9.50%

   

09/30/14

      100,000         95,875      
          Principal
Amount		      Fair Value       

Newfield Exploration Co.

         

5.63%

   

07/01/24

    $ 10,000       $ 10,225      

5.75%

   

01/30/22

      51,000         53,295       (f)

Newmont Mining Corp.

         

4.88%

   

03/15/42

      41,000         39,979      

News America Inc.

         

6.65%

   

11/15/37

      25,000         29,183       (f)

NextEra Energy Capital Holdings Inc.

         

2.60%

   

09/01/15

      131,000         134,590       (f)

Nisource Finance Corp.

         

3.85%

   

02/15/23

      60,000         59,942      

Nordea Bank AB

         

3.13%

   

03/20/17

      200,000         200,854       (a,f)

Occidental Petroleum Corp.

         

2.70%

   

02/15/23

      75,000         75,472      

Oglethorpe Power Corp.

         

5.38%

   

11/01/40

      32,000         37,559       (f)

Omnicom Group Inc.

         

3.63%

   

05/01/22

      71,000         72,143      

ONEOK Partners LP

         

6.13%

   

02/01/41

      64,000         72,165       (f)

Pacific Gas & Electric Co.

         

6.05%

   

03/01/34

      24,000         30,244       (f)

PacifiCorp

         

6.25%

   

10/15/37

      2,000         2,689      

PAETEC Holding Corp.

         

8.88%

   

06/30/17

      26,000         28,015       (f)

Peabody Energy Corp.

         

6.25%

   

11/15/21

      30,000         29,700       (a,f)

PepsiCo Inc.

         

2.75%

   

03/05/22

      74,000         74,689      

Petrobras International Finance Co.

         

2.88%

   

02/06/15

      22,000         22,330       (f)

3.50%

   

02/06/17

      84,000         86,225       (f)

3.88%

   

01/27/16

      25,000         25,811       (f)

Philip Morris International Inc.

         

2.50%

   

05/16/16

      60,000         62,957       (f)

Phillips 66

5.88%

   

05/01/42

      24,000         25,836       (a)

Pioneer Natural Resources Co.

3.95%

   

07/15/22

      50,000         50,121      

Power Sector Assets & Liabilities Management Corp.

         

7.39%

   

12/02/24

      100,000         129,000       (a,f)

Pride International Inc.

6.88%

   

08/15/20

      58,000         71,164       (f)

Prudential Financial Inc.

5.63%

   

05/12/41

      28,000         28,595       (f)

5.80%

   

11/16/41

      14,000         14,656      

Range Resources Corp.

5.75%

   

06/01/21

      51,000         53,295       (f)

Raytheon Co.

1.40%

   

12/15/14

      57,000         57,832       (f)

Rio Tinto Finance USA PLC

3.50%

   

03/22/22

      55,000         57,965       (f)

Roche Holdings Inc.

6.00%

   

03/01/19

      76,000         94,532       (a,f)

Rowan Companies Inc.

4.88%

   

06/01/22

      27,000         27,237      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

6

Table of Contents

Income Fund

 

Schedule of Investments   

June 30, 2012 (Unaudited)

 

          Principal
Amount		      Fair Value       

Russian Agricultural Bank OJSC Via RSHB Capital S.A.

         

6.00%

   

06/03/21

    $ 200,000       $ 196,876       (a,f,g)

Sempra Energy

2.30%

   

04/01/17

      110,000         112,733       (f)

Simon Property Group LP (REIT)

2.15%

   

09/15/17

      83,000         82,873       (f)

Symantec Corp.

2.75%

   

06/15/17

      75,000         75,337      

Target Corp.

4.00%

   

07/01/42

      50,000         49,251      

Texas Instruments Inc.

2.38%

   

05/16/16

      90,000         94,640       (f)

Textron Inc.

6.20%

   

03/15/15

      82,000         90,116       (f)

The ADT Corp.

2.25%

   

07/15/17

      35,000         35,164       (a)

3.50%

   

07/15/22

      50,000         50,168       (a)

4.88%

   

07/15/42

      50,000         48,980       (a)

The AES Corp.

8.00%

   

10/15/17

      6,000         6,825      

The Coca-Cola Co.

3.30%

   

09/01/21

      63,000         67,581       (f)

The Goldman Sachs Group Inc.

3.30%

   

05/03/15

      58,000         57,992      

5.75%

   

01/24/22

      106,000         111,894       (f)

The Potomac Edison Co.

5.35%

   

11/15/14

      95,000         103,391       (f)

Time Warner Cable Inc.

5.50%

   

09/01/41

      86,000         93,576       (f)

6.75%

   

07/01/18

      61,000         74,309       (f)

Time Warner Inc.

3.15%

   

07/15/15

      121,000         127,610       (f)

3.40%

   

06/15/22

      26,000         26,218      

4.90%

   

06/15/42

      19,000         19,278      

Total Capital International S.A.

         

1.55%

   

06/28/17

      125,000         125,293      

Toyota Motor Credit Corp.

1.75%

   

05/22/17

      80,000         80,648      

United Technologies Corp.

1.20%

   

06/01/15

      27,000         27,314      

1.80%

   

06/01/17

      27,000         27,573      

4.50%

   

06/01/42

      40,000         43,936      

Vail Resorts Inc.

6.50%

   

05/01/19

      80,000         84,000       (f)

Valero Energy Corp.

6.63%

   

06/15/37

      27,000         30,275      

Verizon Communications Inc.

2.00%

   

11/01/16

      140,000         143,267       (f)

Viacom Inc.

1.25%

   

02/27/15

      39,000         39,097       (f)

2.50%

   

12/15/16

      87,000         90,076       (f)

Visteon Corp.

6.75%

   

04/15/19

      53,000         51,543       (f)

Vivendi S.A.

3.45%

   

01/12/18

      84,000         82,258       (a)

Weatherford International Ltd.

  

   

4.50%

   

04/15/22

      46,000         47,146       (f)

5.95%

   

04/15/42

      42,000         44,180       (f)
          Principal
Amount		      Fair Value       

Wells Fargo & Co.

1.50%

   

07/01/15

    $ 75,000       $ 75,057      

Willis Group Holdings PLC

4.13%

   

03/15/16

      61,000         63,770       (f)

Woodside Finance Ltd.

4.50%

   

11/10/14

      95,000         100,493       (a,f)

Xstrata Finance Canada Ltd.

5.80%

   

11/15/16

      58,873         65,765       (a,f)
           15,464,396      

Non-Agency Collateralized Mortgage Obligations — 3.4%

  

   

Banc of America Merrill Lynch Commercial Mortgage Inc.

         

5.37%

   

09/10/47

      80,000         89,449       (f,g)

5.92%

   

02/10/51

      50,000         57,556       (f,g)

6.39%

   

02/10/51

      30,000         35,243       (f,g)

Bear Stearns Commercial Mortgage Securities

         

4.93%

   

02/13/42

      100,000         108,903       (f,g)

5.71%

   

04/12/38

      60,000         64,139       (f,g)

5.91%

   

06/11/40

      30,000         21,730       (f,g)

Citigroup Commercial Mortgage Trust

         

5.48%

   

10/15/49

      30,000         26,075       (f)

Commercial Mortgage Pass Through Certificates

         

4.98%

   

05/10/43

      30,000         32,786       (f,g)

Credit Suisse First Boston Mortgage Securities Corp.

         

5.32%

   

10/25/35

      71,892         1,572       (g)

Credit Suisse Mortgage Capital Certificates

         

5.60%

   

02/25/36

      25,805         720       (g)

DBUBS Mortgage Trust

         

5.73%

   

11/10/46

      50,000         38,428       (a,f,g)

Extended Stay America Trust

         

5.50%

   

11/05/27

      100,000         100,930       (a,f)

Greenwich Capital Commercial Funding Corp.

         

5.44%

   

03/10/39

      20,000         22,187      

GS Mortgage Securities Corp. II

         

3.00%

   

08/10/44

      60,000         63,255       (f)

3.55%

   

04/10/34

      100,000         103,374       (a)

JP Morgan Chase Commercial Mortgage Securities Corp.

         

4.27%

   

06/15/45

      50,000         51,051      

5.04%

   

03/15/46

      30,000         32,567       (f,g)

5.34%

   

08/12/37

      130,000         142,824       (f,g)

5.44%

   

06/12/47

      120,000         135,425       (f)

5.79%

   

02/12/51

      50,000         57,800       (f,g)

LB-UBS Commercial Mortgage Trust

         

5.16%

   

02/15/31

      70,000         77,978       (f)

MASTR Alternative Loans Trust

         

5.00%

   

08/25/18

      58,374         5,492       (e,f,k)

Merrill Lynch Mortgage Trust

         

5.85%

   

05/12/39

      70,000         44,900       (f,g)

Morgan Stanley Capital I Inc.

         

5.62%

   

12/12/49

      24,854         24,893       (f)

5.82%

   

06/11/42

      50,000         43,810       (f,g)

5.90%

   

10/15/42

      126,000         90,463       (f,g)
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

7

Table of Contents

Income Fund

 

Schedule of Investments   

June 30, 2012 (Unaudited)

 

          Principal
Amount		      Fair Value       

5.99%

   

08/12/41

    $ 30,000       $ 34,784       (g)

6.46%

   

01/11/43

      70,000         77,159       (f,g)

Residential Funding Mortgage Securities I Inc.

         

5.75%

   

01/25/36

      12,404         —       **

Wachovia Bank Commercial Mortgage Trust

         

5.47%

   

01/15/45

      70,000         75,599       (f,g)

Wells Fargo Mortgage Backed Securities Trust

         

5.50%

   

01/25/36

      27,155         —       **
           1,661,092      

Sovereign Bonds — 1.7%

  

   

Government of Argentina

         

2.50%

   

12/31/38

      8,242         2,658       (h)

8.28%

   

12/31/33

      5,737         3,628      

Government of Dominican Republic

         

7.50%

   

05/06/21

      100,000         106,500       (a,f)

Government of El Salvador

         

7.65%

   

06/15/35

      20,000         21,080       (a,f)

Government of Hungary

         

6.25%

   

01/29/20

      29,000         28,260      

7.63%

   

03/29/41

      12,000         11,730      

Government of Indonesia

         

3.75%

   

04/25/22

      27,579         27,510       (a)

Government of Lebanon

         

4.00%

   

12/31/17

      4,200         4,074      

5.15%

   

11/12/18

      11,000         10,863      

6.10%

   

10/04/22

      11,000         11,000      

Government of Mexico

         

4.75%

   

03/08/44

      34,000         36,635       (f)

5.75%

   

10/12/49

      10,000         11,375      

6.05%

   

01/11/40

      18,000         23,220       (f)

Government of Panama

         

6.70%

   

01/26/36

      56,000         75,600       (f)

Government of Peru

         

6.55%

   

03/14/37

      41,000         55,801       (f)

Government of Philippines

         

6.38%

   

01/15/32

      100,000         126,250      

Government of Poland

         

5.00%

   

03/23/22

      30,000         32,745      

6.38%

   

07/15/19

      7,000         8,245      

Government of Romania

         

6.75%

   

02/07/22

      20,000         20,850       (a,f)

Government of Turkey

         

5.63%

   

03/30/21

      100,000         109,125       (f)

6.88%

   

03/17/36

      10,000         11,740      

Government of Uruguay

         

6.88%

   

09/28/25

      27,038         35,555      

Government of Venezuela

         

10.75%

   

09/19/13

      33,000         33,990      

Government of Vietnam

         

1.56%

   

03/12/16

      4,174         3,785       (g)

Russian Foreign Bond - Eurobond

         

7.50%

   

03/31/30

      8,189         9,832       (h)
           822,051      
          Principal
Amount		      Fair Value      

Municipal Bonds and Notes — 0.8%

  

  

American Municipal Power Inc.

        

6.27%

   

02/15/50

    $ 25,000       $ 28,766      (f)

Municipal Electric Authority of Georgia

        

6.64%

   

04/01/57

      39,000         45,248      (f)

New Jersey State Turnpike Authority

        

7.10%

   

01/01/41

      30,000         42,296      (f)

7.41%

   

01/01/40

      110,000         160,342      (f)

New Jersey Transportation Trust Fund Authority

        

6.88%

   

12/15/39

      15,000         17,224     

South Carolina State Public Service Authority

        

6.45%

   

01/01/50

      30,000         42,409      (f)

State of California

        

5.70%

   

11/01/21

      40,000         45,540      (f)
           381,825     

FNMA — 0.0%*

  

  

Lehman TBA

        

5.50%**

   

TBA

      83,122         —      (b,j,l)

Total Bonds and Notes
(Cost $41,538,920)

         42,989,295     

Other Investments — 0.4%

  

             

GEI Investment Fund
(Cost $193,508)

         208,989      (i)

Total Investments in Securities
(Cost $41,732,428)

         43,198,284     

Short-Term Investments — 23.9%

  

             

GE Institutional Money Market Fund — Investment Class
0.04%
(Cost $11,737,848)

         11,737,848      (c,i)

Total Investments
(Cost $53,470,276)

         54,936,132     

Liabilities in Excess of Other Assets,
net — (12.1)%

         (5,932,888 )   
        

 

 

    

NET ASSETS — 100.0%

       $ 49,003,244     
        

 

 

    
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

8

Table of Contents

Income Fund

 

Schedule of Investments   

June 30, 2012 (Unaudited)

 

Other Information

The Fund had the following long futures contracts open at June 30,2012 (Unaudited):

 

Description   Expiration
date		     Number
of
Contracts		     Current
Notional
Value		     Unrealized
Appreciation/
(Depreciation)		  

2 Yr. U.S. Treasury
Notes Futures

     September 2012        8      $ 1,761,500      $ (725 ) 

5 Yr. U.S. Treasury
Notes Futures

     September 2012        111        13,760,531        6,367   

30 Yr. U.S. Treasury
Bond Futures

     September 2012        8        1,183,750        (764 ) 
       

 

 

  
        $ 4,877   
       

 

 

  

The Fund had the following short futures contracts open at June 30, 2012 (Unaudited):

 

Description   Expiration
Date		     Number
of
Contracts		     Current
Notional
Value		     Unrealized
(Depreciation)		  

Ultra Long-Term U.S. Treasury Bond Futures

     September 2012        17      $ (2,836,344 )    $ (36,797 ) 

10 Yr. U.S. Treasury Notes Futures

     September 2012        71        (9,469,625 )      (21,484 ) 
       

 

 

  
        $ (58,281 ) 
       

 

 

  
        $ (53,404 ) 
       

 

 

  

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

9

Table of Contents
Notes to Schedule of Investments    June 30, 2012 (Unaudited)

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities information regarding holdings, allocations and other characteristics are presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a) Pursuant to Rule 144A of the Securities Act of 1933, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, these securities amounted to $3,952,608 or 8.07% of the net assets of the GE Investments Income Fund. These securities have been determined to be liquid using procedures established by the Fund’s Board of Directors.

 

(b) Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (TBA) in the future.

 

(c) Coupon amount represents effective yield.

 

(d) Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder.

 

(e) Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding.

 

(f) At June 30, 2012 , all or a portion of this security was pledged to cover collateral requirements for futures, options, forward foreign currency contracts and/or TBA’s.

 

(g) Variable or floating rate security. The stated rate represents the rate at June 30, 2012 .

 

(h) Step coupon bond. Security becomes interest bearing at a future date.
(i) GE Asset Management, the investment adviser of the Fund, also serves as investment adviser of the GEI Investment Fund and the GE Institutional Money Market Fund. The GE Investment Fund has been determined to be illiquid using procedures established by the Board of Directors.

 

(j) Securities in default

 

(k) Coupon amount represents the coupon of the underlying mortgage securities on which monthly interest payments are based

 

(l) Fair Valued Security.

 

* Less than 0.05%.

 

** Amount is less than $ 0.50.

 

† Percentages are based on net assets as of June 30, 2012 .

Abbreviations:

 

REIT

    Real Estate Investment Trust

REMIC

    Real Estate Mortgage Investment Conduit

STRIPS

    Separate Trading of Registered Interest and Principal of Security

TBA

    To be Announced
 

 

10

Table of Contents

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

 

 

 

     CLASS 1  
     6/30/12†     12/31/11     12/31/10     12/31/09     12/31/08     12/31/07  
Inception date      —        —        —        —        —        1/3/95   

Net asset value, beginning of period

    $ 11.35      $ 11.05      $ 10.62      $ 10.26      $ 11.50      $ 11.80   

Income (loss) from investment operations:

             

Net investment income

      0.15        0.48        0.34 *      0.37        0.56        0.81   

Net realized and unrealized
gains (losses) on investments

      0.25        0.32        0.46        0.45        (1.16)        (0.25)   

Total income (loss) from investment operations

      0.40        0.80        0.80        0.82        (0.60)        0.56   

Less distributions from:

             

Net investment income

      —        0.50        0.37        0.46        0.64        0.82   

Net realized gains

      —        —        —        —        —        —   

Return of capital

              —        —        —        0.00 (b)      0.04   

Total distributions

      —        0.50        0.37        0.46        0.64        0.86   

Net asset value, end of period

    $ 11.75      $ 11.35      $ 11.05      $ 10.62      $ 10.26      $ 11.50   

TOTAL RETURN (a)

      3.52%        7.20%        7.56%        7.88%        (5.21)%        4.83%   

RATIOS/SUPPLEMENTAL DATA:

             

Net assets, end of period
(in thousands)

    $ 49,003      $ 51,191      $ 54,884      $ 59,532      $ 68,731      $ 93,480   

Ratios to average net assets:

             

Net investment income

      2.52% **      3.99%        3.07%        4.01%        4.63%        5.07%   

Net expenses

      0.77% (c)**      0.86% (c)      0.83% (c)      0.84% (c)      0.63% (c)      0.61%   

Gross expenses

      0.78% **      0.87%        1.00%        0.84%        0.65%        0.61%   

Portfolio turnover rate

      169%        359%        320%        251%        385%        448%   

Notes to Financial Highlights

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(b) Less than $0.01 per share.
(c) Reflects GE Asset Management’s waiver of a portion of the Fund’s management fee in an amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund or, prior to 2011, in another affiliated Money Market Fund formerly managed by GEAM.
* Per share values have been calculated using the average share method.
** Annualized for periods less than one year.
† Unaudited

 

The accompanying Notes are an integral part of these financial statements.

 

11

Table of Contents

Statement of Assets and Liabilities

June 30, 2012

      (Unaudited)  

ASSETS

     

Investments in securities, at Fair Value (cost $41,538,920)

        $42,989,295   

Investments in affiliated securities, at Fair Value (cost $193,508)

        208,989   

Short-term affiliated investments (at amortized cost)

        11,737,848   

Receivable for investments sold

        1,402,832   

Income receivables

        297,659   

Receivable for fund shares sold

        397   

Variation margin receivable

        47,977   

Other assets

        1,758   

Total assets

        56,686,755   

LIABILITIES

     

Payable for investments purchased

        7,201,103   

Payable for Fund shares redeemed

        379,301   

Payable to GEAM

        19,285   

Accrued other expenses

        83,719   

Variation margin payable

        103   

Total liabilities

        7,683,511   

NET ASSETS

        $49,003,244   

NET ASSETS CONSIST OF:

     

Capital paid in

        55,586,132   

Undistributed net investment income

        599,955   

Accumulated net realized loss

        (8,595,295 ) 

Net unrealized appreciation / (depreciation) on:

     

Investments

        1,465,856   

Futures

        (53,404 ) 

NET ASSETS

        $49,003,244   

Class 1

     

NET ASSETS

        49,003,244   

Shares outstanding ($.001 par value; unlimited shares authorized)

        4,171,530   

Net asset value per share

        $11.75   

 

The accompanying Notes are an integral part of these financial statements.

 

12

Table of Contents

Statement of Operations

For the period ending June 30, 2012

      (Unaudited)  

INVESTMENT INCOME

     

Income

     

Interest

      $ 827,846   

Interest from affiliated investments

        1,766   

Less: Foreign taxes withheld

        —   

Total income

        829,612   

Expenses

     

Advisory and administration fees

        126,651   

Director’s fees

        1,087   

Custody and accounting expenses

        42,664   

Professional fees

        14,975   

Other expenses

        11,759   

Total expenses before waiver and reimbursement

        197,136   

Less: Expenses waived or borne by the adviser

        (3,855 ) 

Net expenses

        193,281   

Net investment income

        636,331   

NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS

     

Realized gain (loss) on:

     

Investments

        1,121,982   

Futures

        (385,427 ) 

Increase in unrealized appreciation on:

     

Investments

        331,317   

Futures

        52,903   

Net realized and unrealized gain on investments

        1,120,775   

Net increase in net assets resulting from operations

      $ 1,757,106   

 

The accompanying Notes are an integral part of these financial statements.

 

13

Table of Contents
Statements of Changes in Net Assets          
       

Six months

ended June 30,
2012*

     

Year Ended

December 31,

2011

  

INCREASE (DECREASE) IN NET ASSETS

        

Operations:

        

Net investments income

      $ 636,331       $ 2,096,324   

Net realized gain on investments and futures

        736,555         1,763,613   

Net increase (decrease) in unrealized appreciation / (depreciation) on investments and futures

        384,220         (225,308 ) 

Net increase from operations

        1,757,106         3,634,629   

Distributions to shareholders from :

        

Net investment income

        

Class 1

        —         (2,140,730 ) 

Class 4**

        —         —   

Total distributions

        —         (2,140,730 ) 

Increase in net assets from operations and distributions

        1,757,106         1,493,899   

Share transactions :

        

Proceeds from sale of shares

        

Class 1

        2,089,119         3,486,517   

Class 4**

        —         —   

Value of distributions reinvested

        

Class 1

        —         2,140,730   

Class 4**

        —         —   

Cost of shares redeemed

        

Class 1

        (6,034,042 )       (10,813,893 ) 

Class 4**

        —         (11,075 ) 

Net decrease from share transactions

        (3,944,923 )       (5,197,721 ) 

Total decrease in net assets

        (2,187,817 )       (3,703,822 ) 

NET ASSETS

        

Beginning of period

        51,191,061         54,894,883   

End of period

      $ 49,003,244       $ 51,191,061   

Undistributed (distribution in excess of)
net investment income, end of period

      $ 599,955       $ (36,376 ) 

CHANGES IN FUND SHARES

        

Class 1

        

Shares sold

        181,859         302,233   

Issued for distributions reinvested

        —         188,944   

Shares redeemed

        (520,673 )       (945,511 ) 

Net decrease in fund shares

        (338,814 )       (454,334 ) 

Class 4**

        

Shares sold

        —         —   

Issued for distributions reinvested

        —         —   

Shares redeemed

        —         (980 ) 

Net decrease in fund shares

        —         (980 ) 

 

* (Unaudited)
** Share Class 4 was closed effective April 30, 2011

 

The accompanying Notes are an integral part of these financial statements.

 

14

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

1. Organization of the Company

GE Investments Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is composed of thirteen investment portfolios (collectively the “Funds”), although only the following ten are currently being offered: U.S. Equity Fund, S&P 500 Index Fund, Premier Growth Equity Fund, Core Value Equity Fund, Mid-Cap Equity Fund, Small-Cap Equity Fund, Total Return Fund, Income Fund (the “Fund”), Money Market Fund and Real Estate Securities Fund.

Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts. GE Asset Management Incorporated (“GEAM”) is the investment adviser and administrator of each of the Funds.

The Company currently offers one share class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.

 

2. Summary of Significant Accounting Policies

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

The following summarizes the significant accounting policies of the Company:

Securities Valuation and Transactions.  All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.

The Fund’s income, expenses (other than distribution fees) and realized and unrealized gains and losses are allocated proportionally each day among the share classes based upon the relative net assets of each class.

Foreign Currency   Accounting records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing

exchange rate on the respective dates of such transactions.

All assets and liabilities of the Fund initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuter exchange rate computed at 11:00 a.m., Eastern Time.

The Fund does not isolate the portion of the results of operations resulting from changes in foreign exchange rates from the fluctuations arising from changes in the market prices of securities during the year. Such fluctuations are included in the net realized or unrealized gain or loss from investments. Net realized gains or losses on foreign currency transactions represent net gains or losses on sales and maturities of foreign currency contracts, disposition of foreign currencies, the difference between the amount of net investment income and withholding taxes accrued and the U.S. dollar amount actually received or paid, and gains or losses between the trade and settlement date on purchases and sales of foreign securities. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities (including foreign currencies and open foreign currency contracts) as a result of changes in foreign exchange rates are included as increases or decreases in unrealized appreciation/depreciation on foreign currency related transactions.

Derivatives  The Fund is subject to equity price risk, interest rate risk, credit risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The Fund may enter into derivative transactions to gain market exposure for residual and accumulating cash positions, and for managing the duration of fixed-income investments.

Futures Contracts  A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The Fund invested in futures for a variety of portfolio management purposes such as hedging against the effects of changes in the value of portfolio securities due to anticipated changes in interest rates and/or market conditions, gaining market exposure for accumulating and residual cash positions, for duration

 

 

15

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

management, or when the transactions were economically appropriate to the reduction of risks inherent in the management of the Fund. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or hedge other Fund investments. The Fund will not enter into a transaction involving futures for speculative purposes. With futures contracts, there is minimal counterparty credit risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. The Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.

Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Fund each day, depending on the daily fluctuation in the fair value of the underlying security. The Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Fund recognizes a realized gain or loss on the expiration or closing of a futures contract.

Investments in Foreign Markets  Investments in foreign markets involve special risks and considerations not typically associated with investing in the United States. These risks include revaluation of currencies, high rates of inflation, restrictions on repatriation of income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, tariffs and taxes, subject to delays in settlements, and their prices may be more volatile.

The Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which they invest. Such taxes are generally based upon income and/or capital gains earned or repatriated. Taxes are accrued based on net investment income, net realized gains and net unrealized appreciation as income and/or capital gains are earned.

Investment Income  Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after the ex-dividend date as such information becomes available. Withholding taxes in foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.

Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.

Expenses  Fund specific expenses are allocated to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Expenses of the Fund are generally paid directly by the Fund, however, expenses may be paid by GEAM and reimbursed by the Fund.

Federal Income Taxes  The Fund intends to comply with all sections of the Internal Revenue Code applicable to regulated investment companies including the distribution of substantially all of its taxable net investment income and net realized capital gains to its shareholders. Therefore, no provision for federal income tax has been made.

 

3. Securities Valuation

The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.

Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our

 

 

16

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Notes to Financial Statements    June 30, 2012 (Unaudited)

 

market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:

Level 1 — Quoted prices for identical investments in active markets.

Level 2 — Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 — Significant inputs to the valuation model are unobservable.

Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.

Fair Value Measurement The following section describes the valuation methodologies the Fund uses to measure different financial investments at fair value.

Debt securities (other than short-term securities described below) generally are valued at an evaluated bid price as reported by independent pricing services. The pricing services use various pricing models for each asset class. The inputs and assumptions to the model of the pricing services are derived from market observable sources, which may include: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, benchmark securities, bids, offers, and other market related data. Since many fixed income securities do not trade on a daily basis, the methodology of the pricing service may also use other available information as applicable such as benchmark curves, benchmarking of similar securities, sector groupings and matrix pricing. Thus, certain securities may not be priced using market quotations, but rather determined from market observable information. These investments are included in Level 2 and are primarily comprised of corporate fixed income, government, mortgage and asset-backed securities. In the absence of a reliable bid price from such a pricing service, debt securities may be valued based on broker or dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified as Level 3.

The Fund may use non-binding broker or dealer quotes for valuation when there is limited or no relevant market

activity for a specific investment or for other investments that share similar characteristics and a price is not provided by a pricing service or is deemed not to be reliable. The Fund has not adjusted the prices obtained. Investment securities priced using non-binding broker or dealer quotes are included in Level 3.

Short-term investments of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.

The Fund uses the net asset value per unit for collective funds (i.e., GEI Investment Fund). The Fund classifies the investment security in Level 2.

If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using procedures approved by the Fund’s Board of Directors that are designed to establish its “fair” value. These securities are typically classified in Level 3. Those procedures require that the fair value of a security be established by a valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of the Fund in the appropriate circumstances.

Fair value determinations generally are used for securities whose value is affected by a significant event that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of the Fund’s NAV.

The value established for such a portfolio security may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that the Fund could sell a portfolio security for the value established for it at any time and it is possible that the Fund would incur a

 

 

17

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Notes to Financial Statements    June 30, 2012 (Unaudited)

 

loss because a portfolio security is sold at a discount to its established value.

Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps, and written options contracts, which are valued based on fair value as discussed above.

The Fund uses closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the counter markets. Derivative assets and liabilities

included in Level 2 primarily represent interest rate swaps, cross-currency swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2012:

 

Investments    Level 1     Level 2      Level 3      Total  

Investments in Securities†

           

U.S. Treasuries

    $ —      $ 6,605,691       $ —       $ 6,605,691   

Agency Mortgage Backed

      —        17,138,183         —         17,138,183   

Agency CMOs

      —        582,988         —         582,988   

Asset Backed

      —        333,069         —         333,069   

Corporate Notes

      —        15,464,396         —         15,464,396   

Non-Agency CMOs

      —        1,661,092         —         1,661,092   

Sovereign Bonds

      —        822,051         —         822,051   

Municipal Notes and Bonds

      —        381,825         —         381,825   

Other Investments

      —        208,989         —         208,989   

Short-Term Investments

      11,737,848        —         —         11,737,848   

Total Investments in Securities

    $ 11,737,848      $ 43,198,284       $ —       $ 54,936,132   

Other Financial Instruments*

           

Futures Contracts — Unrealized Appreciation

    $ 6,367      $ —       $ —       $ 6,367   

Futures Contracts — Unrealized Depreciation

      (59,770 )      —         —         (59,770 ) 

Total Other Financial Instruments

    $ (53,404 )    $ —       $ —       $ (53,403 ) 

 

† See Schedule of Investments for Industry Classification
* Other financial instruments include derivative instruments such as futures contracts. Amounts shown represent unrealized appreciation (depreciation), at period end.

There were no transfers between fair value levels. Transfers between fair value levels are considered to occur at the beginning of the period.

 

4. Derivatives Transactions

Shown below are the derivative contracts entered into by the Fund, summarized by primary risk exposure as they appear on the Statement of Assets and Liabilities, all of which are not accounted for as hedging instruments under FASB Accounting Standards Codification (“ASC”) No. 815 Derivatives and Hedging as of June 30, 2012.

 

    

Asset Derivatives June 30, 2012

    

Liability Derivatives June 30, 2012

  
Derivatives not accounted for as
hedging instruments under ASC 815		    Location in the Statement of
Assets and Liabilities 		   Fair
Value ($)		    

Location in the Statements of

Assets and Liabilities

    Fair
Value ($)		  

Interest Rate Contracts

    Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures      6,367 *    Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures      (59,770 )* 

 

* Includes cumulative unrealized appreciation/(depreciation) of futures contracts as reported in the Schedule of Investments and as within the components of the net assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities.

 

18

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

Shown below are the effects of derivative instruments on the Fund’s Statement of Operation, summarized by primary risk exposure all of which are not accounted for as hedging instruments under ASC 815.

 

Derivatives not accounted for

as hedging instruments

under ASC 815

    Location in the Statements of
Operations		    Total Notional Amount of
Futures Contracts
Purchased/(Sold) ($)		      Realized Gain or
(Loss) on
Derivatives
Recognized in
Income ($)		     Change in Unrealized
Appreciation/(Depreciation)
on Derivatives Recognized
in Income ($)		  

Interest Rate Contracts

    Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures      85,407,091/(80,016,385)         (385,427 )      52,903   
5. Line of Credit

The Company shares a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is with its custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.100% per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Funds generally is borne proportionally based upon net assets. In addition, the Company has a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal Funds Rate plus 50 basis points and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i) 33.33% of its total assets or (ii) 20% of its net assets. The credit facilities were not utilized by the Fund during the six-month period ended June 30, 2012.

 

6. Fees and Compensation Paid to Affiliates

Advisory and Administration Fees GEAM, a registered investment adviser, was retained by the Company’s Board of Directors effective November 15, 1997 to act as investment adviser and administrator of the Fund. Compensation of GEAM for investment advisory and administrative services is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.50%.

GEAM has a contractual arrangement with the Fund to waive a portion of the Fund’s management fee in the amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund, if any.

Directors’ Compensation The Fund pays no compensation to its directors who are officers or employees of GEAM or its affiliates. Directors who are not such officers or employees also serve in a similar capacity for other funds advised by GEAM. Compensation paid to non-interested Directors are reflected on the Statement of Operations. These fees are allocated pro rata across all of the mutual fund platforms served by the Directors, including the Fund, and are based upon the relative net assets of each fund within such platforms.

 

7. Investment Transactions

Purchases and Sales of Securities The cost of purchases and the proceeds from sales of investments, other than short-term securities, for the six-month period ended June 30, 2012 were as follows:

 

U.S. Government Securities
Purchases   Sales
$65,266,208   $63,893,414
Other Securities
Purchases   Sales
$13,537,882   $20,764,431
 
8. Income Taxes

The Fund is subject to ASC 740, Income Taxes. ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to the Fund’s net assets required under ASC 740. The Fund’s 2008, 2009, 2010, and 2011 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities.

 

19

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

At June 30, 2012, information on the tax cost of investments was as follows:

 

   

Gross Tax

    
Cost of
Investments For
Tax Purposes		   Appreciation   Depreciation   Net Tax
Appreciation

$53,782,410

  

$1,772,593

  

$(618,871)

  

$1,153,722

 

Capital loss carryovers are available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders because they would be taxable as ordinary income.

As of December 31, 2011, the Fund has capital loss carryovers as follows:

 

Amount    
Short-Term   Long-Term   Expires
$     719,074   $—   12/31/2015
       972,866     —   12/31/2016
    7,409,448     —   12/31/2017

These amounts will be available to offset future taxable capital gains. Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss

carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

During the year ended December 31, 2011, the Fund utilized $1,662,452 of prior year capital loss carryovers.

Any qualified late-year loss is deemed to arise on the first day of the Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, the Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.

The Fund elected to defer qualified late-year losses for the year ended December 31, 2011 as follows:

 

Capital   Ordinary
$63,301   $—

The tax composition of distributions paid during the years ended December 31, 2011 and December 31, 2010 were as follows:

 

     Ordinary
Income		  

Long-Term

Capital
Gains

   Total

2011

   $2,140,730   $—   $2,140,730

2010

   1,793,830   —   1,793,830

Distributions to Shareholders The Fund declares and pays any dividends from net investment income annually. The Fund declares and pays any net realized capital gains in excess of capital loss carryforwards distributions annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences include (but are not limited to) futures, treatment of realized and unrealized gains and losses on foreign currency contracts, paydown gains and losses on mortgage-backed securities, investments organized as partnerships for tax purposes, losses deferred due to offsetting positions, and losses deferred due to wash sale transactions. Reclassifications due to permanent book/tax differences are made to the Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or the net asset value of the Fund. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.

 

 

20

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

21

The reclassifications for the year ended December 31, 2011 were as follows:

 

Undistributed
Net Investment
Income		   Accumulated
Net Realized
Gain (Loss)		   Capital
Paid In
$30,411   $83,122   $(113,533)
9. Subsequent Events

Subsequent events after the balance sheet date through the date the financial statements were issued have been evaluated in the preparation of the financial statements. As of August 3, 2012, the assets of the Mid-Cap Equity Fund and the Money Market Fund were liquidated. These funds ceased operations and are no longer offered for investment.

 

Table of Contents
Additional Information    (Unaudited)

 

Information about Directors and Executive Officers:

The business and affairs of the Funds are managed under the direction of the Funds’ Board of Directors. Information pertaining to the Directors and officers of the Funds is set forth below.

Interested Directors and Executive Officers

 

 

Michael J. Cosgrove

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    63

Position(s) Held with Fund    Chairman of the Board and President

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    President of Mutual Funds and Global Investment Programs of GEAM since November 2011; President and Chief Executive Officer – Mutual Funds and Intermediary Business of GEAM from March 2007 to November 2011; Executive Vice President of GEAM from February 1997 to March 2007; and Executive Vice President-Mutual Funds of GEAM from March 1993 to March 2007. Also serves as Treasurer of GE Foundation since 1988.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Chairman of the Board and President of GE Institutional Funds since 1997; Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since 1988; Director of GEAM since 1988; Trustee of Fordham University from 2002 to June 30, 2010 and since July 2011; Director of GE Investments Distributors, Inc since June 2011; Director of Skin Cancer Foundation since August 2010; Member of the Board of Governors for the Investment Company Institute since October 2006; Director, GE Asset Management (Ireland) Limited, since February 1999, GE Asset Management Funds Plc since 1998, GE Asset Management Canada Company since 1998, GE Asset Management Limited since 1998; Trustee of General Electric Pension Trust since 1988; and Chairman of the Board and President of GE Funds from 1993 to February 2011.

 

 

Matthew J. Simpson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    51

Position(s) Held with Fund    Director and Executive Vice President

Term of Office and Length of Time Served    Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 years    Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Savings & Security Funds since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since July 2007; Trustee and Executive Vice President of GE Institutional Funds since July 2007; Director of GEAM since July 2007; and Trustee and Executive Vice President of GE Funds from July 2007 to February 2011.

 

22

Table of Contents
Additional Information    (Unaudited)

 

 

Joon Won Choe

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    42

Position(s) Held with Fund    Vice President & Secretary

Term of Office and Length of Time Served    Until successor is elected and qualified – Vice President and Secretary – 1 year

Principal Occupation(s) During Past 5 years    Senior Vice President and Deputy General Counsel at GEAM since March 2011; Vice President and Secretary of GE Institutional Funds since September 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds since September 2010; Senior Vice President and Associate General Counsel at GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010 and Vice President and Secretary of GE Funds from September 2010 to February 2011.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Robert Herlihy

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    44

Position(s) Held with Fund    Chief Compliance Officer

Term of Office and Length of Time Served    Until successor is elected and qualified — 6 years

Principal Occupation(s) During Past 5 years    Chief Compliance Officer of GEAM, GE Institutional Funds, Elfun Funds, and GE Savings & Security Funds since July 2005; Chief Compliance Officer of GE Funds from July 2005 to February 2011 and Manager of Fund Administration at GEAM from 2002-2005.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Arthur A. Jensen

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    45

Position(s) Held with Fund    Treasurer

Term of Office and Length of Time Served    Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years    Treasurer of GE Institutional Funds, Elfun Funds and GE Savings & Security Funds since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

23

Table of Contents
Additional Information    (Unaudited)

 

 

 

Jeanne M. LaPorta

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    46

Position(s) Held with Fund    Vice President

Term of Office and Length of Time Served     Until successor is elected and qualified – 8 years

Principal Occupation(s) During Past 5 Years    Senior Vice President and Commercial Administrative Officer of GEAM since April 2010; Vice President of GE Institutional Funds since July 2003; Vice President of Elfun Funds and GE Savings & Security Funds since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

Non-Interested Directors

 

 

John R. Costantino

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    66

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    General Partner, NGN Capital LLC since 2006; Managing Director, Vice President of Walden Capital Management since 1996.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since 1997; Trustee of Fordham University from 1989 to 1995 and from 2001 to 2007 and Trustee Emeritus since 2007; Trustee of Neuroscience Research Institute since 1986; Trustee of GE Funds from 1993 to February 2011; Director of Artes Medical from 2006-2008 and Trustee of Gregorian University Foundation from 1992-2007.

 

24

Table of Contents
Additional Information    (Unaudited)

 

 

 

R. Sheldon Johnson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    65

Positions(s) Held with Fund    Director

Term of office and Length of Time served    Unit Successor is elected and qualified – 1 year.

Principal Occupation(s) During Past 5 years    Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. from 2002 to 2006 and Managing Director at Morgan Stanley & Co., Inc. from 1988 to 2006.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since April 2011 and Trustee of St. Lawrence University since 2003.

 

 

Donna M. Rapaccioli

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    49

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – Less than 1 year

Principal Occupation(s) During Past 5 Years    Dean of the Gabelli School of Business since 2007 and Accounting professor since 1987 at Fordham University.

Number of Portfolios in Fund Complex Overseen by Officer    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since January 2012 and Trustee of Emmanuel College since 2010.

 

 

The Statement of Additional Information for the Funds includes additional information about the Directors and Officers and is available, without charge, upon request by calling 1-800-242-0134.

 

25

Table of Contents
Investment Team    (Unaudited)

 

Investment Adviser and Administrator

GE Asset Management Incorporated

Board of Directors

Michael J. Cosgrove, Chairman

John R. Costantino

R. Sheldon Johnson

Donna M. Rapaccioli

Matthew J. Simpson

Secretary

Joon Won Choe

Assistant Secretary

Michelle Matzelle

Treasurer

Arthur A. Jensen

Assistant Treasurer

Casey Yantosca

Distributor

GE Investment Distributors, Inc.

Member FINRA and SIPC

 

 

Custodian

State Street Bank & Trust Company

Officers of the Investment Adviser

Dmitri Stockton, President and Chief Executive Officer

Cheryl H. Beacock, Senior Vice President, Human Resources

George A. Bicher, Chief Risk Officer

Paul M. Colonna, President and Chief Investment Officer – Public Investments

Michael J. Cosgrove, President of Mutual Funds and Global Investment Programs

Gregory B. Hartch, Senior Vice President – Strategy and Business Development Leader

Ralph R. Layman, Executive Vice President and Chief Investment Officer Emeritus Public Equities

Maureen B. Mitchell, President of Global Sales and Marketing

Steven M. Rullo, Senior Vice President – Services and Technology

Matthew J. Simpson, Executive Vice President, General Counsel and Secretary

Donald W. Torey, President and Chief Investment Officer – Alternative Investments

David Wiederecht, President and Chief Investment Officer – Investment Solutions

Jessica Holscott, Executive Vice President, Chief Financial Officer*

 
* Effective August 1, 2012, Ms. Holcott replaced Tracie A. Winbigler as Executive Vice President and Chief Financial Officer.

 

At GE Asset Management, we’re dedicated to providing the investment options you’ll need to tailor your financial portfolio to every stage of your life. Each member of the GE Family of Funds is managed according to the same principles of integrity and quality that have guided GE over the past century, and have made it the world-class company that it is today. Each fund draws strength from a heritage of investment management experience that spans more than 80 years. Whether you’re creating a new investment portfolio or adding to an established one, the GE Family of Funds offers an array of professionally managed investment options that will help you meet a lifetime of financial needs.

 

26

Table of Contents

Investment Adviser

GE Asset Management Incorporated

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

Distributor

GE Investment Distributors, Inc.

member FINRA and SIPC

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

 

 

 

 

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-493-3042; (ii) on the Fund’s website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC—information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov.

 

LOGO

Table of Contents
 

GE Investments Funds, Inc.

Total Return Fund

Semi-Annual Report

June 30, 2012

 

LOGO

Table of Contents

GE Investments Funds, Inc.

Total Return Fund    Contents

 

Fund Information

     1   

Understanding Your Fund’s Expenses

      2   

Schedule of Investments

      3   

Notes to Schedule of Investments

      21   

Financial Statements

   

Financial Highlights

      22   

Statement of Assets and Liabilities

      24   

Statement of Operations

      25   

Statements of Changes in Net Assets

      26   

Notes to Financial Statements

      28   

Additional Information

      37   

Investment Team

      41   

 

This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.

Table of Contents
Total Return Fund    (Unaudited)

Fund Information

 

Notes to Performance

Total return performance shown in this report for the GE Investments Total Return Fund (the “Fund”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call 800-493-3042 or visit the Fund’s website at http://www.geam.com for the most recent month-end performance data.

An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.

Investment Profile

 

A mutual fund designed for investors who seek the highest total return, composed of current income and capital appreciation, as is consistent with prudent investment risk. The Fund seeks its investment objective by investing primarily in a combination of U.S. and foreign (non-U.S.) equity and debt securities and cash. The Fund’s asset allocation process utilizes information from GE Asset Management’s Asset Allocation Committee to diversify holdings across these asset classes.

 

 

Sector Allocation

as a % of Fair Value of $2,832,903 (in thousands) on June 30, 2012 (a)(b)

 

 

 

LOGO

Top Ten Largest Holdings

as of June 30, 2012 (as a % of Fair Value) (a)(b)(c)

 

 

Federal National Mortgage Assoc. TBA 3.50%

      3.75%   

Federal National Mortgage Assoc. 4.00%, 05/01/19 - 05/01/42

      2.26%   

Vanguard MSCI Emerging Markets Fund

      1.92%   

Apple Inc.

      1.20%   

Federal National Mortgage Assoc. 4.50%, 05/01/18 - 04/01/41

      1.15%   

Federal Home Loan Bank Discount Notes 0.09%, 08/22/12 - 10/04/12

      1.12%   

U.S. Treasury Bonds 3.13%, 02/15/42

      1.08%   

U.S. Treasury Notes 0.72%, 05/31/17

      0.88%   

Microsoft Corp.

      0.82%   

PepsiCo Inc.

      0.82%   
 

 

(a) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.
(b) Fair value basis is inclusive of the short-term investment in GE Institutional Money Market Fund Investment Class.
(c) The figures presented to not include the Fund’s entire investment portfolio and may change at any time.

GE Investment Distributors, Inc., Member of FINRA & SIPC, is the principal underwriter and distributor of the GE Investments Funds, Inc. and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Fund.

 

1

Table of Contents
Total Return Fund    (Unaudited)

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and services fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2012.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses Paid During Period” to estimate the expenses paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.

 

January 1, 2012 - June 30, 2012

 

        Account value at the
beginning of the  period ($)		        Account value at the
end of the period ($)		        Expenses paid
during the period ($)*		  

Actual Fund Return*

  

                      

Class 1

        1,000.00           1,061.30           3.79   

Class 3

        1,000.00           1,060.20           5.07   

Hypothetical 5% Return (2.5% for the period)

  

                      

Class 1

        1,000.00           1,021.18           3.72   

Class 3

        1,000.00           1,019.94           4.97   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.74% for Class 1 shares and 0.99% for Class 3 shares (for the period January 1, 2012 - June 30, 2012), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

2

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

Total Return Fund

 

    Number of
Shares		     Fair
Value		       

Domestic Equity — 39.0% †

                     

Advertising — 0.3%

Arbitron Inc.

     27,400      $ 959,000      

Omnicom Group Inc.

     143,931        6,995,047      
           7,954,047      

Aerospace & Defense — 0.5%

  

     

Honeywell International Inc.

     221,121        12,347,397      

Teledyne Technologies Inc.

     9,100        561,015       (a)

The Boeing Co.

     20,727        1,540,016      
      14,448,428      

Agricultural Products — 0.4%

  

     

Archer-Daniels-Midland Co.

     353,560        10,437,091      

Air Freight & Logistics — 0.9%

  

     

FedEx Corp.

     10,570        968,318      

United Parcel Service Inc.

     290,914        22,912,387      
      23,880,705      

Apparel Retail — 0.0%*

  

   

Aeropostale Inc.

     22,800        406,524       (a)

American Eagle Outfitters Inc.

     14,700        290,031      

The Buckle Inc.

     15,200        601,464      
      1,298,019      

Apparel, Accessories & Luxury Goods — 0.0%*

  

   

Maidenform Brands Inc.

     11,400        227,088       (a)

Application Software — 0.3%

  

   

ACI Worldwide Inc.

     18,500        817,885       (a)

Blackbaud Inc.

     20,500        526,235      

Ebix Inc.

     14,000        279,300      

Intuit Inc.

     72,652        4,311,896      

Parametric Technology Corp.

     40,200        842,592       (a)

SS&C Technologies Holdings Inc.

     31,500        787,500       (a)
      7,565,408      

Asset Management & Custody Banks — 1.3%

  

   

Ameriprise Financial Inc.

     192,794        10,075,414      

Franklin Resources Inc.

     13,818        1,533,660      

Invesco Ltd.

     394,800        8,922,480      

State Street Corp.

     322,745        14,407,337       (e)
      34,938,891      

Automobile Manufacturers — 0.1%

  

   

Ford Motor Co.

     206,128        1,976,768      
    Number of
Shares		     Fair
Value		       

Biotechnology — 0.9%

Amgen Inc.

     223,145      $ 16,298,510       (h)

Cubist Pharmaceuticals Inc.

     11,200        424,592       (a)

Gilead Sciences Inc.

     142,002        7,281,863       (a)
      24,004,965      

Broadcasting — 0.4%

CBS Corp.

     77,171        2,529,665      

Discovery Communications Inc.

     188,236        9,428,741       (a)
           11,958,406      

Cable & Satellite — 1.1%

Comcast Corp.

     186,592        5,965,346      

DIRECTV

     208,050        10,157,001       (a)

Liberty Global Inc.

     269,474        12,867,383       (a)
      28,989,730      

Casinos & Gaming — 0.2%

Las Vegas Sands Corp.

     116,748        5,077,371      

Communications Equipment — 1.7%

Cisco Systems Inc.

     1,209,031        20,759,063       (h)

Qualcomm Inc.

     464,870        25,883,962      
      46,643,025      

Computer Hardware — 1.9%

Apple Inc.

     86,477        50,502,568       (a)

Construction & Engineering — 0.0%*

Quanta Services Inc.

     24,400        587,308       (a)

Construction & Farm Machinery & Heavy
Trucks — 0.2%

Caterpillar Inc.

     17,554        1,490,510      

Deere & Co.

     54,819        4,433,213      
      5,923,723      

Consumer Finance — 0.3%

American Express Co.

     154,703        9,005,262      

Data Processing & Outsourced Services — 1.5%

Global Cash Access Holdings Inc.

     80,300        578,963       (a)

Paychex Inc.

     455,515        14,307,726      

The Western Union Co.

     839,667        14,139,992      

Visa Inc.

     102,374        12,656,498      
      41,683,179      

Department Stores — 0.2%

Macy's Inc.

     124,151        4,264,587      

Distributors — 0.1%

Genuine Parts Co.

     44,851        2,702,273      

LKQ Corp.

     37,600        1,255,840       (a)
      3,958,113      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

3

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

    Number of
Shares		     Fair
Value		       

Diversified Chemicals — 0.3%

  

   

EI du Pont de Nemours & Co.

     148,512      $ 7,510,251      

Diversified Financial Services — 1.3%

  

   

Citigroup Inc.

     103,691        2,842,170      

JPMorgan Chase & Co.

     293,661        10,492,507      

Wells Fargo & Co.

     614,994        20,565,399      
           33,900,076      

Diversified Metals & Mining — 0.2%

  

   

Compass Minerals International Inc.

     5,900        450,052      

Freeport-McMoRan Copper & Gold Inc.

     114,035        3,885,173      
      4,335,225      

Diversified REITs — 0.1%

  

   

Liberty Property Trust

     12,900        475,236      

Vornado Realty Trust

     14,390        1,208,472      
      1,683,708      

Diversified Support Services — 0.0%*

  

   

Healthcare Services Group Inc.

     28,500        552,330      

Drug Retail — 0.2%

  

   

CVS Caremark Corp.

     92,145        4,305,936      

Education Services — 0.0%*

  

   

Lincoln Educational Services Corp.

     5,800        37,700      

Electric Utilities — 0.4%

  

   

Exelon Corp.

     103,662        3,899,764      

FirstEnergy Corp.

     39,205        1,928,494      

IDACORP Inc.

     19,100        803,728      

The Southern Co.

     90,371        4,184,177      
      10,816,163      

Electrical Components & Equipment — 0.2%

  

   

Cooper Industries PLC

     64,266        4,381,656      

Fertilizers & Agricultural Chemicals — 0.4%

  

   

Monsanto Co.

     126,811        10,497,415      

Food Distributors — 0.0%*

  

   

Spartan Stores Inc.

     8,000        145,040      

Footwear — 0.0%*

  

   

Deckers Outdoor Corp.

     12,700        558,927       (a)

General Merchandise Stores — 0.1%

  

   

Target Corp.

     68,131        3,964,543      

Healthcare Distributors — 0.0%*

  

   

Owens & Minor Inc.

     23,100        707,553      
    Number of
Shares		     Fair
Value		       

Healthcare Equipment — 1.1%

  

   

Covidien PLC

     486,468      $ 26,026,038      

Medtronic Inc.

     89,545        3,468,078      

Thoratec Corp.

     10,200        342,516       (a)
           29,836,632      

Healthcare Facilities — 0.1%

  

   

HCA Holdings Inc.

     88,310        2,687,273      

Healthcare Services — 0.9%

  

   

Bio-Reference Labs Inc.

     43,900        1,153,692       (a)

Express Scripts Holding Co.

     404,821        22,601,156       (a)

HMS Holdings Corp.

     22,000        732,820      

MEDNAX Inc.

     13,000        891,020       (a)
      25,378,688      

Healthcare Technology — 0.0%*

  

   

Computer Programs & Systems Inc.

     4,200        240,324      

Home Building — 0.1%

  

   

MDC Holdings Inc.

     48,364        1,580,052      

Home Furnishing Retail — 0.2%

  

   

Aaron's Inc.

     18,100        512,411      

Bed Bath & Beyond Inc.

     98,411        6,081,800       (a)
      6,594,211      

Home Improvement Retail — 0.9%

  

   

Lowe's Companies Inc.

     630,983        17,945,156      

The Home Depot Inc.

     110,546        5,857,833      
      23,802,989      

Hotels, Resorts & Cruise Lines — 0.0%*

  

   

Orient-Express Hotels Ltd.

     44,990        376,566       (a)

Household Products — 0.4%

  

   

Kimberly-Clark Corp.

     58,037        4,861,759      

The Clorox Co.

     76,000        5,506,960      
      10,368,719      

Housewares & Specialties — 0.0%*

  

   

Jarden Corp.

     29,100        1,222,782      

Independent Power Producers & Energy Traders — 0.3%

  

   

Calpine Corp.

     201,564        3,327,822       (a)

The AES Corp.

     426,164        5,467,684       (a)
      8,795,506      

Industrial Gases — 0.1%

  

   

Praxair Inc.

     34,670        3,769,669      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

4

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

    Number of
Shares		     Fair
Value		       

Industrial Machinery — 0.6%

  

     

Dover Corp.

     159,835      $ 8,568,754      

Eaton Corp.

     131,280        5,202,626      

ESCO Technologies Inc.

     7,500        273,300      

Harsco Corp.

     8,100        165,078      

Mueller Industries Inc.

     7,900        336,461      

Woodward Inc.

     15,700        619,208      
           15,165,427      

Industrial REITs — 0.1%

Prologis Inc.

     52,900        1,757,867      

Insurance Brokers — 0.1%

       

Marsh & McLennan Companies Inc.

     92,144        2,969,801      

Integrated Oil & Gas — 1.3%

Chevron Corp.

     187,503        19,781,566      

Exxon Mobil Corp.

     58,432        5,000,026       (h)

Hess Corp.

     72,563        3,152,862      

Occidental Petroleum Corp.

     99,262        8,513,702      
      36,448,156      

Integrated Telecommunication Services — 0.6%

  

   

AT&T Inc.

     276,381        9,855,746      

Verizon Communications Inc.

     131,273        5,833,772      
      15,689,518      

Internet Retail — 0.2%

Amazon.com Inc.

     18,824        4,298,460       (a)

Internet Software & Services — 0.7%

eBay Inc.

     364,873        15,328,315       (a)

Google Inc.

     4,111        2,384,668       (a)

NIC Inc.

     26,200        332,740      

The Active Network Inc.

     5,500        84,645       (a)
      18,130,368      

Investment Banking & Brokerage — 0.3%

GFI Group Inc.

     48,100        171,236      

Raymond James Financial Inc.

     24,400        835,456      

The Goldman Sachs Group Inc.

     59,443        5,698,206      
      6,704,898      

IT Consulting & Other Services — 0.7%

  

   

International Business Machines Corp.

     95,885        18,753,188       (h)

Life & Health Insurance — 0.4%

  

   

MetLife Inc.

     123,188        3,800,349      

Prudential Financial Inc.

     121,617        5,889,911      
      9,690,260      
    Number of
Shares		     Fair
Value		       

Life Sciences Tools & Services — 0.3%

Agilent Technologies Inc.

     70,281      $ 2,757,826      

Bruker Corp.

     53,700        714,747       (a)

PerkinElmer Inc.

     150,885        3,892,833      
      7,365,406      

Managed Healthcare — 0.1%

Molina Healthcare Inc.

     23,450        550,137       (a)

UnitedHealth Group Inc.

     26,491        1,549,723      
      2,099,860      

Movies & Entertainment — 0.7%

The Walt Disney Co.

     155,449        7,539,276      

Time Warner Inc.

     322,377        12,411,515      
           19,950,791      

Multi-Line Insurance — 0.2%

American International Group Inc.

     92,373        2,964,250       (a)

Hartford Financial Services Group Inc.

     57,633        1,016,070      

HCC Insurance Holdings Inc.

     23,600        741,040      
      4,721,360      

Multi-Utilities — 0.2%

Dominion Resources Inc.

     90,648        4,894,992      

Office Electronics — 0.0%*

Zebra Technologies Corp.

     15,600        536,016       (a)

Office REITs — 0.3%

Alexandria Real Estate Equities Inc.

     12,030        874,822      

BioMed Realty Trust Inc.

     46,900        876,092      

Boston Properties Inc.

     15,600        1,690,572      

Brandywine Realty Trust

     11,370        140,306      

CommonWealth

     33,970        649,506      

Coresite Realty Corp.

     18,000        464,760      

Digital Realty Trust Inc.

     21,750        1,632,773      

Duke Realty Corp.

     34,700        508,008      

Hudson Pacific Properties Inc.

     11,440        199,170      

Mack-Cali Realty Corp.

     24,540        713,378      

SL Green Realty Corp.

     11,940        958,066      
      8,707,453      

Office Services & Supplies — 0.0%*

  

   

Herman Miller Inc.

     15,100        279,652      

Oil & Gas Drilling — 0.0%*

  

   

Pioneer Drilling Co.

     80,500        641,585       (a)

Oil & Gas Equipment & Services — 0.9%

  

   

Dril-Quip Inc.

     2,900        190,211       (a)

Oil States International Inc.

     14,800        979,760       (a)

Schlumberger Ltd.

     342,623        22,239,659      
      23,409,630      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

5

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

    Number of
Shares		     Fair
Value		       

Oil & Gas Exploration & Production — 0.4%

  

   

Anadarko Petroleum Corp.

     136,069      $ 9,007,768      

SM Energy Co.

     10,800        530,388      

Southwestern Energy Co.

     74,867        2,390,503       (a)
      11,928,659      

Oil & Gas Refining & Marketing — 0.1%

  

   

Marathon Petroleum Corp.

     46,072        2,069,554      

Oil & Gas Storage & Transportation — 0.1%

  

   

Spectra Energy Corp.

     62,182        1,807,009      

The Williams Companies Inc.

     57,590        1,659,744      
      3,466,753      

Packaged Foods & Meats — 0.6%

  

   

Kraft Foods Inc.

     409,895        15,830,145      

Smithfield Foods Inc.

     13,200        285,516       (a)
           16,115,661      

Paper Packaging — 0.0%*

  

   

Packaging Corporation of America

     33,700        951,688      

Pharmaceuticals — 1.8%

  

   

Bristol-Myers Squibb Co.

     225,237        8,097,270      

Johnson & Johnson

     279,637        18,892,276      

Merck & Company Inc.

     122,982        5,134,498      

Pfizer Inc.

     708,068        16,285,564      
      48,409,608      

Property & Casualty Insurance — 0.3%

  

   

ACE Ltd.

     125,087        9,272,699      

Publishing — 0.0%*

  

   

John Wiley & Sons Inc.

     7,900        387,021      

Railroads — 0.2%

  

   

Genesee & Wyoming Inc.

     16,200        856,008       (a)

Union Pacific Corp.

     41,455        4,945,996      
      5,802,004      

Real Estate Services — 0.1%

  

   

CBRE Group Inc.

     207,075        3,387,747       (a)

Regional Banks — 0.2%

  

   

Cullen Frost Bankers Inc.

     9,900        569,151      

Fulton Financial Corp.

     18,100        180,819      

Iberiabank Corp.

     4,000        201,800      

Prosperity Bancshares Inc.

     16,000        672,480      

Regions Financial Corp.

     391,954        2,645,689      

Sterling Bancorp

     9,500        94,810      

SVB Financial Group

     10,600        622,432       (a)

Westamerica Bancorporation

     8,500        401,115      
      5,388,296      
    Number of
Shares		     Fair
Value		       

Reinsurance — 0.1%

  

   

PartnerRe Ltd.

     25,340      $ 1,917,478      

Research & Consulting Services — 0.1%

Nielsen Holdings N.V.

     110,572        2,899,198       (a)

Resources Connection Inc.

     8,500        104,550      
      3,003,748      

Residential REITs — 0.3%

American Campus Communities Inc.

     8,890        399,872      

AvalonBay Communities Inc.

     6,270        887,080      

BRE Properties Inc.

     8,210        410,664      

Camden Property Trust

     10,630        719,332      

Colonial Properties Trust

     21,770        481,988      

Equity Residential

     33,460        2,086,566      

Essex Property Trust Inc.

     6,480        997,402      

Home Properties Inc.

     8,100        497,016      

UDR Inc.

     47,450        1,226,108      
      7,706,028      

Restaurants — 0.3%

Cracker Barrel Old Country Store Inc.

     12,500        785,000      

Darden Restaurants Inc.

     64,946        3,288,216      

McDonald's Corp.

     51,128        4,526,362      

The Wendy's Co.

     43,900        207,208      
      8,806,786      

Retail REITs — 0.5%

  

   

Acadia Realty Trust

     7,300        169,214      

DDR Corp.

     61,970        907,241      

Equity One Inc.

     7,270        154,124      

Excel Trust Inc.

     5,900        70,564      

General Growth Properties Inc.

     34,740        628,447      

Kimco Realty Corp.

     51,020        970,911      

National Retail Properties Inc.

     39,590        1,120,001      

Regency Centers Corp.

     7,380        351,067      

Simon Property Group Inc.

     43,864        6,827,870      

Tanger Factory Outlet Centers

     22,730        728,496      

Taubman Centers Inc.

     3,260        251,542      

The Macerich Co.

     20,150        1,189,858      
      13,369,335      

Semiconductor Equipment — 0.0%*

Rudolph Technologies Inc.

     57,100        497,912       (a)

Semiconductors — 0.9%

Altera Corp.

     55,286        1,870,878      

Analog Devices Inc.

     55,285        2,082,586      

Intel Corp.

     407,679        10,864,646      

Microchip Technology Inc.

     48,364        1,599,881      

Microsemi Corp.

     37,500        693,375       (a)

Semtech Corp.

     19,400        471,808       (a)

Texas Instruments Inc.

     249,911        7,169,947      
           24,753,121      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

6

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

    Number of
Shares		     Fair
Value		       

Soft Drinks — 1.3%

  

   

Coca-Cola Enterprises Inc.

     201,564      $ 5,651,855      

PepsiCo Inc.

     426,477        30,134,865      
      35,786,720      

Specialized Consumer Services — 0.0%*

Matthews International Corp.

     2,900        94,221      

Specialized Finance — 0.6%

CME Group Inc.

     57,625        15,449,838      

Specialized REITs — 1.1%

  

   

American Tower Corp.

     155,212        10,850,871      

DiamondRock Hospitality Co.

     12,790        130,458      

HCP Inc.

     85,253        3,763,920      

Healthcare Inc.

     32,930        1,919,819      

Host Hotels & Resorts Inc.

     54,710        865,512      

LaSalle Hotel Properties

     8,020        233,703      

Omega Healthcare Investors Inc.

     47,200        1,062,000      

Pebblebrook Hotel Trust

     7,250        168,998      

Public Storage

     31,975        4,617,510      

Rayonier Inc.

     49,745        2,233,551      

RLJ Lodging Trust

     30,120        546,076      

Sabra Healthcare REIT Inc.

     22,800        390,108      

Senior Housing Properties Trust

     7,080        158,026      

Sunstone Hotel Investors Inc.

     12,520        137,595       (a)

Ventas Inc.

     32,210        2,033,095      
      29,111,242      

Specialty Chemicals — 0.0%*

  

   

Sensient Technologies Corp.

     15,800        580,334      

Specialty Stores — 0.2%

  

   

Dick's Sporting Goods Inc.

     105,676        5,072,448      

Steel — 0.2%

  

   

Allegheny Technologies Inc.

     122,923        3,920,014      

Commercial Metals Co.

     40,500        511,920      
      4,431,934      

Systems Software — 1.7%

  

   

MICROS Systems Inc.

     18,600        952,320       (a)

Microsoft Corp.

     999,187        30,565,131      

Oracle Corp.

     451,347        13,405,006      
           44,922,457      

Tobacco — 0.5%

  

   

Altria Group Inc.

     158,909        5,490,306      

Philip Morris International Inc.

     77,090        6,726,873      
      12,217,179      

Trading Companies & Distributors — 0.0%*

  

   

Applied Industrial Technologies Inc.

     25,500        939,675      

Trucking — 0.0%*

  

   

Old Dominion Freight Line Inc.

     24,150        1,045,454       (a)
    Number of
Shares		     Fair
Value		       

Water Utilities — 0.1%

  

   

American Water Works Company Inc.

     60,800      $ 2,084,224      

Total Domestic Equity
(Cost $951,371,139)

            1,054,559,128      

Foreign Equity — 17.7%

Common Stock — 17.3%

  

   

Advertising — 0.2%

  

   

WPP PLC

     411,374        5,001,309      

Aerospace & Defense — 0.3%

  

   

Safran S.A.

     218,450        8,135,213      

Apparel, Accessories & Luxury Goods — 0.4%

  

   

Adidas AG

     38,910        2,796,811      

Luxottica Group S.p.A.

     117,461        4,113,052      

LVMH Moet Hennessy Louis Vuitton S.A.

     33,843        5,165,008      

Ports Design Ltd.

     105,497        110,795      
      12,185,666      

Application Software — 0.3%

  

   

SAP AG

     152,394        9,049,388      

Automobile Manufacturers — 0.6%

  

   

Astra International Tbk PT

     454,500        335,057      

Brilliance China Automotive Holdings Ltd.

     418,585        370,002       (a)

Hyundai Motor Co.

     7,236        1,485,510      

Kia Motors Corp.

     4,769        314,323      

Suzuki Motor Corp.

     275,995        5,677,268      

Toyota Motor Corp.

     220,365        8,910,582      
      17,092,742      

Biotechnology — 0.1%

  

   

CSL Ltd.

     61,574        2,501,329      

Brewers — 0.2%

  

   

Anadolu Efes Biracilik Ve Malt Sanayii AS

     25,096        321,320      

Anheuser-Busch InBev N.V.

     62,761        4,962,037      
      5,283,357      

Broadcasting — 0.0%*

  

   

Zee Entertainment Enterprises Ltd.

     52,790        140,841      

Casinos & Gaming — 0.0%*

  

   

Genting Bhd

     188,098        561,710      

Sands China Ltd.

     78,568        252,791      
      814,501      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

7

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

    Number of
Shares		     Fair
Value		       

Commodity Chemicals — 0.0%*

  

   

LG Chem Ltd.

     1,115      $ 288,646      

Communications Equipment — 0.2%

  

   

Telefonaktiebolaget LM Ericsson

     505,083        4,631,445      

Construction & Engineering — 0.2%

  

   

China State Construction International Holdings Ltd.

     869,688        830,013      

Doosan Heavy Industries & Construction Company Ltd.

     4,401        223,577      

JGC Corp.

     74,000        2,149,257      

Vinci S.A.

     50,284        2,356,621      
      5,559,468      

Construction & Farm Machinery & Heavy
Trucks — 0.2%

First Tractor Company Ltd.

     244,982        197,899      

Kubota Corp.

     349,000        3,231,109      

Sany Heavy Equipment International Holdings Company Ltd.

     385,776        208,419      

United Tractors Tbk PT

     159,902        367,911      
      4,005,338      

Construction Materials — 0.2%

  

   

HeidelbergCement AG

     88,815        4,275,911      

Department Stores — 0.0%*

  

   

Golden Eagle Retail Group Ltd.

     125,312        258,004      

Distillers & Vintners — 0.5%

  

   

Diageo PLC

     418,946        10,814,181      

Diageo PLC ADR

     23,491        2,421,217      
           13,235,398      

Diversified Banks — 0.0%*

  

   

ICICI Bank Ltd.

     15,767        253,245      

Turkiye Halk Bankasi AS

     58,865        461,774      
      715,019      

Diversified Capital Markets — 0.2%

  

   

Deutsche Bank AG

     129,028        4,670,105      

Diversified Financial Services — 1.6%

  

   

African Bank Investments Ltd.

     67,533        300,450      

Banco Santander Chile ADR

     5,307        411,239      

Bank of China Ltd.

     2,105,980        809,074      

Bank Rakyat Indonesia Persero Tbk PT

     437,964        299,964      

BNP Paribas S.A.

     112,304        4,341,994      

Chinatrust Financial Holding Company Ltd.

     695,074        401,234      

Credicorp Ltd.

     4,934        621,141      

Grupo Financiero Banorte SAB de C.V.

     86,244        442,850      
    Number of
Shares		     Fair
Value		       

HSBC Holdings PLC

     1,307,531      $ 11,538,668      

Industrial & Commercial Bank of China

     1,097,433        615,295      

ING Groep N.V.

     489,417        3,290,305       (a)

Lloyds Banking Group PLC

     5,192,482        2,540,299       (a)

Malayan Banking Bhd

     128,300        352,880      

Metropolitan Bank & Trust

     312,816        690,421      

Sberbank of Russia ADR

     60,006        649,337      

Shinhan Financial Group Company Ltd.

     12,020        421,392      

Standard Bank Group Ltd.

     14,223        192,723      

Standard Chartered PLC

     349,764        7,609,069      

United Overseas Bank Ltd.

     535,705        7,954,653      
      43,482,988      

Diversified Metals & Mining — 0.6%

  

   

Anglo American PLC

     15,268        502,525      

Antofagasta PLC

     45,970        787,511      

BHP Billiton PLC

     261,730        7,449,925      

Rio Tinto PLC

     142,882        6,800,245      
           15,540,206      

Diversified Real Estate Activities — 0.3%

  

   

Daito Trust Construction Company Ltd.

     26,000        2,469,072      

Sumitomo Realty & Development Company Ltd.

     212,000        5,223,906      

Wharf Holdings Ltd.

     196,709        1,095,331      
      8,788,309      

Diversified Support Services — 0.3%

  

   

Aggreko PLC

     140,822        4,586,350      

Brambles Ltd.

     722,013        4,586,157      
      9,172,507      

Drug Retail — 0.0%*

  

   

Raia Drogasil S.A.

     39,827        399,562      

Electric Utilities — 0.1%

  

   

Power Grid Corporation of India Ltd.

     752,567        1,542,306      

Electrical Components & Equipment — 0.0%*

  

   

Zhuzhou CSR Times Electric Company Ltd.

     186,599        515,077      

Electronic Components — 0.0%*

  

   

Largan Precision Company Ltd.

     17,000        355,473       (a)

Electronic Equipment & Instruments — 0.1%

  

   

Hexagon AB

     194,504        3,345,921      

Electronic Manufacturing Services — 0.0%*

  

   

Hon Hai Precision Industry Company Ltd.

     243,086        734,981      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

8

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

    Number of
Shares		     Fair
Value		       

Fertilizers & Agricultural Chemicals — 0.6%

  

   

Potash Corporation of Saskatchewan Inc.††

     73,715      $ 3,220,608      

Potash Corporation of Saskatchewan Inc.††

     120,876        5,276,357      

Sociedad Quimica y Minera de Chile S.A. ADR

     15,725        875,411      

Syngenta AG

     19,829        6,806,968      
      16,179,344      

Food Retail — 0.1%

  

   

Magnit OJSC GDR

     21,229        638,568      

President Chain Store Corp.

     64,991        346,765       (a)

Shoprite Holdings Ltd.

     52,919        976,564      

TESCO PLC

     38,726        188,478      
      2,150,375      

Healthcare Services — 0.3%

  

   

Diagnosticos da America S.A.

     29,941        195,953      

Fresenius SE & Company KGaA

     80,267        8,333,975      
           8,529,928      

Healthcare Supplies — 0.3%

  

   

Cie Generale d'Optique Essilor International S.A.

     85,036        7,921,983      

Shandong Weigao Group Medical Polymer Company Ltd.

     150,447        167,965      
      8,089,948      

Heavy Electrical Equipment — 0.1%

  

   

ABB Ltd. ADR

     120,939        1,973,724      

Dongfang Electric Corporation Ltd.

     113,284        232,624      
      2,206,348      

Highways & Railtracks — 0.0%*

  

   

CCR S.A.

     40,590        328,388      

Household Appliances — 0.0%*

  

   

Techtronic Industries Co.

     276,781        351,475      

Household Products — 0.6%

  

   

Reckitt Benckiser Group PLC

     127,346        6,741,007      

Unicharm Corp.

     145,200        8,279,984      
      15,020,991      

Human Resource & Employment Services — 0.2%

Capita PLC

     546,040        5,619,140      

Industrial Conglomerates — 0.1%

  

   

Chongqing Machinery & Electric Company Ltd.

     148,600        20,224      

Siemens AG

     36,510        3,076,435      
      3,096,659      

Industrial Gases — 0.4%

  

   

Linde AG

     64,908        10,137,174      
    Number of
Shares		     Fair
Value		       

Industrial Machinery — 0.8%

  

   

Alfa Laval AB

     225,462      $ 3,871,660      

FANUC Corp.

     43,400        7,147,100      

Mitsubishi Heavy Industries Ltd.

     787,000        3,205,098      

Nikon Corp.

     67,458        2,057,202      

SMC Corp.

     20,600        3,578,071      

Vallourec S.A.

     49,120        2,012,732      
      21,871,863      

Integrated Oil & Gas — 1.5%

BG Group PLC

     457,289        9,375,124       (a)

Cenovus Energy Inc.

     23,816        756,216      

China Petroleum & Chemical Corp.

     746,496        667,258      

Eni S.p.A.

     220,941        4,707,093      

Gazprom OAO ADR

     83,498        793,231      

Lukoil OAO ADR

     15,302        858,136      

Petroleo Brasileiro S.A. ADR

     126,517        2,295,018      

Royal Dutch Shell PLC

     249,294        8,411,784      

Royal Dutch Shell PLC ADR

     55,273        3,727,058      

Suncor Energy Inc.

     212,957        6,149,840      

Total S.A.

     35,842        1,617,734      
      39,358,492      

Internet Software & Services — 0.7%

Baidu Inc. ADR

     167,372        19,244,433       (a)

IT Consulting & Other Services — 0.1%

Cap Gemini S.A.

     87,048        3,212,851      

HCL Technologies Ltd.

     46,105        394,630      

Infosys Ltd.

     6,394        288,579      
      3,896,060      

Life & Health Insurance — 0.9%

AIA Group Ltd.

     2,715,020        9,379,164      

Ping An Insurance Group Co.

     33,515        270,816      

Prudential PLC

     823,155        9,558,509      

Sony Financial Holdings Inc.

     243,800        3,986,459      
           23,194,948      

Life Sciences Tools & Services — 0.0%*

ICON PLC ADR

     22,200        500,166       (a)

Managed Healthcare — 0.0%*

Odontoprev S.A.

     53,022        267,940      

Marine Ports & Services — 0.0%*

Adani Ports and Special Economic Zone

     171,869        374,493      

Multi-Line Insurance — 0.3%

AXA S.A.

     235,062        3,151,291      

Zurich Insurance Group AG

     19,818        4,493,872      
      7,645,163      

Multi-Utilities — 0.3%

National Grid PLC

     764,695        8,116,161      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

9

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

    Number of
Shares		     Fair
Value		       

Office Electronics — 0.0%*

Canon Inc.

     29,285      $ 1,170,903      

Oil & Gas Equipment & Services — 0.0%*

Subsea 7 S.A.

     34,770        688,588      

Oil & Gas Exploration & Production — 0.1%

Afren PLC

     368,282        599,539       (a)

Canadian Natural Resources Ltd.

     34,185        915,780      

CNOOC Ltd.

     329,056        663,510      

Pacific Rubiales Energy Corp.

     11,193        236,717      
      2,415,546      

Packaged Foods &; Meats — 0.7%

Nestle S.A.

     196,334        11,749,599      

Nestle S.A. ADR

     33,402        1,995,435      

Thai Union Frozen Products PCL

     199,072        449,730      

Unilever N.V.

     143,453        4,805,554      
      19,000,318      

Pharmaceuticals — 0.8%

Aspen Pharmacare Holdings Ltd.

     17,531        270,029      

Bayer AG

     60,142        4,345,948      

Novartis AG

     136,988        7,680,623      

Novartis AG ADR

     98,790        5,522,361      

Roche Holding AG

     24,059        4,167,417      
           21,986,378      

Real Estate Operating Companies — 0.0%*

Iguatemi Empresa de Shopping Centers S.A.

     21,372        439,415       (a)

Regional Banks — 0.1%

The Bank of Yokohama Ltd.

     771,948        3,656,503      

Semiconductors — 0.8%

  

   

Samsung Electronics Company Ltd.

     10,884        11,526,011      

Taiwan Semiconductor Manufacturing Company Ltd.

     3,481,433        9,530,305       (a)

Taiwan Semiconductor Manufacturing Company Ltd. ADR

     28,483        397,622       (a)
      21,453,938      

Thrifts & Mortgage Finance — 0.0%*

  

   

Housing Development Finance Corp.

     36,978        434,381      

Tobacco — 0.0%*

  

   

ITC Ltd.

     126,569        591,667      

Trading Companies & Distributors — 0.2%

  

   

Mitsubishi Corp.

     196,700        3,983,375      
    Number of
Shares		     Fair
Value		       

Wireless Telecommunication Services — 0.7%

  

   

America Movil SAB de C.V. ADR

     29,839      $ 777,604      

Millicom International Cellular S.A.

     4,171        394,500      

MTN Group Ltd.

     19,980        345,838      

Softbank Corp.

     196,198        7,316,477      

Vodafone Group PLC

     3,322,811        9,353,321      
      18,187,740      

Total Common Stock
(Cost $461,064,753)

            471,909,251      

Preferred Stock — 0.4%

                     

Automobile Manufacturers — 0.2%

  

   

Volkswagen AG

     38,983        6,193,321      

Diversified Financial Services — 0.0%*

  

   

Itau Unibanco Holding S.A.

     56,640        793,850      

Electric Utilities — 0.0%*

  

   

Cia Energetica de Minas Gerais

     19,473        362,061      

Hypermarkets & Super Centers — 0.0%*

  

   

Cia Brasileira de Distribuicao Grupo Pao de Acucar

     7,261        287,785      

Integrated Oil & Gas — 0.0%*

  

   

Petroleo Brasileiro S.A.

     51,227        463,174      

Multi-Line Insurance — 0.1%

  

   

XLIT Ltd 3.58%.

     1,655        1,206,081       (i)

Steel — 0.1%

  

   

Vale S.A.

     66,891        1,297,754      

Total Preferred Stock
(Cost $10,913,463)

       10,604,026      

Total Foreign Equity
(Cost $471,978,216)

       482,513,277      
           Principal
Amount		     Fair
Value		        

Bonds and Notes — 27.7%

  

             

U.S. Treasuries — 4.4%

  

     

U.S. Treasury Bonds

  

     

3.00%

   

05/15/42

   $ 19,639,500      $ 20,569,313       (h)

3.13%

   

02/15/42

       29,923,900           32,140,124       (h)
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

10

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

        Principal
Amount		     Fair
Value		       

U.S. Treasury Notes

  

     

0.32%

  

03/31/14

   $ 11,190,700      $ 11,177,585       (d,h)

0.68%

  

01/31/17

     653,200        658,865       (d,h)

0.72%

  

05/31/17

     31,606,800        31,461,124       (d,h)

1.75%

  

05/15/22

     23,138,900        23,326,904       (h)
           119,333,915      

Agency Mortgage Backed — 11.2%

  

     

Federal Home Loan Mortgage Corp.

       

2.38%

  

01/13/22

     4,992,000        5,123,060      

4.50%

  

06/01/33 - 02/01/35

     21,650        23,178       (h)

5.00%

  

07/01/35 - 06/01/41

     4,720,208        5,229,603       (h)

5.50%

  

05/01/20 - 04/01/39

     2,141,228        2,375,890       (h)

6.00%

  

04/01/17 - 11/01/37

     2,173,549        2,421,434       (h)

6.50%

  

06/01/29 - 03/01/30

     2,880        3,296       (h)

7.00%

  

06/01/29 - 08/01/36

     115,225        135,568       (h)

7.50%

  

01/01/28 - 09/01/33

     16,018        18,818       (h)

8.00%

  

01/01/30 - 11/01/30

     10,541        12,672       (h)

9.00%

  

10/01/25

     305        377       (h)

Federal National Mortgage Assoc.

       

2.72%

  

04/01/37

     4,274        4,456       (i)

2.89%

  

03/01/37

     6,871        6,965       (i)

4.00%

  

05/01/19 - 05/01/42

     63,033,638        67,335,375       (h)

4.50%

  

05/01/18 - 04/01/41

     42,493,119        45,711,855       (h)

5.00%

  

07/01/20 - 06/01/41

     8,648,423        9,598,001       (h)

5.50%

  

04/01/14 - 01/01/39

     18,423,185        20,215,932       (h)

6.00%

  

09/01/19 - 08/01/35

     4,129,992        4,638,302       (h)

6.50%

  

09/01/17 - 08/01/36

     333,657        376,707       (h)

7.00%

  

04/01/17 - 12/01/33

     5,986        6,665       (h)

7.50%

  

09/01/13 - 03/01/34

     36,366        42,301       (h)

8.00%

  

12/01/15 - 11/01/33

     12,507        15,170       (h)

9.00%

  

12/01/17 - 12/01/22

     2,921        3,370       (h)

3.50%

  

TBA

     65,580,000        68,984,325       (c)

4.00%

  

TBA

     3,895,000        4,145,132       (c)

4.50%

  

TBA

     350,000        375,430       (c)

5.00%

  

TBA

     13,535,000        14,647,408       (c)

6.00%

  

TBA

     9,810,000        10,780,270       (c)

6.50%

  

TBA

     5,044,000        5,676,076       (c)

Government National Mortgage Assoc.

       

4.50%

  

08/15/33 - 03/20/41

     19,753,594        21,791,061       (h)

6.00%

  

04/15/27 - 09/15/36

     347,218        395,626       (h)

6.50%

  

04/15/24 - 09/15/36

     229,249        266,249       (h)

7.00%

  

06/15/34 - 10/15/36

     184,035        218,102       (h)

8.00%

  

03/15/30

     3,065        3,241       (h)

9.00%

  

11/15/16 - 12/15/21

     7,234        8,050       (h)

4.00%

  

TBA

     6,635,000        7,245,627       (c)

4.50%

  

TBA

     5,680,000        6,243,562       (c)
        304,079,154      

Agency Collateralized Mortgage Obligations — 0.2%

Federal Home Loan Mortgage Corp.

       

0.08%

  

09/25/43

     240,857        1,944       (g,h,i)
        Principal
Amount		     Fair
Value		       

Federal Home Loan Mortgage Corp. REMIC

       

3.50%

  

11/15/24 - 11/15/30

   $ 10,765,236      $      1,291,627       (g,n)

4.50%

  

02/15/18 - 03/15/18

     28,978        1,381       (g,h,n)

5.00%

  

07/15/17 - 02/15/38

     370,193        27,701       (g,h,n)

5.50%

  

06/15/33

     24,890        3,565       (g,h,n)

6.36%

  

08/15/25

     3,142,296        453,017       (g,i)

7.50%

  

07/15/27

     2,657        586       (g,h,n)

Federal Home Loan Mortgage Corp. STRIPS

       

3.33%

  

08/01/27

     457        402       (d,f,h)

8.00%

  

02/01/23 - 07/01/24

     1,774        362       (g,h,n)

Federal National Mortgage Assoc. REMIC

       

1.19%

  

12/25/42

     116,387        3,269       (g,h,i)

3.50%

  

05/25/27

     2,341,170        298,472       (g,n)

4.50%

  

05/25/18

     3,312        37       (g,h,n)

5.00%

  

10/25/22 - 09/25/40

     5,004,306        632,329       (g,h,n)

5.75%

  

07/25/38

     1,389,042        184,353       (g,i)

8.00%

  

05/25/22

     2        51       (g,h,n)

Federal National Mortgage Assoc. STRIPS

       

4.50%

  

08/01/35 - 01/01/36

     1,228,908        142,464       (g,n)

5.00%

  

03/25/38 - 05/25/38

     778,454        104,544       (g,n)

5.50%

  

12/01/33

     123,701        16,967       (g,n)

6.00%

  

01/01/35

     469,260        81,940       (g,n)

7.50%

  

11/01/23

     7,897        1,680       (g,h,n)

8.00%

  

08/01/23 - 07/01/24

     3,635        780       (g,h,n)

Government National Mortgage Assoc.

       

4.50%

  

10/20/37 - 08/16/39

     6,906,533        789,077       (g,n)

5.00%

  

12/20/35 - 09/20/38

     5,700,549        565,738       (g,n)

6.41%

  

06/20/40

     11,949,201        1,850,861       (g,i)
        6,453,147      

Asset Backed — 0.3%

  

     

Bear Stearns Asset Backed Securities Trust

       

3.46%

  

02/25/36

     573,405        559,426       (d,h,i)

5.74%

  

01/25/34

     4,239        3,241       (d,h,i)

Capital One Multi-Asset Execution Trust

       

1.07%

  

01/15/19

     500,000        490,013       (d,i)

Chase Funding Mortgage Loan Asset-Backed Certificates

       

3.99%

  

11/25/33

     1,019,489        911,903       (h)

Citicorp Residential Mortgage Securities Inc.

       

6.04%

  

09/25/36

     3,750,000        2,759,706       (h)

Countrywide Asset-Backed Certificates

       

1.30%

  

06/26/33

     586,601        249,213       (h,i)

Hertz Vehicle Financing LLC

       

2.60%

  

02/25/15

     1,500,000        1,529,892       (b,h)

Mid-State Trust

       

7.54%

  

07/01/35

     3,217        3,265      

Popular ABS Mortgage Pass-Through Trust

       

5.30%

  

11/25/35

     700,000        413,748       (h)
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

11

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

        Principal
Amount		     Fair
Value		       

Residential Asset Securities Corp.

       

14.91%

  

07/25/32

   $ 3,673      $ 2,240       (d,h,i)
           6,922,647      

Corporate Notes — 9.8%

  

     

ABB Finance USA Inc.

       

1.63%

  

05/08/17

     945,000        949,564       (h)

2.88%

  

05/08/22

     945,000        955,920       (h)

AES Panama S.A.

       

6.35%

  

12/21/16

     443,000        476,225       (b,h)

Agilent Technologies Inc.

       

5.50%

  

09/14/15

     909,000        1,017,227       (h)

Air Jamaica Ltd.

       

9.38%

  

07/08/15

     165,000        171,188      

Allergan Inc.

       

3.38%

  

09/15/20

     655,000        696,712       (h)

ALROSA Finance S.A.

       

7.75%

  

11/03/20

     600,000        628,362       (b,h)

America Movil SAB de C.V.

       

2.38%

  

09/08/16

     3,032,000        3,110,532       (h)

American Axle & Manufacturing Inc.

       

7.88%

  

03/01/17

     865,000        893,113       (h)

American Express Credit Corp.

       

1.75%

  

06/12/15

     1,413,000        1,429,049      

American International Group Inc.

       

4.88%

  

06/01/22

     708,000        724,441       (h)

Amgen Inc.

       

2.13%

  

05/15/17

     472,000        477,541       (h)

2.30%

  

06/15/16

     701,000        720,468       (h)

2.50%

  

11/15/16

     470,000        488,330       (h)

3.63%

  

05/15/22

     472,000        488,088       (h)

5.38%

  

05/15/43

     472,000        510,583       (h)

5.65%

  

06/15/42

     1,055,000        1,177,299       (h)

Amphenol Corp.

       

4.00%

  

02/01/22

     1,875,000        1,910,128       (h)

Amsted Industries Inc.

       

8.13%

  

03/15/18

     416,000        439,920       (b,h)

Anadarko Petroleum Corp.

       

5.95%

  

09/15/16

     794,000        901,014       (h)

6.38%

  

09/15/17

     531,000        616,828       (h)

Anheuser-Busch InBev Worldwide Inc.

       

3.63%

  

04/15/15

     1,433,000        1,534,395       (h)

5.38%

  

11/15/14

     1,296,000        1,428,734       (h)

Apache Corp.

       

4.75%

  

04/15/43

     950,000        1,055,234       (h)

Arch Coal Inc.

       

7.00%

  

06/15/19

     893,000        754,585      

Archer-Daniels-Midland Co.

       

5.77%

  

03/01/41

     1,698,000        2,159,406       (h)

Arizona Public Service Co.

       

6.25%

  

08/01/16

     273,000        320,245       (h)

AT&T Inc.

       

0.90%

  

02/13/15

     1,895,000        1,893,584       (d,h)

1.60%

  

02/15/17

     948,000        949,213       (h)

2.95%

  

05/15/16

     844,000        893,943       (h)

5.55%

  

08/15/41

     665,000        792,651       (h)

5.60%

  

05/15/18

     165,000        197,482       (h)

6.40%

  

05/15/38

     2,084,000        2,622,997       (h)
        Principal
Amount		     Fair
Value		       

Banco del Estado de Chile

       

3.88%

  

02/08/22

   $ 200,000      $ 203,430       (b,h)

Banco do Nordeste do Brasil S.A.

       

3.63%

  

11/09/15

     200,000        202,000       (b,h)

Banco Mercantil del Norte S.A.

       

6.86%

  

10/13/21

     100,000        103,500       (b,h,i)

Bank of America Corp.

       

3.88%

  

03/22/17

     1,424,000        1,450,625       (h)

5.63%

  

10/14/16

     475,000        504,812       (h)

5.70%

  

01/24/22

     2,496,000        2,748,830       (h)

5.75%

  

12/01/17

     955,000             1,019,172       (h)

5.88%

  

02/07/42

     474,000        519,210       (h)

6.50%

  

08/01/16

     510,000        560,048       (h)

Barclays Bank PLC

       

2.25%

  

05/10/17

     2,354,000        2,353,861       (b,h)

Baxter International Inc.

       

1.85%

  

01/15/17

     1,128,000        1,152,639       (h)

Berkshire Hathaway Finance Corp.

       

1.60%

  

05/15/17

     944,000        950,573       (h)

3.00%

  

05/15/22

     1,416,000        1,432,899      

Berkshire Hathaway Inc.

       

3.75%

  

08/15/21

     457,000        487,519      

BG Energy Capital PLC

       

2.88%

  

10/15/16

     486,000        512,113       (b,h)

4.00%

  

10/15/21

     475,000        506,851       (b,h)

BHP Billiton Finance USA Ltd.

       

1.63%

  

02/24/17

     1,414,000        1,423,716       (h)

Bombardier Inc.

       

7.75%

  

03/15/20

     1,251,000        1,391,738       (b,h)

Boston Properties LP (REIT)

       

3.85%

  

02/01/23

     943,000        951,859      

BP Capital Markets PLC

       

1.85%

  

05/05/17

     661,000        667,574       (h)

2.25%

  

11/01/16

     1,425,000        1,467,560       (h)

3.25%

  

05/06/22

     1,418,000        1,468,183       (h)

Broadcom Corp.

       

2.70%

  

11/01/18

     949,000        978,492      

Calpine Corp.

       

7.25%

  

10/15/17

     887,000        953,525       (b,h)

Cameron International Corp.

       

1.60%

  

04/30/15

     472,000        472,336      

3.60%

  

04/30/22

     472,000        472,764      

Cardinal Health Inc.

       

1.90%

  

06/15/17

     1,416,000        1,426,603      

Cargill Inc.

       

5.20%

  

01/22/13

     2,235,000        2,288,381       (b,h)

Carolina Power & Light Co.

       

2.80%

  

05/15/22

     1,763,000        1,791,929      

Case New Holland Inc.

       

7.88%

  

12/01/17

     507,000        585,585      

Caterpillar Inc.

       

1.50%

  

06/26/17

     1,073,000        1,074,486      

2.60%

  

06/26/22

     894,000        891,657      

CBS Corp.

       

1.95%

  

07/01/17

     448,000        447,552      

4.85%

  

07/01/42

     448,000        438,484      

CCO Holdings LLC

       

8.13%

  

04/30/20

     739,000        823,985      

Central American Bank for Economic Integration

       

5.38%

  

09/24/14

     770,000        823,634       (b)
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

12

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

        Principal
Amount		     Fair
Value		       

CenturyLink Inc.

       

5.80%

  

03/15/22

   $ 671,000      $ 667,984      

7.65%

  

03/15/42

     688,000        667,746      

Cigna Corp.

       

2.75%

  

11/15/16

     3,169,000             3,264,932       (h)

5.38%

  

02/15/42

     948,000        1,008,668       (h)

Cincinnati Bell Inc.

       

8.25%

  

10/15/17

     626,000        651,040       (h)

Citigroup Inc.

       

4.45%

  

01/10/17

     1,897,000        1,988,517      

5.00%

  

09/15/14

     3,057,000        3,133,630       (h)

5.88%

  

01/30/42

     706,000        771,069      

6.13%

  

08/25/36

     470,000        462,281      

CityCenter Holdings LLC

       

7.63%

  

01/15/16

     506,000        533,830      

CNA Financial Corp.

       

5.88%

  

08/15/20

     927,000        1,019,379       (h)

CNPC HK Overseas Capital Ltd.

       

4.50%

  

04/28/21

     200,000        213,877       (b)

Columbus International Inc.

       

11.50%

  

11/20/14

     200,000        213,008       (b)

Comision Federal de Electricidad

       

4.88%

  

05/26/21

     1,075,000        1,161,000       (b,h)

Consolidated Edison Company of New York Inc.

       

5.85%

  

04/01/18

     1,505,000        1,833,951       (h)

6.65%

  

04/01/19

     528,000        670,221       (h)

Corning Inc.

       

4.75%

  

03/15/42

     1,109,000        1,162,114      

Corp Lindley S.A.

       

6.75%

  

11/23/21

     85,000        91,800       (b)

Corp Nacional del Cobre de Chile

       

3.75%

  

11/04/20

     871,000        908,353       (b,h)

5.63%

  

09/21/35

     134,000        156,698       (b,h)

Covidien International Finance S.A.

       

1.35%

  

05/29/15

     944,000        945,226      

3.20%

  

06/15/22

     944,000        973,237      

Credit Suisse AG

       

2.60%

  

05/27/16

     1,009,000        1,036,615       (b)

Crown Castle Towers LLC

       

4.88%

  

08/15/40

     1,250,000        1,357,145       (b,h)

6.11%

  

01/15/40

     326,000        377,383       (b,h)

CSX Corp.

       

4.25%

  

06/01/21

     909,000        992,743      

CVS Caremark Corp.

       

3.25%

  

05/18/15

     365,000        384,198      

5.75%

  

06/01/17

     735,000        868,025      

DaVita Inc.

       

6.38%

  

11/01/18

     843,000        870,398       (h)

DDR Corp. (REIT)

       

4.63%

  

07/15/22

     626,000        617,815      

Deere & Co.

       

2.60%

  

06/08/22

     942,000        940,352      

3.90%

  

06/09/42

     848,000        842,491      

Denbury Resources Inc.

       

6.38%

  

08/15/21

     761,000        791,440       (h)

8.25%

  

02/15/20

     399,000        436,905       (h)

DENTSPLY International Inc.

       

2.75%

  

08/15/16

     1,456,000        1,480,337       (h)

4.13%

  

08/15/21

     953,000        992,143       (h)
        Principal
Amount		     Fair
Value		       

Deutsche Telekom International Finance BV

       

2.25%

  

03/06/17

   $ 474,000      $ 468,367       (b,h)

Development Bank of Kazakhstan JSC

       

5.50%

  

12/20/15

     200,000        208,250       (b,h)

Devon Energy Corp.

       

1.88%

  

05/15/17

     944,000        944,166       (h)

Diageo Capital PLC

       

1.50%

  

05/11/17

     1,416,000        1,421,217       (h)

Diageo Investment Corp.

       

2.88%

  

05/11/22

     1,416,000        1,454,589       (h)

4.25%

  

05/11/42

     378,000        400,024       (h)

DIRECTV Holdings LLC

       

2.40%

  

03/15/17

     964,000        970,348       (h)

3.80%

  

03/15/22

     482,000        487,443       (h)

4.60%

  

02/15/21

     945,000        1,005,043       (h)

4.75%

  

10/01/14

     1,026,000             1,101,337       (h)

5.15%

  

03/15/42

     964,000        970,217       (h)

Dominion Resources Inc.

       

1.95%

  

08/15/16

     667,000        679,696       (h)

4.90%

  

08/01/41

     398,000        449,801       (h)

DPL Inc.

       

7.25%

  

10/15/21

     844,000        936,840       (b,h)

Duke Realty LP (REIT)

       

6.50%

  

01/15/18

     986,000        1,117,544       (h)

Eastman Chemical Co.

       

2.40%

  

06/01/17

     2,654,000        2,682,116      

Ecopetrol S.A.

       

7.63%

  

07/23/19

     345,000        434,700       (h)

Empresa de Energia de Bogota S.A.

       

6.13%

  

11/10/21

     168,000        177,240       (b,h)

Empresa Nacional del Petroleo

       

4.75%

  

12/06/21

     250,000        261,192       (b,h)

Energy Transfer Equity LP

       

7.50%

  

10/15/20

     632,000        693,620       (h)

Energy Transfer Partners LP

       

6.50%

  

02/01/42

     225,000        241,119       (h)

6.70%

  

07/01/18

     701,000        804,083       (h)

European Investment Bank

       

0.73%

  

12/15/14

     1,420,000        1,424,866       (d,h)

4.88%

  

01/17/17

     2,440,000        2,807,749       (h)

Exelon Corp.

       

4.90%

  

06/15/15

     1,393,000        1,514,025       (h)

Export Credit Bank of Turkey

       

5.38%

  

11/04/16

     300,000        309,750       (b,h)

Express Scripts Holding Co.

       

2.65%

  

02/15/17

     1,626,000        1,654,242       (b,h)

3.13%

  

05/15/16

     1,421,000        1,479,504       (h)

3.90%

  

02/15/22

     474,000        491,308       (b,h)

4.75%

  

11/15/21

     474,000        524,518       (b,h)

6.13%

  

11/15/41

     730,000        887,083       (b,h)

First Citizens St Lucia Ltd.

       

4.90%

  

02/09/16

     450,000        464,541       (b)

Florida Power & Light Co.

       

4.13%

  

02/01/42

     847,000        886,803      

Ford Motor Credit Company LLC

       

3.00%

  

06/12/17

     942,000        936,811      

5.88%

  

08/02/21

     994,000        1,105,833      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

13

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

        Principal
Amount		     Fair
Value		       

Forest Oil Corp.

       

7.25%

  

06/15/19

   $ 843,000      $ 773,453      

Fresenius Medical Care US Finance Inc.

       

5.75%

  

02/15/21

     1,734,000           1,805,528       (b)

Frontier Communications Corp.

       

7.13%

  

03/15/19

     886,000        894,860       (h)

Georgia Power Co.

       

4.30%

  

03/15/42

     472,000        491,665      

Globo Comunicacao e Participacoes S.A.

       

6.25%

  

12/31/49

     180,000        192,114       (b,j)

Goldman Sachs Capital I

       

6.35%

  

02/15/34

     750,000        709,391      

Great Plains Energy Inc.

       

4.85%

  

06/01/21

     1,004,000        1,078,272      

Grupo Bimbo SAB de C.V.

       

4.50%

  

01/25/22

     200,000        212,759       (b)

Hanesbrands Inc.

       

6.38%

  

12/15/20

     903,000        950,408       (h)

Hartford Financial Services Group Inc.

       

5.13%

  

04/15/22

     949,000        977,238      

HCA Inc.

       

6.50%

  

02/15/20

     799,000        865,916       (h)

Heineken N.V.

       

3.40%

  

04/01/22

     1,901,000        1,946,957       (b,h)

Hewlett-Packard Co.

       

4.05%

  

09/15/22

     1,180,000        1,188,778      

Host Hotels & Resorts LP (REIT)

       

6.00%

  

11/01/20

     421,000        456,785      

HSBC Finance Corp.

       

6.68%

  

01/15/21

     506,000        547,853       (h)

HSBC Holdings PLC

       

4.00%

  

03/30/22

     951,000        987,517      

Hughes Satellite Systems Corp.

       

6.50%

  

06/15/19

     905,000        961,563       (h)

Indo Energy Finance BV

       

7.00%

  

05/07/18

     100,000        97,750       (b)

Ingles Markets Inc.

       

8.88%

  

05/15/17

     926,000        1,008,183      

Instituto Costarricense de Electricidad

       

6.95%

  

11/10/21

     300,000        307,656       (b)

Inter-American Development Bank

       

1.38%

  

10/18/16

     1,425,000        1,457,460      

Intergas Finance BV

       

6.38%

  

05/14/17

     100,000        108,558       (b,h)

IPIC GMTN Ltd.

       

3.75%

  

03/01/17

     316,000        328,640       (b)

John Deere Capital Corp.

       

2.25%

  

04/17/19

     948,000        968,951      

3.15%

  

10/15/21

     1,122,000        1,166,909       (h)

JPMorgan Chase & Co.

       

4.35%

  

08/15/21

     1,233,000        1,301,306      

4.50%

  

01/24/22

     1,889,000        2,034,865      

Kazakhstan Temir Zholy Finance BV

       

6.38%

  

10/06/20

     200,000        220,000       (b)
        Principal
Amount		     Fair
Value		       

KazMunayGas National Co.

       

9.13%

  

07/02/18

   $ 100,000      $ 123,750       (b)

11.75%

  

01/23/15

     100,000        118,995       (b)

Kinross Gold Corp.

       

6.88%

  

09/01/41

     283,000        287,195      

Koninklijke Philips Electronics N.V.

       

3.75%

  

03/15/22

     964,000        1,000,514       (h)

5.00%

  

03/15/42

     964,000        1,036,343       (h)

Korea Development Bank

       

3.25%

  

03/09/16

     897,000        925,938       (h)

4.00%

  

09/09/16

     518,000        551,191       (h)

Korea Expressway Corp.

       

4.50%

  

03/23/15

     133,000        140,432       (b,h)

Korea Hydro & Nuclear Power Company Ltd.

       

4.75%

  

07/13/21

     332,000        360,921       (b,h)

Korea National Oil Corp.

       

2.88%

  

11/09/15

     686,000        697,219       (b,h)

3.13%

  

04/03/17

     951,000        969,755       (b,h)

Kraft Foods Group Inc.

       

1.63%

  

06/04/15

     943,000        952,976       (b,h)

2.25%

  

06/05/17

     943,000        965,517       (b,h)

5.00%

  

06/04/42

     1,132,000             1,198,082       (b,h)

Kreditanstalt fuer Wiederaufbau

       

3.50%

  

03/10/14

     587,000        616,184       (h)

4.50%

  

07/16/18

     1,567,000        1,836,671       (h)

Levi Strauss & Co.

       

7.63%

  

05/15/20

     888,000        943,500       (h)

Liberty Mutual Group Inc.

       

4.95%

  

05/01/22

     662,000        657,892       (b)

6.50%

  

05/01/42

     710,000        718,659       (b)

Linn Energy LLC

  

   

8.63%

  

04/15/20

     694,000        747,785      

Listrindo Capital BV

  

   

6.95%

  

02/21/19

     300,000        306,948       (b)

Lorillard Tobacco Co.

  

   

3.50%

  

08/04/16

     974,000        1,015,358      

Lowe's Companies Inc.

  

   

4.65%

  

04/15/42

     496,000        526,702       (h)

LyondellBasell Industries N.V.

  

   

5.00%

  

04/15/19

     500,000        524,375       (b,h)

Majapahit Holding BV

  

   

7.75%

  

10/17/16

     400,000        457,000       (b,h)

Marathon Petroleum Corp.

  

   

6.50%

  

03/01/41

     477,000        542,090       (h)

McDonald's Corp.

  

   

1.88%

  

05/29/19

     944,000        941,867       (h)

MidAmerican Energy Holdings Co.

  

   

6.13%

  

04/01/36

     1,000,000        1,251,246       (h)

Molson Coors Brewing Co.

  

   

5.00%

  

05/01/42

     757,000        817,842      

Morgan Stanley

  

   

5.50%

  

07/28/21

     898,000        884,761      

5.75%

  

01/25/21

     473,000        466,398      

Mylan Inc.

  

   

7.88%

  

07/15/20

     281,000        315,071       (b)

National Agricultural Cooperative Federation

       

4.25%

  

01/28/16

     545,000        573,910       (b,h)

5.00%

  

09/30/14

     200,000        212,089       (b)
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

14

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

        Principal
Amount		     Fair
Value		      

National JSC Naftogaz of Ukraine

      

9.50%

  

09/30/14

   $ 200,000      $ 191,750     

Newfield Exploration Co.

  

  

5.63%

  

07/01/24

     788,000        805,730     

5.75%

  

01/30/22

     844,000        881,980      (h)

Newmont Mining Corp.

  

  

4.88%

  

03/15/42

     954,000        930,244     

News America Inc.

  

  

6.65%

  

11/15/37

     579,000        675,872     

NextEra Energy Capital Holdings Inc.

      

2.60%

  

09/01/15

     1,886,000        1,937,680      (h)

Nisource Finance Corp.

  

  

3.85%

  

02/15/23

     1,074,000        1,072,964     

Nordea Bank AB

  

  

3.13%

  

03/20/17

     2,852,000        2,864,175      (b)

Occidental Petroleum Corp.

  

  

2.70%

  

02/15/23

     1,342,000        1,350,441     

Odebrecht Drilling Norbe VIII/IX Ltd.

  

  

6.35%

  

06/30/21

     294,000        307,965      (b)

Oglethorpe Power Corp.

  

  

5.38%

  

11/01/40

     491,000        576,301     

Omnicom Group Inc.

  

  

3.63%

  

05/01/22

     1,253,000           1,273,175     

ONEOK Partners LP

  

  

6.13%

  

02/01/41

     1,064,000        1,199,742      (h)

Pacific Gas & Electric Co.

  

  

6.05%

  

03/01/34

     1,936,000        2,439,722      (h)

PacifiCorp

        

6.00%

  

01/15/39

     1,250,000        1,642,359      (h)

6.25%

  

10/15/37

     153,000        205,727     

PAETEC Holding Corp.

8.88%

  

06/30/17

     236,000        254,290     

Peabody Energy Corp.

6.25%

  

11/15/21

     502,000        496,980      (b)

Penerbangan Malaysia Bhd

5.63%

  

03/15/16

     230,000        256,678     

PepsiCo Inc.

2.75%

  

03/05/22

     1,276,000        1,287,881      (h)

Pernod-Ricard S.A.

4.45%

  

01/15/22

     707,000        732,559      (b)

Petrobras International Finance Co.

2.88%

  

02/06/15

     380,000        385,700     

3.50%

  

02/06/17

     1,424,000        1,461,713      (h)

3.88%

  

01/27/16

     420,000        433,625     

Petroleos Mexicanos

5.50%

  

06/27/44

     179,000        183,028      (b)

6.50%

  

06/02/41

     167,000        194,973      (b)

Petronas Capital Ltd.

5.25%

  

08/12/19

     580,000        666,506      (b)

7.88%

  

05/22/22

     380,000        519,370      (b)

Philip Morris International Inc.

2.50%

  

05/16/16

     1,004,000        1,053,479      (h)

Phillips 66

5.88%

  

05/01/42

     424,000        456,430      (b)

Pioneer Natural Resources Co.

3.95%

  

07/15/22

     894,000        896,163     

Power Sector Assets & Liabilities Management Corp.

      

7.25%

  

05/27/19

     600,000        753,000     

7.39%

  

12/02/24

     200,000        258,000      (b,h)
        Principal
Amount		     Fair
Value		       

Pride International Inc.

6.88%

  

08/15/20

   $ 950,000      $ 1,165,622       (h)

Prudential Financial Inc.

5.63%

  

05/12/41

     475,000        485,098       (h)

5.80%

  

11/16/41

     238,000        249,146       (h)

Qatari Diar Finance QSC (REIT)

5.00%

  

07/21/20

     250,000        280,000       (b,h)

Range Resources Corp.

5.75%

  

06/01/21

     843,000        880,935       (h)

Raytheon Co.

1.40%

  

12/15/14

     942,000        955,746       (h)

Rio Tinto Finance USA PLC

3.50%

  

03/22/22

     957,000        1,008,598       (h)

Roche Holdings Inc.

6.00%

  

03/01/19

     1,649,000        2,051,099       (b,h)

Rowan Companies Inc.

4.88%

  

06/01/22

     472,000        476,152       (h)

Russian Agricultural Bank OJSC Via RSHB Capital S.A.

       

5.30%

  

12/27/17

     400,000        405,000       (b)

6.00%

  

06/03/21

     600,000        590,628       (b,h,i)

RZD Capital Ltd.

5.74%

  

04/03/17

     200,000        213,486      

Sempra Energy

2.30%

  

04/01/17

     1,904,000           1,951,309       (h)

Simon Property Group LP (REIT)

2.15%

  

09/15/17

     1,430,000        1,427,814       (h)

Sinochem Overseas Capital Company Ltd.

       

4.50%

  

11/12/20

     200,000        201,237       (b)

Sinopec Group Overseas Development 2012 Ltd.

       

2.75%

  

05/17/17

     944,000        959,990       (b,h)

Symantec Corp.

2.75%

  

06/15/17

     1,343,000        1,349,029       (h)

Target Corp.

4.00%

  

07/01/42

     894,000        880,612      

Texas Instruments Inc.

2.38%

  

05/16/16

     1,507,000        1,584,692       (h)

Textron Inc.

6.20%

  

03/15/15

     1,284,000        1,411,081       (h)

The ADT Corp.

2.25%

  

07/15/17

     624,000        626,927       (b)

3.50%

  

07/15/22

     891,000        893,990       (b)

4.88%

  

07/15/42

     891,000        872,816       (b)

The AES Corp.

8.00%

  

10/15/17

     669,000        760,988       (h)

The Coca-Cola Co.

3.30%

  

09/01/21

     326,000        349,703      

The Goldman Sachs Group Inc.

3.30%

  

05/03/15

     1,002,000        1,001,862      

5.75%

  

01/24/22

     1,862,000        1,965,535      

Time Warner Cable Inc.

5.50%

  

09/01/41

     1,419,000        1,544,000       (h)

6.75%

  

07/01/18

     1,288,000        1,569,020       (h)

Time Warner Inc.

3.15%

  

07/15/15

     1,799,000        1,897,274       (h)

3.40%

  

06/15/22

     471,000        474,958      

4.90%

  

06/15/42

     330,000        334,834      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

15

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

        Principal
Amount		   Fair
Value		     

Total Capital International S.A.

1.55%

  

06/28/17

   $2,226,000   $2,231,213   

Toyota Motor Credit Corp.

1.75%

  

05/22/17

   1,416,000   1,427,474    (h)

Transnet SOC Ltd.

4.50%

  

02/10/16

   500,000   521,270    (b,h)

United Technologies Corp.

1.20%

  

06/01/15

   472,000   477,493   

1.80%

  

06/01/17

   472,000   482,024    (h)

4.50%

  

06/01/42

   708,000   777,671    (h)

Vail Resorts Inc.

6.50%

  

05/01/19

   1,324,000      1,390,200    (h)

Valero Energy Corp.

6.63%

  

06/15/37

   474,000   531,490    (h)

Verizon Communications Inc.

2.00%

  

11/01/16

   2,350,000   2,404,837    (h)

Viacom Inc.

1.25%

  

02/27/15

   662,000   663,648    (h)

2.50%

  

12/15/16

   1,461,000   1,512,664    (h)

Visteon Corp.

6.75%

  

04/15/19

   928,000   902,480    (h)

Vivendi S.A.

3.45%

  

01/12/18

   1,425,000   1,395,441    (b,h)

Voto-Votorantim Ltd.

6.75%

  

04/05/21

   168,000   183,120    (b,h)

Weatherford International Ltd.

4.50%

  

04/15/22

   761,000   779,952    (h)

5.95%

  

04/15/42

   713,000   750,008    (h)

Wells Fargo & Co.

1.50%

  

07/01/15

   1,341,000   1,342,014   

Willis Group Holdings PLC

4.13%

  

03/15/16

   1,063,000   1,111,273    (h)

Woodside Finance Ltd.

4.50%

  

11/10/14

   1,517,000   1,604,722    (b,h)

Xstrata Finance Canada Ltd.

5.80%

  

11/15/16

   751,275   839,218    (b,h)
      264,335,768   

Non-Agency Collateralized Mortgage Obligations — 1.0%

Banc of America Merrill Lynch Commercial Mortgage Inc.

       

5.37%

  

09/10/47

   1,350,000   1,509,457    (h,i)

5.63%

  

07/10/46

   400,000   450,902    (h)

5.92%

  

02/10/51

   717,000   825,352    (h,i)

6.39%

  

02/10/51

   792,000   930,420    (h,i)

Banc of America Mortgage Securities Inc.

       

5.58%

  

02/25/36

   18,657   149    (i)

Bear Stearns Commercial Mortgage Securities

       

4.93%

  

02/13/42

   1,800,000   1,960,254    (h,i)

5.57%

  

03/11/39

   949,480   952,145    (h,i)

5.71%

  

04/12/38

   1,050,000   1,122,433    (h,i)

5.91%

  

06/11/40

   240,000   173,837    (h,i)

Citigroup Commercial Mortgage Trust

       

5.48%

  

10/15/49

   470,000   408,504   

Commercial Mortgage Pass Through Certificates

       

4.98%

  

05/10/43

   500,000   546,433    (h,i)
        Principal
Amount		     Fair
Value		       

Credit Suisse First Boston Mortgage Securities Corp.

       

5.32%

  

10/25/35

   $ 162,954      $ 3,564       (i)

Credit Suisse Mortgage Capital Certificates

       

5.60%

  

02/25/36

     74,190        2,070       (i)

DBUBS Mortgage Trust

       

5.73%

  

11/10/46

     1,060,000        814,681       (b,h,i)

Extended Stay America Trust

       

5.50%

  

11/05/27

     1,050,000        1,059,765       (b,h)

Greenwich Capital Commercial Funding Corp.

       

5.44%

  

03/10/39

     480,000        532,478      

GS Mortgage Securities Corp II

       

3.55%

  

04/10/34

     950,000        982,050       (b)

GS Mortgage Securities Corp. II

       

3.00%

  

08/10/44

     950,000        1,001,540      

JP Morgan Chase Commercial Mortgage Securities Corp.

       

4.27%

  

06/15/45

     900,000        918,911      

5.04%

  

03/15/46

     710,000        770,751       (i)

5.34%

  

08/12/37

     390,000        428,472       (i)

5.44%

  

06/12/47

     1,420,000        1,602,532      

5.79%

  

02/12/51

     1,610,000        1,861,147       (h,i)

LB-UBS Commercial Mortgage Trust

       

4.95%

  

09/15/30

     630,000        691,327      

5.16%

  

02/15/31

     860,000        958,012      

MASTR Alternative Loans Trust

       

5.00%

  

08/25/18

     18,242        1,716       (g,n)

Merrill Lynch Mortgage Trust

       

5.85%

  

05/12/39

     768,000        492,617       (i)

Morgan Stanley Capital I Inc.

       

5.16%

  

10/12/52

     2,000,000        2,228,880       (i)

5.62%

  

12/12/49

     377,786        378,372      

5.82%

  

06/11/42

     1,000,000        876,209       (i)

5.90%

  

10/15/42

     1,072,000        743,863       (i)

5.99%

  

08/12/41

     1,055,000        1,223,241       (i)

6.46%

  

01/11/43

     910,000        1,003,070       (i)

Residential Funding Mortgage Securities I Inc.

       

5.75%

  

01/25/36

     16,497        —       **

Wachovia Bank Commercial Mortgage Trust

       

5.47%

  

01/15/45

     810,000        874,786       (i)

Wells Fargo Mortgage Backed Securities Trust

       

5.50%

  

01/25/36 - 03/25/36

     773,954        22,983      
        28,352,923      

Sovereign Bonds — 0.6%

Banco Nacional de Desenvolvimento Economico e Social

       

5.50%

  

07/12/20

     100,000        113,625       (b)

Eskom Holdings SOC Ltd.

       

5.75%

  

01/26/21

     500,000        546,875       (b,h)

Gabonese Republic

       

8.20%

  

12/12/17

     100,000        116,000      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

16

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

        Principal
Amount		     Fair
Value		       

Government of Argentina

       

2.50%

  

12/31/38

   $ 128,860      $ 41,557       (h,j)

Government of Colombia

       

4.38%

  

07/12/21

     300,000        336,900       (h)

7.38%

  

03/18/19

     100,000        130,750       (h)

Government of Croatia

       

6.38%

  

03/24/21

     300,000        293,613       (b)

Government of Dominican Republic

       

7.50%

  

05/06/21

     300,000        319,500       (b,h)

Government of El Salvador

       

7.65%

  

06/15/35

     280,000        295,120       (b,h)

Government of Ghana Republic

       

8.50%

  

10/04/17

     300,000        332,250       (b)

Government of Hungary

       

4.75%

  

02/03/15

     121,000        116,160      

6.25%

  

01/29/20

     492,000        479,449      

7.63%

  

03/29/41

     246,000        240,465      

Government of Indonesia

       

3.75%

  

04/25/22

     872,651        870,469       (b)

4.88%

  

05/05/21

     300,000        327,000       (b)

5.25%

  

01/17/42

     475,000        496,969       (b)

Government of Lebanon

       

4.00%

  

12/31/17

     61,800        59,946      

5.15%

  

11/12/18

     173,000        170,838      

6.10%

  

10/04/22

     173,000        173,000      

Government of Lithuania

       

6.13%

  

03/09/21

     350,000        385,000       (b)

6.75%

  

01/15/15

     200,000        216,000       (b,h)

7.38%

  

02/11/20

     300,000        353,928       (b)

Government of Mexico

       

4.75%

  

03/08/44

     1,156,000        1,245,590       (h)

5.75%

  

10/12/49

     172,000        195,650       (h)

6.05%

  

01/11/40

     130,000        167,700       (h)

Government of Namibia

       

5.50%

  

11/03/21

     600,000        624,000       (b,h)

Government of Peru

       

6.55%

  

03/14/37

     447,000        608,367       (h)

7.35%

  

07/21/25

     100,000        140,500      

Government of Philippines

       

4.00%

  

01/15/21

     200,000        215,250      

6.38%

  

01/15/32 — 10/23/34

     800,000        1,018,750       (h)

Government of Poland

       

5.00%

  

03/23/22

     500,000        545,750      

6.38%

  

07/15/19

     74,000        87,160      

Government of Romania

       

6.75%

  

02/07/22

     346,000        360,705       (b,h)

Government of Serbia Republic

       

7.25%

  

09/28/21

     300,000        308,250       (b,h)

Government of South Africa

       

6.25%

  

03/08/41

     100,000        126,500       (h)

Government of Sri Lanka

       

7.40%

  

01/22/15

     100,000        107,000       (b,h)

8.25%

  

10/24/12

     100,000        101,250      

Government of Turkey

       

5.13%

  

03/25/22

     400,000        416,500       (h)

5.63%

  

03/30/21

     160,000        174,600       (h)

6.88%

  

03/17/36

     168,000        197,232       (h)

Government of Ukraine

       

6.25%

  

06/17/16

     172,000        153,940       (b,h)
        Principal
Amount		     Fair
Value		       

Government of Uruguay

       

6.88%

  

09/28/25

   $ 381,075      $ 501,114       (h)

Government of Venezuela

       

10.75%

  

09/19/13

     332,000        341,960      

Government of Vietnam

       

1.56%

  

03/12/16

     58,435        52,985       (i)

Province of Manitoba Canada

       

4.90%

  

12/06/16

     165,000        192,793       (h)

Russian Foreign Bond — Eurobond

       

3.25%

  

04/04/17

     800,000        804,992       (b,h)

5.00%

  

04/29/20

     300,000        326,250       (b,h)

7.50%

  

03/31/30

     135,511        162,694       (j)
        15,592,896      

Municipal Bonds and Notes — 0.2%

  

     

American Municipal Power Inc.

       

6.27%

  

02/15/50

     655,000        753,656       (h)

Municipal Electric Authority of Georgia

       

6.64%

  

04/01/57

     474,000        549,935      

New Jersey State Turnpike Authority

       

7.10%

  

01/01/41

     495,000        697,886      

7.41%

  

01/01/40

     200,000        291,530      

New Jersey Transportation Trust Fund Authority

       

6.88%

  

12/15/39

     620,000        711,927       (h)

South Carolina State Public Service Authority

       

6.45%

  

01/01/50

     495,000        699,747       (h)

State of California

       

5.70%

  

11/01/21

     705,000        802,635      
        4,507,316      

FNMA — 0.0%*

  

     

Lehman TBA

       

5.50%

  

TBA

     620,251        —       **(c,l,0)

Total Bonds and Notes
(Cost $731,642,603)

       749,577,766      
          Number of
Shares		     Fair
Value		        

Exchange Traded Funds — 2.7%

  

             

Financial Select Sector SPDR Fund

     156,417      $ 2,286,816       (m)

Industrial Select Sector SPDR Fund

     248,928        8,879,262       (m)

Vanguard MSCI Emerging Markets Fund

     1,528,143        61,049,313      

Total Exchange Traded Funds
(Cost $75,974,736)

       72,215,391      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

17

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

        Number of
Shares		     Fair
Value		       

Other Investments — 0.2%

  

             

GEI Investment Fund
(Cost $4,147,009)

     $ 4,478,770       (k)

Total Investments in Securities
(Cost $2,235,113,703)

       2,363,344,332      

Short-Term Investments — 17.3%

  

             

Short-Term Investments — 15.1%

  

     

GE Institutional Money Market Fund — Investment Class

       409,857,965       (d,k)

0.04%

         
          Principal
Amount		     Fair
Value		        

Time Deposit — 0.0%*

  

     

State Street Corp.

       

0.01%

  

07/02/12

   $ 707,572      $ 707,572       (e)

Federal Agencies — 2.2%

  

     

Federal Home Loan Bank Discount Notes

       

0.09%

  

08/22/12 — 10/04/12

     33,000,000        32,994,895       (d)

Federal Home Loan Mortgage Corp. Discount Notes

       

0.10%

  

07/23/12

     11,000,000        10,999,703       (d)

Federal National Mortgage Assoc. Discount Notes

       

0.10%

  

08/27/12

     15,000,000        14,998,275       (d)
        58,992,873      

Total Short-Term Investments
(Cost $469,554,926)

       469,558,410      

Total Investments
(Cost $2,704,668,629)

       2,832,902,742      

Liabilities in Excess of Other
Assets, net — (4.6)%

       (124,912,116 )    
     

 

 

     

NET ASSETS — 100.0%

     $ 2,707,990,626      
     

 

 

     

Other Information

         

The Fund had the following long futures contracts open at June 30, 2012 (Unaudited):

 

Description   Expiration
Date		     Number
of
Contracts		     Current
Notional
Value		     Unrealized
Appreciation/
(Depreciation)		  

EURO Stoxx 50 Index Futures

     September 2012        123      $ 3,519,901      $ 186,161   

FTSE 100 Index Futures

     September 2012        36        3,118,518        49,581   

S&P Midcap 400 Emini Index Futures

     September 2012        974        91,507,300        2,266,314   

S&P 500 Emini Index Futures

     September 2012        303        20,549,460        846,241   

Topix Index Futures

     September 2012        16        1,542,048        87,106   

2 Yr. U.S.Treasury Notes Futures

     September 2012        227        49,982,563        (23,425 ) 

5 Yr. U.S.Treasury Notes Futures

     September 2012        1549        192,027,594        38,432   

30 Yr. U.S.Treasury Bonds Futures

     September 2012        96        14,205,000        (65,748 ) 
       

 

 

  
        $ 3,384,662   
       

 

 

  

The Fund had the following short futures contracts open at June 30, 2012 (Unaudited):

 

Description   Expiration
date		     Number
of
Contracts		    

Current

Notional

Value

     Unrealized
(Depreciation)		  

Ultra long U.S.Treasury Bond Futures

     September 2012        171      $ (28,530,281 )    $ (407,142 ) 

10 Yr. U.S.Treasury Notes Futures

     September 2012        949        (126,572,875 )      (285,977 ) 
       

 

 

  
        $ (693,119 ) 
       

 

 

  
        $ 2,691,543   
       

 

 

  

At June 30, 2012, the Fund had the following forward foreign currency exchange contracts (Unaudited):

 

Description    Unrealized
Appreciation		  

Sold 47,500,000 EURO; Purchased $62,741,828 for settlement on 09/19/2012

    $ 2,417,434   

Sold 20,800,000 GBP; Purchased $33,648,576 for settlement on 09/19/2012

      1,031,509   

Sold 1,999,999,966 Japanese yen; Purchased $25,379,744 for settlement on 12/12/2012

      252,625   
  

 

 

  
   $ 3,701,568   
  

 

 

  
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

18

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

The Fund was invested in the following Countries at June 30, 2012 (Unaudited):

 

Country    Percentage (based on
Fair Value)		  

United States

      79.95 % 

United Kingdom

      4.52 % 

Japan

      2.59 % 

Germany

      2.03 % 

Switzerland

      1.67 % 

France

      1.49 % 

China

      0.94 % 

Canada

      0.68 % 

South Korea

      0.66 % 

Sweden

      0.53 % 

Netherlands

      0.43 % 

Taiwan

      0.42 % 

Australia

      0.39 % 

Hong Kong

      0.39 % 

Brazil

      0.37 % 

Italy

      0.31 % 

Singapore

      0.28 % 

Mexico

      0.28 % 

Ireland

      0.24 % 

Supranational

      0.23 % 

Russian Federation

      0.21 % 

Belgium

      0.18 % 

India

      0.14 % 

Indonesia

      0.13 % 

South Africa

      0.12 % 

Philippines

      0.10 % 

Chile

      0.10 % 

Malaysia

      0.08 % 

Turkey

      0.07 % 

Peru

      0.05 % 

Colombia

      0.04 % 

Lithuania

      0.03 % 

Hungary

      0.03 % 

Kazakhstan

      0.03 % 

Norway

      0.02 % 

Poland

      0.02 % 

Namibia

      0.02 % 

Uruguay

      0.02 % 

Panama

      0.02 % 

Trinidad and Tobago

      0.02 % 

Thailand

      0.02 % 

Lebanon

      0.01 % 

Romania

      0.01 % 

Ukraine

      0.01 % 

Venezuela

      0.01 % 

Ghana

      0.01 % 

United Arab Emirates

      0.01 % 

Dominican Republic

      0.01 % 

Serbia

      0.01 % 

Costa Rica

      0.01 % 

El Salvador

      0.01 % 
Country    Percentage (based on
Fair Value)		  

Croatia

      0.01 % 

Qatar

      0.01 % 

Barbados

      0.01 % 

Sri Lanka

      0.01 % 

Jamaica

      0.01 % 
  

 

 

  
     100.00 % 
  

 

 

  

The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at June 30, 2012 (Unaudited):

 

Industry    Domestic     Foreign     Total  

Diversified Financial Services

      1.20 %      1.56 %      2.76 % 

Integrated Oil & Gas

      1.29 %      1.41 %      2.70 % 

Exchange Traded Funds

      2.55 %      0.00 %      2.55 % 

Pharmaceuticals

      1.71 %      0.78 %      2.49 % 

Communications Equipment

      1.65 %      0.16 %      1.81 % 

Computer Hardware

      1.78 %      0.00 %      1.78 % 

Semiconductors

      0.87 %      0.76 %      1.63 % 

Systems Software

      1.59 %      0.00 %      1.59 % 

Data Processing & Outsourced Services

      1.47 %      0.00 %      1.47 % 

Internet Software & Services

      0.64 %      0.68 %      1.32 % 

Industrial Machinery

      0.54 %      0.77 %      1.31 % 

Soft Drinks

      1.26 %      0.00 %      1.26 % 

Packaged Foods & Meats

      0.57 %      0.67 %      1.24 % 

Asset Management & Custody Banks

      1.23 %      0.00 %      1.23 % 

Healthcare Services

      0.90 %      0.30 %      1.20 % 

Life & Health Insurance

      0.34 %      0.82 %      1.16 % 

Healthcare Equipment

      1.05 %      0.00 %      1.05 % 

Specialized REITs

      1.03 %      0.00 %      1.03 % 

Cable & Satellite

      1.02 %      0.00 %      1.02 % 

Biotechnology

      0.85 %      0.09 %      0.94 % 

Fertilizers & Agricultural Chemicals

      0.37 %      0.57 %      0.94 % 

Household Products

      0.37 %      0.53 %      0.90 % 

Automobile Manufacturers

      0.07 %      0.82 %      0.89 % 

Oil & Gas Equipment & Services

      0.83 %      0.02 %      0.85 % 

Air Freight & Logistics

      0.84 %      0.00 %      0.84 % 

Home Improvement Retail

      0.84 %      0.00 %      0.84 % 

Aerospace & Defense

      0.51 %      0.29 %      0.80 % 

IT Consulting & Other Services

      0.66 %      0.14 %      0.80 % 

Diversified Metals & Mining

      0.15 %      0.55 %      0.70 % 

Movies & Entertainment

      0.70 %      0.00 %      0.70 % 

Wireless Telecommunication Services

      0.00 %      0.64 %      0.64 % 

Application Software

      0.27 %      0.32 %      0.59 % 

Integrated Telecommunication Services

      0.55 %      0.00 %      0.55 % 

Specialized Finance

      0.55 %      0.00 %      0.55 % 

Oil & Gas Exploration & Production

      0.42 %      0.09 %      0.51 % 

Industrial Gases

      0.13 %      0.36 %      0.49 % 

Multi-Line Insurance

      0.17 %      0.31 %      0.48 % 

Distillers & Vintners

      0.00 %      0.47 %      0.47 % 
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

19

Table of Contents

Total Return Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

Industry    Domestic     Foreign     Total  

Retail REITs

      0.47 %      0.00 %      0.47 % 

Advertising

      0.28 %      0.18 %      0.46 % 

Multi-Utilities

      0.17 %      0.29 %      0.46 % 

Electric Utilities

      0.38 %      0.07 %      0.45 % 

Tobacco

      0.43 %      0.02 %      0.45 % 

Apparel, Accessories & Luxury Goods

      0.01 %      0.43 %      0.44 % 

Broadcasting

      0.42 %      0.00 %      0.42 % 

Agricultural Products

      0.37 %      0.00 %      0.37 % 

Construction & Farm Machinery & Heavy Trucks

      0.21 %      0.14 %      0.35 % 

Diversified Support Services

      0.02 %      0.32 %      0.34 % 

Property & Casualty Insurance

      0.33 %      0.00 %      0.33 % 

Consumer Finance

      0.32 %      0.00 %      0.32 % 

Regional Banks

      0.19 %      0.13 %      0.32 % 

Diversified Real Estate Activities

      0.00 %      0.31 %      0.31 % 

Independent Power Producers & Energy Traders

      0.31 %      0.00 %      0.31 % 

Office REITs

      0.31 %      0.00 %      0.31 % 

Restaurants

      0.31 %      0.00 %      0.31 % 

Healthcare Supplies

      0.00 %      0.29 %      0.29 % 

Life Sciences Tools & Services

      0.26 %      0.02 %      0.28 % 

Diversified Chemicals

      0.27 %      0.00 %      0.27 % 

Residential REITs

      0.27 %      0.00 %      0.27 % 

Investment Banking & Brokerage

      0.24 %      0.00 %      0.24 % 

Home Furnishing Retail

      0.23 %      0.00 %      0.23 % 

Construction & Engineering

      0.02 %      0.20 %      0.22 % 

Casinos & Gaming

      0.18 %      0.03 %      0.21 % 

Steel

      0.16 %      0.05 %      0.21 % 

Human Resource & Employment Services

      0.00 %      0.20 %      0.20 % 

Railroads

      0.20 %      0.00 %      0.20 % 

Brewers

      0.00 %      0.19 %      0.19 % 

Specialty Stores

      0.18 %      0.00 %      0.18 % 

Electrical Components & Equipment

      0.15 %      0.02 %      0.17 % 

Trading Companies & Distributors

      0.03 %      0.14 %      0.17 % 

Department Stores

      0.15 %      0.01 %      0.16 % 

Diversified Capital Markets

      0.00 %      0.16 %      0.16 % 

Drug Retail

      0.15 %      0.01 %      0.16 % 

Construction Materials

      0.00 %      0.15 %      0.15 % 

Internet Retail

      0.15 %      0.00 %      0.15 % 

Distributors

      0.14 %      0.00 %      0.14 % 

General Merchandise Stores

      0.14 %      0.00 %      0.14 % 

Electronic Equipment & Instruments

      0.00 %      0.12 %      0.12 % 

Oil & Gas Storage & Transportation

      0.12 %      0.00 %      0.12 % 

Real Estate Services

      0.12 %      0.00 %      0.12 % 

Industrial Conglomerates

      0.00 %      0.11 %      0.11 % 

Research & Consulting Services

      0.11 %      0.00 %      0.11 % 

Insurance Brokers

      0.10 %      0.00 %      0.10 % 

Healthcare Facilities

      0.09 %      0.00 %      0.09 % 

Food Retail

      0.00 %      0.08 %      0.08 % 

Heavy Electrical Equipment

      0.00 %      0.08 %      0.08 % 

Managed Healthcare

      0.07 %      0.01 %      0.08 % 

Oil & Gas Refining & Marketing

      0.07 %      0.00 %      0.07 % 
Industry    Domestic     Foreign     Total  

Reinsurance

      0.07 %      0.00 %      0.07 % 

Water Utilities

      0.07 %      0.00 %      0.07 % 

Diversified REITs

      0.06 %      0.00 %      0.06 % 

Home Building

      0.06 %      0.00 %      0.06 % 

Industrial REITs

      0.06 %      0.00 %      0.06 % 

Office Electronics

      0.02 %      0.04 %      0.06 % 

Apparel Retail

      0.05 %      0.00 %      0.05 % 

Housewares & Specialties

      0.04 %      0.00 %      0.04 % 

Trucking

      0.04 %      0.00 %      0.04 % 

Electronic Manufacturing Services

      0.00 %      0.03 %      0.03 % 

Paper Packaging

      0.03 %      0.00 %      0.03 % 

Diversified Banks

      0.00 %      0.02 %      0.02 % 

Footwear

      0.02 %      0.00 %      0.02 % 

Healthcare Distributors

      0.02 %      0.00 %      0.02 % 

Oil & Gas Drilling

      0.02 %      0.00 %      0.02 % 

Real Estate Operating Companies

      0.00 %      0.02 %      0.02 % 

Semiconductor Equipment

      0.02 %      0.00 %      0.02 % 

Specialty Chemicals

      0.02 %      0.00 %      0.02 % 

Thrifts & Mortgage Finance

      0.00 %      0.02 %      0.02 % 

Commodity Chemicals

      0.00 %      0.01 %      0.01 % 

Electronic Components

      0.00 %      0.01 %      0.01 % 

Food Distributors

      0.01 %      0.00 %      0.01 % 

Healthcare Technology

      0.01 %      0.00 %      0.01 % 

Highways & Railtracks

      0.00 %      0.01 %      0.01 % 

Hotels, Resorts & Cruise Lines

      0.01 %      0.00 %      0.01 % 

Household Appliances

      0.00 %      0.01 %      0.01 % 

Hypermarkets & Super Centers

      0.00 %      0.01 %      0.01 % 

Marine Ports & Services

      0.00 %      0.01 %      0.01 % 

Office Services & Supplies

      0.01 %      0.00 %      0.01 % 

Publishing

      0.01 %      0.00 %      0.01 % 
      

 

 

  
         56.81 % 
      

 

 

  

 

Sector

    Percentage (based on
Fair Value)		  

Agency Mortgage Backed

      10.55 % 

Corporate Notes

      9.33 % 

U.S. Treasuries

      4.21 % 

Non-Agency Collateralized Mortgage Obligations

      1.00 % 

Sovereign Bonds

      0.73 % 

Asset Backed

      0.24 % 

Agency Collateralized Mortgage Obligations

      0.23 % 

Municipal Bonds and Notes

      0.16 % 
  

 

 

  
     26.45 % 
  

 

 

  

Short Term and Other Investments

       

Short-Term

      16.58 % 

Other Investments

      0.16 % 
  

 

 

  
     16.74 % 
  

 

 

  
     100.00 % 
  

 

 

  
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

20

Table of Contents
Notes to Schedules of Investments    June 30, 2012 (Unaudited)

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities information regarding holdings, allocations and other characteristics are presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a) Non-income producing security.

 

(b) Pursuant to Rule 144A of the Securities Act of 1933, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, these securities amounted to $67,023,621 or 2.48% of the net assets of the GE Investments Total Return Fund. These securities have been determined to be liquid using procedures established by the Fund’s Board of Directors.

 

(c) Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (TBA) in the future.

 

(d) Coupon amount represents effective yield.

 

(e) State Street Corp. is the parent company of State Street Bank & Trust Co., the Fund’s custodian and accounting agent.

 

(f) Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder.

 

(g) Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding.
(h) At June 30, 2012 , all or a portion of this security is reserved and/or pledged to cover collateral requirements for futures, options, forward foreign currency contracts and/or TBA’s.

 

(i) Variable or Floating rate security. The stated rate represents the rate at June 30, 2012.

 

(j) Step coupon bond. Security becomes interest bearing at a future date.

 

(k) GE Asset Management, the investment adviser of the Fund, also serves as investment adviser of the GE Investment Fund and the GE Institutional Money Market Fund. The GE Investment Fund has been determined to be illiquid using procedures established by the Board of Directors.

 

(l) Securities in default

 

(m) Sponsored by SSgA Funds Management, Inc., an affiliate of State Street Bank & Trust Co., the Fund’s custodian and accounting agent.

 

(n) Coupon amount represents the coupon of the underlying mortgage securities on which monthly interest payments are based.

 

(o) Fair valued security.

 

* Less than 0.05%.

 

** Amount is less than $ 0.50.

 

† Percentages are based on net assets as of June 30, 2012 .

 

†† Security traded on different exchanges.

Abbreviations:

 

ADR

    American Depository Receipt

GDR

    Global Depository Receipt

REIT

    Real Estate Investment Trust

REMIC

    Real Estate Mortgage Investment Conduit

SPDR

    Standard & Poors Depository Receipts

STRIPS

    Separate Trading of Registered Interest and Principal of Security

TBA

    To be announced
 

 

21

Table of Contents

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

 

 

 

     CLASS 1  
     6/30/12*     12/31/11     12/31/10     12/31/09     12/31/08(d)     12/31/07  
Inception date      —        —        —        —        —        7/1/85   

Net asset value, beginning of period

    $ 15.66      $ 16.42      $ 15.18      $ 12.75      $ 18.61      $ 17.69   

Income/(loss) from investment operations:

             

Net investment income

    $ 0.15        0.31        0.23 **      0.20 **      0.35 **      0.35   

Net realized and unrealized gains/(losses) on investments

      0.81        (0.78)        1.23        2.45        (5.80)        1.71   

Total income/(loss) from investment operations

      0.96        (0.47)        1.46        2.65        (5.45)        2.06   

Less distributions from:

             

Net investment income

      —        0.29        0.22        0.19        0.34        0.35   

Net realized gains

      —        —        —        —        0.07        0.79   

Return of capital

      —        —        —        0.03        —        —   

Total distributions

      —        0.29        0.22        0.22        0.41        1.14   

Net asset value, end of period

    $ 16.62      $ 15.66      $ 16.42      $ 15.18      $ 12.75      $ 18.61   

TOTAL RETURN(a)

      6.13%        (2.85)%        9.64%        20.81%        (29.28)%        11.68% (b) 

RATIOS/SUPPLEMENTAL DATA:

             

Net assets, end of period (in thousands)

    $ 1,012,721      $ 1,006,391      $ 1,152,587      $ 1,131,038      $ 989,975      $ 1,525,002   

Ratios to average net assets:

             

Net investment income

      1.63%        1.67%        1.51%        1.47%        2.16%        2.20%   

Net Expenses

      0.74% (b)      0.74% (b)(c)      0.69% (b)(c)      0.67% (b)(c)      0.51% (b)(c)      0.52% (c) 

Gross Expenses

      0.74%        0.76%        0.73%        0.70%        0.55%        0.56%   

Portfolio turnover rate

      94%        195%        148%        174%        203%        176%   

 

     CLASS 3  
     6/30/12*     12/31/11     12/31/10     12/31/09     12/31/08(d)     12/31/07  
Inception date        —        —        —        —        5/1/06   

Net asset value, beginning of period

    $ 15.62      $ 16.38      $ 15.15      $ 12.73      $        18.59      $        17.69   

Income/(loss) from investment operations:

             

Net investment income

    $ 0.11        0.24        0.19 **      0.17 **      0.34 **      0.35   

Net realized and unrealized gains/(losses) on investments

      0.83        (0.75)        1.23        2.45        (5.80)        1.69   

Total income/(loss) from investment operations

      0.94        (0.51)        1.42        2.62        (5.46)        2.04   

Less distributions from:

             

Net investment income

      —        0.25        0.19        0.17        0.33        0.35   

Net realized gains

      —        —        —        —        0.07        0.79   

Return of capital

      —        —        —        0.03        —        —   

Total distributions

      —        0.25        0.19        0.20        0.40        1.14   

Net asset value, end of period

    $ 16.56      $ 15.62      $ 16.38      $ 15.15      $        12.73      $        18.59   

TOTAL RETURN(a)

      6.02%        (3.10)%        9.37%        20.57%        (29.37)%        11.56% (b) 

RATIOS/SUPPLEMENTAL DATA:

             

Net assets, end of period (in thousands)

    $ 1,695,270      $ 1,624,263      $ 1,691,910      $ 1,421,191      $ 1,110,117      $ 1,173,708   

Ratios to average net assets:

             

Net investment income

      1.38%        1.42%        1.26%        1.26%        2.05%        2.04%   

Net Expenses

      0.99% (b)      0.99% (b)(c)      0.94% (b)(c)      0.87% (b)(c)      0.61% (b)(c)      0.61% (c) 

Gross Expenses

      0.99%        1.01%        0.98%        0.91%        0.65%        0.65%   

Portfolio turnover rate

      94%        195%        148%        174%        203%        176%   

 

The accompanying Notes are an integral part of these financial statements.

 

22

Table of Contents

Notes to Financial Highlights

 

 

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(b) Reflects GE Asset Management’s waiver of a portion of the Fund’s management fee in an amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund or, prior to 2011, in another affiliated money market fund formerly managed by GEAM.
(c) Reflects GEAM’s contractual arrangement with the Fund to waive management fees or limit operating expenses. The most recent arrangement expired on April 30, 2011.
(d) Less than $0.01 per share of the distribution paid was from return of capital.
* Unaudited.
** Per share values have been calculated using the average share method.

 

The accompanying Notes are an integral part of these financial statements.

 

23

Table of Contents
Statement of Assets and Liabilities
June 30, 2012 		    

(Unaudited)

  

ASSETS

     

Investments in securities, at Fair Value (cost $2,230,966,694)

        $2,358,865,562   

Investments in affiliated securities, at Fair Value (cost $4,147,009)

        4,478,770   

Short-Term Investments at Fair Value (cost $59,696,961)

        59,700,445   

Short-Term affiliated investments (at amortized cost)

        409,857,965   

Restricted Cash

        637,395   

Foreign cash (cost $416,252)

        418,179   

Receivable for investments sold

        32,206,277   

Income receivables

        7,077,744   

Receivable for fund shares sold

        580,751   

Variation margin receivable

        3,848,272   

Unrealized appreciation on foreign currency forward exchange contracts

        3,701,568   

Total assets

        2,881,372,928   

LIABILITIES

     

Payable for investments purchased

        170,735,506   

Payable for Fund shares redeemed

        719,501   

Payable to GEAM

        1,054,499   

Accrued other expenses

        872,129   

Other Liabilities

        667   

Total liabilities

        173,382,302   

NET ASSETS

        $2,707,990,626   

NET ASSETS CONSIST OF :

     

Capital paid in

        2,733,624,515   

Undistributed net investment income

        20,785,257   

Accumulated net realized loss

        (181,035,030 ) 

Net unrealized appreciation/(depreciation) on:

     

Investments

        128,234,113   

Futures

        2,691,543   

Foreign currency related transactions

        3,690,228   

NET ASSETS

        $2,707,990,626   

Class 1:

     

Net Assets

        1,012,710,722   

Shares outstanding( $0.01 par value; unlimited shares authorized)

        60,928,436   

Net asset value per share

        $16.62   

Class 3

     

Net Assets

        1,695,269,904   

Shares outstanding( $0.01 par value; unlimited shares authorized)

        102,374,242   

Net asset value per share

        $16.56   

 

The accompanying Notes are an integral part of these financial statements.

 

24

Table of Contents
Statement of Operations
For the period ending June 30, 2012		      (Unaudited)  

INVESTMENT INCOME

     

Income:

     

Dividend

      $ 20,989,486   

Interest

        12,117,404   

Interest from affiliated investments

        60,766   

Less: Foreign taxes withheld

        (965,634 ) 

Total Income

        32,202,022   

Expenses:

     

Advisory and administration fees

        6,832,559   

Distributors Fees

     

Class 1

        1,030,760   

Class 3

        3,803,610   

Director’s fees

        64,161   

Custody and accounting expenses

        332,656   

Professional fees

        63,409   

Other expenses

        121,278   

Total expenses before waiver and reimbursement

        12,248,433   

Less: Expenses waived or borne by the adviser

        (130,943 ) 

Net expenses

        12,117,490   

Net investment income

        20,084,532   

NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS

     

Realized gain (loss) on:

     

Investments

        47,760,594   

Futures

        (4,815,900 ) 

Foreign currency transactions

        (293,004 ) 

Increase in unrealized appreciation on:

     

Investments

        89,120,394   

Futures

        4,137,640   

Foreign currency transactions

        3,924,954   

Net realized and unrealized gain on investments

        139,834,678   

Net increase in net assets resulting from operations

      $   159,919,210   

 

The accompanying Notes are an integral part of these financial statements.

 

25

Table of Contents

Statements of Changes in Net Assets

 

 

       

Six months
ended

June 30,

2012 *

      Year Ended
December 31,
2011		  

INCREASE (DECREASE) IN NET ASSETS

        

Operations:

        

Net investments income

      $ 20,084,532       $ 42,442,285   

Net realized gain on investments, futures and foreign currency transactions

        42,651,690         101,996,846   

Net increase (decrease) in unrealized appreciation / (depreciation) on investments, futures and foreign currency transactions

        97,182,988         (225,582,850 ) 

Net increase (decrease) from operations

        159,919,210         (81,143,719 ) 

Distributions to shareholders from :

        

Net investment income

        

Class 1

        —         (18,364,052 ) 

Class 3

        —         (25,662,167 ) 

Total distributions

        —         (44,026,219 ) 

Increase (decrease) in net assets from operations and distributions

        159,919,210         (125,169,938 ) 

Share transactions :

        

Proceeds from sale of shares

        

Class 1

        2,616,396         2,754,427   

Class 2

        —         1,631,262   

Class 3

        74,664,544         159,668,664   

Value of distributions reinvested

        

Class 1

        —         18,364,052   

Class 3

        —         25,662,167   

Cost of shares redeemed

        

Class 1

        (58,176,579 )       (119,192,713 ) 

Class 2

        —         (26,443,050 ) 

Class 3

        (101,687,151 )       (175,162,061 ) 

Net decrease from share transactions

        (82,582,790 )       (112,717,252 ) 

Total increase (decrease) in net assets

        77,336,420         (237,887,190 ) 

NET ASSETS

        

Beginning of period

        2,630,654,206         2,868,541,396   

End of period

      $ 2,707,990,626       $ 2,630,654,206   

Undistributed net investment income, end of period

      $ 20,785,257       $ 700,725   

 

* (Unaudited)

 

The accompanying Notes are an integral part of these financial statements.

 

26

Table of Contents
Statements of Changes in Net Assets (continued)
Changes in Fund Shares		  
       

Six Months Ended
June 30,

2012*

      Year Ended
December 31,
2011		  

CHANGES IN FUND SHARES

        

Class 1

        

Shares sold

        158,411         170,771   

Issued for distributions reinvested

        —         1,180,968   

Shares redeemed

        (3,511,419 )       (7,281,539 ) 

Net decrease in Fund Shares

        (3,353,008 )       (5,929,800 ) 

Class 3

        

Shares sold

        4,527,823         9,748,413   

Issued for distributions reinvested

        —         1,654,556   

Shares redeemed

        (6,159,260 )       (10,716,890 ) 

Net increase (decrease) in Fund Shares

        (1,631,437 )       686,079   

 

* (Unaudited)

 

The accompanying Notes are an integral part of these financial statements.

 

27

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

1. Organization of the Company

GE Investments Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is composed of thirteen investment portfolios (collectively the “Funds”), although only the following ten are currently being offered: U.S. Equity Fund, S&P 500 Index Fund, Premier Growth Equity Fund, Core Value Equity Fund, Mid-Cap Equity Fund, Small-Cap Equity Fund, Total Return Fund (the “Fund”), Income Fund, Money Market Fund and Real Estate Securities Fund.

Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts. GE Asset Management Incorporated (“GEAM”) is the investment adviser and administrator of each of the Funds.

The Company currently offers two share classes of the Fund as investment options for variable life insurance and variable annuity contracts — Class 1 and Class 3. Class 3 shares were first offered on May 1, 2006, and Fund shares outstanding prior to May 1, 2006 were designated as Class 1 shares. Each class of shares has different fees and expenses, and as a result, each class of shares will have different share price and performance. Not all variable contracts offer every class of the Fund’s shares.

 

2. Summary of Significant Accounting Policies

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

The following summarizes the significant accounting policies of the Company:

Securities Valuation and Transactions. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.

The Fund’s income, expenses (other than distribution fees) and realized and unrealized gains and losses are allocated proportionally each day among the share classes based upon the relative net assets of each class.

Foreign Currency Accounting records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of such transactions.

All assets and liabilities of the Fund initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuter exchange rate computed at 11:00 a.m., Eastern Time.

The Fund does not isolate the portion of the results of operations resulting from changes in foreign exchange rates from the fluctuations arising from changes in the market prices of securities during the year. Such fluctuations are included in the net realized or unrealized gain or loss from investments. Net realized gains or losses on foreign currency transactions represent net gains or losses on sales and maturities of foreign currency contracts, disposition of foreign currencies, the difference between the amount of net investment income and withholding taxes accrued and the U.S. dollar amount actually received or paid, and gains or losses between the trade and settlement date on purchases and sales of foreign securities. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities (including foreign currencies and open foreign currency contracts) as a result of changes in foreign exchange rates are included as increases or decreases in unrealized appreciation/depreciation on foreign currency related transactions.

Derivatives The Fund is subject to equity price risk, interest rate risk, credit risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The Fund may enter into derivative transactions to gain market exposure for residual and accumulating cash positions and for managing the duration of fixed-income investments.

 

 

28

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

Futures Contracts A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The Fund invested in futures for a variety of portfolio management purposes such as hedging against the effects of changes in the value of portfolio securities due to anticipated changes in interest rates and/or market conditions, gaining market exposure for accumulating and residual cash positions, for duration management, or when the transactions were economically appropriate to the reduction of risks inherent in the management of the Fund. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or hedge other Fund investments. The Fund will not enter into a transaction involving futures for speculative purposes. With futures contracts, there is minimal counterparty credit risk to the Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. The Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.

Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by the Fund each day, depending on the daily fluctuation in the fair value of the underlying security. The Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. The Fund recognizes a realized gain or loss on the expiration or closing of a futures contract.

When-Issued Securities and Forward Commitments The Fund may purchase or sell securities on a when issued or forward commitment basis. These transactions are arrangements in which the Fund purchases and sells securities with payment and delivery scheduled a month or more after entering into the transaction. The price of the underlying securities and the date when these securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the underlying securities or if the

counterparty does not perform under the commitments. In connection with such purchases, the Fund maintains cash or liquid assets in an amount equal to the purchase commitments for such underlying securities until settlement date and for sales commitments the Fund maintains equivalent deliverable securities as “cover” for the transaction. Unsettled commitments are valued at the current market value of the underlying security. Daily fluctuations in the value of such commitments are recorded as unrealized gains or losses. The Fund will not enter into such commitments for the purpose of investment leverage.

Forward Foreign Currency Exchange Contracts The Fund may enter into forward foreign currency exchange contracts to facilitate transactions in foreign denominated securities and to manage the Fund’s currency exposure. Forward foreign currency exchange contracts are valued at the mean between the bid and the offered forward rates as last quoted by a recognized dealer. The aggregate principal amounts of the contracts are not recorded in the Fund’s financial statements. Such amounts appear under the caption Forward Foreign Currency Contracts in the Schedules of Investments. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (or liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains or losses on foreign currency related transactions. The Fund’s risks in using these contracts include changes in the value of foreign currency or the possibility that the counterparties do not perform under the contracts’ terms. When the Fund enters into a forward foreign currency exchange contract, it is required to segregate cash or liquid securities with its custodian in an amount equal to the value of the Fund’s total assets committed to the consummation of the forward contract. If the value of the segregated securities declines, additional cash or securities are segregated so that the value of the account will equal the amount of the Fund’s commitment with respect to the contract.

Investments in Foreign Markets Investments in foreign markets involve special risks and considerations not typically associated with investing in the United States. These risks include revaluation of currencies, high rates of inflation, restrictions on repatriation of income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, tariffs and taxes, subject to delays in settlements, and their prices may be more volatile.

 

 

29

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

The Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which they invest. Such taxes are generally based upon income and/or capital gains earned or repatriated. Taxes are accrued based on net investment income, net realized gains and net unrealized appreciation as income and/or capital gains are earned.

Investment Income Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after the ex-dividend date as such information becomes available. Withholding taxes in foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.

Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.

Expenses Fund specific expenses are allocated to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Certain class specific expenses (such as distribution fees) are allocated to the class that incurs such expense. Expenses of the Fund are generally paid directly by the Fund, however, expenses may be paid by GEAM and reimbursed by the Fund.

Federal Income Taxes The Fund intends to comply with all sections of the Internal Revenue Code applicable to regulated investment companies including the distribution of substantially all of its taxable net investment income and net realized capital gains to its shareholders. Therefore, no provision for federal income tax has been made.

 

3. Securities Valuation

The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market

observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.

Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:

Level 1 — Quoted prices for identical investments in active markets.

Level 2 — Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 — Significant inputs to the valuation model are unobservable.

Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.

Fair Value Measurement The following section describes the valuation methodologies the Fund uses to measure different financial investments at fair value.

The Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price, Level 1 securities primarily include publicly-traded equity securities. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances the Fund classifies the investment securities in Level 2.

Debt securities (other than short-term securities described below) generally are valued at an evaluated bid price as reported by independent pricing services. The pricing services use various pricing models for each asset class. The inputs and assumptions to the model of the pricing services are derived from market observable sources,

 

 

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including: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, benchmark securities, bids, offers, and other market related data. Since many fixed income securities do not trade on a daily basis, the methodology of the pricing service uses other available information as applicable such as benchmark curves, benchmarking of similar securities, sector groupings, and matrix pricing. Thus, certain securities may not be priced using quoted prices, but rather determined from market observable information. These investments are included in Level 2 and are primarily comprised of corporate fixed income, government, mortgage and asset-backed securities. In the absence of a reliable bid price from such a pricing service, debt securities may be valued based on broker or dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified as Level 3.

The Fund may use non-binding broker or dealer quotes for valuation when there is limited or no relevant market activity for a specific investment or for other investments that share similar characteristics and a price is not provided by a pricing service or is deemed not to be reliable. The Fund has not adjusted the prices obtained. Investment securities priced using non-binding broker or dealer quotes are included in Level 3.

Short-term investments of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.

The Fund uses the net asset value per unit for collective funds (i.e., GEI Investment Fund). The Fund classifies the investment security in Level 2.

If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using procedures approved by the Fund’s Board of Directors that are designed to establish its “fair” value. These securities are typically classified in Level 3. Those procedures require that the fair value of a security be established by a

valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of the Fund in the appropriate circumstances.

Foreign securities may be valued with the assistance of an independent fair value pricing service in circumstances where it is believed that they have been or would be materially affected by events occurring after the close of the portfolio security’s primary market and before the close of regular trading on the NYSE. In these circumstances the Fund classifies the investment securities in Level 2. This independent fair value pricing service uses a proprietary model to identify affected securities, taking into consideration various factors, and the fair value of such securities may be something other than the last available quotation or other market price.

All assets and liabilities of the Fund initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuters exchange rate computed at 11:00 a.m. Eastern time.

Fair value determinations generally are used for securities whose value is affected by a significant event that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of the Fund’s NAV.

The value established for such a portfolio security may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that the Fund could sell a portfolio security for the value established for it at any time and it is possible that the Fund would incur a loss because a portfolio security is sold at a discount to its established value.

Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps, and written options contracts, which are valued based on fair value as discussed above.

The Fund uses closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the counter markets. Derivative assets and liabilities included in Level 2 primarily represent interest rate swaps,

 

 

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cross-currency swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2012:

 

Investments

     Level 1        Level 2        Level 3        Total   

Investments in Securities†

        

Domestic Equity

   $ 1,054,559,128      $ —        $—      $ 1,054,559,128   

Foreign Equity

     62,131,724        409,777,527        —        471,909,251   

U.S. Treasuries

     —        119,333,915        —        119,333,915   

Agency Mortgage Backed

     —        298,956,094        —        298,956,094   

Agency CMOs

     —        6,453,147        —        6,453,147   

Asset Backed

     —        6,922,647        —        6,922,647   

Corporate Notes

     —        264,335,768        —        264,335,768   

Non-Agency CMOs

     —        28,352,923        —        28,352,923   

Sovereign Bonds

     —        20,715,956        —        20,715,956   

Municipal Notes and Bonds

     —        4,507,316        —        4,507,316   

Exchange Traded Funds

     72,215,391        —        —        72,215,391   

Preferred Stock

     3,204,624        7,399,402        —        10,604,026   

Other Investments

     —        4,478,770        —        4,478,770   

Short-Term Investments

     409,857,965        59,700,445        —        469,558,410   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

   $ 1,601,968,832      $ 1,230,933,910        $—      $ 2,832,902,742   
 

 

 

    

 

 

    

 

 

    

 

 

  

Other Financial Instruments *

        

Futures Contracts — Unrealized Appreciation

   $ 3,473,835      $ —        $—      $ 3,473,835   

Futures Contracts — Unrealized Depreciation

     (782,292 )      —        —        (782,292 ) 

Foreign Currency Forward Exchange Contracts — Unrealized Appreciation

     3,701,568        —        —        3,701,568   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Other Financial Instruments

   $ 6,393,111      $ —        $—      $ 6,393,111   
 

 

 

    

 

 

    

 

 

    

 

 

  
                                 

 

† See Schedule of Investments for Industry Classification
* Other financial instruments include derivative instruments such as futures contracts and foreign currency forward exchange contracts. Amounts shown represent unrealized appreciation (depreciation), at period end.

The Fund utilized the fair value pricing service on June 30, 2012 due to events occurring after the close of foreign local markets and before the close of regular trading on the NYSE. This resulted in certain foreign securities being classified as Level 2 at the end of the period which were classified as Level 1 at December 31, 2011. The value of securities that were transferred to Level 2 from Level 1 as a result was $360,882,990.

There were no other transfers between fair value levels during the period. Transfers between fair value levels are considered to occur at the beginning of the period.

 

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4. Derivatives Transactions

Shown below are the derivative contracts entered into by the Fund, summarized by primary risk exposure as they appear on the Statement of Assets and Liabilities, all of which are not accounted for as hedging instruments under FASB Accounting Standards Codification (“ASC”) No. 815 Derivatives and Hedging as of June 30, 2012.

 

  

Asset Derivatives June 30, 2012

  

  

Liability Derivatives June 30, 2012

  

Derivatives not accounted for as hedging instruments under ASC 815    Location in the Statement
of Assets and Liabilities		     
 		 Fair
Value ($)		   
  		   Location in the Statements
of Assets and Liabilities		     
 		 Fair
Value ($)		   
  

Interest Rate Contracts

    Assets, Net Assets - Net Unrealized Appreciation/(Depreciation) on Futures      38,432 *    Liabilities, Net Assets - Net Unrealized Appreciation/ (Depreciation) on Futures      (782,292) * 

Equity Contracts

    Assets, Net Assets - Net Unrealized Appreciation/ (Depreciation) on Futures      3,435,403 *    Liabilities, Net Assets - Net Unrealized Appreciation/ (Depreciation) on Futures      —   

Foreign Currency Forward Exchange Contracts

    Assets, Net Assets - Net Unrealized Appreciation/ (Depreciation) on Foreign Currency Forward Exchange      3,701,568, *    Liabilities, Net Assets - Net Unrealized Appreciation/ (Depreciation) on Foreign Currency Forward Exchange      —   

 

* Includes cumulative unrealized appreciation/(depreciation) of futures contracts and foreign currency forward exchange contracts as reported in the Schedule of Investments and within the components of the net assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin for futures contracts is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities.

Shown below are the effects of derivative instruments on the Fund’s Statement of Operations, summarized by primary risk exposure all of which are not accounted for as hedging instruments under ASC 815.

 

Derivatives not accounted for as hedging instruments under ASC 815    Location in the Statements of Operations     
 
 
 
 		 Total Notional Amount
of Futures/Foreign
Currency Forward
Contracts
Purchased/(Sold) ($)		   
  
  
  
  		   Realized Gain or (Loss) on Derivatives Recognized in Income ($)     
 
 
 
 
 
 		 Change in
Unrealized
Appreciation/
(Depreciation)
on Derivatives
Recognized
in Income ($)		   
  
 
  
  
  
  

Equity Contracts

    Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures     
 		 306,527,853/
(200,271,394)		   
  		   1,023,412      3,261,282   

Interest Rate Contracts

    Realized gain/(loss) on Futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures     

 

 1,237,960,130/

(1,123,436,615)

   

  

   (5,839,312)      876,358   

Foreign Currency Forward Exchange Contracts

    Assets, Net Assets – Net Unrealized Appreciation/ (Depreciation) on Foreign Currency Forward Exchange      0/(121,770,148)      (293,004)      3,701,568   

 

33

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5. Line of Credit

The Company shares a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is with its custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.100% per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Funds generally is borne proportionally based upon net assets. In addition, the Company has a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal Funds Rate plus 50 basis points and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i) 33.33% of its total assets or (ii) 20% of its net assets. The credit facilities were not utilized by the Fund during the six-month period ended June 30, 2012.

 

6. Compensation and Fees Paid to Affiliates

GEAM, a registered investment adviser, was retained by the Company’s Board of Directors effective May 1, 1997 to act as investment adviser and administrator of the Fund. GEAM’s compensation for investment advisory and administrative services is paid monthly based on the average daily net assets of the Fund. GEAM’s compensation for investment advisory and administrative services is paid monthly based on average daily net assets of the Fund at an annualized rate of 0.50%.

GEAM has a contractual arrangement with the Fund to waive a portion of the Fund’s management fee in the amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund.

From May 1, 2010 through April 30, 2011, GEAM entered into a contractual arrangement with the Company to limit other expenses of each share class of the Fund (excluding applicable investor Service Plan fee of 0.20%) at or below 0.03% on an annualized basis. This arrangement was terminated on April 30, 2011. Expenses borne by GEAM pursuant to the expense limitation agreement may be recouped by GEAM for up to three years from the date the expense was incurred. A reimbursement will not be made if it would cause the total operating expenses of Class 1 Shares and Class 3 Shares to exceed 0.80% and 1.05% of average net assets, respectively, for the fiscal year in which the recoupment is made.

Investor Service Plan — Class 1 and Class 3 Shares The Company adopted an Investor Service Plan (the “Service Plan”) on December 9, 2005 for Class 1 shares and on May 1, 2009 for Class 3 shares of the Fund. The Service Plan was not adopted pursuant to Rule 12b-1 under the 1940 Act. Each Service Plan provides that during any fiscal year, the amount of compensation paid under the Service Plan by the Total Return Fund Class 1 or Class 3 shares may not exceed the annual rate of 0.20% of the average daily net assets of the Total Return Fund attributable to each such class shares.

Distribution and Shareholder Service (12b-1) Fees The Company has adopted a Distribution and Service (12b-1) Plan (12b-1 Plan) pursuant to Rule 12b-1 under the 1940 Act with respect to each of Class 1 and Class 3 shares of the Total Return Fund. Under the 12b-1 Plan for Class 1 shares that became effective May 1, 2009, payments made under the Class 1 Investor Service Plan are covered in the event that any portion of compensation paid pursuant to the Class 1 Investor Service Plan is determined to be an indirect use of the assets attributable to the Class 1 shares to finance distribution of such shares. Under each 12b-1 Plan for Class 3 shares, the Company, on behalf of the Fund, may compensate GE Investment Distributors, Inc. (GEID), the distributor of the shares of the Fund, for certain sales services provided by GEID or other broker dealers and investor services provided by GEID or other service providers relating to the Fund’s Class 3 shares, including services to owners or prospective owners of variable contracts issued by insurance companies that offer Class 3 shares as an investment option under such variable contracts. The amount of compensation paid under the 12b-1 Plan may not exceed 0.25% for Class 3 shares, of the average daily net assets of the Fund attributable to such share class. The 12b-1 Plan continues in effect from year to year for so long as such continuance is approved annually by the Board of Directors, including by those directors who are not interested persons of the Company and who have no direct or indirect financial interest in the operation of the 12b-1 Plan or in any agreement related to it. In addition, the Class 3 12b-1 Plan covers payments made under the Class 3 Investor Service Plan in the event that any portion of compensation paid pursuant to the Class 3 Investor Service Plan is determined to be an indirect use of the assets attributable to the Class 3 shares to finance distribution of such shares.

Directors’ Compensation The Fund pays no compensation to its directors who are officers or employees of GEAM or its

 

 

34

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Notes to Financial Statements    June 30, 2012 (Unaudited)

 

affiliates. Directors who are not such officers or employees also serve in a similar capacity for other funds advised by GEAM. Compensation paid to non-interested Directors are reflected on the Statement of Operations. These fees are allocated pro rata across all of the mutual fund platforms served by the Directors, including the Fund, and are based upon the relative net assets of each fund within such platforms.

 

7. Sub-Advisory Fees

Pursuant to investment sub-advisory agreements with GEAM, a portion of the assets of the Total Return Fund are allocated to and managed by each of the following sub-advisers: (i) Palisade Capital Management, L.L.C. (“Palisade”); and (ii) Urdang Securities Management, Inc. (“Urdang”). GEAM is responsible for allocating the Fund’s assets among the sub-advisers at its discretion (Allocated Assets), and for managing the Fund’s cash position, while each sub-adviser is responsible for the day-to-day management of their portion of the Allocated Assets, under the general supervision and oversight of GEAM and the Board.

For their services, GEAM pays each sub-adviser an investment sub-advisory fee, which is calculated as a percentage of the average daily net assets of the respective Allocated Assets that they manage.

8. Investment Transactions

Purchases and Sales of Securities The cost of purchases and the proceeds from sales of investments, other than short-term securities, for the six-month period ended June 30, 2012, were as follows:

 

U.S. Government Securities
Purchases   Sales
$1,467,732,206   $1,456,219,873

 

Other Securities
Purchases   Sales
$888,318,945   $1,174,037,208

 

9. Income Taxes

The Fund is subject to ASC 740, Income Taxes. ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to the Fund’s net assets required under ASC 740. The Fund’s 2008, 2009, 2010, and 2011 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities.

 

At June 30, 2012, information on the tax cost of investments was as follows:

 

 

Cost of

Investments For Tax Purposes

  

Gross Tax

    
  Appreciation   Depreciation   Net Tax Appreciation

$2,745,321,292

  

$187,477,693

  

$(99,896,243)

  

$87,581,450


As of December 31, 2011, the Fund has capital loss carryovers, as indicated below. Capital loss carryovers are available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders because they would be taxable as ordinary income.

 

Amount

    
Short-Term   Long-Term   Expires
$181,807,461   $—   12/31/2017

These amounts will be available to offset future taxable capital gains. [Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain

 

 

35

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Notes to Financial Statements    June 30, 2012 (Unaudited)

 

their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.]

During the year ended December 31, 2011, the Fund utilized $87,839,961 of prior year capital loss carryovers.

Any qualified late-year loss is deemed to arise on the first day of the Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, the Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.

The Fund elected to defer qualified late-year losses for the year ended December 31, 2011 as follows:

 

Capital   Ordinary
$3,550,670   $—

The tax composition of distributions paid during the years ended December 31, 2011 and December 31, 2010 were as follows:

 

     Ordinary
Income		     Long-Term
Capital
Gains		     Total  

2011

   $ 44,026,219      $ —      $ 44,026,219   

2010

     35,022,799        —        35,022,799   


Distributions to Shareholders The Fund declares and pays any dividends from net investment income annually. The Fund declares and pays any net realized capital gains in excess of capital loss carryforwards distributions annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally accepted

accounting principles. These differences include (but are not limited to) futures, treatment of realized and unrealized gains and losses on foreign currency transactions, paydown gains and losses on mortgage-backed securities, investments organized as partnerships for tax purposes, losses deferred due to offsetting positions, distributions from Real Estate Investment Trusts (REITs) and other equity investments, and losses deferred due to wash sale transactions. Reclassifications due to permanent book/tax differences are made to the Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or the net asset value of the Fund. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.

The reclassifications for the year ended December 31, 2011 were as follows:

 

Undistributed
Net Investment
Income		   Accumulated
Net Realized
Gain (Loss)		   Capital Paid In
$2,720,265   $(2,468,570)   $(251,695)

 

10. Subsequent Events

Subsequent events after the balance sheet date through the date the financial statements were issued have been evaluated in the preparation of the financial statements. As of August 3, 2012, the assets of the Mid-Cap Equity Fund and the Money Market Fund were liquidated. These funds ceased operations and are no longer offered for investment.

 

 

36

Table of Contents
Additional Information    (Unaudited)

 

Information about Directors and Executive Officers:

The business and affairs of the Funds are managed under the direction of the Funds’ Board of Directors. Information pertaining to the Directors and officers of the Funds is set forth below.

Interested Directors and Executive Officers

 

 

Michael J. Cosgrove

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    63

Position(s) Held with Fund    Chairman of the Board and President

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    President of Mutual Funds and Global Investment Programs of GEAM since November 2011; President and Chief Executive Officer – Mutual Funds and Intermediary Business of GEAM from March 2007 to November 2011; Executive Vice President of GEAM from February 1997 to March 2007; and Executive Vice President-Mutual Funds of GEAM from March 1993 to March 2007. Also serves as Treasurer of GE Foundation since 1988.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Chairman of the Board and President of GE Institutional Funds since 1997; Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since 1988; Director of GEAM since 1988; Trustee of Fordham University from 2002 to June 30, 2010 and since July 2011; Director of GE Investments Distributors, Inc since June 2011; Director of Skin Cancer Foundation since August 2010; Member of the Board of Governors for the Investment Company Institute since October 2006; Director, GE Asset Management (Ireland) Limited, since February 1999, GE Asset Management Funds Plc since 1998, GE Asset Management Canada Company since 1998, GE Asset Management Limited since 1998; Trustee of General Electric Pension Trust since 1988; and Chairman of the Board and President of GE Funds from 1993 to February 2011.

 

 

Matthew J. Simpson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    51

Position(s) Held with Fund    Director and Executive Vice President

Term of Office and Length of Time Served    Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 years    Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Savings & Security Funds since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since July 2007; Trustee and Executive Vice President of GE Institutional Funds since July 2007; Director of GEAM since July 2007; and Trustee and Executive Vice President of GE Funds from July 2007 to February 2011.

 

37

Table of Contents
Additional Information    (Unaudited)

 

 

Joon Won Choe

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    42

Position(s) Held with Fund    Vice President & Secretary

Term of Office and Length of Time Served    Until successor is elected and qualified – Vice President and Secretary – 1 year

Principal Occupation(s) During Past 5 years    Senior Vice President and Deputy General Counsel at GEAM since March 2011; Vice President and Secretary of GE Institutional Funds since September 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds since September 2010; Senior Vice President and Associate General Counsel at GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010 and Vice President and Secretary of GE Funds from September 2010 to February 2011.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Robert Herlihy

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    44

Position(s) Held with Fund    Chief Compliance Officer

Term of Office and Length of Time Served    Until successor is elected and qualified — 6 years

Principal Occupation(s) During Past 5 years    Chief Compliance Officer of GEAM, GE Institutional Funds, Elfun Funds, and GE Savings & Security Funds since July 2005; Chief Compliance Officer of GE Funds from July 2005 to February 2011 and Manager of Fund Administration at GEAM from 2002-2005.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Arthur A. Jensen

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    45

Position(s) Held with Fund    Treasurer

Term of Office and Length of Time Served    Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years    Treasurer of GE Institutional Funds, Elfun Funds and GE Savings & Security Funds since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

38

Table of Contents
Additional Information    (Unaudited)

 

 

 

Jeanne M. LaPorta

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    46

Position(s) Held with Fund    Vice President

Term of Office and Length of Time Served     Until successor is elected and qualified – 8 years

Principal Occupation(s) During Past 5 Years    Senior Vice President and Commercial Administrative Officer of GEAM since April 2010; Vice President of GE Institutional Funds since July 2003; Vice President of Elfun Funds and GE Savings & Security Funds since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

Non-Interested Directors

 

 

John R. Costantino

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    66

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    General Partner, NGN Capital LLC since 2006; Managing Director, Vice President of Walden Capital Management since 1996.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since 1997; Trustee of Fordham University from 1989 to 1995 and from 2001 to 2007 and Trustee Emeritus since 2007; Trustee of Neuroscience Research Institute since 1986; Trustee of GE Funds from 1993 to February 2011; Director of Artes Medical from 2006-2008 and Trustee of Gregorian University Foundation from 1992-2007.

 

39

Table of Contents
Additional Information    (Unaudited)

 

 

 

R. Sheldon Johnson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    65

Positions(s) Held with Fund    Director

Term of office and Length of Time served    Unit Successor is elected and qualified – 1 year.

Principal Occupation(s) During Past 5 years    Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. from 2002 to 2006 and Managing Director at Morgan Stanley & Co., Inc. from 1988 to 2006.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since April 2011 and Trustee of St. Lawrence University since 2003.

 

 

Donna M. Rapaccioli

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    49

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – Less than 1 year

Principal Occupation(s) During Past 5 Years    Dean of the Gabelli School of Business since 2007 and Accounting professor since 1987 at Fordham University.

Number of Portfolios in Fund Complex Overseen by Officer    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since January 2012 and Trustee of Emmanuel College since 2010.

 

 

The Statement of Additional Information for the Funds includes additional information about the Directors and Officers and is available, without charge, upon request by calling 1-800-242-0134.

 

40

Table of Contents
Investment Team    (Unaudited)

 

Investment Adviser and Administrator

GE Asset Management Incorporated

Board of Directors

Michael J. Cosgrove, Chairman

John R. Costantino

R. Sheldon Johnson

Donna M. Rapaccioli

Matthew J. Simpson

Secretary

Joon Won Choe

Assistant Secretary

Michelle Matzelle

Treasurer

Arthur A. Jensen

Assistant Treasurer

Casey Yantosca

Distributor

GE Investment Distributors, Inc.

Member FINRA and SIPC

 

 

Custodian

State Street Bank & Trust Company

Officers of the Investment Adviser

Dmitri Stockton, President and Chief Executive Officer

Cheryl H. Beacock, Senior Vice President, Human Resources

George A. Bicher, Chief Risk Officer

Paul M. Colonna, President and Chief Investment Officer – Public Investments

Michael J. Cosgrove, President of Mutual Funds and Global Investment Programs

Gregory B. Hartch, Senior Vice President – Strategy and Business Development Leader

Ralph R. Layman, Executive Vice President and Chief Investment Officer Emeritus Public Equities

Maureen B. Mitchell, President of Global Sales and Marketing

Steven M. Rullo, Senior Vice President – Services and Technology

Matthew J. Simpson, Executive Vice President, General Counsel and Secretary

Donald W. Torey, President and Chief Investment Officer – Alternative Investments

David Wiederecht, President and Chief Investment Officer – Investment Solutions

Jessica Holscott, Executive Vice President, Chief Financial Officer*

 
* Effective August 1, 2012, Ms. Holcott replaced Tracie A. Winbigler as Executive Vice President and Chief Financial Officer.

 

At GE Asset Management, we’re dedicated to providing the investment options you’ll need to tailor your financial portfolio to every stage of your life. Each member of the GE Family of Funds is managed according to the same principles of integrity and quality that have guided GE over the past century, and have made it the world-class company that it is today. Each fund draws strength from a heritage of investment management experience that spans more than 80 years. Whether you’re creating a new investment portfolio or adding to an established one, the GE Family of Funds offers an array of professionally managed investment options that will help you meet a lifetime of financial needs.

 

41

Table of Contents

Investment Adviser

GE Asset Management Incorporated

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

Distributor

GE Investment Distributors, Inc.

member FINRA and SIPC

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

 

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-493-3042; (ii) on the Fund’s website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC—information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov.

 

LOGO

Table of Contents
 

GE Investments Funds, Inc.

Money Market Fund

 

Semi-Annual Report

June 30, 2012

 

LOGO

Table of Contents

GE Investments Funds, Inc.

Money Market Fund    Contents

 

Fund Information

     1   

Understanding Your Fund’s Expenses

      2   

Schedule of Investments

      3   

Notes to Schedule of Investments

      5   

Financial Statements

   

Financial Highlights

      6   

Statement of Assets and Liabilities

      7   

Statement of Operations

      8   

Statements of Changes in Net Assets

      9   

Notes to Financial Statements

      10   

Additional Information

      14   

Investment Team

      18   

 

This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.

Table of Contents
Money Market Fund†    (Unaudited)

Fund Information

 

Notes to Performance

Total return performance shown in this report for the GE Investments Money Market Fund (the “Fund”) assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call 800-493-3042 or visit the Fund’s website at http://www.geam.com for the most recent month-end performance data.

An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.

Investment Profile

A mutual fund designed for investors who seek a high level of current income consistent with the preservation of capital and maintenance of liquidity. The Fund seeks its investment objective by investing primarily in short-term, U.S. dollar-denominated money market instruments.

 

Sector Allocation

as a % of Fair Value of $208,756 (in thousands) on June 30, 2012 (a)

 

 

LOGO

 

 

 

(a) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

 

† As of August 3, 2012, the assets of the Fund were liquidated. The Fund ceased operations and is no longer offered for investment.

An investment in the Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other Government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.

GE Investment Distributors, Inc., Member of FINRA & SIPC, is the principal underwriter and distributor of the GE Investments Funds, Inc. and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Fund.

 

1

Table of Contents
Money Market Fund    (Unaudited)

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in shares of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2012.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses Paid During Period” to estimate the expenses paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.

 

January 1, 2012 - June 30, 2012

 

        Account value at the
beginning of the period  ($)		       

Account value at the

end of the period ($)

       

Expenses paid

during the period ($)*

  

Actual Fund Return*

        1,000.00           1,000.00           0.85   

Hypothetical 5% Return (2.5% for the period)

        1,000.00           1,024.02           0.86   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.17% (for the period January 1, 2012—June 30, 2012), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

2

Table of Contents

Money Market Fund

 

Schedule of Investments   

June 30, 2012 (Unaudited)

 

Money Market Fund

 

 

          Principal
Amount		      Amortized
Cost		       

Short-Term Investments — 101.6% †

  

     

U.S. Treasuries — 16.3%

  

   

United States Treasury Bills

         

0.12%

   

08/23/12

    $ 4,300,000       $ 4,299,240       (a)

0.15%

   

09/13/12

      2,850,000         2,849,121       (a)

United States Treasury Notes

         

0.38%

   

08/31/12

      3,000,000         3,001,103      

0.50%

   

11/30/12

      5,750,000         5,758,168      

0.63%

   

06/30/12 - 07/31/12

      15,250,000         15,253,101      

1.38%

   

09/15/12

      2,300,000         2,305,767      
           33,466,500      

U.S. Government Agency Obligations — 31.4%

  

   

Fannie Mae Discount Notes

         

0.08%

   

07/19/12

      7,300,000         7,299,708       (a)

Federal Home Loan Bank Discount Notes

         

0.09%

   

08/03/12

       12,450,000         12,448,631       (a)

0.11%

   

07/05/12 - 07/18/12

      16,000,000          15,999,574       (a)

Federal Home Loan Mortgage Corp

         

1.13%

   

07/27/12

      2,850,000         2,852,026       (c)

Federal National Mortgage Association

         

0.24%

   

07/26/12

      6,500,000         6,500,640       (c)

0.27%

   

10/18/12

      1,800,000         1,800,822       (c)

Freddie Mac Discount Notes

         

0.08%

   

08/07/12

      4,850,000         4,849,601       (a)

0.09%

   

07/23/12

      2,650,000         2,649,862       (a)

0.11%

   

07/09/12 - 07/13/12

      4,900,000         4,899,846       (a)

0.12%

   

08/14/12

      2,900,000         2,899,575       (a)

0.13%

   

08/01/12

      2,300,000         2,299,743       (a)
           64,500,028      

Commercial Paper — 7.8%

  

   

HSBC Bank PLC

         

0.31%

   

09/24/12

      5,200,000         5,200,000       (c)

John Deere Capital Corp

         

0.14%

   

07/19/12

      3,100,000         3,099,783       (a)

Novartis AG

         

0.18%

   

07/09/12

      2,800,000         2,799,888       (a)

The Procter & Gamble Co.

         

0.10%

   

07/06/12

      2,000,000         1,999,972       (a)

0.12%

   

07/11/12

      2,850,000         2,849,905       (a)
           15,949,548      
          Principal
Amount		      Amortized
Cost		       

Repurchase Agreements — 30.7%

  

   

Barclays Capital Inc. U.S. Treasury Repo
0.15% dated 06/30/12, to be repurchased at $20,000,250 on 07/01/12 collateralized by
$20,400,075 U.S. Treasury Bond, 0.88% maturing on 02/28/17.
07/02/12

    $ 20,000,000       $ 20,000,000      

Deutsche Bank Securities, Inc. Gov Agcy Repo
0.15% dated 06/30/12, to be repurchased at $4,500,056 on 07/01/12 collateralized by $4,590,081 U.S. Government Agency Bond, 0.50% maturing on 8/09/13.
07/02/12

      4,500,000         4,500,000      

Goldman Sachs & Co. Gov Agcy Repo
0.14% dated 06/30/12, to be repurchased at $11,400,133 on 07/01/12 collateralized by $11,628,146 U.S. Government Agency Bond, 1.38% maturing on 02/25/14.
07/02/12

      11,400,000         11,400,000      

HSBC Securities (USA) Inc. Gov Agcy Repo
0.13% dated 06/30/12, to be repurchased at $15,830,000 on 07/01/12 collateralized by $16,147,328 U.S. Government Agency Bond, 0.18% & 1.42% maturing on 0/10/13 & 03/28/14 respectively.
07/02/12

       15,830,000          15,830,000      

J.P. Morgan Securities LLC U.S. Treasury Repo
0.13% dated 06/30/12, to be repurchased at $11,300,000 on 07/01/12 collateralized by $11,528,843 U.S. Treasury Bond, 1.38% maturing on 02/28/19.
07/02/12

      11,300,000         11,300,000      
           63,030,000      

Certificate of Deposit — 10.9%

  

   

Bank of Montreal/Chicago Il

         

0.40%

   

09/26/12

      2,800,000         2,800,000       (c)

Bank of Nova Scotia

         

0.18%

   

07/13/12

      4,250,000         4,250,000      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

3

Table of Contents

Money Market Fund

 

Schedule of Investments   

June 30, 2012 (Unaudited)

 

          Principal
Amount		      Amortized
Cost		       

Barclays PLC

         

0.20%

   

07/18/12

    $ 3,400,000       $ 3,400,000      

National Australia Bank /New York

         

0.30%

   

10/29/12

        4,250,000         4,250,000       (c)

Royal Bank of Canada/New York

         

0.46%

   

04/10/13

      2,800,000         2,800,000       (c)

Svenska Handelsbanken AB

         

0.27%

   

07/10/12

      5,000,000         5,000,000      
             22,500,000      

Corporates — 4.4%

  

   

Inter-American Development Bank Discount Notes

         

0.11%

   

07/03/12

      5,100,000         5,099,969       (a)

International Bank for Reconstruction & Development

         

0.80%

   

07/13/12

      4,050,000         4,050,844      
           9,150,813      
          Principal
Amount		     

Amortized

Cost

      

Time Deposit — 0.1%

  

  

State Street Corp

        

0.13%

   

07/02/12

    $   158,821       $ 158,821      (b)

Total Short-Term Investments
(Cost $208,755,710)

           208,755,710     

Liabilities in Excess of Other
Assets, net — (1.6)%

         (3,245,411 )   
        

 

 

    

NET ASSETS — 100.0%

      $ 205,510,299     
        

 

 

    
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

4

Table of Contents
Notes to Schedule of Investments    June 30, 2012 (Unaudited)

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities information regarding holdings, allocations and other characteristics are presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments

 

(a) Coupon amount represents effective yield.

 

(b) State Street Corp. is the parent company of State Street Bank & Trust Co., the Fund’s custodian and accounting agent.

 

(c) Variable or floating rate security. The stated rate represents the rate at June 30, 2012.

 

† Percentages are based on net assets as of June 30, 2012.
 

 

5

Table of Contents

Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

 

 

     6/30/12†     12/31/11     12/31/10     12/31/09     12/31/08      12/31/07  
Inception date      —        —        —        —        —         7/1/85   

Net asset value, beginning of period

    $ 1.00      $ 1.00      $ 1.00      $ 1.00      $ 1.00       $ 1.00   

Income (Loss) from investment operations:

              

Net investment income

      —        —        —        —        0.02         0.05   

Net realized and unrealized
gains (losses) on investments

      0.00 **      0.00 **      0.00 **      —        —         —   

Total income (loss) from
investment operations

      —        0.00 **      0.00 **      —        0.02         0.05   

Less distributions from:

              

Net investment income

      —        —        —        —        0.02         0.05   

Net realized gains

      —        —        —        —        —         —   

Total distributions

      —        —        —        —        0.02         0.05   

Net asset value, end of period

    $ 1.00      $ 1.00      $ 1.00      $ 1.00      $ 1.00       $ 1.00   

TOTAL RETURN (a)

      0.00%        0.00%        0.00%        0.27%        2.24%         4.92%   

RATIOS/SUPPLEMENTAL DATA:

              

Net assets, end of period (in thousands)

    $  205,510      $ 228,063      $ 266,442      $ 326,072      $ 547,554       $ 340,690   

Ratios to average net assets:

              

Net investment income

      0.00%        0.00%        0.00%        0.32%        2.15%         4.81%   

Net expenses

      0.17% *      0.23% *      0.28% *      0.43% *      0.45%         0.48%   

Gross expenses

      0.53%        0.54%        0.53%        0.47%        0.45%         0.48%   

Portfolio turnover rate

      —        —        —        —        —         —   

Notes to Financial Highlights

 

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
* GE Asset Management has voluntarily undertaken to reduce its management fee and/or subsidize certain expenses of the Fund to the extent necessary to maintain a minimum annualized yield of 0.00%.
** Less than 0.005.
† Unaudited

 

The accompanying Notes are an integral part of these financial statements.

 

6

Table of Contents
Statement of Assets and Liabilities
June 30, 2012		      (Unaudited)  

ASSETS

     

Short-term Investments at amortized cost

        $145,725,710   

Repurchase agreements

        63,030,000   

Income receivables

        97,062   

Receivable for fund shares sold

        755   

Other assets

        6,772   

Total assets

        208,860,299   

LIABILITIES

     

Payable for fund shares redeemed

        3,278,871   

Payable to GEAM

        12,921   

Accrued other expenses

        58,208   

Total liabilities

        3,350,000   

NET ASSETS

        $205,510,299   

NET ASSETS CONSIST OF :

     

Capital paid in

        205,657,707   

Accumulated net realized loss

        (147,408 ) 

NET ASSETS

        $205,510,299   

Shares outstanding ($0.01 par value; unlimited shares authorized)

        205,686,693   

Net asset value per share

        $1.00   

 

The accompanying Notes are an integral part of these financial statements.

 

7

Table of Contents
Statement of Operations
For the period ending June 30, 2012		      (Unaudited)  

INVESTMENT INCOME

     

Income:

     

Interest

        $177,264   

Total Income

        177,264   

Expenses:

     

Advisory and administrative fees

        498,083   

Transfer agent fees

        20   

Director’s fees

        5,051   

Custody and accounting expenses

        31,517   

Professional fees

        8,458   

Other expenses

        20,556   

Total expenses before waiver and reimbursement

        563,685   

Less: Expenses reimbursed by the adviser

        (386,421 ) 

Net expenses

        177,264   

Net investment income (loss)

        —   

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

     

Realized loss on:

     

Investments

        (377 ) 

Increase in unrealized appreciation on:

     

Investments

        128,611   

Net realized and unrealized gain on investments

        128,234   

Net increase in net assets resulting from operations

        $128,234   

 

The accompanying Notes are an integral part of these financial statements.

 

8

Table of Contents
Statement of Changes in Net Assets          
       

Six Months Ended

June 30,

2012*

     

Year Ended

December 31,

2011

  

INCREASE (DECREASE) IN NET ASSETS

        

Operations:

        

Net investment income (loss)

      $ —       $ —   

Net realized gain (loss) on investments

        (377 )       1,031   

Net decrease in unrealized appreciation/(depreciation) on investments

        128,611         (128,611 ) 

Net increase (decrease) from operations

        128,234         (127,580 ) 

Distributions to shareholders from :

        

Net investment income (loss)

        —         —   

Total distributions

        —         —   

Increase (decrease) in net assets from operations and distributions

        128,234         (127,580 ) 

Share transactions :

        

Proceeds from sale of shares

        54,104,999         147,202,691   

Value of distributions reinvested

        —         —   

Cost of shares redeemed

        (76,786,221 )       (185,453,623 ) 

Net decrease from share transactions

        (22,681,222 )       (38,250,932 ) 

Total decrease in net assets

        (22,552,988 )       (38,378,512 ) 

NET ASSETS

        

Beginning of period

        228,063,287         266,441,799   

End of period

      $ 205,510,299       $ 228,063,287   

Undistributed (distribution in excess of)
net investment income, end of period

      $ —       $ —   

CHANGES IN FUND SHARES

        

Shares sold

        54,104,998         147,202,691   

Issued for distributions reinvested

        —         —   

Shares redeemed

        (76,786,221 )       (185,453,622 ) 

Net Decrease in Fund Shares

        (22,681,223 )       (38,250,931 ) 

 

* Unaudited

 

The accompanying Notes are an integral part of these financial statements.

 

9

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

1. Organization of the Company

GE Investments Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is composed of thirteen investment portfolios (collectively the “Funds”), although only the following eleven are currently being offered: U.S. Equity Fund, S&P 500 Index Fund, Premier Growth Equity Fund, Core Value Equity Fund, Mid-Cap Equity Fund, Small-Cap Equity Fund, Total Return Fund, Income Fund, Money Market Fund (the “Fund”) and Real Estate Securities Fund.

Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts. GE Asset Management Incorporated (“GEAM”) is the investment adviser and administrator of each of the Funds.

 

2. Summary of Significant Accounting Policies

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

The following summarizes the significant accounting policies of the Company:

Securities Valuation and Transactions. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.

Repurchase Agreements The Fund engages in repurchase agreement transactions with respect to instruments that are consistent with the Fund’s investment objectives or policies. The Fund’s custodian takes possession of the collateral pledged for investments in repurchase agreements on behalf of the Fund. The Fund values the underlying collateral daily on a mark-to-market basis to determine that the value, including accrued interest, is at least equal to 102% for domestic securities and 105%

international securities of the repurchase price. In the event the seller defaults and the value of the security declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.

Investment Income Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes.

Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.

Expenses Fund specific expenses are allocated to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Expenses of the Fund are generally paid directly by the Fund however, expenses may be paid by GEAM and reimbursed by the Fund.

Federal Income Taxes The Fund intends to comply with all sections of the Internal Revenue Code applicable to regulated investment companies including the distribution of substantially all of its taxable net investment income and net realized capital gains to its shareholders. Therefore, no provision for federal income tax has been made. The Fund is treated as a separate taxpayer for federal income tax purposes.

 

3. Securities Valuation

The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.

 

 

10

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:

Level 1 — Quoted prices for identical investments in active markets.

Level 2 — Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 — Significant inputs to the valuation model are unobservable.

Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the

methodologies used by independent pricing services including price validation of individual securities.

Fair Value Measurement The following section describes the valuation methodologies the Fund uses to measure different financial investments at fair value.

Portfolio securities are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.

Portfolio securities that are valued using techniques other than market quotations, particularly securities that are “fair valued,” are subject to valuation risk. The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

The following tables present the Funds’ investments measured at fair value on a recurring basis at June 30, 2012:

 

Investments    Level 1      Level 2      Level 3      Total  

Investments in Securities†

            

U.S. Treasuries

    $ —       $ 33,466,500       $ —       $ 33,466,500   

U.S. Government Agency Obligations

      —         64,500,028         —         64,500,028   

Commercial Paper

      —         15,949,548         —         15,949,548   

Repurchase Agreements

      —         63,030,000         —         63,030,000   

Certificate of Deposit

      —         22,500,000         —         22,500,000   

Corporates

      —         9,150,813         —         9,150,813   

Time Deposit

      —         158,821         —         158,821   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ —       $ 208,755,710       $ —       $ 208,755,710   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

† See Schedule of Investments for Industry Classification

The following table presents the changes in Level 3 investments measured on a recurring basis for the period ended June 30, 2012:

 

      Corporates     Total  

Balance at 12/31/11

    $ 4,522,125      $ 4,522,125   

Accrued discounts/premiums

      (736 )      (736 ) 

Realized gain (loss)

      —        —   

Change in unrealized gain (loss)

      128,611        128,611   

Purchases

      —        —   

Sales

      (4,650,000 )      (4,650,000 ) 

Balance at 06/30/12

    $ —      $ —   

Change in unrealized depreciation relating to securities still held at 06/30/12

    $ —      $ —   

There were no transfers between fair value levels. Transfers between fair value levels are considered to occur at the beginning of the period.

 

11

Table of Contents
Notes to Financial Statements   

June 30, 2012 (Unaudited)

 

 

4. Line of Credit

The Company shares a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is (“State Street”) with its custodian bank, State Street Bank and Trust Company. The revolving credit facility requires the payment of a commitment fee equal to 0.100% per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Funds generally is borne proportionally based upon net assets. In addition, the Company has a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal Funds Rate plus 50 basis points and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i) 10% of its total assets or (ii) 20% of its net assets. The credit facilities were not utilized by the Fund during the six-month period ended June 30, 2012.

 

5. Compensation and Fees Paid to Affiliates

Advisory and Administration Fees GEAM, a registered investment adviser, was retained by the Company’s Board of Directors effective May 1, 1997 to act as investment adviser and administrator of the Fund. Compensation of GEAM for investment advisory and administrative services is paid monthly based on the average daily net assets of the Fund. The advisory and administrative fee is stated in the following schedule:

 

     

Average Daily

Net Assets

of Fund

     

Advisory and

Administration

Fees

  

Money Market Fund

    First $ 100 million         .50 % 
   Next $ 100 million         .45 % 
   Next $ 100 million         .40 % 
   Next $ 100 million         .35 % 
   Over $ 400 million         .30 % 

GEAM has voluntarily undertaken to reduce its management fee and/or subsidize certain expenses of the Fund to the extent necessary to maintain a minimum annualized net yield of 0.00%. This voluntary management fee reduction and/or expense subsidy may be modified or discontinued by GEAM at any time without prior notice. There can be no assurance that this fee reduction will be sufficient to avoid any loss.

Directors’ Compensation The Fund pays no compensation to its directors who are officers or employees of GEAM or its affiliates. Directors who are not such officers or employees also serve in a similar capacity for other funds advised by GEAM. Compensation paid to non-interested Directors are reflected on the Statement of Operations. These fees are allocated pro rata across all of the mutual fund platforms served by the Directors, including the Fund, and are based upon the relative net assets of each fund within such platforms.

 

6. Income Taxes

The Fund is subject to ASC 740, Income Taxes. ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to the Fund’s net assets required under ASC 740. The Fund’s 2008, 2009, 2010 and 2011 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities.

 

At June 30, 2012, information on the tax cost of investments was as follows:

 

    

Gross Tax

   

Net Tax
Appreciation

Cost of Investments

For Tax Purposes

    Appreciation    Depreciation   
$208,755,710    $—    $—    $—

 

Capital loss carryovers are available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital

gains, it is probable that the gains so offset will not be distributed to shareholders because they would be taxable as ordinary income.

 

 

12

Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

 

Amount

    
Short-Term   Long-Term   Expires
$147,031   $—   12/31/2016

During the year ended December 31, 2011, the Fund utilized $1,031 of prior year capital loss carryovers.

These amounts will be available to offset future taxable capital gains. Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

Any qualified late-year loss is deemed to arise on the first day of the Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, the Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.

The Fund incurred no such losses for the year ended December 31, 2011.

Distributions to Shareholders The Fund declares any net investment income dividends daily and pays them monthly. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally accepted accounting principles. Reclassifications due to permanent book/tax differences are made to the Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or the net asset value of the Fund. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.

There was no reclassification for the year ended December 31, 2011.

 

7. Subsequent Events

Subsequent events after the balance sheet date through the date the financial statements were issued have been evaluated in the preparation of the financial statements. As of August 3, 2012, the assets of the Fund and the Mid-Cap Equity Fund were liquidated. These funds ceased operations and are no longer offered for investment.

 

 

13

Table of Contents
Additional Information    (Unaudited)

 

Information about Directors and Executive Officers:

The business and affairs of the Funds are managed under the direction of the Funds’ Board of Directors. Information pertaining to the Directors and officers of the Funds is set forth below.

Interested Directors and Executive Officers

 

 

Michael J. Cosgrove

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    63

Position(s) Held with Fund    Chairman of the Board and President

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    President of Mutual Funds and Global Investment Programs of GEAM since November 2011; President and Chief Executive Officer – Mutual Funds and Intermediary Business of GEAM from March 2007 to November 2011; Executive Vice President of GEAM from February 1997 to March 2007; and Executive Vice President-Mutual Funds of GEAM from March 1993 to March 2007. Also serves as Treasurer of GE Foundation since 1988.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Chairman of the Board and President of GE Institutional Funds since 1997; Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since 1988; Director of GEAM since 1988; Trustee of Fordham University from 2002 to June 30, 2010 and since July 2011; Director of GE Investments Distributors, Inc since June 2011; Director of Skin Cancer Foundation since August 2010; Member of the Board of Governors for the Investment Company Institute since October 2006; Director, GE Asset Management (Ireland) Limited, since February 1999, GE Asset Management Funds Plc since 1998, GE Asset Management Canada Company since 1998, GE Asset Management Limited since 1998; Trustee of General Electric Pension Trust since 1988; and Chairman of the Board and President of GE Funds from 1993 to February 2011.

 

 

Matthew J. Simpson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    51

Position(s) Held with Fund    Director and Executive Vice President

Term of Office and Length of Time Served    Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 years    Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Savings & Security Funds since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since July 2007; Trustee and Executive Vice President of GE Institutional Funds since July 2007; Director of GEAM since July 2007; and Trustee and Executive Vice President of GE Funds from July 2007 to February 2011.

 

14

Table of Contents
Additional Information    (Unaudited)

 

 

Joon Won Choe

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    42

Position(s) Held with Fund    Vice President & Secretary

Term of Office and Length of Time Served    Until successor is elected and qualified – Vice President and Secretary – 1 year

Principal Occupation(s) During Past 5 years    Senior Vice President and Deputy General Counsel at GEAM since March 2011; Vice President and Secretary of GE Institutional Funds since September 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds since September 2010; Senior Vice President and Associate General Counsel at GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010 and Vice President and Secretary of GE Funds from September 2010 to February 2011.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Robert Herlihy

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    44

Position(s) Held with Fund    Chief Compliance Officer

Term of Office and Length of Time Served    Until successor is elected and qualified – 6 years

Principal Occupation(s) During Past 5 years    Chief Compliance Officer of GEAM, GE Institutional Funds, Elfun Funds, and GE Savings & Security Funds since July 2005; Chief Compliance Officer of GE Funds from July 2005 to February 2011 and Manager of Fund Administration at GEAM from 2002-2005.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Arthur A. Jensen

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    45

Position(s) Held with Fund    Treasurer

Term of Office and Length of Time Served    Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years    Treasurer of GE Institutional Funds, Elfun Funds and GE Savings & Security Funds since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

15

Table of Contents
Additional Information    (Unaudited)

 

 

 

Jeanne M. LaPorta

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    46

Position(s) Held with Fund    Vice President

Term of Office and Length of Time Served     Until successor is elected and qualified – 8 years

Principal Occupation(s) During Past 5 Years    Senior Vice President and Commercial Administrative Officer of GEAM since April 2010; Vice President of GE Institutional Funds since July 2003; Vice President of Elfun Funds and GE Savings & Security Funds since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

Non-Interested Directors

 

 

John R. Costantino

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    66

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    General Partner, NGN Capital LLC since 2006; Managing Director, Vice President of Walden Capital Management since 1996.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since 1997; Trustee of Fordham University from 1989 to 1995 and from 2001 to 2007 and Trustee Emeritus since 2007; Trustee of Neuroscience Research Institute since 1986; Trustee of GE Funds from 1993 to February 2011; Director of Artes Medical from 2006-2008 and Trustee of Gregorian University Foundation from 1992-2007.

 

16

Table of Contents
Additional Information    (Unaudited)

 

 

 

R. Sheldon Johnson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    65

Positions(s) Held with Fund    Director

Term of office and Length of Time served    Unit Successor is elected and qualified – 1 year.

Principal Occupation(s) During Past 5 years    Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. from 2002 to 2006 and Managing Director at Morgan Stanley & Co., Inc. from 1988 to 2006.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since April 2011 and Trustee of St. Lawrence University since 2003.

 

 

Donna M. Rapaccioli

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    49

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – Less than 1 year

Principal Occupation(s) During Past 5 Years    Dean of the Gabelli School of Business since 2007 and Accounting professor since 1987 at Fordham University.

Number of Portfolios in Fund Complex Overseen by Officer    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since January 2012 and Trustee of Emmanuel College since 2010.

 

 

The Statement of Additional Information for the Funds includes additional information about the Directors and Officers and is available, without charge, upon request by calling 1-800-242-0134.

 

17

Table of Contents
Investment Team    (Unaudited)

 

Investment Adviser and Administrator

GE Asset Management Incorporated

Board of Directors

Michael J. Cosgrove, Chairman

John R. Costantino

R. Sheldon Johnson

Donna M. Rapaccioli

Matthew J. Simpson

Secretary

Joon Won Choe

Assistant Secretary

Michelle Matzelle

Treasurer

Arthur A. Jensen

Assistant Treasurer

Casey Yantosca

Distributor

GE Investment Distributors, Inc.

Member FINRA and SIPC

 

 

Custodian

State Street Bank & Trust Company

Officers of the Investment Adviser

Dmitri Stockton, President and Chief Executive Officer

Cheryl H. Beacock, Senior Vice President, Human Resources

George A. Bicher, Chief Risk Officer

Paul M. Colonna, President and Chief Investment Officer – Public Investments

Michael J. Cosgrove, President of Mutual Funds and Global Investment Programs

Gregory B. Hartch, Senior Vice President – Strategy and Business Development Leader

Ralph R. Layman, Executive Vice President and Chief Investment Officer Emeritus Public Equities

Maureen B. Mitchell, President of Global Sales and Marketing

Steven M. Rullo, Senior Vice President – Services and Technology

Matthew J. Simpson, Executive Vice President, General Counsel and Secretary

Donald W. Torey, President and Chief Investment Officer – Alternative Investments

David Wiederecht, President and Chief Investment Officer – Investment Solutions

Jessica Holscott, Executive Vice President, Chief Financial Officer*

 

 
* Effective August 1, 2012, Ms. Holcott replaced Tracie A. Winbigler as Executive Vice President and Chief Financial Officer.

 

At GE Asset Management, we’re dedicated to providing the investment options you’ll need to tailor your financial portfolio to every stage of your life. Each member of the GE Family of Funds is managed according to the same principles of integrity and quality that have guided GE over the past century, and have made it the world-class company that it is today. Each fund draws strength from a heritage of investment management experience that spans more than 80 years. Whether you’re creating a new investment portfolio or adding to an established one, the GE Family of Funds offers an array of professionally managed investment options that will help you meet a lifetime of financial needs.

 

18

Table of Contents

Investment Adviser

GE Asset Management Incorporated

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

Distributor

GE Investment Distributors, Inc.

member FINRA and SIPC

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

 

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-493-3042; (ii) on the Fund’s website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC—information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov.

 

LOGO

Table of Contents
 

GE Investments Funds, Inc.

Real Estate Securities Fund

Semi-Annual Report

June 30, 2012

 

LOGO

Table of Contents

GE Investments Funds, Inc.

Real Estate Securities Fund    Contents

 

 

Fund Information

     1   

Understanding Your Fund’s Expenses

      2   

Schedule of Investments

      3   

Notes to Schedule of Investments

      5   

Financial Statements

   

Financial Highlights

      6   

Statement of Assets and Liabilities

      7   

Statement of Operations

      8   

Statements of Changes in Net Assets

      9   

Notes to Financial Statements

      10   

Additional Information

      15   

Investment Team

      19   

 

This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.

Table of Contents
Real Estate Securities Fund    (Unaudited)

Fund Information

 

Notes to Performance

Total return performance shown in this report for the GE Investments Real Estate Securities Fund (the “Fund”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.

The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call 800-493-3042 or visit the Fund’s website at http://www.geam.com for the most recent month-end performance data.

An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.

Investment Profile

A mutual fund designed for investors who seek maximum total return through current income and capital appreciation. The Fund seeks its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks, and debt securities of U.S. issuers that are principally engaged in or related to the real estate industry, including those that own significant real estate assets. The Fund does not invest directly in real estate.

 

Sector Allocation

as a % of Fair Value of $78,416 (in thousands) on June 30, 2012 (a)(b)

 

 

 

LOGO

Top Ten Largest Holdings

as of June 30, 2012 (as a % of Fair Value)(a)(b)(c)

 

 

Simon Property Group Inc.

      7.51%   

Equity Residential

      5.52%   

Ventas Inc.

      5.36%   

Public Storage

      5.07%   

Healthcare Inc.

      5.06%   

Prologis Inc.

      4.63%   

Boston Properties Inc.

      4.45%   

HCP Inc.

      4.30%   

Digital Realty Trust Inc.

      3.46%   

UDR Inc.

      3.23%   
 

 

 

 

 

(a) The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.
(b) Fair value basis is inclusive of the short-term investment in GE Institutional Money Market Fund Investment Class.
(c) The figures presented to not include the Fund’s entire investment portfolio and may change at any time.
* Less than 0.01%.

GE Investment Distributors, Inc., Member of FINRA & SIPC, is the principal underwriter and distributor of the GE Investments Funds, Inc. and a wholly owned subsidiary of GE Asset Management Incorporated, the investment adviser of the Fund.

 

1

Table of Contents
Real Estate Securities Fund    (Unaudited)

Understanding Your Fund’s Expenses

 

As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended June 30, 2012.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses Paid During Period” to estimate the expenses paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.

 

January 1, 2012 – June 30, 2012

 

        Account value at the
beginning of the period  ($)		        Account value at the
end of the period ($)		        Expenses paid
during the period ($)*		  

Actual Fund Return*

        1,000.00           1,145.90           5.18   

Hypothetical 5% Return (2.5% for the period)

        1,000.00           1,020.04           4.87   

 

*   Expenses are equal to the Fund’s annualized expense ratio of 0.97% (for the period January 1, 2012—June 30, 2012), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

 

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Real Estate Securities Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

Real Estate Securities Fund

 

     Number
of Shares		      Fair Value       

Common Stock (REITs) — 97.1%†

  

     

Diversified — 3.1%

         

Vornado Realty Trust

      29,760       $ 2,499,245      

Freestanding — 2.9%

         

National Retail Properties Inc.

      81,830         2,314,971      

Healthcare — 14.9%

         

HCP Inc.

      76,290         3,368,203      

Healthcare Inc.

      68,110         3,970,813      

Senior Housing Properties Trust

      14,740         328,997      

Ventas Inc.

      66,570         4,201,898      
        11,869,911      

Hotel — 5.4%

         

DiamondRock Hospitality Co.

      26,610         271,422      

Host Hotels & Resorts Inc.

      113,050         1,788,451      

LaSalle Hotel Properties

      16,640         484,890      

Pebblebrook Hotel Trust

      15,090         351,748      

RLJ Lodging Trust

      62,270         1,128,955      

Sunstone Hotel Investors Inc.

      26,020         285,960       (a)
        4,311,426      

Industrial — 4.6%

         

Prologis Inc.

      109,370         3,634,365      

Multifamily — 20.1%

         

American Campus Communities Inc.

      18,350         825,383      

AvalonBay Communities Inc.

      12,970         1,834,996      

BRE Properties Inc.

      16,960         848,339      

Camden Property Trust

      21,950         1,485,356      

Colonial Properties Trust

      45,000         996,300      

Equity Residential

      69,450         4,330,902      

Essex Property Trust Inc.

      13,400         2,062,528      

Home Properties Inc.

      16,760         1,028,394      

UDR Inc.

      98,070         2,534,129      
        15,946,327      

Office — 13.6%

         

Alexandria Real Estate Equities Inc.

      24,890         1,810,001      

Boston Properties Inc.

      32,210         3,490,598      

Brandywine Realty Trust

      23,480         289,743      

CommonWealth

      70,220         1,342,606      

Hudson Pacific Properties Inc.

      23,660         411,921      

Mack-Cali Realty Corp.

      50,750         1,475,302      

SL Green Realty Corp.

      24,670         1,979,521      
        10,799,692      
     Number
of Shares		      Fair Value       

Office/Industrial — 2.6%

         

Duke Realty Corp.

      71,680       $ 1,049,395      

Liberty Property Trust

      26,650         981,786      
        2,031,181      

Regional Malls — 12.8%

         

General Growth Properties Inc.

      71,870         1,300,128      

Simon Property Group Inc.

      37,840         5,890,174      

Taubman Centers Inc.

      6,760         521,602      

The Macerich Co.

      41,640         2,458,842      
        10,170,746      

Self Storage — 5.0%

         

Public Storage

      27,530         3,975,607      

Shopping Centers — 8.7%

         

Acadia Realty Trust

      15,090         349,786      

DDR Corp.

      128,130         1,875,823      

Equity One Inc.

      15,030         318,636      

Excel Trust Inc.

      12,260         146,629      

Kimco Realty Corp.

      105,460         2,006,904      

Regency Centers Corp.

      15,280         726,870      

Tanger Factory Outlet Centers

      47,000         1,506,350      
        6,930,998      

Specialty — 3.4%

         

Digital Realty Trust Inc.

      36,100         2,710,027      

Total Common Stock (REIT)
(Cost $62,972,603)

         77,194,496      

Common Stock — 1.0%

  

     

Hotels, Resorts & Cruise Lines — 1.0%

  

   

Orient-Express Hotels Ltd.
(Cost $873,790)

      93,010         778,494       (a)

Other Investments — 0.0%*

  

              

GEI Investment Fund
(Cost $2,205)

         2,381       (c)

Total Investments in Securities
(Cost $63,848,598)

         77,975,371      
 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

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Real Estate Securities Fund

 

Schedule of Investments    June 30, 2012 (Unaudited)

 

          Fair Value       

Short-Term Investments — 0.6%

  

     

GE Institutional Money Market Fund – Investment Class 0.04%
(Cost $440,440)

       $ 440,440       (b,c)

Total Investments
(Cost $64,289,038)

         78,415,811      

Other Assets and Liabilities,
net — 1.3%

         1,070,665      
     

 

 

     

 

NET ASSETS — 100.0%

       $ 79,486,476      
     

 

 

     

 

 

See Notes to Schedule of Investments and Notes to Financial Statements.

 

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Notes to Schedules of Investments    June 30, 2012 (Unaudited)

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities information regarding holdings, allocations and other characteristics are presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a) Non-income producing security.

 

(b) Coupon amount represents effective yield.

 

(c) GE Asset Management, the investment adviser of the Fund, also serves as investment adviser of the GEI Investment Fund and the GE Institutional Money Market Fund. The GE Investment Fund has been determined to be illiquid using procedures established by the Board of Directors.

 

* Less than 0.05%.

 

† Percentages are based on net assets as of June 30, 2012 .

Abbreviations:

 

REIT    Real Estate Investment Trust

 

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Financial Highlights

Selected data based on a share outstanding throughout the fiscal years indicated

 

 

 

 

    CLASS 1  
    6/30/12†     12/31/11     12/31/10     12/31/09     12/31/08     12/31/07  
Inception date     —          —        —        —        5/1/95   

Net asset value, beginning of period

   $   11.58      $ 10.68      $   8.41      $ 6.46      $ 10.87      $ 21.49   

Income/(loss) from investment operations:

            

Net investment income

     0.12        0.21        0.19 **      1.03        1.11        0.72   

Net realized and unrealized gains/(losses) on investments

     1.57        0.84        2.24        1.29        (5.05)        (3.87)   

Total income/(loss) from investment operations

     1.69        1.05        2.43        2.32        (3.94)        (3.15)   

Less distributions from:

            

Net investment income

     —        0.15        0.16        0.22        0.28        0.73   

Return of capital

     —        —        —        0.15        0.19        0.02   

Net realized gains

     —        —        —        —        —        6.72   

Total distributions

     —        0.15        0.16        0.37        0.47        7.47   

Net asset value, end of period

   $ 13.27      $ 11.58      $ 10.68      $ 8.41      $   6.46      $ 10.87   

TOTAL RETURN(a)

     14.59%        9.85%        28.94%        35.77%        (36.03)%        (14.86)%   

RATIOS/SUPPLEMENTAL DATA:

            

Net assets, end of period
(in thousands)

   $ 79,486      $ 75,012      $ 78,316      $ 70,574      $ 59,969      $ 96,650   

Ratios to average net assets:

            

Net investment income

     1.84% *      1.73%        1.97%        4.75%        4.67%        2.59%   

Net Expenses

     0.97% (b)*      1.04% (b)      0.92% (b)      1.04% (b)      0.95% (b)      0.90%   

Gross Expenses

     0.97% *      1.04%        0.93%        1.04%        0.95%        0.90%   

Portfolio turnover rate

     23%        69%        113%        105%        121%        106%   

Notes to Financial Highlights

 

 

(a) Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results.
(b) Reflects GE Asset Management’s waiver of a portion of the Fund’s management fee in an amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund or, prior to 2011, in another affiliated money market fund formerly managed by GEAM.
* Annualized for periods less than one year.
** Per share values have been calculated using the average share method.
† Unaudited

 

The accompanying Notes are an integral part of these financial statements.

 

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Statement of Assets and Liabilities

June 30, 2012

     

(Unaudited)

  

ASSETS

     

Investments in securities, at Fair Value (cost $63,846,393)

        $77,972,990   

Investments in affiliated securities, at Fair Value (cost $2,205)

        2,381   

Short-term affiliated investments (at amortized cost)

        440,440   

Receivable for investments sold

        1,370,264   

Income receivables

        163,779   

Other assets

        2,598   

Total assets

        79,952,452   

LIABILITIES

     

Payable for investments purchased

        106,207   

Payable for fund shares redeemed

        256,935   

Payable to GEAM

        53,410   

Accrued other expenses

        49,424   

Total liabilities

        465,976   

NET ASSETS

        $79,486,476   

NET ASSETS CONSIST OF :

     

Capital paid in

        72,975,027   

Undistributed net investment income

        873,063   

Accumulated net realized loss

        (8,488,387 ) 

Net unrealized appreciation on:

     

Investments

        14,126,773   

NET ASSETS

        $79,486,476   

Class 1

     

Net Assets

        79,486,476   

Shares outstanding( $0.01 par value; unlimited shares authorized)

        5,988,768   

Net asset value per share

        $13.27   

 

The accompanying Notes are an integral part of these financial statements.

 

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Statement of Operations

For the period ending June 30, 2012

      (Unaudited)  

INVESTMENT INCOME

     

Income:

     

Dividend

      $ 1,100,966   

Interest

        —   

Interest from affiliated investments

        255   

Total Income

        1,101,221   

Expenses

     

Advisory and administration fees

        333,373   

Distributors Fees
Class 4*

        26   

Director’s fees

        1,544   

Custody and accounting expenses

        10,855   

Professional fees

        9,957   

Other expenses

        24,683   

Total expenses before waiver and reimbursement

        380,438   

Less: Expenses waived or borne by the adviser

        (514 ) 

Net expenses

        379,924   

Net investment income

        721,297   

NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS

     

Realized gain on:

     

Investments

        4,999,869   

Increase in unrealized appreciation on:

     

Investments

        4,980,605   

Net realized and unrealized gain on investments

        9,980,474   

Net increase in net assets resulting from operations

      $ 10,701,771   

 

* Share Class 4 was closed effective June 29, 2012.

 

The accompanying Notes are an integral part of these financial statements.

 

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Statements of
Changes in Net Assets		          
       

Six months ended
June 30,

2012 *

      Year Ended
December 31,
2011		  

INCREASE (DECREASE) IN NET ASSETS

        

Operations:

        

Net investments income

      $ 721,297       $ 1,357,931   

Net realized gain on investments

        4,999,869         11,532,642   

Net increase (decrease) in unrealized appreciation / (depreciation) on investments

        4,980,605         (5,488,601 ) 

Net increase from operations

        10,701,771         7,401,972   

Distributions to shareholders from :

        

Net investment income

        

Class 1

        —         (970,363 ) 

Class 4 **

        —         (94 ) 

Total distributions

        —         (970,457 ) 

Increase in net assets from operations and distributions

        10,701,771         6,431,515   

Share transactions :

        

Proceeds from sale of shares

        

Class 1

        2,818,381         6,122,446   

Class 4 **

        —         —   

Value of distributions reinvested

        

Class 1

        —         970,363   

Class 4 **

        —         94   

Cost of shares redeemed

        

Class 1

        (9,044,183 )       (16,827,298 ) 

Class 4 **

        (12,375 )       —   

Net decrease from share transactions

        (6,238,177 )       (9,734,395 ) 

Total increase (decrease) in net assets

        4,463,594         (3,302,880 ) 

NET ASSETS

        

Beginning of period

        75,022,882         78,325,762   

End of period

      $ 79,486,476       $ 75,022,882   

Undistributed net investment income, end of period

      $ 873,063       $ 151,766   

CHANGES IN FUND SHARES

        

Class 1

        

Shares sold

        226,857         544,476   

Issued for distributions reinvested

        —         84,306   

Shares redeemed

        (714,390 )       (1,487,970 ) 

Net Decrease in Fund Shares

        (487,533 )       (859,188 ) 

Class 4 **

        

Shares sold

        —         —   

Issued for distributions reinvested

        —         8   

Shares redeemed

        (935 )       —   

Net Increase (Decrease) in Fund Shares

        (935 )       8   

 

*   (Unaudited)
**   Share Class 4 was closed effective June 29, 2012

 

The accompanying Notes are an integral part of these financial statements.

 

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Table of Contents
Notes to Financial Statements    June 30, 2012 (Unaudited)

 

1. Organization of the Company

GE Investments Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is composed of thirteen investment portfolios (collectively the “Funds”), although only the following ten are currently being offered: U.S. Equity Fund, S&P 500 Index Fund, Premier Growth Equity Fund, Core Value Equity Fund, Mid-Cap Equity Fund, Small-Cap Equity Fund, Total Return Fund, Income Fund, Money Market Fund and Real Estate Securities Fund (the “Fund”).

Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts. GE Asset Management Incorporated (“GEAM”) is the investment adviser and administrator of each of the Funds.

The Company currently offers one share class (Class 1) of the Fund as investment options for variable life insurance and variable annuity contracts. Class 4 shares were closed on June 29, 2012.

 

2. Summary of Significant Accounting Policies

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

The following summarizes the significant accounting policies of the Company.

Securities Valuation and Transactions. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.

The Fund’s income, expenses (other than distribution fees) and realized and unrealized gains and losses are allocated

proportionally each day among the share classes based upon the relative net assets of each class.

Derivatives The Fund is subject to equity price risk in the normal course of pursuing its investment objective. The Fund may enter into derivative transactions to gain market exposure for residual and accumulating cash positions.

Real Estate Investment Trusts Dividend income, attributable to real estate investment trusts (“REITs”), is recorded based on management’s estimate of the income included in the distributions received. Distributions received in excess of this amount are recorded as a reduction of the cost of the investments. The actual amounts of income and return of capital are determined by each REIT only after its fiscal year-end and may differ from the estimated amounts.

Investment Income Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after ex-dividend date as such information becomes available. Withholding taxes in foreign dividends have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.

Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.

Expenses Fund specific expenses are allocated to the Fund that incurs such expenses. Such expenses may include custodial fees, legal and accounting fees, printing costs and registration fees. Expenses that are not fund specific are allocated pro rata across the Funds. Certain class specific expenses (such as distribution fees) are allocated to the class that incurs such expense. Expenses of the Fund are generally paid directly by the Fund; however, expenses may be paid by GEAM and reimbursed by the Fund.

Federal Income Taxes The Fund intends to comply with all sections of the Internal Revenue Code applicable to regulated investment companies including the distribution of substantially all of its taxable net investment income and net realized capital gains to its shareholders. Therefore, no provision for federal income tax has been made. The Fund is treated as a separate taxpayer for federal income tax purposes.

 

 

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Notes to Financial Statements    June 30, 2012 (Unaudited)

 

 

3. Securities Valuation

The Fund utilizes various methods to measure the fair value of most of its investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.

Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:

Level 1 — Quoted prices for identical investments in active markets.

Level 2 — Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 — Significant inputs to the valuation model are unobservable.

Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. GEAM performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.

Fair Value Measurement  The following section describes the valuation methodologies the Fund uses to measure different financial investments at fair value.

The Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on

NASDAQ are valued using the NASDAQ Official Closing Price, Level 1 securities primarily include publicly-traded equity securities. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances the Fund classifies the investment securities in Level 2.

Short-term investments of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Fund with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.

The Fund uses the net asset value per unit for collective funds (i.e., GEI Investment Fund). The Fund classifies the investment security in Level 2.

If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using procedures approved by the Fund’s Board of Directors that are designed to establish its “fair” value. These securities are typically classified in Level 3. Those procedures require that the fair value of a security be established by a valuation committee of GEAM. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of the Fund in the appropriate circumstances.

Fair value determinations generally are used for securities whose value is affected by a significant event that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of the Fund’s NAV.

The value established for such a portfolio security may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that the Fund could sell a portfolio security for the value established for it

 

 

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Notes to Financial Statements    June 30, 2012 (Unaudited)

 

at any time and it is possible that the Fund would incur a loss because a portfolio security is sold at a discount to its established value.

Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps, and written options contracts, which are valued based on fair value as discussed above.

The Fund uses closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid

over-the-counter markets. Derivative assets and liabilities included in Level 2 primarily represent interest rate swaps, cross-currency swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

 

The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2012:

 

Investments      Level 1        Level 2        Level 3        Total  

Investments in Securities†

                    

Common Stock

      $ 77,972,990         $ —         $ —         $ 77,972,990   

Other Investments

        —           2,381           —           2,381   

Short-Term Investments

        440,440           —           —           440,440   

Total Investments in Securities

      $ 78,413,430         $ 2,381         $ —         $ 78,415,811   

 

† See Schedule of Investments for Industry Classifications

    

There were no transfers between fair value levels. Transfers between fair value levels are considered to occur at the beginning of the period.

4. Line of Credit

The Company shares a revolving credit facility of up to $150 million with a number of its affiliates. The credit facility is with its custodian bank, State Street Bank and Trust Company (“State Street”). The revolving credit facility requires the payment of a commitment fee equal to 0.100% per annum on the daily unused portion of the credit facility, payable quarterly. The portion borne by the Funds generally is borne proportionally based upon net assets. In addition, the Company has a $100 million uncommitted, unsecured line of credit with State Street. Generally, borrowings under the credit facilities would accrue interest at the Federal Funds Rate plus 50 basis points and would be borne by the borrowing Fund. The maximum amount allowed to be borrowed by any one Fund is the lesser of (i)33.33% of the Fund’s assets or (ii) 20% of its net assets. The credit facilities were not utilized by the Fund during the six-month period ended June 30, 2012.

 

5. Compensation and Fees Paid to Affiliates

GEAM, a registered investment adviser, was retained by the Company’s Board of Directors effective May 1, 1997 to act as investment adviser and administrator of the Fund. GEAM’s compensation for investment advisory and

administrative services is paid monthly based on the average daily net assets of the Fund. The advisory and administrative fee is stated in the following schedule:

 

Average Daily Net Assets of Fund   Advisory and
Administration
Fees
First $100 million   0.85%
Next $100 million   0.80%
Over $200 million   0.75%

GEAM has a contractual arrangement with the Fund to waive a portion of the Fund’s management fee in the amount equal to the management fee earned by GEAM with respect to the Fund’s investment in the GE Institutional Money Market Fund, if any.

Distribution and Service (12b-1) Fees Prior to the closure of Class 4 shares on June 29, 2012, the Company had adopted a Distribution and Service (12b-1) Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to Class 4 shares of the Fund. Under the Plan, the Fund could compensate GE Investment Distributors, Inc. (“GEID”), a wholly-owned subsidiary of GEAM and the Fund’s principal distributor, for certain sales services provided by GEID or other broker dealers and investor services provided by GEID or other service providers relating to the Fund’s Class 4

 

 

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Notes to Financial Statements    June 30, 2012 (Unaudited)

 

shares, including services to owners or prospective owners of variable contracts issued by insurance companies that offer such share class as an investment option. The amount of compensation paid under the Plan by the Fund’s Class 4 shares was not to exceed 0.45% of the average daily net assets of the Fund attributable to such share class.

Directors’ Compensation The Fund pays no compensation to its directors who are officers or employees of GEAM or its affiliates. Directors who are not such officers or employees also serve in a similar capacity for other funds advised by GEAM. Compensation paid to non-interested Directors are reflected on the Statement of Operations. These fees are allocated pro rata across all of the mutual fund platforms served by the Directors, including the Fund, and are based upon the relative net assets of each fund within such platforms.

 

6. Sub-advisory Fees

Pursuant to an investment sub-advisory agreement with GEAM, Urdang Securities Management, Inc. (“Urdang”) is the Sub-Adviser to the Fund. Urdang is responsible for the day-to-day portfolio management of the assets of the Fund, including the responsibility for making decisions to buy, sell or hold a particular security, under the general supervision of GEAM and the Board.

For their services, GEAM pays Urdang monthly sub-advisory fees which are calculated as a percentage of the average daily net assets of the Fund.

7. Investment Transactions

Purchases and Sales of Securities The cost of purchases and the proceeds from sales of investments, other than short-term securities, for the six-month period ended June 30, 2012 were as follows:

 

Non U.S. Gov’t Securities
Purchases   Sales
$17,742,511   $22,861,728

 

8. Income Taxes

The Fund is subject to ASC 740, Income Taxes. ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how certain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to the Funds’ net assets required under ASC 740. The Fund’s 2008, 2009, 2010 and 2011 fiscal years tax returns are still open to examination by the Federal and applicable state tax authorities.

 

At June 30, 2012, information on the tax cost of investments was as follows:

 

    Gross Tax   Net Tax Appreciation
Cost of Investments
For Tax Purposes		   Appreciation   Depreciation  

$65,664,126

   $14,234,090   $(1,482,405)   $12,751,685

Capital loss carryovers are available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders because they would be taxable as ordinary income.

As of December 31, 2011, the Fund has capital loss carryovers as follows:

 

Amount    
Short-Term   Long-Term   Expires
$11,619,641   $—   12/31/2017

These amounts will be available to offset future taxable capital gains. Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an

 

 

13

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Notes to Financial Statements    June 30, 2012 (Unaudited)

 

unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

During the year ended December 31, 2011, the Fund utilized $10,263,859 of prior year capital loss carryovers.

Any qualified late-year loss is deemed to arise on the first day of the Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, the Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.

The Fund incurred no such losses for the year ended December 31, 2011.

The tax composition of distributions paid during the years ended December 31, 2011 and December 31, 2010 were as follows:

 

     Ordinary
Income		     Long-Term
Capital
Gains		     Total  
2011   $ 970,457      $ —      $ 970,457   
2010   $ 1,190,970      $ —      $ 1,190,970   

Distributions to Shareholders The Fund declares and pays any dividends from net investment income annually. The Fund declares and pays any net realized capital gains in excess of capital loss carryforwards distributions annually.

The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences include (but are not limited to) distributions from Real Estate Investment Trusts (REITS), investments organized as partnerships for tax purposes; and losses deferred due to wash sale transactions. Reclassifications due to permanent book/tax differences are made to the Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or the net asset value of the Fund. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.

The reclassifications for the year ended December 31, 2011 were as follows:

 

Undistributed
Net Investment
Income		    Accumulated
Net Realized
Gain (Loss)		    Capital
Paid In
($336,940)    $348,439    ($11,499)

 

9. Subsequent Events

Subsequent events after the balance sheet date through the date the financial statements were issued have been evaluated in the preparation of the financial statements. As of August 3, 2012, the assets of the Mid-Cap Equity Fund and the Money Market Fund were liquidated. These funds ceased operations and are no longer offered for investment.

 

 

14

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Additional Information    (Unaudited)

 

Information about Directors and Executive Officers:

The business and affairs of the Funds are managed under the direction of the Funds’ Board of Directors. Information pertaining to the Directors and officers of the Funds is set forth below.

Interested Directors and Executive Officers

 

 

Michael J. Cosgrove

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    63

Position(s) Held with Fund    Chairman of the Board and President

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    President of Mutual Funds and Global Investment Programs of GEAM since November 2011; President and Chief Executive Officer – Mutual Funds and Intermediary Business of GEAM from March 2007 to November 2011; Executive Vice President of GEAM from February 1997 to March 2007; and Executive Vice President-Mutual Funds of GEAM from March 1993 to March 2007. Also serves as Treasurer of GE Foundation since 1988.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Chairman of the Board and President of GE Institutional Funds since 1997; Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since 1988; Director of GEAM since 1988; Trustee of Fordham University from 2002 to June 30, 2010 and since July 2011; Director of GE Investments Distributors, Inc since June 2011; Director of Skin Cancer Foundation since August 2010; Member of the Board of Governors for the Investment Company Institute since October 2006; Director, GE Asset Management (Ireland) Limited, since February 1999, GE Asset Management Funds Plc since 1998, GE Asset Management Canada Company since 1998, GE Asset Management Limited since 1998; Trustee of General Electric Pension Trust since 1988; and Chairman of the Board and President of GE Funds from 1993 to February 2011.

 

 

Matthew J. Simpson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    51

Position(s) Held with Fund    Director and Executive Vice President

Term of Office and Length of Time Served    Until successor is elected and qualified – 4 years

Principal Occupation(s) During Past 5 years    Executive Vice President, General Counsel and Secretary of GEAM since July 2007; Secretary of Elfun Funds and GE Savings & Security Funds since July 2007; Senior Vice President and General Counsel – Marketing and Client Services (formerly Asset Management Services) of GEAM and Senior Vice President and General Counsel of GE Asset Management Services from February 1997 to July 2007; Vice President and Associate General Counsel of GEAM from October 1992 to February 1997; Secretary of GE Institutional Funds and GE Investments Funds, Inc. from 1997 to July 2007 and Vice President from September 2003 to July 2007; Assistant Secretary of Elfun Funds and GE Savings & Security Funds from 1998 to July 2007 and Vice President from October 2003 to July 2007; and Secretary of GE Funds from 1993 to July 2007 and Vice President from September 2003 to July 2007.

Number of Portfolios in Fund Complex Overseen by Director    25

Other Directorships Held by Director    Trustee of Elfun Funds, GE Savings & Security Funds and General Electric Pension Trust since July 2007; Trustee and Executive Vice President of GE Institutional Funds since July 2007; Director of GEAM since July 2007; and Trustee and Executive Vice President of GE Funds from July 2007 to February 2011.

 

15

Table of Contents
Additional Information    (Unaudited)

 

 

Joon Won Choe

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    42

Position(s) Held with Fund    Vice President & Secretary

Term of Office and Length of Time Served    Until successor is elected and qualified – Vice President and Secretary – 1 year

Principal Occupation(s) During Past 5 years    Senior Vice President and Deputy General Counsel at GEAM since March 2011; Vice President and Secretary of GE Institutional Funds since September 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds since September 2010; Senior Vice President and Associate General Counsel at GEAM from June 2010 to March 2011; Vice President and Associate General Counsel of GEAM from November 2005 to June 2010 and Vice President and Secretary of GE Funds from September 2010 to February 2011.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Robert Herlihy

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    44

Position(s) Held with Fund    Chief Compliance Officer

Term of Office and Length of Time Served    Until successor is elected and qualified — 6 years

Principal Occupation(s) During Past 5 years    Chief Compliance Officer of GEAM, GE Institutional Funds, Elfun Funds, and GE Savings & Security Funds since July 2005; Chief Compliance Officer of GE Funds from July 2005 to February 2011 and Manager of Fund Administration at GEAM from 2002-2005.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

 

Arthur A. Jensen

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    45

Position(s) Held with Fund    Treasurer

Term of Office and Length of Time Served    Until successor is elected and qualified – 1 year

Principal Occupation(s) During Past 5 Years    Treasurer of GE Institutional Funds, Elfun Funds and GE Savings & Security Funds since June 2011; Mutual Funds Controller of GEAM since April 2011; Senior Vice President at Citigroup from 2008 to 2010 and Vice President at JPMorgan from 2005 to 2008.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

 

16

Table of Contents
Additional Information    (Unaudited)

 

 

 

Jeanne M. LaPorta

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    46

Position(s) Held with Fund    Vice President

Term of Office and Length of Time Served     Until successor is elected and qualified – 8 years

Principal Occupation(s) During Past 5 Years    Senior Vice President and Commercial Administrative Officer of GEAM since April 2010; Vice President of GE Institutional Funds since July 2003; Vice President of Elfun Funds and GE Savings & Security Funds since October 2003; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of Elfun Funds and GE Savings & Security Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007.

Number of Portfolios in Fund Complex Overseen by Officer    N/A

Other Directorships Held by Officer    N/A

Non-Interested Directors

 

 

John R. Costantino

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    66

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – 15 years

Principal Occupation(s) During Past 5 years    General Partner, NGN Capital LLC since 2006; Managing Director, Vice President of Walden Capital Management since 1996.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since 1997; Trustee of Fordham University from 1989 to 1995 and from 2001 to 2007 and Trustee Emeritus since 2007; Trustee of Neuroscience Research Institute since 1986; Trustee of GE Funds from 1993 to February 2011; Director of Artes Medical from 2006-2008 and Trustee of Gregorian University Foundation from 1992-2007.

 

17

Table of Contents
Additional Information    (Unaudited)

 

 

 

R. Sheldon Johnson

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    65

Positions(s) Held with Fund    Director

Term of office and Length of Time served    Unit Successor is elected and qualified – 1 year.

Principal Occupation(s) During Past 5 years    Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. from 2002 to 2006 and Managing Director at Morgan Stanley & Co., Inc. from 1988 to 2006.

Number of Portfolios in Fund Complex Overseen by Director    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since April 2011 and Trustee of St. Lawrence University since 2003.

 

 

Donna M. Rapaccioli

 

 

Address    c/o GEAM 1600 Summer St. Stamford, CT 06905

Age    49

Position(s) Held with Fund    Director

Term of Office and Length of Time Served    Until successor is elected and qualified – Less than 1 year

Principal Occupation(s) During Past 5 Years    Dean of the Gabelli School of Business since 2007 and Accounting professor since 1987 at Fordham University.

Number of Portfolios in Fund Complex Overseen by Officer    17

Other Directorships Held by Director    Trustee of GE Institutional Funds since January 2012 and Trustee of Emmanuel College since 2010.

 

 

The Statement of Additional Information for the Funds includes additional information about the Directors and Officers and is available, without charge, upon request by calling 1-800-242-0134.

 

18

Table of Contents
Investment Team    (Unaudited)

 

Investment Adviser and Administrator

GE Asset Management Incorporated

Board of Directors

Michael J. Cosgrove, Chairman

John R. Costantino

R. Sheldon Johnson

Donna M. Rapaccioli

Matthew J. Simpson

Secretary

Joon Won Choe

Assistant Secretary

Michelle Matzelle

Treasurer

Arthur A. Jensen

Assistant Treasurer

Casey Yantosca

Distributor

GE Investment Distributors, Inc.

Member FINRA and SIPC

 

 

Custodian

State Street Bank & Trust Company

Officers of the Investment Adviser

Dmitri Stockton, President and Chief Executive Officer

Cheryl H. Beacock, Senior Vice President, Human Resources

George A. Bicher, Chief Risk Officer

Paul M. Colonna, President and Chief Investment Officer – Public Investments

Michael J. Cosgrove, President of Mutual Funds and Global Investment Programs

Gregory B. Hartch, Senior Vice President – Strategy and Business Development Leader

Ralph R. Layman, Executive Vice President and Chief Investment Officer Emeritus Public Equities

Maureen B. Mitchell, President of Global Sales and Marketing

Steven M. Rullo, Senior Vice President – Services and Technology

Matthew J. Simpson, Executive Vice President, General Counsel and Secretary

Donald W. Torey, President and Chief Investment Officer – Alternative Investments

David Wiederecht, President and Chief Investment Officer – Investment Solutions

Jessica Holscott, Executive Vice President, Chief Financial Officer*

 
* Effective August 1, 2012, Ms. Holcott replaced Tracie A. Winbigler as Executive Vice President and Chief Financial Officer.

 

At GE Asset Management, we’re dedicated to providing the investment options you’ll need to tailor your financial portfolio to every stage of your life. Each member of the GE Family of Funds is managed according to the same principles of integrity and quality that have guided GE over the past century, and have made it the world-class company that it is today. Each fund draws strength from a heritage of investment management experience that spans more than 80 years. Whether you’re creating a new investment portfolio or adding to an established one, the GE Family of Funds offers an array of professionally managed investment options that will help you meet a lifetime of financial needs.

 

19

Table of Contents

Investment Adviser

GE Asset Management Incorporated

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

Distributor

GE Investment Distributors, Inc.

member FINRA and SIPC

1600 Summer Street

Stamford, CT 06905

or at:

PO Box 7900

Stamford, CT 06904-7900

 

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies and procedures that the Fund uses to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-493-3042; (ii) on the Fund’s website at http://www.geam.com; and (iii) on the Commission’s website at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC—information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Information (if any) regarding how the Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Fund’s website at http://www.geam.com; and (ii) on the Commission’s website at http://www.sec.gov.

 

LOGO

Table of Contents
ITEM 2. CODE OF ETHICS.

Applicable only to an annual filing.

 

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Applicable only to an annual filing.

 

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Applicable only to an annual filing.

 

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS

Applicable only to an annual filing.

 

ITEM 6. SCHEDULE OF INVESTMENTS.

Attached as part of ITEM 1.

 

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Applicable only to Closed-End Management Investment Companies.

 

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Applicable only to Closed-End Management Investment Companies.

 

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Applicable only to Closed-End Management Investment Companies.

 

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

No material changes.

 

ITEM 11. CONTROLS AND PROCEDURES.

The officers providing the certifications in this report in accordance with Rule 30a-3 under the Investment Company Act of 1940 have concluded, based on their evaluation of the registrant’s disclosure controls and procedures (as such term is defined in such rule),

that such controls and procedures are adequate and reasonably designed to achieve the purpose described in paragraph (c) of such rule.

There were no significant changes in the registrant’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their last evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

 

ITEM 12. EXHIBITS.

(a) Not applicable.

(b) Attached hereto as Exhibit 1 and Exhibit 2 are the Certifications of Michael J. Cosgrove and Arthur A. Jensen as principal executive officer and principal financial officer, respectively, as required by Rule 30a-2 under the Investment Company Act of 1940.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.

GE INVESTMENTS FUNDS, INC

 

By:

  

/s/ Michael J. Cosgrove

  Michael J. Cosgrove
  Chairman, GE Investments Funds, Inc.

Date: August 27, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:

  

/s/ Michael J. Cosgrove

  Michael J. Cosgrove
  Chairman, GE Investments Funds, Inc.

Date: August 27, 2012

 

By:

  

/s/ Arthur A. Jensen

  Arthur A. Jensen
  Treasurer, GE Investments Funds, Inc.

Date: August 27, 2012

Table of Contents

EXHIBIT INDEX

(b)(1) Certifications of principal executive officer and principal financial officer as required by Rule 30a-2 under the Investment Company Act of 1940.

(b)(2) Certification of principal executive officer and principal financial officer as required by Section 906 of the Sarbanes-Oxley Act of 2002.