UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment
Company Act file number
|
811-21583
|
|
|
CLOUGH
GLOBAL ALLOCATION FUND
|
(Exact name of registrant as specified in charter)
|
|
1290 Broadway, Suite 1100, Denver, Colorado
|
|
80203
|
(Address of principal executive offices)
|
|
(Zip code)
|
|
Erin Douglas
Clough Global Allocation Fund
1290 Broadway, Suite 1100
Denver, Colorado 80203
|
(Name and address of agent for service)
|
|
Registrants
telephone number, including area code:
|
(303)
623-2577
|
|
|
Date of
fiscal year end:
|
March 31
|
|
|
|
|
Date of
reporting period:
|
June 30,
2008
|
|
|
|
|
|
|
|
|
Item 1 Schedule of Investments.
Clough Global Allocation Fund
STATEMENT OF INVESTMENTS
June 30, 2008
(Unaudited)
|
|
Shares
|
|
Value
|
|
COMMON
STOCKS 114.73%
|
|
|
|
|
|
Agriculture
0.11%
|
|
|
|
|
|
Sadia S.A. - ADR
|
|
38,000
|
|
$
|
269,041
|
|
|
|
|
|
|
|
Consumer/Retail
4.25%
|
|
|
|
|
|
ASKUL Corp.
|
|
27,600
|
|
516,209
|
|
B&G
Foods, Inc.
|
|
11,300
|
|
105,542
|
|
Belle
International Holdings, Ltd.
|
|
316,000
|
|
284,501
|
|
China Mengniu
Dairy Co., Ltd.
|
|
191,000
|
|
541,358
|
|
DSW, Inc.
(a)
|
|
5,392
|
|
63,518
|
|
Ford Motor Co.
(a)
|
|
48,790
|
|
234,680
|
|
GOME Electrical
Appliances Holdings, Ltd.
|
|
1,236,800
|
|
586,894
|
|
Home
Inns & Hotels Management, Inc. - ADR
(a)
|
|
11,700
|
|
222,417
|
|
Honda Motor Co.,
Ltd.
|
|
57,528
|
|
1,957,678
|
|
Hyundai
Department Store Co., Ltd. - ADR
|
|
11,700
|
|
947,364
|
|
Jardine Matheson
Holdings, Ltd.
|
|
32,366
|
|
1,003,346
|
|
Jardine
Strategic Holdings, Ltd.
|
|
25,814
|
|
438,838
|
|
Kraft
Foods, Inc.
|
|
24,700
|
|
702,715
|
|
Little Sheep
Group Ltd.
(a)
|
|
59,000
|
|
21,792
|
|
Lotte Shopping
Co., Ltd.
|
|
2,850
|
|
848,693
|
|
Parkson Retail
Group Ltd.
|
|
42,500
|
|
310,141
|
|
Pou Sheng International
Holdings Ltd.
(a)
(b)
|
|
818,000
|
|
251,781
|
|
Regal Hotels
International Holdings, Ltd.
|
|
3,743,900
|
|
182,459
|
|
Sumco Corp.
|
|
24,500
|
|
542,214
|
|
Swire Pacific,
Ltd.
|
|
60,000
|
|
613,678
|
|
|
|
|
|
10,375,818
|
|
|
|
|
|
|
|
Energy
41.12%
|
|
|
|
|
|
Alternative
Energy Technologies 1.27%
|
|
|
|
|
|
China Sunergy
Co., Ltd. - ADR
(a)
|
|
2,400
|
|
19,848
|
|
Evergreen
Solar, Inc.
(a)
|
|
57,800
|
|
560,082
|
|
Sunpower Corp.
(a)
|
|
21,187
|
|
1,525,040
|
|
Suntech Power
Holdings Co., Ltd. - ADR
(a)
|
|
26,559
|
|
994,900
|
|
|
|
|
|
3,099,870
|
|
|
|
|
|
|
|
Coal
9.61%
|
|
|
|
|
|
Alpha Natural
Resources, Inc.
(a)
|
|
21,800
|
|
2,273,522
|
|
Arch
Coal, Inc.
|
|
56,765
|
|
4,259,078
|
|
CONSOL
Energy, Inc.
|
|
64,100
|
|
7,202,917
|
|
Massey Energy
Co.
|
|
6,000
|
|
562,500
|
|
Patriot Coal
Corp.
(a)
|
|
240
|
|
36,790
|
|
Peabody Energy
Corp.
|
|
83,600
|
|
7,360,980
|
|
Walter
Industries, Inc.
|
|
16,000
|
|
1,740,320
|
|
|
|
|
|
23,436,107
|
|
|
|
|
|
|
|
Exploration &
Production 16.46%
|
|
|
|
|
|
American
Oil & Gas, Inc.
(a)
|
|
31,798
|
|
124,648
|
|
Anadarko
Petroleum Corp.
|
|
31,000
|
|
2,320,040
|
|
Apache Corp.
|
|
9,300
|
|
1,292,700
|
|
Cabot
Oil & Gas Corp.
|
|
20,700
|
|
1,402,011
|
|
Chesapeake
Energy Corp.
|
|
56,100
|
|
3,700,356
|
|
ConocoPhillips
|
|
8,000
|
|
755,120
|
|
Devon Energy
Corp.
|
|
22,200
|
|
2,667,552
|
|
Encana Corp.
|
|
16,600
|
|
1,509,438
|
|
Goodrich
Petroleum Corp.
(a)
|
|
12,500
|
|
1,036,500
|
|
Hess Corp.
|
|
23,700
|
|
2,990,703
|
|
InterOil Corp.
(a)
|
|
37,700
|
|
1,108,380
|
|
OAO Gazprom -
ADR
|
|
48,100
|
|
2,789,800
|
|
Occidental
Petroleum Corp.
|
|
19,000
|
|
1,707,340
|
|
Parallel Petro
Corp.
(a)
|
|
13,267
|
|
267,065
|
|
PetroHawk Energy
Corp.
(a)
(c)
|
|
18,000
|
|
833,580
|
|
PetroHawk Energy
Corp.
(a)
|
|
95,000
|
|
4,399,450
|
|
Petroleo Brasileiro S.A. - ADR
|
|
62,600
|
|
4,433,958
|
|
Range Resources
Corp.
|
|
17,800
|
|
1,166,612
|
|
Southwestern
Energy Co.
(a)
|
|
70,800
|
|
3,370,788
|
|
Ultra Petroleum
Corp.
(a)
|
|
13,800
|
|
1,355,160
|
|
XTO
Energy, Inc.
|
|
13,250
|
|
907,758
|
|
|
|
|
|
40,138,959
|
|
|
|
|
|
|
|
Oil
Services and Drillers 12.65%
|
|
|
|
|
|
Cameron
International Corp.
(a)
|
|
10,000
|
|
553,500
|
|
Exterran
Holdings, Inc.
(a)
|
|
20,800
|
|
1,486,992
|
|
FMC
Technologies, Inc.
(a)
|
|
14,400
|
|
1,107,792
|
|
Forest Oil Corp.
(a)
|
|
15,700
|
|
1,169,650
|
|
|
|
|
|
|
|
|
Fred Olsen
Energy ASA
|
|
5,000
|
|
303,346
|
|
Halliburton Co.
|
|
11,300
|
|
599,691
|
|
Hornbeck
Offshore Services Inc.
(a)
|
|
30,300
|
|
1,712,253
|
|
Nabors
Industries, Ltd.
(a)
|
|
8,800
|
|
433,224
|
|
National Oilwell
Varco, Inc.
(a)
|
|
49,500
|
|
4,391,640
|
|
Noble Corp.
|
|
4,300
|
|
279,328
|
|
Oceaneering
International, Inc.
(a)
|
|
23,800
|
|
1,833,790
|
|
ONEOK, Inc.
|
|
25,800
|
|
1,259,814
|
|
Patterson-UTI
Energy, Inc.
|
|
6,900
|
|
248,676
|
|
Rowan
Companies, Inc.
|
|
6,000
|
|
280,500
|
|
Schlumberger,
Ltd.
|
|
33,800
|
|
3,631,134
|
|
Seadrill, Ltd.
|
|
38,500
|
|
1,177,330
|
|
Suncor
Energy, Inc.
|
|
20,000
|
|
1,162,400
|
|
Tenaris S.A. -
ADR
|
|
32,600
|
|
2,428,700
|
|
Transocean, Inc.
(a)
|
|
10,670
|
|
1,626,001
|
|
Weatherford
International, Ltd.
(a)
|
|
104,500
|
|
5,182,155
|
|
|
|
|
|
30,867,916
|
|
|
|
|
|
|
|
Tankers
1.13%
|
|
|
|
|
|
DryShips, Inc.
|
|
32,400
|
|
2,597,832
|
|
Golar LNG, Ltd.
|
|
10,500
|
|
162,645
|
|
|
|
|
|
2,760,477
|
|
|
|
|
|
|
|
TOTAL ENERGY
|
|
|
|
100,303,329
|
|
|
|
|
|
|
|
Finance
15.72%
|
|
|
|
|
|
Banks
12.57%
|
|
|
|
|
|
Banco Bradesco S.A. - ADR
|
|
133,500
|
|
2,731,410
|
|
Banco Itau Holding Financeira S.A. - ADR
|
|
106,000
|
|
2,152,860
|
|
Banco Santander Chile S.A. - ADR
|
|
11,400
|
|
490,314
|
|
Bangkok Bank PLC
|
|
249,500
|
|
888,007
|
|
Bank Mandiri
Persero Tbk PT
|
|
3,816,000
|
|
1,076,095
|
|
Bank of Yokohama,
Ltd.
|
|
115,800
|
|
800,463
|
|
BlackRock Kelso
Capital Corp.
|
|
105,700
|
|
999,922
|
|
Daewoo
Securities Co., Ltd.
|
|
41,830
|
|
753,784
|
|
Daishin Security
System Co., Ltd.
|
|
77,200
|
|
360,887
|
|
Hana Financial
Group, Inc.
|
|
49,800
|
|
1,916,208
|
|
ICICI Bank, Ltd.
- ADR
(a)
|
|
40,400
|
|
1,161,904
|
|
Indochina
Capital Vietnam Holdings, Ltd.
(a)
|
|
200,000
|
|
1,000,000
|
|
Kasikornbank PLC
|
|
290,600
|
|
617,096
|
|
Kookmin Bank -
ADR
|
|
11,700
|
|
684,567
|
|
Korea Exchange
Bank
|
|
47,500
|
|
651,618
|
|
LG Corp.
|
|
7,500
|
|
486,831
|
|
Malayan Banking
BHD
|
|
51,025
|
|
110,092
|
|
Melco
International Development, Ltd.
|
|
218,000
|
|
209,689
|
|
Merrill
Lynch & Co., Inc.
|
|
18,300
|
|
580,293
|
|
Mirae Asset
Securities
|
|
4,600
|
|
450,743
|
|
Nomura
Holdings, Inc.
|
|
64,700
|
|
958,451
|
|
PennantPark
Investment Corp.
|
|
150,900
|
|
1,087,989
|
|
Public Bank BHD
|
|
307,700
|
|
979,367
|
|
Sberbank
|
|
170,000
|
|
537,200
|
|
Shizuoka Bank,
Ltd.
|
|
111,800
|
|
1,141,321
|
|
Siam Commercial
Bank PCL - NVDR
|
|
958,700
|
|
2,222,199
|
|
Siam Commercial
Bank PCL
|
|
460,000
|
|
1,066,248
|
|
Star Asia Financial,
Ltd.
(b)
(d)
|
|
75,000
|
|
142,500
|
|
Unibanco - Uniao de Bancos Brasileiros - GDR
|
|
21,200
|
|
2,690,916
|
|
VTB Bank OJSC
|
|
45,600
|
|
316,920
|
|
Woori Finance
Holdings Co., Ltd.
|
|
69,400
|
|
1,104,641
|
|
Woori
Investment & Securities Co., Ltd.
|
|
16,600
|
|
301,515
|
|
|
|
|
|
30,672,050
|
|
|
|
|
|
|
|
Non-Bank
3.15%
|
|
|
|
|
|
Apollo
Investment Corp.
|
|
298,489
|
|
4,277,347
|
|
Ares Capital
Corp.
|
|
82,900
|
|
835,632
|
|
Broadridge
Financial Solutions, Inc.
|
|
3,600
|
|
75,780
|
|
Daiwa Securities
Group, Inc.
|
|
146,400
|
|
1,345,636
|
|
IntercontinentalExchange, Inc.
(a)
|
|
5,400
|
|
615,600
|
|
Maiden Holdings,
Ltd.
(b)
|
|
23,900
|
|
152,960
|
|
Mitsui Sumitomo
Insurance Group Holdings, Inc.
(a)
|
|
10,700
|
|
368,809
|
|
|
|
|
|
7,671,764
|
|
TOTAL FINANCE
|
|
|
|
38,343,814
|
|
|
|
|
|
|
|
Gold/Metals
2.24%
|
|
|
|
|
|
Gerdau Ameristeel
Corp.
|
|
58,100
|
|
1,121,330
|
|
Nucor Corp.
|
|
26,400
|
|
1,971,288
|
|
Rio Tinto PLC -
Sponsored ADR
|
|
1,700
|
|
841,500
|
|
Severstal
|
|
29,400
|
|
761,460
|
|
Ternium SA
|
|
18,600
|
|
781,200
|
|
|
|
|
|
5,476,778
|
|
|
|
|
|
|
|
Health
Care 0.99%
|
|
|
|
|
|
BioSphere
Medical, Inc.
(a)
(c)
|
|
50,000
|
|
172,500
|
|
BioSphere
Medical, Inc.
(a)
|
|
182,703
|
|
630,325
|
|
Genzyme Corp.
(a)
|
|
14,000
|
|
1,008,280
|
|
ImClone
Systems, Inc.
(a)
|
|
8,900
|
|
360,094
|
|
Molecular
Insight Pharmaceuticals, Inc.
(a)
|
|
42,900
|
|
236,379
|
|
|
|
|
|
2,407,578
|
|
|
|
|
|
|
|
Industrial
10.37%
|
|
|
|
|
|
Aegean Marine
Petroleum Network, Inc.
|
|
46,800
|
|
1,904,292
|
|
Bakrie Sumatera
Plantations Tbk PT
|
|
2,320,000
|
|
473,059
|
|
Byd Co., Ltd.
|
|
253,840
|
|
325,551
|
|
Chicago
Bridge & Iron Company
|
|
30,200
|
|
1,202,564
|
|
Crown
Holdings, Inc.
(a)
|
|
15,500
|
|
402,845
|
|
Daelim
Industrial Co., Ltd.
|
|
3,300
|
|
337,556
|
|
Dongyang
Mechatronics Corp.
|
|
80,600
|
|
498,525
|
|
Dore Holdings,
Ltd.
(b)
|
|
435,231
|
|
24,560
|
|
EI Du Pont de
Nemours & Co.
|
|
18,900
|
|
810,621
|
|
Energy
Conversion Devices, Inc.
(a)
|
|
18,500
|
|
1,362,340
|
|
Foster Wheeler
Ltd.
(a)
|
|
11,600
|
|
848,540
|
|
Golden
Agri-Resources, Ltd.
|
|
886,000
|
|
586,086
|
|
Guangzhou
Shipyard International Co., Ltd.
|
|
142,000
|
|
364,231
|
|
Hitachi
Construction Machinery Co., Ltd.
|
|
21,800
|
|
610,774
|
|
Huaneng Power
International, Inc.
|
|
1,175,000
|
|
815,255
|
|
IOI Corp. BHD
|
|
221,000
|
|
503,887
|
|
Komatsu, Ltd.
|
|
44,700
|
|
1,246,051
|
|
Maanshan
Iron & Steel Co., Ltd.
|
|
930,000
|
|
540,306
|
|
Nine Dragons
Paper Holdings, Ltd.
|
|
310,000
|
|
241,726
|
|
PT Astra
International Tbk
|
|
735,000
|
|
1,534,572
|
|
Shougang Concord
International Enterprises Co., Ltd.
|
|
2,030,000
|
|
663,888
|
|
Sinopec Shanghai
Petrochemical Co., Ltd.
|
|
990,000
|
|
340,274
|
|
Smurfit-Stone
Container Corp.
(a)
|
|
110,500
|
|
449,735
|
|
Spirit
Aerosystems Holdings, Inc.
(a)
|
|
21,000
|
|
402,780
|
|
STX Engine Co.,
Ltd.
|
|
7,500
|
|
292,888
|
|
Textron, Inc.
|
|
7,400
|
|
354,682
|
|
United States
Steel Corp.
|
|
44,200
|
|
8,167,276
|
|
|
|
|
|
25,304,864
|
|
|
|
|
|
|
|
Insurance
1.84%
|
|
|
|
|
|
ACE, Ltd.
|
|
16,400
|
|
903,476
|
|
Castlepoint
Holdings, Ltd.
|
|
31,100
|
|
282,699
|
|
Fidelity
National Financial, Inc.
|
|
154,100
|
|
1,941,660
|
|
Montpelier Re
Holdings, Ltd.
|
|
62,800
|
|
926,300
|
|
The Travelers
Cos, Inc.
|
|
10,000
|
|
434,000
|
|
|
|
|
|
4,488,135
|
|
|
|
|
|
|
|
Metals &
Mining 3.72%
|
|
|
|
|
|
Agnico-Eagle
Mines, Ltd.
|
|
8,500
|
|
632,145
|
|
Anglo American
PLC - ADR
|
|
18,134
|
|
642,850
|
|
Cameco Corp.
|
|
41,300
|
|
1,770,531
|
|
Denison Mines
Corp.
(a)
|
|
47,900
|
|
418,544
|
|
First Uranium
Corp.
(a)
|
|
8,000
|
|
49,269
|
|
Freeport-McMoRan
Copper & Gold, Inc.
|
|
35,050
|
|
4,107,510
|
|
Gerdau S.A. -
ADR
|
|
47,700
|
|
1,145,277
|
|
Paladin Energy,
Ltd.
(a)
|
|
37,500
|
|
230,436
|
|
Uex Corp.
(a)
|
|
2,700
|
|
11,809
|
|
Uranium
One, Inc.
(a)
|
|
3,700
|
|
17,417
|
|
Ur-Energy, Inc.
(a)
|
|
27,200
|
|
61,885
|
|
|
|
|
|
9,087,673
|
|
|
|
|
|
|
|
Real
Estate 5.16%
|
|
|
|
|
|
Cheung Kong
Holdings, Ltd.
|
|
251,800
|
|
3,394,040
|
|
Cosco Corp.
Singapore, Ltd.
|
|
115,000
|
|
270,479
|
|
Great Eagle
Holdings, Ltd.
|
|
235,080
|
|
693,429
|
|
Hang Lung
Properties, Ltd.
|
|
117,000
|
|
375,132
|
|
Henderson Land
Development Co., Ltd.
|
|
148,000
|
|
922,479
|
|
Hopewell
Holdings, Ltd.
|
|
95,000
|
|
337,491
|
|
Hysan
Development Co., Ltd.
|
|
404,254
|
|
1,109,498
|
|
Hyundai
Development Co.
|
|
11,600
|
|
587,735
|
|
Italian-Thai
Development PLC
|
|
2,088,000
|
|
374,697
|
|
Kerry
Properties, Ltd.
|
|
63,500
|
|
333,493
|
|
Shun Tak
Holdings, Ltd.
(b)
|
|
60,000
|
|
56,174
|
|
Sun Hung Kai
Properties, Ltd.
|
|
212,000
|
|
2,876,604
|
|
Wharf Holdings,
Ltd.
|
|
254,250
|
|
1,064,640
|
|
YNH Property BHD
|
|
350,100
|
|
188,577
|
|
|
|
|
|
12,584,468
|
|
|
|
|
|
|
|
Real
Estate Investment Trusts (REITS) 2.03%
|
|
|
|
|
|
Annaly Capital
Management, Inc.
|
|
137,600
|
|
2,134,176
|
|
Anworth Mortgage
Asset Corp.
|
|
70,800
|
|
460,908
|
|
Hatteras
Financial Corp.
(a)
(b)
|
|
50,300
|
|
1,156,397
|
|
Hatteras
Financial Corp.
|
|
52,300
|
|
1,202,377
|
|
Regal Real
Estate Investment Trust
|
|
37,439
|
|
7,731
|
|
|
|
|
|
4,961,589
|
|
|
|
|
|
|
|
Technology &
Communications 15.60%
|
|
|
|
|
|
Akamai
Technologies, Inc.
(a)
|
|
54,200
|
|
1,885,618
|
|
Centron Telecom
International Holdings, Ltd.
|
|
238,000
|
|
52,195
|
|
Chartered
Semiconductor Manufacturing, Ltd.
(a)
|
|
960,000
|
|
546,838
|
|
China Telecom
Corp., Ltd.
|
|
688,000
|
|
374,122
|
|
China Unicom,
Ltd.
|
|
245,000
|
|
454,981
|
|
Chunghwa Telecom
Co., Ltd.
|
|
85,200
|
|
2,161,524
|
|
Cisco
Systems, Inc.
(a)
|
|
124,300
|
|
2,891,218
|
|
Comcast Corp.
|
|
121,800
|
|
2,284,968
|
|
Corning, Inc.
|
|
41,100
|
|
947,355
|
|
CTC
Media, Inc.
(a)
|
|
36,000
|
|
887,760
|
|
Fairchild
Semiconductor International, Inc.
(a)
|
|
45,700
|
|
536,061
|
|
Ingram
Micro, Inc.
(a)
|
|
111,400
|
|
1,977,350
|
|
Intel Corp.
|
|
303,300
|
|
6,514,884
|
|
Magal Security
Systems, Ltd.
(a)
|
|
76,443
|
|
648,237
|
|
Marvell
Technology Group, Ltd.
(a)
|
|
62,000
|
|
1,094,920
|
|
Microsoft Corp.
|
|
180,100
|
|
4,954,551
|
|
Mobile
Telesystems
|
|
15,000
|
|
1,149,150
|
|
Net Servicos de Comunicacao S.A. - ADR
|
|
57,000
|
|
717,630
|
|
Nvidia Corp.
(a)
|
|
45,000
|
|
842,400
|
|
Oracle Corp.
(a)
|
|
148,500
|
|
3,118,500
|
|
Radvision, Ltd.
(a)
|
|
157,945
|
|
961,885
|
|
Samsung
Electronics Co., Ltd.
|
|
3,145
|
|
1,879,093
|
|
Sistema JSFC
|
|
20,800
|
|
625,248
|
|
Vimpel-Communications
|
|
18,200
|
|
540,176
|
|
|
|
|
|
38,046,664
|
|
|
|
|
|
|
|
Transportation
1.29%
|
|
|
|
|
|
Babcock &
Brown Air, Ltd. - ADR
|
|
62,800
|
|
626,744
|
|
Continental
Airlines, Inc.
(a)
|
|
11,200
|
|
113,232
|
|
Delta Air
Lines, Inc.
(a)
|
|
9,500
|
|
54,150
|
|
Safe
Bulkers, Inc.
(a)
|
|
28,900
|
|
544,476
|
|
Seaspan Corp.
|
|
75,000
|
|
1,801,500
|
|
|
|
|
|
3,140,102
|
|
|
|
|
|
|
|
Utilities
10.29%
|
|
|
|
|
|
AES Corp.
(a)
|
|
131,700
|
|
2,529,957
|
|
Calpine Corp.
(a)
|
|
110,400
|
|
2,490,624
|
|
Constellation
Energy Group, Inc.
|
|
16,800
|
|
1,379,280
|
|
DPL, Inc.
|
|
50,900
|
|
1,342,742
|
|
Enbridge, Inc.
|
|
36,100
|
|
1,559,837
|
|
Entergy Corp.
|
|
17,800
|
|
2,144,544
|
|
Equitable
Resources, Inc.
|
|
40,800
|
|
2,817,648
|
|
FirstEnergy
Corp.
|
|
14,000
|
|
1,152,620
|
|
FPL
Group, Inc.
|
|
23,500
|
|
1,541,130
|
|
Mirant Corp.
(a)
|
|
8,000
|
|
313,200
|
|
National Fuel
Gas Co.
|
|
49,871
|
|
2,966,327
|
|
NRG
Energy, Inc.
(a)
|
|
44,400
|
|
1,904,760
|
|
Quanta
Services, Inc.
(a)
|
|
13,400
|
|
445,818
|
|
Reliant
Energy, Inc.
(a)
|
|
30,000
|
|
638,100
|
|
Williams
Cos., Inc.
|
|
46,600
|
|
1,878,446
|
|
|
|
|
|
25,105,033
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $252,872,118)
|
|
|
|
279,894,886
|
|
|
|
|
|
|
|
EXCHANGE
TRADED FUNDS 2.61%
|
|
|
|
|
|
|
|
|
|
|
|
iShares
FTSE/Xinhua China 25 Index Fund
|
|
23,200
|
|
3,050,568
|
|
iShares MSCI
Hong Kong Fund
|
|
34,500
|
|
584,085
|
|
iShares MSCI
Pacific Fund
|
|
4,000
|
|
544,360
|
|
UltraShort QQQ
ProShares
|
|
49,100
|
|
2,198,207
|
|
|
|
|
|
|
|
TOTAL EXCHANGE TRADED FUNDS
(Cost $6,306,707)
|
|
|
|
6,377,220
|
|
|
|
Principal
|
|
|
|
|
|
Amount
|
|
|
|
PARTICIPATION
NOTES 0.23%
|
|
|
|
|
|
Acer, Inc.
(a)
|
|
$
|
280,000
|
|
551,642
|
|
|
|
|
|
|
|
TOTAL PARTICIPATION NOTES
(Cost $607,992)
|
|
|
|
551,642
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
PREFERRED
STOCKS 4.38%
|
|
|
|
|
|
Arch Capital
Group, Ltd., 7.875%
|
|
75,000
|
|
1,740,000
|
|
Ashford
Hospitality Trust, Inc., 8.550%
|
|
49,300
|
|
869,159
|
|
Bank of America
Corp., 8.200%
(a)
|
|
15,800
|
|
391,998
|
|
Citigroup, Inc.,
8.125%
|
|
84,500
|
|
1,892,800
|
|
Deutsche Bank
Contingent Capital Trust V, 8.050%
|
|
32,000
|
|
766,080
|
|
Federal National
Mortgage Association (FNMA), 7.000%
(e)
|
|
38,600
|
|
1,829,883
|
|
Federal National
Mortgage Association (FNMA), 8.250%
|
|
19,500
|
|
447,525
|
|
Freddie Mac,
8.375%
|
|
21,500
|
|
522,450
|
|
JPMorgan Chase Capital XXVI, 8.000%
(e)
|
|
32,400
|
|
838,836
|
|
Merrill
Lynch & Co. Inc, 8.625%
|
|
59,300
|
|
1,375,760
|
|
TOTAL PREFERRED STOCKS
(Cost $11,593,850)
|
|
|
|
10,674,491
|
|
|
|
|
|
|
|
CLOSED-END
FUNDS 0.31%
|
|
|
|
|
|
The Ottoman Fund
(a) (b)
|
|
515,340
|
|
749,324
|
|
|
|
|
|
|
|
TOTAL CLOSED-END FUNDS
(Cost $896,434)
|
|
|
|
749,324
|
|
Description and
|
|
Coupon
|
|
Principal
|
|
|
|
Maturity Date
|
|
Rate
|
|
Amount
|
|
Value
|
|
CORPORATE
BONDS 3.03%
|
|
|
|
|
|
|
|
Anadarko
Petroleum Corp.
|
|
|
|
|
|
|
|
09/15/2009
(e)
|
|
3.176
|
%
|
$
|
1,025,000
|
|
1,013,561
|
|
Bank of America
Corp.
|
|
|
|
|
|
|
|
12/29/2049
(e)
|
|
8.000
|
%
|
850,000
|
|
798,354
|
|
Chubb Corp.
|
|
|
|
|
|
|
|
11/15/2011
|
|
6.000
|
%
|
550,000
|
|
558,214
|
|
Comcast Cable
Communications LLC
|
|
|
|
|
|
|
|
06/15/2009
|
|
6.875
|
%
|
715,000
|
|
734,514
|
|
Comcast Corp.
|
|
|
|
|
|
|
|
01/15/2010
|
|
5.850
|
%
|
715,000
|
|
726,305
|
|
JPMorgan
Chase & Co.
|
|
|
|
|
|
|
|
11/15/2010
|
|
4.500
|
%
|
750,000
|
|
748,879
|
|
Merrill
Lynch & Co. Inc.
|
|
|
|
|
|
|
|
Series MTNC,
09/09/2009
(e)
|
|
2.937
|
%
|
1,450,000
|
|
1,395,357
|
|
Morgan Stanley
|
|
|
|
|
|
|
|
01/15/2010
|
|
4.000
|
%
|
715,000
|
|
702,510
|
|
01/18/2011
(e)
|
|
2.984
|
%
|
750,000
|
|
713,305
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS
(Cost $7,489,698)
|
|
|
|
|
|
7,390,999
|
|
|
|
|
|
|
|
|
|
ASSET/MORTGAGE
BACKED SECURITIES 15.44%
|
|
|
|
|
|
|
|
Fannie Mae Pool
|
|
|
|
|
|
|
|
Series 2008-257201,
05/01/2018
|
|
5.000
|
%
|
3,022,035
|
|
3,011,464
|
|
Series 2008-889279,
03/01/2023
|
|
5.000
|
%
|
1,257,111
|
|
1,246,295
|
|
Series 2007-888430,
11/01/2033
|
|
5.000
|
%
|
1,260,663
|
|
1,216,367
|
|
Series 2003-725027,
11/01/2033
|
|
5.000
|
%
|
1,249,934
|
|
1,206,015
|
|
Freddie Mac Gold
Pool
|
|
|
|
|
|
|
|
Series 2006-G12471,
12/01/2018
|
|
4.500
|
%
|
1,381,704
|
|
1,352,085
|
|
Series 2006-2342,
10/01/2036
|
|
5.000
|
%
|
1,138,548
|
|
1,093,562
|
|
Freddie Mac
REMICS
|
|
|
|
|
|
|
|
Series 2006-3155,
Class SA, 11/15/2035
(e)
|
|
23.273
|
%
|
1,614,098
|
|
1,679,685
|
|
Ginnie Mae II
pool
|
|
|
|
|
|
|
|
Series 2007-3939,
01/20/2037
|
|
5.000
|
%
|
467,225
|
|
451,861
|
|
Series 2007-3952,
02/20/2037
|
|
5.000
|
%
|
422,930
|
|
409,023
|
|
Series 2007-3964,
03/20/2037
|
|
5.000
|
%
|
2,865,503
|
|
2,771,274
|
|
Series 2007-3994,
06/20/2037
|
|
5.000
|
%
|
959,839
|
|
928,275
|
|
Series 2008-4097,
03/20/2038
|
|
5.000
|
%
|
556,779
|
|
538,321
|
|
Series 2008-4113,
04/20/2038
|
|
5.000
|
%
|
2,740,549
|
|
2,649,694
|
|
Government
National Mortgage Association (GNMA)
|
|
|
|
|
|
|
|
Series 2006-8,
Class A, 08/16/2025
|
|
3.942
|
%
|
1,511,654
|
|
1,504,779
|
|
Series 2006-68,
Class A, 07/16/2026
|
|
3.888
|
%
|
832,467
|
|
823,771
|
|
Series 2006-3,
Class A, 01/16/2028
|
|
4.212
|
%
|
2,844,862
|
|
2,831,266
|
|
Series 2008-48,
Class A, 01/16/2029
(d)
|
|
3.725
|
%
|
1,000,000
|
|
981,406
|
|
Series 2006-32,
Class A, 01/16/2030
|
|
5.079
|
%
|
2,089,375
|
|
2,101,919
|
|
Series 2006-19,
Class A, 06/16/2030
|
|
3.387
|
%
|
2,391,865
|
|
2,358,357
|
|
Series 2006-66,
Class A, 08/16/2030
|
|
4.087
|
%
|
1,061,672
|
|
1,053,209
|
|
Series 2006-67,
Class A, 11/16/2030
|
|
3.947
|
%
|
556,616
|
|
550,414
|
|
Series 2005-79,
Class A, 10/16/2033
|
|
3.998
|
%
|
350,196
|
|
347,879
|
|
Series 2008-22,
Class A, 05/16/2035
|
|
3.500
|
%
|
1,324,895
|
|
1,288,434
|
|
Series 2007-37,
Class SB, 03/20/2037
(e)
|
|
14.001
|
%
|
454,363
|
|
442,928
|
|
Series 2007-37,
Class SA, 03/20/2037
(e)
|
|
14.001
|
%
|
566,844
|
|
569,530
|
|
Series 2007-37,
Class SY, 06/16/2037
(e)
|
|
15.410
|
%
|
320,269
|
|
311,876
|
|
Series 2008-45,
Class A, 05/01/2048
|
|
3.576
|
%
|
3,990,448
|
|
3,939,163
|
|
|
|
|
|
|
|
|
|
TOTAL ASSET/MORTGAGE BACKED SECURITIES
(Cost $37,918,936)
|
|
|
|
|
|
37,658,852
|
|
|
|
|
|
|
|
|
|
GOVERNMENT &
AGENCY OBLIGATIONS 11.42%
|
|
|
|
|
|
|
|
U.S.
Government Obligations 9.19%
|
|
|
|
|
|
|
|
Federal Farm
Credit Bank
|
|
|
|
|
|
|
|
09/06/2011
|
|
3.950
|
%
|
1,375,000
|
|
1,375,219
|
|
05/01/2013
|
|
4.250
|
%
|
1,310,000
|
|
1,307,795
|
|
04/08/2013
|
|
4.000
|
%
|
1,045,000
|
|
1,039,954
|
|
Freddie Mac
|
|
|
|
|
|
|
|
06/23/2010
|
|
4.125
|
%
|
1,000,000
|
|
1,003,294
|
|
05/20/2013
|
|
4.350
|
%
|
1,430,000
|
|
1,430,107
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury
Bonds
|
|
|
|
|
|
|
|
06/30/2012
|
|
4.875
|
%
|
5,600,000
|
|
5,956,126
|
|
05/15/2017
|
|
4.500
|
%
|
4,000,000
|
|
4,172,188
|
|
02/15/2025
|
|
7.625
|
%
|
4,500,000
|
|
6,135,471
|
|
|
|
|
|
|
|
22,420,154
|
|
|
|
|
|
|
|
|
|
Non-U.S.
Government Obligations 2.23%
|
|
|
|
|
|
|
|
United Kingdom
Treasury
|
|
|
|
|
|
|
|
09/07/2015
|
|
4.750
|
%
|
2,800,000
|
|
5,448,860
|
|
|
|
|
|
|
|
|
|
TOTAL GOVERNMENT & AGENCY OBLIGATIONS
(Cost $27,015,482)
|
|
|
|
|
|
27,869,014
|
|
|
|
|
|
|
|
|
|
STRUCTURED
NOTES 1.08%
|
|
|
|
|
|
|
|
Merrill
Lynch & Co., Inc.
|
|
|
|
|
|
|
|
01/29/2022
(b) (d) (e)
|
|
9.580
|
%
|
4,000,000
|
|
2,640,000
|
|
TOTAL STRUCTURED NOTES
(Cost $4,000,000)
|
|
|
|
|
|
2,640,000
|
|
|
|
Expiration
|
|
Exercise
|
|
Number of
|
|
|
|
|
|
Date
|
|
Price
|
|
Contracts
|
|
Value
|
|
PURCHASED
OPTIONS 1.02%
|
|
|
|
|
|
|
|
|
|
Purchased
Call Options 0.30%
|
|
|
|
|
|
|
|
|
|
Petroleo
Brasileiro SA
|
|
January, 2009
|
|
$
|
60.00
|
|
500
|
|
747,500
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED CALL OPTIONS
(Cost $511,528)
|
|
|
|
|
|
|
|
747,500
|
|
|
|
|
|
|
|
|
|
|
|
Purchased
Put Options 0.72%
|
|
|
|
|
|
|
|
|
|
Energy Select
Sector SPDR Fund
|
|
September, 2008
|
|
88.00
|
|
2,500
|
|
1,325,000
|
|
iShares Russell
2000 Index Fund
|
|
September, 2008
|
|
70.00
|
|
700
|
|
313,250
|
|
Oil Service
HOLDRs Trust
|
|
July, 2008
|
|
155.00
|
|
500
|
|
1,000
|
|
Oil Service
HOLDRs Trust
|
|
October, 2008
|
|
170.00
|
|
500
|
|
116,000
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED PUT OPTIONS
(Cost $3,744,705)
|
|
|
|
|
|
|
|
1,755,250
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS
(Cost $4,256,233)
|
|
|
|
|
|
|
|
2,502,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
|
|
|
|
|
|
|
|
|
|
Rate
|
|
Shares
|
|
Value
|
|
SHORT
TERM INVESTMENTS 1.05%
|
|
|
|
|
|
|
|
|
|
JP Morgan Prime
Money Market Fund
(f)
|
|
|
|
2.380
|
%
|
2,556,148
|
|
2,556,148
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT TERM INVESTMENTS
(Cost $2,556,148)
|
|
|
|
|
|
|
|
2,556,148
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments* - 155.30%
(Cost $355,513,598)
|
|
|
|
|
|
|
|
378,865,326
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities in
Excess of Other Assets - (55.30%)
|
|
|
|
|
|
|
|
(134,913,704
|
)
|
|
|
|
|
|
|
|
|
|
|
NET
ASSETS - 100.00%
|
|
|
|
|
|
|
|
$
|
243,951,622
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration
|
|
Exercise
|
|
Number of
|
|
|
|
|
|
Date
|
|
Price
|
|
Contracts
|
|
Value
|
|
SCHEDULE
OF OPTIONS WRITTEN
|
|
|
|
|
|
|
|
|
|
Call Options
Written
|
|
|
|
|
|
|
|
|
|
Petroleo
Brasileiro SA
|
|
January, 2009
|
|
$
|
75.00
|
|
500
|
|
$
|
(362,500
|
)
|
|
|
|
|
|
|
|
|
|
|
TOTAL CALL OPTIONS WRITTEN
(Premiums received $234,066)
|
|
|
|
|
|
|
|
(362,500
|
)
|
|
|
|
|
|
|
|
|
|
|
Put
Options Written
|
|
|
|
|
|
|
|
|
|
iShares Russell
2000 Index Fund
|
|
September, 2008
|
|
62.00
|
|
700
|
|
(114,450
|
)
|
Oil Service
HOLDRs Trust
|
|
July, 2008
|
|
135.00
|
|
500
|
|
(750
|
)
|
Oil Service
HOLDRs Trust
|
|
October, 2008
|
|
140.00
|
|
500
|
|
(22,750
|
)
|
Energy Select
Sector SPDR Fund
|
|
September, 2008
|
|
80.00
|
|
2,500
|
|
(593,750
|
)
|
|
|
|
|
|
|
|
|
|
|
TOTAL PUT OPTIONS WRITTEN
(Premiums received $1,791,845)
|
|
|
|
|
|
|
|
(731,700
|
)
|
|
|
|
|
|
|
|
|
|
|
TOTAL OPTIONS WRITTEN
(Premiums received $2,025,911)
|
|
|
|
|
|
|
|
$
|
(1,094,200
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF SECURITIES SOLD SHORT
|
|
Shares
|
|
Value
|
|
Aluminum Corp.
of China, Ltd.
|
|
(33,900
|
)
|
$
|
(967,506
|
)
|
American
International Group, Inc.
|
|
(59,700
|
)
|
(1,579,662
|
)
|
Ameriprise
Financial, Inc.
|
|
(14,300
|
)
|
(581,581
|
)
|
Ashland, Inc.
|
|
(3,700
|
)
|
(178,340
|
)
|
Boston
Properties, Inc.
|
|
(6,300
|
)
|
(568,386
|
)
|
CNOOC, Ltd.
|
|
(2,800
|
)
|
(485,912
|
)
|
Comerica, Inc.
|
|
(35,700
|
)
|
(914,991
|
)
|
Dawson
Geophysical Co.
|
|
(1,400
|
)
|
(83,244
|
)
|
Dexia S.A.
|
|
(50,600
|
)
|
(809,422
|
)
|
Fannie Mae
|
|
(91,600
|
)
|
(1,787,116
|
)
|
Financial Select
Sector SPDR
|
|
(110,000
|
)
|
(2,216,500
|
)
|
Freddie Mac
|
|
(95,700
|
)
|
(1,569,480
|
)
|
General Motors
Corp.
|
|
(60,600
|
)
|
(696,900
|
)
|
HSBC Holdings
PLC - Sponsored ADR
|
|
(14,600
|
)
|
(1,119,820
|
)
|
iShares Dow
Jones US Real Estate Index Fund
|
|
(37,000
|
)
|
(2,255,150
|
)
|
iShares MSCI
Emerging Markets Fund
|
|
(19,600
|
)
|
(2,657,368
|
)
|
iShares MSCI Germany
|
|
(15,300
|
)
|
(451,350
|
)
|
iShares MSCI
Mexico Investable Market Index Fund
|
|
(23,600
|
)
|
(1,343,784
|
)
|
iShares Russell
2000 Index Fund
|
|
(112,400
|
)
|
(7,758,972
|
)
|
iShares S&P
500 Index Fund
|
|
(9,800
|
)
|
(1,253,518
|
)
|
JPMorgan
Chase & Co.
|
|
(29,200
|
)
|
(1,001,852
|
)
|
Li &
Fung, Ltd.
|
|
(103,000
|
)
|
(310,430
|
)
|
Martin Marietta
Materials, Inc.
|
|
(7,300
|
)
|
(756,207
|
)
|
Metavante
Technologies, Inc.
|
|
(144
|
)
|
(3,257
|
)
|
Nippon Steel
Corp.
|
|
(210,000
|
)
|
(1,137,166
|
)
|
Regional Bank
HOLDRs Trust
|
|
(7,300
|
)
|
(659,263
|
)
|
SunTrust
Banks, Inc.
|
|
(7,600
|
)
|
(275,272
|
)
|
Swift Energy Co.
|
|
(10,900
|
)
|
(720,054
|
)
|
Toro Co.
|
|
(7,200
|
)
|
(239,544
|
)
|
Vanguard
Emerging Markets ETF
|
|
(58,000
|
)
|
(2,714,400
|
)
|
|
|
|
|
|
|
TOTAL SECURITIES SOLD SHORT
(Proceeds $45,597,879)
|
|
|
|
$
|
(37,096,447
|
)
|
Abbreviations
:
S.A. - Generally designates corporations in various countries, mostly
those employing the civil law.
ASA - Allmennaksjeselskap is the Norweigan term for a public limited
company
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
PLC - Public Limited Company
PCL - Public Company Limited
PT - equivalent to Public Limited Company in Indonesia
BHD - Berhad (in Malaysia; equivalent to Public Limited Company)
OJSC - Open Joint Stock Company
JSFC - Joint Stock Financial Corporation
Tbk - Terbuka (stock symbol in Indonesian)
REMICS - Real Estate Mortgage Investment Conduits
SPDR - Standard & Poors Depositary Receipt
ETF - Exchange Traded Fund
LLC
- Limited Liability Company
GBP
- Great Britain Pound
Notes to
Statement of Investments
:
* All
securities are being held as collateral for borrowings, written options and/or
short sales as of June 30, 2008.
(a) Non-Income
Producing Security.
(b) Security
exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. As of June 30,
2008, these securities had a total value of $5,173,696 or 2.12% of total net
assets.
(c) Private
Placement; these securities may only be resold in transactions exempt from
registration under the Securities Act of 1933. As of June 30, 2008, these
securities had a total value of $1,006,080 or 0.41% of total net assets.
(d) Fair
valued security; valued in accordance with procedures approved by the Funds
Board of Trustees. As of June 30, 2008, these securities had a total value
of $3,763, 906 or 1.54% of total net assets.
(e) Floating
or variable rate security - rate disclosed as of June 30, 2008.
(f) Investments
in other funds are calculated at their respective net asset values as
determined by those funds, in accordance with the Investment Company Act of
1940.
For Fund
compliance purposes, the Funds industry classifications refer to any one of
the industry sub-classifications used by one or more widely recognized market
indexes, and/or as defined by Fund management. This definition may not apply
for purposes of this report, which may combine industry sub-classifications for
reporting ease. Industries are shown as a percent of net assets. These industry
classifications are unaudited.
Income Tax Information:
|
|
|
|
Net unrealized
appreciation/depreciation of investments based on federal tax costs were as
follows:
|
|
|
|
As of June 30,
2008
|
|
|
|
Gross
appreciation (excess of value over tax
cost)
|
|
$
|
52,482,503
|
|
Gross
depreciation (excess of tax cost over
value)
|
|
(30,551,388
|
)
|
Net unrealized
appreciation
|
|
$
|
21,931,115
|
|
Cost of
investments for income tax purposes
|
|
$
|
356,934,211
|
|
See
Notes to Quarterly Statement of Investments.
Notes
to Quarterly Statement of Investments
June 30, 2008
(Unaudited)
1. Significant Accounting and Operating Policies
Clough Global Allocation
Fund is a closed-end management investment company (the Fund) that was
organized under the laws of the state of Delaware by an Agreement and
Declaration of Trust dated April 27, 2004. The Fund is a non-diversified series with an
investment objective to provide a high level of total return. The Declaration
of Trust provides that the Trustees may authorize separate classes of shares of
beneficial interest.
The following summarizes
the significant accounting policies of the Fund.
Security Valuation:
The net asset value per Share of the Fund is
determined no less frequently than daily, on each day that the American Stock
Exchange (the Exchange) is open for trading, as of the close of regular
trading on the Exchange (normally 4:00 p.m. New York time). Trading may take place in foreign issues held
by the Fund at times when the Fund is not open for business. As a result, the Funds net asset value may
change at times when it is not possible to purchase or sell shares of the
Fund. Securities held by the fund for
which exchange quotations are readily available are valued at the last sale
price, or if no sale price or if traded on the over-the-counter market, at the
mean of the bid and asked prices on such day.
Over-the-counter securities traded on NASDAQ are valued based upon the
closing price. Debt securities for which
the over-the-counter market is the primary market are normally valued on the
basis of prices furnished by one or pricing services at the mean between the
latest available bid and asked prices.
As authorized by the Trustees, debt securities (other than short-term
obligations) may be valued on the basis of valuations furnished by a pricing
service which determines valuations based upon market transactions for normal,
institutional-size trading units of securities.
Short-term obligations maturing within 60 days are valued at amortized
cost, which approximates value, unless the Trustees determine that under
particular circumstances such method does not result in fair value. Over-the-counter options are valued at the
mean between bid and asked prices provided by dealers. Financial futures contracts listed on
commodity exchanges and exchange-traded options are valued at closing
settlement prices. Securities for which
there is no such quotation or valuation and all other assets are valued at fair
value in good faith by or at the direction of the Trustees.
Foreign Securities:
The Fund may invest a portion of its assets
in foreign securities. In the event that the Fund executes a foreign security
transaction, the Fund will generally enter into a forward foreign currency
contract to settle the foreign security transaction. Foreign securities may
carry more risk than U.S. securities, such as political, market and currency
risks.
The accounting records of
the Fund are maintained in U.S. dollars. Prices of securities denominated in
foreign currencies are translated into U.S. dollars at the closing rates of
exchange at period end. Amounts related to the purchase and sale of foreign
securities and investment income are translated at the rates of exchange
prevailing on the respective dates of such transactions.
The effect of changes in
foreign currency exchange rates on investments is separately identified from
the fluctuations arising from changes in market values of securities held and
reported with all other foreign currency gains and losses in the Funds
Statement of Operations.
Fair Valuation
:
If the price of a
security is unavailable in accordance with the Funds pricing procedures, or
the price of a security is suspect, e.g., due to the occurrence of a
significant event, the security may be valued at its fair value determined
pursuant to procedures adopted by the Board of Trustees. For this purpose, fair
value is the price that the Fund reasonably expects to receive on a current
sale of the security. Due to the number of variables affecting the price of a
security, however; it is possible that the fair value of a security may not
accurately reflect the price that the Fund could actually receive on a sale of
the security. As of June 30, 2008, securities which have been fair valued
represented 1.54% of the Funds net assets.
The Fund adopted the
provisions of Financial Accounting Standards Board Statement of Financial
Accounting Standards No. 157 (FAS 157), Fair Value Measurements, on April 1,
2008. FAS 157
established a three-tier
hierarchy to establish classification of fair value measurements for disclosure
purposes. Inputs refer broadly to the assumptions that market participants
would use in pricing the asset or liability, including assumptions about risk.
Inputs may be observable or unobservable. Observable inputs are inputs that
reflect the assumptions market participants would use in pricing the asset or
liability that are developed based on market data obtained from sources
independent of the reporting entity. Unobservable inputs are inputs that
reflect the reporting entitys own assumptions about the assumptions market
participants would use in pricing the asset or liability that are developed
based on the best information available.
Various inputs are used
in determining the value of each Funds investments as of the reporting period
end. These inputs are categorized in the following hierarchy under applicable
financial accounting standards:
Level 1 Quoted prices
in active markets for identical investments
Level 2 Other
significant observable inputs (including quoted prices for similar investments,
interest rates, prepayment speeds, credit risk, etc.)
Level 3 Significant
unobservable inputs (including the Funds own assumptions in determining the
fair value of investments)
The following is a
summary of the inputs used to value the Funds investments as of June 30,
2008.
Valuation Inputs
|
|
Investments in Securities
at Value
|
|
Other Financial Instruments*
Unrealized Appreciation
(Depreciation)
|
|
Level 1 - Quoted
Prices
|
|
$
|
318,876,104
|
|
$
|
|
|
Level 2 - Other
Significant Observable Inputs
|
|
$
|
59,846,722
|
|
$
|
|
|
Level 3 -
Significant Unobservable Inputs
|
|
$
|
142,500
|
|
$
|
|
|
Total
|
|
$
|
378,865,326
|
|
$
|
|
|
* Other financial
instruments include futures, forwards and swap contracts.
The following is a
reconciliation of assets in which significant unobservable inputs (Level 3)
were used in determining fair value:
|
|
Investments in Securities
|
|
Other Financial
Instruments (OFI)
|
|
OFI Market Value
|
|
Balance as of
3/31/08
|
|
$
|
562,500
|
|
|
|
|
|
Realized
gain/(loss)
|
|
|
|
|
|
|
|
Change in
unrealized appreciation/(depreciation)
|
|
(420,000
|
)
|
|
|
|
|
Net
purchases/(sales)
|
|
|
|
|
|
|
|
Transfers in
and/or out of level 3
|
|
|
|
|
|
|
|
Balance as of
6/30/08
|
|
$
|
142,500
|
|
|
|
|
|
Options
: In order to hedge against adverse market
shifts, the Fund may utilize up to 10% of its total assets to purchase put and
call options on securities. The Fund may
also utilize an additional 10% of its total assets to purchase put and call
options on domestic stock indices to hedge against risks of market-wide price
movements affecting its assets. When a
Fund purchases a call or put option, an amount equal to the premium paid is
included in the Funds Statement of Assets and Liabilities, which is included
in the Annual and Semi-Annual reports to shareholders, as an investment, and is
subsequently marked-to-market to reflect the current market value of the
option. If an option expires on the stipulated expiration date or if the Fund
enters into a closing
sale transaction, a gain or loss is realized. If the Fund exercises a call, the
cost of the security acquired is increased by the premium paid for the call. If
the Fund exercises a put option, a gain or loss is realized from the sale of
the underlying security, and the proceeds from such a sale are decreased by the
premium originally paid.
The Fund may also write
covered put and call options on securities and stock indices. When a Fund writes a put or call option, an
amount equal to the premium received is included in the Statement of Assets and
Liabilities, which is included in the Annual and Semi-Annual reports to
shareholders, as a liability. The amount of the liability is subsequently
marked-to-market to reflect the current market value of the option. If an
option expires on its stipulated expiration date or if the Fund enters into a
closing purchase transaction, a gain or loss is realized. If a written call
option is exercised, a gain or loss is realized for the sale of the underlying
security and the proceeds from the sale are increased by the premium originally
received. If a written put option is exercised, the cost of the security
acquired is decreased by the premium originally received. As a writer of an
option, a Fund has no control over whether the underlying securities are
subsequently sold (call) or purchased (put) and, as a result, bears the market
risk of an unfavorable change in the price of the security underlying the
written option. Written and purchased options are non-income producing
securities.
Written option activity
as of June 30, 2008 was as follows:
CALL OPTIONS
WRITTEN
|
|
Number of
|
|
Amount of
|
|
|
|
Contracts
|
|
Premiums
|
|
|
|
|
|
|
|
Options
outstanding as of March 31, 2008
|
|
|
|
$
|
|
|
Positions opened
|
|
500
|
|
234,066
|
|
Options expired
|
|
|
|
|
|
Options closed
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding,
June 30, 2008
|
|
500
|
|
$
|
234,066
|
|
Market Value,
June 30, 2008
|
|
|
|
$
|
(362,500
|
)
|
PUT OPTIONS
WRITTEN
|
|
Number of
|
|
Amount of
|
|
|
|
Contracts
|
|
Premiums
|
|
|
|
|
|
|
|
Options
outstanding as of March 31, 2008
|
|
7,490
|
|
$
|
3,332,650
|
|
Positions opened
|
|
2,500
|
|
840,620
|
|
Options expired
|
|
(5,790
|
)
|
(2,381,425
|
)
|
Options closed
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding,
June 30, 2008
|
|
4,200
|
|
$
|
1,791,845
|
|
Market Value,
June 30, 2008
|
|
|
|
$
|
(731,700
|
)
|
Short
Sales:
The Fund may
sell a security it does not own in anticipation of a decline in the fair value
of that security. When the Fund sells a
security short, it must borrow the security sold short and deliver it to the
broker-dealer through which it made the short sale. A gain, limited to the price at which the
Fund sold the security short, or a loss, unlimited in size, will be recognized
upon the termination of the short sale.
Securities Transactions and
Investment Income:
Investment security transactions are accounted for as of trade
date. Dividend income is recorded on the
ex-dividend date. Interest income, which
includes amortization of premium and accretion of discount, is accrued as
earned. Realized gains and losses from
securities transactions and unrealized appreciation and depreciation of
securities are determined using the highest cost basis for both financial
reporting and income tax purposes.
Item 2 - Controls and Procedures.
(a)
The Registrants Principal Executive
Officer and Principal Financial Officer have evaluated the Registrants
disclosure controls and procedures (as defined in Rule 30a-3(c) under
the Investment Company Act of 1940) within 90 days of this filing and have
concluded that the Registrants disclosure controls and procedures were
effective, as of that date.
(b)
There was no change in the Registrants
internal control over financial reporting (as defined in Rule 30a-3(d) under
the Investment Company Act of 1940) during Registrants last fiscal quarter
that has materially affected, or is reasonably likely to materially affect, the
Registrants internal control over financial reporting.
Item 3
Exhibits.
Separate certifications
for the Registrants Principal Executive Officer and Principal Financial
Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under
the Investment Company Act of 1940, are attached as Ex99.CERT.
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.
|
CLOUGH
GLOBAL ALLOCATION FUND
|
|
|
|
|
By:
|
/s/
Edmund J. Burke
|
|
|
Edmund J. Burke
|
|
|
President
(principal
executive
officer)
|
|
|
|
|
Date:
|
August 29,
2008
|
|
|
|
|
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/
Edmund J. Burke
|
|
|
Edmund J. Burke
|
|
|
President
(principal
executive
officer)
|
|
|
|
|
Date:
|
August 29,
2008
|
|
|
|
|
|
|
|
By:
|
/s/
Jeremy O. May
|
|
|
Jeremy O. May
|
|
|
Treasurer
(principal
financial
officer)
|
|
|
|
|
Date:
|
August 29,
2008
|
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