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
|
811-21583
|
|
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 E. Douglas, Secretary
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:
|
September
30, 2008
|
|
|
|
|
|
|
|
|
|
|
Item
1.
Reports to Stockholders.
Semi-Annual Report
September 30, 2008 (Unaudited)
S
HAREHOLDER LETTER
September 30, 2008 (Unaudited)
To Our Investors:
The
underlying value of the Clough Global Allocation Fund, defined as the change in
net asset value adjusted for reinvested distributions, is down 37.1% for the
calendar year-to-date period through October 31, 2008. The return on the
Funds market price for the same period was -40.8%. The Morgan Stanley World
Index declined 38.3% and the S&P 500 declined 32.8% over the same period.
Since inception, the Funds compound annual total return including
distributions is 1.5% compared to 0.8% for the Morgan Stanley World Index and -
1.1% for the S&P 500 through October 31, 2008. The Funds compound
annual return since inception on market price was - 3.1%.
The last six months have been
particularly challenging for global investors and our Funds have not been
immune. The well publicized and analyzed credit crisis emanating from the US
and other highly indebted large economies pressured all asset classes. Equity,
corporate bonds and commodity markets virtually all declined, across nearly all
geographic regions. Much of these declines were driven by forced selling as
part of an ongoing deleveraging process.
This difficult period has
undoubtedly created many investment opportunities for our Funds. The ongoing
deflation of the credit structure in the developed world will moderate and
legitimate investment cycles should reemerge. We believe that equities provide
a far better value proposition today and we have begun to move our equity
allocations higher. One thing we feel certain of is debt will not be so easily
accessible in the future, and the default structure will migrate to other sectors
of the economy besides housing. All of this implies a long period of weak
economic activity so having a global perspective and a willingness to focus the
Fund on a narrow list of themes that provide an earnings tailwind will be
critical to performance.
First, we think equities in
emerging markets, which benefit from high levels of private savings and low
debt levels, will bottom first and lead global markets higher. Asia and Brazil
remain our areas of greatest interest and both rallied strongly in early November.
Brazils market in particular intrigues us. We believe equities are cheap there
and corporate activity is awakening. Banco Itau is acquiring Unibanco, creating
South Americas largest financial institution. Our investment focus there is on
the banking and consumer sectors. Even as developed economies slow, Brazils
well capitalized banking sector continues to grow in excess of 20% annually.
Secondly, we think global
infrastructure could be a major market theme looking ahead. We are beginning to
build an important position in a group of industrial stocks which we believe
will be beneficiaries of such a pickup. President Elect Obama has announced
federal government spending on infrastructure will accelerate as the needs are
legion and a new administration will have every incentive to bring forth
stimulus spending in
www.cloughglobal.com
|
|
2
response to
the credit crisis. Other governments will likely join in. Strong investment
spending is already being planned in emerging economies. China is reducing
interest rates and in contrast to a year ago when government policy was aimed
at slowing real estate development, policy today has turned 180 degrees to
regenerate both investment and exports. What makes the theme especially
appealing is that many infrastructure stocks are down 60 80% off their highs
and in many cases are back to their 2002 2003 levels. Alcoa and Freeport
McMoran both trade at just 0.7 price-to-book ratio (ratio of market price to book
value). Because the recent cycle has been so strong their balance sheets are
flush with cash.
Thirdly, the stocks of oil and
gas producers are close to a bottom, we think. The worlds large oil fields are
depleting and the sharp drop in energy prices has slowed much of the investment
in new wells. Over time, that will only exacerbate supply problems while
softer commodity prices have
already begun to stimulate demand.
Finally, a number of large
capitalization issues that generate high free cash flow levels appear to have
begun to bottom. Because of the overall equity market collapse, many stocks
offer free cash flow yields of 8% or higher.
The dislocation in credit
markets has also provided opportunities for us to enhance the yield generated
by our asset allocation to fixed income markets. Corporate bond yields, both
investment grade and non-investment grade, have increased significantly as
structured finance vehicles such as Collateralized Loan Obligations (CLOs) are
being forced to unwind and the bonds they hold search for a home. We have
historically not had significant exposure to corporate credit, as we have
generally not felt the risk adjusted returns were sufficiently attractive. That
is no longer the case. We are seeing similarly attractive yield and return
opportunities from high quality mortgage bonds which are also trading at much
higher than normal spreads. We expect to shift the portfolio into these higher
yielding securities over the coming months.
Ultimately the economy cannot
operate properly until the financial system is functioning again. Central banks
are generally slow to respond to deflationary pressures. The strong dollar and
weak gold price attest to the fact that when the Fed reflates to stem a credit
collapse, the results are not inflationary. Central banks appear to be coming
to realize that the process of stuffing liquidity into the financial system did
not undue the logjam which was restricting credit. It may have forestalled an
immediate meltdown because it relieved short term funding needs, but it did not
address the more fundamental issue of solvency and declining asset values. Now
Federal Reserve spokespeople are signaling that quantitative easing is being
considered, if not already being effectively put in place. Yield curves are
still inverted in the U.K. and in Europe and that signals that money rates have
a long way to fall there as well.
|
2008 Semi-Annual Report
|
3
We believe there are two
dynamics the financial markets have to navigate through. First, the demise of
the large broker dealers did more than end an era on Wall Street. It removed
liquidity and depth from the markets and minor changes in sentiment are now
reflected in large changes in price so market volatility has picked up
dramatically. Secondly, the economy has to negotiate its way through a major
debt liquidation for the first time in decades and that signals a long period
of weak earnings.
Investors responded to these
factors by liquidating securities of all stripes in October and our
question is where did they put the money? We think money rates will decline to
near zero and remain there for years as banking system consolidation picks up,
reducing the need for, and price of deposits. Yields on high quality long-term
bonds will also likely decline to unattractive levels. Leveraged investment
strategies in both fixed income and private equity may never be what they were.
We believe that leaves global equities as the default strategy, the only
securities class that offers reasonably high returns. As money rates fall,
equities are likely to be the prime beneficiaries. We believe the Fund is
invested in the areas to which the money will migrate.
If you have any questions or comments, please
feel free to call me 877-256-8445 or visit the website at www.cloughglobal.com.
Sincerely,
Charles I. Clough, Jr.
Clough Capital Partners, L.P.
is a Boston-based investment management firm that has approximately $3.1
billion under management. For equities, the firm uses a global and theme-based
investment approach based on identifying chronic shortages and growth
opportunities. For fixed-income, Clough believes changing economic fundamentals
help reveal potential global credit market opportunities based primarily on
flow of capital into or out of a country. Clough was founded in 2000 by Chuck
Clough and partners James Canty and Eric Brock. These three are the portfolio
managers for the Clough Global Allocation Fund.
4
P
ORTFOLIO ALLOCATION
September 30, 2008 (Unaudited)
Asset Type* (Unaudited)
|
|
|
|
|
|
|
|
Common Stocks
|
|
55.49
|
%
|
Asset/Mortgage Backed Securities
|
|
19.67
|
%
|
Government & Agency
Obligations
|
|
11.65
|
%
|
Short-Term Investments
|
|
3.12
|
%
|
Options Purchased
|
|
2.94
|
%
|
Corporate Bonds & Notes
|
|
2.33
|
%
|
Preferred Stocks
|
|
1.97
|
%
|
Exchange Traded Funds
|
|
1.84
|
%
|
Structured Notes
|
|
0.77
|
%
|
Closed-End Funds
|
|
0.22
|
%
|
Global Breakdown* (Unaudited)
|
|
|
|
|
|
|
|
US
|
|
71.73
|
%
|
Hong Kong
|
|
3.75
|
%
|
South Korea
|
|
3.17
|
%
|
Canada
|
|
2.72
|
%
|
Brazil
|
|
2.68
|
%
|
Great Britain
|
|
2.27
|
%
|
Japan
|
|
2.14
|
%
|
China
|
|
2.03
|
%
|
Thailand
|
|
1.74
|
%
|
Bermuda
|
|
1.60
|
%
|
Indonesia
|
|
0.95
|
%
|
Taiwan
|
|
0.75
|
%
|
Israel
|
|
0.60
|
%
|
Russia
|
|
0.57
|
%
|
Papau New Guinea
|
|
0.51
|
%
|
Greece
|
|
0.50
|
%
|
Malaysia
|
|
0.43
|
%
|
Finland
|
|
0.38
|
%
|
India
|
|
0.35
|
%
|
Vietnam
|
|
0.27
|
%
|
Ireland
|
|
0.22
|
%
|
Chile
|
|
0.18
|
%
|
Singapore
|
|
0.14
|
%
|
Netherlands
|
|
0.14
|
%
|
Norway
|
|
0.07
|
%
|
Argentina
|
|
0.06
|
%
|
Australia
|
|
0.04
|
%
|
South Africa
|
|
0.01
|
%
|
*
|
As a
percentage of total investments, not including securities sold short or any
foreign
cash balances.
|
5
S
TATEMENT
OF INVESTMENTS
September 30, 2008 (Unaudited)
|
|
Shares
|
|
Value
|
|
COMMON STOCKS 84.38%
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture 0.06%
|
|
|
|
|
|
Sadia S.A. - ADR
|
|
38,000
|
|
$
|
115,224
|
|
|
|
|
|
|
|
Consumer/Retail 4.29%
|
|
|
|
|
|
ASKUL Corp.
|
|
21,700
|
|
330,331
|
|
B&G Foods, Inc.
|
|
11,300
|
|
80,795
|
|
Belle International Holdings, Ltd.
|
|
316,000
|
|
223,422
|
|
China Mengniu Dairy Co., Ltd.
|
|
191,000
|
|
194,816
|
|
DSW, Inc.(a)
|
|
5,392
|
|
73,870
|
|
GOME Electrical Appliances Holdings, Ltd.
|
|
1,236,800
|
|
358,384
|
|
Home Inns & Hotels
Management, Inc. - ADR
(a)
|
|
9,400
|
|
131,130
|
|
Honda Motor Co., Ltd.
|
|
57,528
|
|
1,732,167
|
|
Hyundai Department Store Co., Ltd. - ADR
|
|
11,700
|
|
891,835
|
|
Jardine Matheson Holdings, Ltd.
|
|
32,366
|
|
841,516
|
|
Jardine Strategic Holdings, Ltd.
|
|
25,814
|
|
363,977
|
|
Kraft Foods, Inc.
|
|
24,700
|
|
808,925
|
|
Little Sheep Group, Ltd.(a) (b)
|
|
59,000
|
|
13,829
|
|
Lotte Shopping Co., Ltd.
|
|
2,850
|
|
638,738
|
|
Parkson Retail Group, Ltd.
|
|
212,500
|
|
232,619
|
|
Pou Sheng International Holdings, Ltd.
(a) (b)
|
|
818,000
|
|
94,812
|
|
Regal Hotels International Holdings, Ltd.
|
|
3,743,900
|
|
105,593
|
|
Swire Pacific, Ltd.
|
|
60,000
|
|
520,809
|
|
|
|
|
|
7,637,568
|
|
Energy 16.36%
|
|
|
|
|
|
Coal 4.28%
|
|
|
|
|
|
Alpha Natural Resources, Inc.(a)
|
|
216
|
|
11,109
|
|
Arch Coal, Inc.
|
|
48,765
|
|
1,603,881
|
|
CONSOL Energy, Inc.
|
|
37,200
|
|
1,707,108
|
|
Massey Energy Co.
|
|
64,300
|
|
2,293,581
|
|
Patriot Coal Corp.(a)
|
|
240
|
|
6,972
|
|
Peabody Energy Corp.
|
|
44,187
|
|
1,988,415
|
|
|
|
|
|
7,611,066
|
|
Exploration & Production 7.07%
|
|
|
|
|
|
American Oil & Gas, Inc.(a)
|
|
22,725
|
|
59,312
|
|
Anadarko Petroleum Corp.
|
|
17,500
|
|
848,925
|
|
Canadian Natural Resources, Ltd.
|
|
13,300
|
|
910,518
|
|
Chesapeake Energy Corp.
|
|
48,400
|
|
1,735,624
|
|
ConocoPhillips
|
|
1,400
|
|
102,550
|
|
Devon Energy Corp.
|
|
9,000
|
|
820,800
|
|
Encana Corp.
|
|
9,800
|
|
644,154
|
|
EOG Resources. Inc.
|
|
2,700
|
|
241,542
|
|
Hess Corp.
|
|
2,900
|
|
238,032
|
|
InterOil Corp.(a)
|
|
49,800
|
|
1,369,500
|
|
Newfield Exploration Co.(a)
|
|
4,020
|
|
128,600
|
|
OAO Gazprom - ADR
|
|
24,100
|
|
745,895
|
|
Occidental Petroleum Corp.
|
|
9,900
|
|
697,455
|
|
PetroHawk Energy Corp.(a) (c)
|
|
18,000
|
|
389,340
|
|
|
|
|
|
|
|
|
6
|
|
Shares
|
|
Value
|
|
Exploration & Production
(continued)
|
|
|
|
|
|
PetroHawk Energy Corp.
(a)
|
|
72,500
|
|
$
|
1,568,175
|
|
Petroleo Brasileiro S.A. - ADR
|
|
16,300
|
|
716,385
|
|
Pioneer Natural Resources Co.
|
|
12,000
|
|
627,360
|
|
Range Resources Corp.
|
|
3,400
|
|
145,758
|
|
Southwestern Energy Co.
(a)
|
|
3,400
|
|
103,836
|
|
Talisman Energy, Inc.
|
|
26,600
|
|
375,412
|
|
XTO Energy, Inc.
|
|
2,700
|
|
125,604
|
|
|
|
|
|
12,594,777
|
|
Oil Services and Drillers 4.93%
|
|
|
|
|
|
Cameron International Corp.
(a)
|
|
10,000
|
|
385,400
|
|
Core Laboratories N.V.
|
|
3,000
|
|
303,960
|
|
FMC Technologies, Inc.
(a)
|
|
5,200
|
|
242,060
|
|
Fred Olsen Energy ASA
|
|
5,000
|
|
190,214
|
|
Helmerich & Payne, Inc.
|
|
1,700
|
|
73,423
|
|
Hornbeck Offshore Services, Inc.
(a)
|
|
15,428
|
|
595,829
|
|
National Oilwell Varco, Inc.
(a)
|
|
31,500
|
|
1,582,245
|
|
Oceaneering International, Inc.
(a)
|
|
4,000
|
|
213,280
|
|
Schlumberger, Ltd.
|
|
12,800
|
|
999,552
|
|
Seadrill, Ltd.
|
|
38,500
|
|
783,113
|
|
Suncor Energy, Inc.
|
|
33,300
|
|
1,407,591
|
|
Tenaris S.A. - ADR
|
|
4,000
|
|
149,160
|
|
Transocean, Inc.
(a)
|
|
6,670
|
|
732,633
|
|
Weatherford International, Ltd.
(a)
|
|
44,800
|
|
1,126,272
|
|
|
|
|
|
8,784,732
|
|
Tankers 0.08%
|
|
|
|
|
|
Golar LNG, Ltd.
|
|
10,500
|
|
139,440
|
|
|
|
|
|
|
|
TOTAL ENERGY
|
|
|
|
29,130,015
|
|
|
|
|
|
|
|
Finance 23.50%
|
|
|
|
|
|
Banks 18.74%
|
|
|
|
|
|
Banco Bradesco S.A. - ADR
|
|
90,495
|
|
1,456,970
|
|
Banco Itau Holding Financeira S.A. - ADR
|
|
118,700
|
|
2,077,250
|
|
Banco Santander Chile S.A. - ADR
|
|
11,400
|
|
487,806
|
|
Bangkok Bank PLC
|
|
249,500
|
|
751,595
|
|
Bank Mandiri Persero Tbk PT
|
|
3,816,000
|
|
1,072,365
|
|
Bank of America Corp.
(d)
|
|
119,000
|
|
4,165,000
|
|
BlackRock Kelso Capital Corp.
|
|
105,700
|
|
1,218,721
|
|
Citigroup, Inc.
|
|
71,400
|
|
1,464,414
|
|
Daewoo Securities Co., Ltd.
|
|
41,830
|
|
585,714
|
|
Daishin Security System Co., Ltd.
|
|
77,200
|
|
222,591
|
|
|
|
|
|
|
|
|
7
|
|
Shares
|
|
Value
|
|
Banks (continued)
|
|
|
|
|
|
Hana Financial Group, Inc.
|
|
49,800
|
|
$
|
1,136,741
|
|
ICICI Bank, Ltd. - ADR
|
|
40,400
|
|
950,208
|
|
Indochina Capital Vietnam Holdings, Ltd.
(a)
|
|
200,000
|
|
718,000
|
|
Kasikornbank PLC
|
|
450,600
|
|
829,805
|
|
Kookmin Bank - ADR
(a)
|
|
11,700
|
|
534,573
|
|
Korea Exchange Bank
|
|
47,500
|
|
432,909
|
|
LG Corp.
|
|
7,500
|
|
378,433
|
|
Malayan Banking BHD
(e)
|
|
51,025
|
|
125,988
|
|
Melco International Development, Ltd.
|
|
218,000
|
|
60,643
|
|
Mirae Asset Securities
|
|
4,600
|
|
384,937
|
|
PennantPark Investment Corp.
|
|
155,301
|
|
1,150,780
|
|
Public Bank BHD
|
|
307,700
|
|
893,827
|
|
Sberbank
|
|
170,000
|
|
261,800
|
|
Siam Commercial Bank PCL NVDR
|
|
958,700
|
|
1,939,485
|
|
Siam Commercial Bank PCL
|
|
460,000
|
|
967,956
|
|
Star Asia Financial, Ltd.
(b) (e)
|
|
75,000
|
|
142,500
|
|
Unibanco - Uniao de Bancos Brasileiros -
GDR
|
|
23,000
|
|
2,321,160
|
|
VTB Bank OJSC
|
|
45,600
|
|
182,400
|
|
Wellsfargo & Co.
(d)
|
|
147,434
|
|
5,533,198
|
|
Woori Finance Holdings Co., Ltd.
|
|
69,400
|
|
681,379
|
|
Woori Investment & Securities Co.,
Ltd.
|
|
16,600
|
|
248,942
|
|
|
|
|
|
33,378,090
|
|
Non-Bank 4.76%
|
|
|
|
|
|
Apollo Investment Corp.
(d)
|
|
298,489
|
|
5,089,237
|
|
Ares Capital Corp.
|
|
86,179
|
|
898,847
|
|
Broadridge Financial Solutions, Inc.
|
|
3,600
|
|
55,404
|
|
CME Group, Inc.
|
|
5,100
|
|
1,894,701
|
|
IntercontinentalExchange, Inc.
(a)
|
|
5,400
|
|
435,672
|
|
Maiden Holdings, Ltd.
(b)
|
|
23,900
|
|
103,965
|
|
|
|
|
|
8,477,826
|
|
TOTAL FINANCE
|
|
|
|
41,855,916
|
|
|
|
|
|
|
|
Health Care 0.64%
|
|
|
|
|
|
BioSphere Medical, Inc.
(a) (c)
|
|
50,000
|
|
175,000
|
|
BioSphere Medical, Inc.
(a)
|
|
182,703
|
|
639,461
|
|
Molecular Insight
Pharmaceuticals, Inc.
(a)
|
|
42,900
|
|
329,472
|
|
|
|
|
|
1,143,933
|
|
|
|
|
|
|
|
|
8
|
|
Shares
|
|
Value
|
|
Industrial 6.83%
|
|
|
|
|
|
Aegean Marine Petroleum Network, Inc.
|
|
46,800
|
|
$
|
1,045,980
|
|
Bakrie Sumatera Plantations Tbk PT
|
|
2,320,000
|
|
174,677
|
|
Byd Co., Ltd.
|
|
253,840
|
|
419,751
|
|
Chicago Bridge & Iron Co.
|
|
20,200
|
|
388,648
|
|
China Railway Group, Ltd.
(a)
|
|
1,000,000
|
|
596,277
|
|
China South Locomotive and Rolling Stock
Corp.
(a) (b)
|
|
1,382,500
|
|
525,236
|
|
Crown Holdings, Inc.
(a)
|
|
16,100
|
|
357,581
|
|
Daelim Industrial Co., Ltd.
|
|
3,300
|
|
196,586
|
|
Dongyang Mechatronics Corp.
|
|
80,600
|
|
291,494
|
|
EI Du Pont de Nemours & Co.
|
|
18,900
|
|
761,670
|
|
Foster Wheeler, Ltd.
(a)
|
|
11,600
|
|
418,876
|
|
Guangzhou Shipyard International Co., Ltd.
|
|
142,000
|
|
162,759
|
|
Hitachi Construction Machinery Co., Ltd.
|
|
21,800
|
|
517,559
|
|
Huaneng Power International, Inc.
|
|
1,175,000
|
|
770,234
|
|
Komatsu, Ltd.
|
|
44,700
|
|
703,987
|
|
Maanshan Iron & Steel Co., Ltd.
|
|
930,000
|
|
285,054
|
|
McDermott International, Inc.
(a)
|
|
53,800
|
|
1,374,590
|
|
Nine Dragons Paper Holdings, Ltd.
|
|
310,000
|
|
113,782
|
|
PT Astra International Tbk
|
|
735,000
|
|
1,332,820
|
|
Shougang Concord International Enterprises
Co., Ltd.
|
|
2,030,000
|
|
284,964
|
|
Sinopec Shanghai Petrochemical Co., Ltd.
|
|
990,000
|
|
219,296
|
|
Smurfit-Stone Container Corp.
(a)
|
|
110,500
|
|
519,350
|
|
Spirit Aerosystems Holdings, Inc.
(a)
|
|
21,000
|
|
337,470
|
|
STX Engine Co., Ltd.
|
|
7,500
|
|
144,476
|
|
Textron, Inc.
|
|
7,400
|
|
216,672
|
|
|
|
|
|
12,159,789
|
|
Insurance 2.61%
|
|
|
|
|
|
ACE, Ltd.
|
|
16,400
|
|
887,732
|
|
Fidelity National Financial, Inc.
|
|
154,100
|
|
2,265,270
|
|
Montpelier Re Holdings, Ltd.
(d)
|
|
62,800
|
|
1,036,828
|
|
The Travelers Cos., Inc.
|
|
10,000
|
|
452,000
|
|
|
|
|
|
4,641,830
|
|
Metals & Mining 1.87%
|
|
|
|
|
|
Agnico-Eagle Mines, Ltd.
|
|
8,500
|
|
468,095
|
|
Alcoa, Inc.
|
|
46,100
|
|
1,040,938
|
|
Anglo American PLC - ADR
|
|
18,134
|
|
303,382
|
|
Cameco Corp.
|
|
39,300
|
|
876,783
|
|
Denison Mines Corp.
(a)
|
|
47,900
|
|
141,326
|
|
First Uranium Corp.
(a)
|
|
8,000
|
|
25,633
|
|
Freeport-McMoRan Copper &
Gold, Inc.
|
|
5,888
|
|
334,733
|
|
|
|
|
|
|
|
|
9
|
|
Shares
|
|
Value
|
|
Metals & Mining (continued)
|
|
|
|
|
|
Paladin Energy, Ltd.(a)
|
|
37,500
|
|
$
|
115,574
|
|
Uex Corp.(a)
|
|
2,700
|
|
3,831
|
|
Uranium One, Inc.(a)
|
|
3,700
|
|
7,996
|
|
Ur-Energy, Inc.(a)
|
|
27,200
|
|
17,124
|
|
|
|
|
|
3,335,415
|
|
Real Estate 4.69%
|
|
|
|
|
|
Cheung Kong Holdings, Ltd.
|
|
251,800
|
|
2,796,930
|
|
Cosco Corp. Singapore, Ltd.
|
|
115,000
|
|
120,054
|
|
Great Eagle Holdings, Ltd.
|
|
235,080
|
|
514,673
|
|
Hang Lung Properties, Ltd.
|
|
117,000
|
|
269,414
|
|
Henderson Land Development Co., Ltd.
|
|
148,000
|
|
648,049
|
|
Hopewell Holdings, Ltd.
|
|
95,000
|
|
340,122
|
|
Hysan Development Co., Ltd.
|
|
406,875
|
|
1,046,944
|
|
Hyundai Development Co.
|
|
11,600
|
|
418,079
|
|
Italian-Thai Development PLC
|
|
2,088,000
|
|
233,096
|
|
Kerry Properties, Ltd.
|
|
63,500
|
|
201,994
|
|
Shun Tak Holdings, Ltd.(b)
|
|
60,000
|
|
20,400
|
|
Sun Hung Kai Properties, Ltd.
|
|
106,000
|
|
1,070,259
|
|
Wharf Holdings, Ltd.
|
|
192,250
|
|
538,508
|
|
YNH Property BHD
|
|
350,100
|
|
142,379
|
|
|
|
|
|
8,360,901
|
|
Real Estate Investment Trusts (REITS) 4.68%
|
|
|
|
|
|
Annaly Capital Management, Inc.(d)
|
|
293,200
|
|
3,943,540
|
|
Anworth Mortgage Asset Corp.
|
|
127,114
|
|
752,515
|
|
Capstead Mortgage Corp.
|
|
34,700
|
|
379,965
|
|
Hatteras Financial Corp.(b)
|
|
50,300
|
|
1,166,960
|
|
Hatteras Financial Corp.
|
|
71,900
|
|
1,668,080
|
|
MFA Mortgage Investments, Inc.
|
|
63,000
|
|
409,500
|
|
Regal Real Estate Investment Trust
|
|
37,439
|
|
5,545
|
|
|
|
|
|
8,326,105
|
|
Technology & Communications 13.30%
|
|
|
|
|
|
Centron Telecom International Holdings,
Ltd.
|
|
238,000
|
|
29,118
|
|
Chartered Semiconductor Manufacturing, Ltd.
(a)
|
|
960,000
|
|
253,889
|
|
China Mobile HK, Ltd-ADR
|
|
24,600
|
|
1,231,968
|
|
China Telecom Corp., Ltd.(e)
|
|
688,000
|
|
277,332
|
|
Chunghwa Telecom Co., Ltd.
|
|
85,200
|
|
2,016,684
|
|
Cisco Systems, Inc.(a) (d)
|
|
257,900
|
|
5,818,224
|
|
Comcast Corp.
|
|
121,800
|
|
2,401,896
|
|
Focus Media Holdings, Ltd. - ADR (a)
|
|
5,700
|
|
162,507
|
|
Ingram Micro, Inc.(a)
|
|
36,900
|
|
592,983
|
|
|
|
|
|
|
|
|
10
|
|
Shares
|
|
Value
|
|
Technology & Communications
(continued)
|
|
|
|
|
|
Intel Corp.
|
|
153,300
|
|
$
|
2,871,309
|
|
Magal Security Systems, Ltd.
(a)
|
|
76,443
|
|
668,876
|
|
Net Servicos de Comunicacao S.A. - ADR
|
|
57,000
|
|
500,460
|
|
Nokia Corp - ADR
|
|
54,900
|
|
1,023,885
|
|
Oracle Corp.
(a)
|
|
118,500
|
|
2,406,735
|
|
Qualcomm Inc.
|
|
17,157
|
|
737,236
|
|
Radvision, Ltd.
(a)
|
|
157,945
|
|
949,250
|
|
Samsung Electronics Co., Ltd.
|
|
3,145
|
|
1,404,495
|
|
Sistema JSFC
|
|
20,800
|
|
339,456
|
|
|
|
|
|
23,686,303
|
|
Transportation 1.27%
|
|
|
|
|
|
Babcock & Brown Air, Ltd. - ADR
|
|
62,800
|
|
587,180
|
|
Safe Bulkers, Inc.
|
|
28,900
|
|
315,010
|
|
Seaspan Corp.
|
|
75,000
|
|
1,356,750
|
|
|
|
|
|
2,258,940
|
|
Utilities 4.28%
|
|
|
|
|
|
AES Corp.
(a)
|
|
67,600
|
|
790,244
|
|
Calpine Corp.
(a)
|
|
53,200
|
|
691,600
|
|
DPL, Inc.
|
|
50,900
|
|
1,262,320
|
|
Dynegy, Inc. - Class A
(a)
|
|
24,900
|
|
89,142
|
|
Enbridge, Inc.
|
|
31,400
|
|
1,161,881
|
|
Equitable Resources, Inc.
|
|
16,500
|
|
605,385
|
|
FirstEnergy Corp.
|
|
14,000
|
|
937,860
|
|
National Fuel Gas Co.
|
|
14,771
|
|
623,041
|
|
Quanta Services, Inc.
(a)
|
|
13,400
|
|
361,934
|
|
Williams Cos., Inc.
|
|
46,600
|
|
1,102,090
|
|
|
|
|
|
7,625,497
|
|
TOTAL
COMMON STOCKS
(Cost $185,647,468)
|
|
|
|
150,277,436
|
|
|
|
|
|
|
|
EXCHANGE TRADED FUNDS 2.79%
|
|
|
|
|
|
iShares MSCI Pacific Fund
|
|
12,000
|
|
430,800
|
|
Retail HOLDRs Trust
|
|
50,400
|
|
4,543,056
|
|
|
|
|
|
|
|
TOTAL
EXCHANGE TRADED FUNDS
(Cost $5,041,070)
|
|
|
|
4,973,856
|
|
|
|
|
|
|
|
PREFERRED STOCKS 3.00%
|
|
|
|
|
|
Arch Capital Group, Ltd., 7.875%
|
|
75,000
|
|
1,383,750
|
|
Ashford Hospitality Trust, Inc., 8.550%
|
|
49,300
|
|
566,950
|
|
Bank of America Corp., 8.200%
|
|
15,800
|
|
359,450
|
|
|
|
|
|
|
|
|
11
|
|
Shares
|
|
Value
|
|
PREFERRED
STOCKS (continued)
|
|
|
|
|
|
Citigroup, Inc.,
8.125%
|
|
60,020
|
|
$
|
990,330
|
|
Deutsche Bank Contingent
Capital Trust V, 8.050%
|
|
32,000
|
|
646,400
|
|
JPMorgan Chase Capital
XXVI, 8.000%
(f)
|
|
32,400
|
|
783,432
|
|
Merrill Lynch &
Co., Inc, 8.625%
|
|
32,000
|
|
607,680
|
|
|
|
|
|
|
|
TOTAL
PREFERRED STOCKS
(Cost $7,399,724)
|
|
|
|
5,337,992
|
|
|
|
|
|
|
|
CLOSED-END
FUNDS 0.34%
|
|
|
|
|
|
The Ottoman Fund
(a) (b)
|
|
515,340
|
|
604,687
|
|
|
|
|
|
|
|
TOTAL
CLOSED-END FUNDS
(Cost $896,434)
|
|
|
|
604,687
|
|
|
|
|
|
|
|
|
Description and
|
|
|
|
Principal
|
|
|
|
Maturity Date
|
|
Coupon Rate
|
|
Amount
|
|
Value
|
|
CORPORATE BONDS 3.54%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anadarko Petroleum Corp.
|
|
|
|
|
|
|
|
09/15/2009
(f)
|
|
3.219
|
%
|
$
|
1,025,000
|
|
1,013,164
|
|
Bank of America Corp.
|
|
|
|
|
|
|
|
12/29/2049
(f)
|
|
8.000
|
%
|
850,000
|
|
673,693
|
|
Chubb Corp.
|
|
|
|
|
|
|
|
11/15/2011
|
|
6.000
|
%
|
550,000
|
|
558,931
|
|
Comcast Cable Communications LLC
|
|
|
|
|
|
|
|
06/15/2009
|
|
6.875
|
%
|
715,000
|
|
722,236
|
|
Comcast Corp.
|
|
|
|
|
|
|
|
01/15/2010
|
|
5.850
|
%
|
715,000
|
|
719,512
|
|
JPMorgan Chase & Co.
|
|
|
|
|
|
|
|
11/15/2010
|
|
4.500
|
%
|
750,000
|
|
728,371
|
|
Merrill Lynch & Co., Inc.
|
|
|
|
|
|
|
|
Series MTNC, 09/09/2009
(f)
|
|
3.074
|
%
|
1,450,000
|
|
1,394,751
|
|
Morgan Stanley
|
|
|
|
|
|
|
|
01/18/2011
(f)
|
|
3.035
|
%
|
750,000
|
|
489,125
|
|
|
|
|
|
|
|
|
|
TOTAL
CORPORATE BONDS
(Cost $6,782,930)
|
|
|
|
|
|
6,299,783
|
|
|
|
|
|
|
|
|
|
ASSET/MORTGAGE BACKED SECURITIES 29.91%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fannie Mae Pool
|
|
|
|
|
|
|
|
Series 2008-257201, 05/01/2018
|
|
5.000
|
%
|
2,902,422
|
|
2,903,664
|
|
Series 2008-889279, 03/01/2023
|
|
5.000
|
%
|
1,209,983
|
|
1,203,944
|
|
|
|
|
|
|
|
|
|
|
12
Description and
|
|
|
|
Principal
|
|
|
|
Maturity Date
|
|
Coupon Rate
|
|
Amount
|
|
Value
|
|
Freddie Mac Gold Pool
|
|
|
|
|
|
|
|
Series 2006-G12471, 12/01/2018
|
|
4.500
|
%
|
$
|
1,322,858
|
|
$
|
1,302,164
|
|
Freddie Mac REMICS
|
|
|
|
|
|
|
|
Series 2006-3155, Class SA,
11/15/2035
(f)
|
|
23.175
|
%
|
1,600,214
|
|
1,706,430
|
|
Ginnie Mae I pool
|
|
|
|
|
|
|
|
Series 2008-675488, 06/15/2038
|
|
5.500
|
%
|
1,495,118
|
|
1,499,152
|
|
Series 2008-675480, 06/15/2038
|
|
5.500
|
%
|
3,587,006
|
|
3,596,683
|
|
Series 2008-696604, 08/15/2038
|
|
5.500
|
%
|
1,300,000
|
|
1,303,507
|
|
Ginnie Mae II pool
|
|
|
|
|
|
|
|
Series 2007-3939, 01/20/2037
|
|
5.000
|
%
|
458,054
|
|
447,639
|
|
Series 2007-3952, 02/20/2037
|
|
5.000
|
%
|
413,576
|
|
404,172
|
|
Series 2007-3953, 02/20/2037
|
|
5.500
|
%
|
1,316,784
|
|
1,315,416
|
|
Series 2007-3964, 03/20/2037
|
|
5.000
|
%
|
2,806,482
|
|
2,742,669
|
|
Series 2007-3994, 06/20/2037
|
|
5.000
|
%
|
945,517
|
|
924,018
|
|
Series 2008-4097, 03/20/2038
|
|
5.000
|
%
|
553,633
|
|
540,902
|
|
Series 2008-4113, 04/20/2038
|
|
5.000
|
%
|
2,724,270
|
|
2,661,620
|
|
Series 2008-686743, 05/20/2038
|
|
5.500
|
%
|
995,606
|
|
994,406
|
|
Series 2008-4169, 06/20/2038
|
|
5.500
|
%
|
796,056
|
|
795,096
|
|
Series 2008-4183, 07/20/2038
(e)
|
|
6.000
|
%
|
1,496,930
|
|
1,487,340
|
|
Series 2008-4194, 07/20/2038
|
|
5.500
|
%
|
1,745,517
|
|
1,743,412
|
|
Series 2008-4195, 07/20/2038
|
|
6.000
|
%
|
723,000
|
|
733,652
|
|
Government National Mortgage Association
(GNMA)
|
|
|
|
|
|
|
|
Series 2003-16, Class A,
04/16/2016
|
|
3.130
|
%
|
1,508,354
|
|
1,507,197
|
|
Series 2006-8, Class A,
08/16/2025
|
|
3.942
|
%
|
1,397,391
|
|
1,388,656
|
|
Series 2006-68, Class A,
07/16/2026
|
|
3.888
|
%
|
825,891
|
|
818,001
|
|
Series 2007-52, Class A,
06/16/2027
|
|
4.054
|
%
|
1,235,106
|
|
1,227,486
|
|
Series 2008-24, Class A,
08/16/2027
|
|
3.492
|
%
|
1,575,881
|
|
1,555,382
|
|
Series 2008-8, Class A,
11/16/2027
|
|
3.612
|
%
|
884,777
|
|
874,773
|
|
Series 2006-3, Class A,
01/16/2028
|
|
4.212
|
%
|
3,476,654
|
|
3,459,726
|
|
Series 2008-48, Class A,
01/16/2029
|
|
3.725
|
%
|
993,404
|
|
982,263
|
|
Series 2006-5, Class A,
07/16/2029
|
|
4.241
|
%
|
574,654
|
|
571,846
|
|
Series 2006-19, Class A,
06/16/2030
|
|
3.387
|
%
|
2,369,901
|
|
2,336,346
|
|
Series 2006-66, Class A,
08/16/2030
|
|
4.087
|
%
|
2,593,725
|
|
2,575,331
|
|
Series 2006-67, Class A,
11/16/2030
|
|
3.947
|
%
|
913,558
|
|
904,810
|
|
Series 2005-79, Class A,
10/16/2033
|
|
3.998
|
%
|
313,813
|
|
311,645
|
|
Series 2008-22, Class A,
05/16/2035
|
|
3.500
|
%
|
1,319,284
|
|
1,289,836
|
|
Series 2007-37, Class SA,
03/20/2037
(f)
|
|
11.713
|
%
|
533,259
|
|
508,927
|
|
Series 2007-37, Class SB,
03/20/2037
(f)
|
|
11.713
|
%
|
451,989
|
|
447,689
|
|
Series 2007-37, Class SY,
06/16/2037
(f)
|
|
15.348
|
%
|
298,780
|
|
297,839
|
|
Series 2008-45, Class A,
05/01/2048
|
|
3.576
|
%
|
3,961,519
|
|
3,912,459
|
|
|
|
|
|
|
|
|
|
TOTAL
ASSET/MORTGAGE BACKED SECURITIES
(Cost $53,174,482)
|
|
|
|
|
|
53,276,098
|
|
|
|
|
|
|
|
|
|
|
|
13
Description and
|
|
|
|
Principal
|
|
|
|
Maturity Date
|
|
Coupon Rate
|
|
Amount
|
|
Value
|
|
GOVERNMENT & AGENCY OBLIGATIONS
17.71%
|
|
|
|
|
|
|
|
Non-U.S. Government Obligations 2.87%
|
|
|
|
|
|
|
|
United Kingdom Treasury
|
|
|
|
|
|
|
|
09/07/2015
|
|
4.750
|
%
|
$
|
2,800,000
|
|
$
|
5,106,934
|
|
|
|
|
|
|
|
|
|
U.S. Government Obligations 14.84%
|
|
|
|
|
|
|
|
Federal Farm Credit Bank
|
|
|
|
|
|
|
|
09/29/2011
|
|
4.050
|
%
|
1,000,000
|
|
999,279
|
|
05/01/2013
|
|
4.250
|
%
|
1,310,000
|
|
1,306,285
|
|
U.S.Treasury Bond
|
|
|
|
|
|
|
|
06/30/2012
|
|
4.875
|
%
|
600,000
|
|
648,235
|
|
02/15/2014
(d)
|
|
4.000
|
%
|
2,000,000
|
|
2,101,408
|
|
08/15/2016
(d)
|
|
4.875
|
%
|
3,900,000
|
|
4,222,666
|
|
05/15/2017
(d)
|
|
4.500
|
%
|
3,000,000
|
|
3,159,141
|
|
08/15/2017
(d)
|
|
4.750
|
%
|
5,500,000
|
|
5,891,445
|
|
08/15/2018
(d)
|
|
4.000
|
%
|
1,000,000
|
|
1,013,751
|
|
02/15/2025
(d)
|
|
7.625
|
%
|
1,500,000
|
|
2,064,611
|
|
05/15/2038
(d)
|
|
4.500
|
%
|
1,750,000
|
|
1,802,502
|
|
U.S.Treasury Note
|
|
|
|
|
|
|
|
05/31/2012
(d)
|
|
4.750
|
%
|
2,000,000
|
|
2,150,158
|
|
07/31/2012
(d)
|
|
4.625
|
%
|
1,000,000
|
|
1,072,579
|
|
|
|
|
|
|
|
26,432,060
|
|
|
|
|
|
|
|
|
|
TOTAL
GOVERNMENT & AGENCY OBLIGATIONS
(Cost $31,188,837)
|
|
|
|
|
|
31,538,994
|
|
|
|
|
|
|
|
|
|
STRUCTURED NOTES 1.17%
|
|
|
|
|
|
|
|
Merrill Lynch & Co., Inc
|
|
|
|
|
|
|
|
01/29/2022
(b) (e) (f)
|
|
9.580
|
%
|
4,000,000
|
|
2,080,000
|
|
|
|
|
|
|
|
|
|
TOTAL
STRUCTURED NOTES
(Cost $4,000,000)
|
|
|
|
|
|
2,080,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration
|
|
Exercise
|
|
Number of
|
|
|
|
|
|
Date
|
|
Price
|
|
Contracts
|
|
Value
|
|
PURCHASED OPTIONS 4.47%
|
|
|
|
|
|
|
|
|
|
Purchased Call Options 0.04%
|
|
|
|
|
|
|
|
|
|
Petroleo Brasileiro S.A.
|
|
January, 2009
|
|
$
|
60.00
|
|
500
|
|
73,750
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL
PURCHASED CALL OPTIONS
(Cost $511,528)
|
|
|
|
|
|
|
|
73,750
|
|
|
|
|
|
|
|
|
|
|
|
|
14
|
|
Expiration
|
|
Exercise
|
|
Number of
|
|
|
|
|
|
Date
|
|
Price
|
|
Contracts
|
|
Value
|
|
Purchased Put Options 4.43%
|
|
|
|
|
|
|
|
|
|
Energy Select Sector SPDR Fund
|
|
December, 2008
|
|
$
|
70.00
|
|
2,500
|
|
$
|
2,175,000
|
|
Oil Service HOLDRs Trust
|
|
October, 2008
|
|
170.00
|
|
500
|
|
1,136,250
|
|
Oil Service HOLDRs Trust
|
|
January, 2009
|
|
160.00
|
|
800
|
|
1,746,000
|
|
S&P 500 Index
|
|
December, 2008
|
|
1,250.00
|
|
250
|
|
2,837,500
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL
PURCHASED PUT OPTIONS
(Cost $5,077,565)
|
|
|
|
|
|
|
|
7,894,750
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL
PURCHASED OPTIONS
(Cost $5,589,093)
|
|
|
|
|
|
|
|
7,968,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 Day
|
|
|
|
|
|
|
|
Yield
|
|
Shares
|
|
Value
|
|
SHORT TERM INVESTMENTS 4.75%
|
|
|
|
|
|
|
|
Dreyfus Treasury Prime Money Market Fund
(g)
|
|
0.695
|
%
|
8,450,411
|
|
8,450,411
|
|
|
|
|
|
|
|
|
|
TOTAL
SHORT TERM INVESTMENTS
(Cost
$8,450,411)
|
|
|
|
|
|
8,450,411
|
|
|
|
|
|
|
|
|
|
Total
Investments - 152.06%
(Cost $308,170,449)
|
|
|
|
|
|
270,807,757
|
|
|
|
|
|
|
|
|
|
Liabilities in Excess of Other Assets -
(52.06%)
|
|
|
|
|
|
(92,710,289
|
)
|
|
|
|
|
|
|
|
|
NET ASSETS - 100.00%
|
|
|
|
|
|
$
|
178,097,468
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration
|
|
Exercise
|
|
Number of
|
|
|
|
|
|
Date
|
|
Price
|
|
Contracts
|
|
Value
|
|
SCHEDULE OF OPTIONS WRITTEN
|
|
|
|
|
|
|
|
|
|
Call Options Written
|
|
|
|
|
|
|
|
|
|
Petroleo Brasileiro S.A.
|
|
January, 2009
|
|
$
|
75.00
|
|
500
|
|
$
|
(15,000
|
)
|
|
|
|
|
|
|
|
|
|
|
TOTAL CALL
OPTIONS WRITTEN
(Premiums received $234,066)
|
|
|
|
|
|
|
|
(15,000
|
)
|
|
|
|
|
|
|
|
|
|
|
Put Options Written
|
|
|
|
|
|
|
|
|
|
Energy Select Sector SPDR Fund
|
|
December, 2008
|
|
63.00
|
|
2,500
|
|
(1,150,000
|
)
|
Oil Service HOLDRs Trust
|
|
October, 2008
|
|
140.00
|
|
500
|
|
(203,750
|
)
|
Oil Service HOLDRs Trust
|
|
January, 2009
|
|
140.00
|
|
800
|
|
(886,000
|
)
|
S&P 500 Index
|
|
December, 2008
|
|
1,175.00
|
|
250
|
|
(1,805,000
|
)
|
|
|
|
|
|
|
|
|
|
|
TOTAL
PUT OPTIONS WRITTEN
(Premiums received $2,565,240)
|
|
|
|
|
|
|
|
(4,044,750
|
)
|
|
|
|
|
|
|
|
|
|
|
TOTAL
OPTIONS WRITTEN
(Premiums received $2,799,306)
|
|
|
|
|
|
|
|
$
|
(4,059,750
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
15
SCHEDULE OF
SECURITIES SOLD SHORT
Name
|
|
Shares
|
|
Value
|
|
Aluminum Corp. of China, Ltd.
|
|
(33,900
|
)
|
$
|
(513,585
|
)
|
Amazon.com, Inc.
|
|
(14,600
|
)
|
(1,062,296
|
)
|
Ameriprise Financial, Inc.
|
|
(14,300
|
)
|
(546,260
|
)
|
ArcelorMittal
|
|
(1,400
|
)
|
(69,132
|
)
|
Ashland, Inc.
|
|
(3,700
|
)
|
(108,188
|
)
|
BHP Billiton, Ltd - ADR
|
|
(14,100
|
)
|
(733,059
|
)
|
Boston Properties, Inc.
|
|
(4,300
|
)
|
(402,738
|
)
|
Cia Vale do Rio Doce - ADR
|
|
(18,374
|
)
|
(351,862
|
)
|
CNOOC, Ltd.
|
|
(2,800
|
)
|
(320,628
|
)
|
Dawson Geophysical Co.
|
|
(1,400
|
)
|
(65,366
|
)
|
Financial Select Sector SPDR
|
|
(121,400
|
)
|
(2,402,506
|
)
|
General Motors Corp.
|
|
(30,797
|
)
|
(291,032
|
)
|
Harley-Davidson, Inc.
|
|
(6,300
|
)
|
(234,990
|
)
|
iShares Dow Jones US Real Estate Index Fund
|
|
(73,300
|
)
|
(4,540,935
|
)
|
iShares FTSE/Xinhua China 25 Index Fund
|
|
(126,973
|
)
|
(4,376,759
|
)
|
iShares MSCI Brazil Fund
|
|
(41,709
|
)
|
(2,359,478
|
)
|
iShares MSCI Emerging Markets Fund
|
|
(142,800
|
)
|
(4,930,884
|
)
|
iShares MSCI Mexico Investable Market Index
Fund
|
|
(46,576
|
)
|
(2,173,702
|
)
|
iShares Russell 2000 Index Fund
|
|
(70,000
|
)
|
(4,760,000
|
)
|
iShares S&P 500 Index Fund
|
|
(9,800
|
)
|
(1,151,500
|
)
|
Las Vegas Sands Corp.
|
|
(12,400
|
)
|
(447,764
|
)
|
Li & Fung, Ltd.
|
|
(103,000
|
)
|
(246,462
|
)
|
Martin Marietta Materials, Inc.
|
|
(4,300
|
)
|
(481,514
|
)
|
Medtronic, Inc.
|
|
(13,000
|
)
|
(651,300
|
)
|
Metavante Technologies, Inc.
|
|
(144
|
)
|
(2,773
|
)
|
Mohawk Industries, Inc.
|
|
(2,989
|
)
|
(201,429
|
)
|
Nippon Steel Corp.
|
|
(210,000
|
)
|
(764,139
|
)
|
Salesforce.com, Inc.
|
|
(6,300
|
)
|
(304,920
|
)
|
Stone Energy Corp.
|
|
(7,600
|
)
|
(321,708
|
)
|
Swift Energy Co.
|
|
(12,923
|
)
|
(499,991
|
)
|
Tiffany & Co.
|
|
(16,200
|
)
|
(575,424
|
)
|
Vanguard Emerging Markets ETF
|
|
(58,000
|
)
|
(2,010,280
|
)
|
Wynn Resorts, Ltd.
|
|
(9,300
|
)
|
(759,252
|
)
|
|
|
|
|
|
|
TOTAL
SECURITIES SOLD SHORT
(Proceeds $46,576,106)
|
|
|
|
$
|
(38,661,856
|
)
|
16
ADR -
American Depositary Receipt
AG - Aktiengesellschaft is a German acronym on company names
meaning public company
ASA - Allmennaksjeselskap is the Norweigan term for a public
limited company
BHD - Berhad (in Malaysia; equivalent to Public Limited Company)
ETF - Exchange Traded Fund
GDR - Global Depositary Receipt
JSFC - Joint Stock Financial Corporation
LLC - Limited Liability Company
N.V. - Naamloze Vennootschap is the Dutch term for a public
limited liability corporation
OJSC - Open Joint Stock Company
PCL - Public Company Limited
PLC - Public Limited Company
PT - equivalent to Public Limited Company in Indonesia
REMICS - Real Estate Mortgage Investment Conduits
S.A. - Generally designates corporations in various
countries, mostly those employing the civil law.
SPDR - Standard & Poors Depositary Receipt
Tbk -
Terbuka (stock symbol in Indonesian)
Notes to
Statement of Investments:
(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
September 30, 2008, these securities had a total value of $4,752,389 or
2.67% 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
September 30, 2008, these securities had a total value of $564,340 or
0.32% of total net assets.
|
|
|
|
(d)
|
|
Security, or portion of security, is being held as
collateral for written options and/or short sales.
|
|
|
|
(e)
|
|
Fair valued security; valued in accordance with procedures
approved by the Funds Board of Trustees. As of September 30, 2008,
these securities had a total value of $3,835,828 or 2.15% of total net
assets.
|
|
|
|
(f)
|
|
Floating or variable rate security - rate disclosed as of
September 30, 2008.
|
|
|
|
(g)
|
|
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.
|
See Notes
to Financial Statements.
17
S
TATEMENT OF ASSETS & LIABILITIES
September 30, 2008
(Unaudited)
Assets:
|
|
|
|
Investments, at value (Cost - see below)
|
|
$
|
270,807,757
|
|
Cash
|
|
437,836
|
|
Foreign currency, at value (Cost $17,857)
|
|
17,867
|
|
Deposit with broker for securities sold
short and written options
|
|
22,925,361
|
|
Dividends receivable
|
|
470,327
|
|
Interest receivable
|
|
562,402
|
|
Receivable for investments sold
|
|
18,688,810
|
|
Total Assets
|
|
313,910,360
|
|
|
|
|
|
Liabilities:
|
|
|
|
Loan payable
|
|
82,306,280
|
|
Interest due on loan payable
|
|
201,966
|
|
Securities sold short (Proceeds
$46,576,106)
|
|
38,661,856
|
|
Options written at value (Premiums received
$2,799,306)
|
|
4,059,750
|
|
Payable for investments purchased
|
|
10,181,731
|
|
Dividends payable - short sales
|
|
70,965
|
|
Interest payable - margin account
|
|
32,086
|
|
Accrued investment advisory fee
|
|
198,366
|
|
Accrued administration fee
|
|
80,763
|
|
Accrued trustees fee
|
|
19,129
|
|
Total Liabilities
|
|
135,812,892
|
|
|
|
|
|
Net Assets
|
|
$
|
178,097,468
|
|
Cost of investments
|
|
$
|
308,170,449
|
|
|
|
|
|
Composition
of Net Assets:
|
|
|
|
Paid-in capital
|
|
200,586,886
|
|
Overdistributed net investment income
|
|
(8,953,152
|
)
|
Accumulated net realized gain on investments,
options, securities sold short and foreign currency transactions
|
|
17,173,437
|
|
Net unrealized depreciation in value of
investments, options, securities sold short and translation of assets and liabilities
denominated in foreign currencies
|
|
(30,709,703
|
)
|
Net Assets
|
|
$
|
178,097,468
|
|
Shares of common stock outstanding of no
par value, unlimited shares authorized
|
|
10,434,606
|
|
Net asset value per share
|
|
$
|
17.07
|
|
See Notes
to Financial Statements
18
S
TATEMENT OF OPERATIONS
For the Six Months Ended September 30,
2008 (Unaudited)
Investment
Income:
|
|
|
|
Dividends (Net of foreign withholding taxes
of $101,250)
|
|
$
|
3,217,485
|
|
Interest on investment securities
|
|
1,863,810
|
|
Miscellaneous income
|
|
553
|
|
Total Income
|
|
5,081,848
|
|
|
|
|
|
Expenses:
|
|
|
|
Investment advisory fee
|
|
1,351,873
|
|
Administration fee
|
|
550,405
|
|
Interest on loan
|
|
1,064,682
|
|
Trustees fee
|
|
68,870
|
|
Dividend expense - short sales
|
|
496,757
|
|
Broker/dealer fees
|
|
33,639
|
|
Interest expense - margin account
|
|
171,373
|
|
Miscellaneous
|
|
2,887
|
|
Total Expenses
|
|
3,740,486
|
|
|
|
|
|
Net Investment Income
|
|
1,341,362
|
|
|
|
|
|
Net
realized gain (loss) on:
|
|
|
|
Investment securities
|
|
(2,106,405
|
)
|
Securities sold short
|
|
7,323,012
|
|
Written options
|
|
3,279,730
|
|
Foreign currency transactions
|
|
22,556
|
|
Net change in unrealized
appreciation/(depreciation) on investments, options, securities sold short
and translation of assets and liabilities denominated in foreign currencies
|
|
(46,977,057
|
)
|
Net loss on investments, options, securities
sold short and foreign currency transactions
|
|
(38,458,164
|
)
|
Distributions to Preferred Shareholders
from:
|
|
|
|
Net investment income
|
|
(544,694
|
)
|
Net Decrease in Net Assets Attributable to
Common Shares from Operations
|
|
$
|
(37,661,496
|
)
|
See Notes to Financial Statements
19
S
TATEMENT OF CHANGES IN NET ASSETS
|
|
For the
Six Months Ended
September 30, 2008
(Unaudited)
|
|
For the
Year Ended
March 31, 2008
|
|
|
|
|
|
|
|
Common
Shareholder Operations:
|
|
|
|
|
|
Net investment income
|
|
$
|
1,341,362
|
|
$
|
4,846,452
|
|
Net realized gain (loss) from:
|
|
|
|
|
|
Investment securities
|
|
(2,106,405
|
)
|
19,092,394
|
|
Securities sold short
|
|
7,323,012
|
|
919,033
|
|
Written options
|
|
3,279,730
|
|
1,460,498
|
|
Foreign currency transactions
|
|
22,556
|
|
(26,124
|
)
|
Net change in unrealized
appreciation/depreciation on investments, options, securities sold short and
translation of assets and liabilities denominated in foreign currencies
|
|
(46,977,057
|
)
|
(6,199,564
|
)
|
Distributions to Preferred Shareholders from:
|
|
|
|
|
|
Net investment income
|
|
(544,694
|
)
|
(4,352,185
|
)
|
Net realized gains
|
|
|
|
(778,500
|
)
|
Net Increase/(Decrease) in Net Assets
Attributable to Common Shares from Operations
|
|
(37,661,496
|
)
|
14,962,004
|
|
|
|
|
|
|
|
Distributions
to Common Shareholders:
|
|
|
|
|
|
From net investment income
|
|
(9,599,839
|
)
|
(17,947,521
|
)
|
From net realized gains
|
|
|
|
(7,617,262
|
)
|
Net Decrease in Net Assets from
Distributions
|
|
(9,599,839
|
)
|
(25,564,783
|
)
|
|
|
|
|
|
|
Net Decrease in Net Assets Attributable to
Common Shares
|
|
(47,261,335
|
)
|
(10,602,779
|
)
|
|
|
|
|
|
|
Net
Assets Attributable to Common Shares:
|
|
|
|
|
|
Beginning of period
|
|
225,358,803
|
|
235,961,582
|
|
End of period*
|
|
$
|
178,097,468
|
|
$
|
225,358,803
|
|
*
Includes overdistributed net investment income of:
|
|
$
|
(8,953,152
|
)
|
$
|
(149,981
|
)
|
See Notes to Financial Statements
20
S
TATEMENT
OF CASH FLOWS
For the Six Months Ended September 30, 2008 (Unaudited)
Common
Shareholder Operations:
|
|
|
|
Net decrease in net assets from operations
|
|
$
|
(37,661,496
|
)
|
Adjustments to reconcile net increase in net assets
from operations to net cash provided by operating activities:
|
|
|
|
Purchase of investment securities
|
|
(266,794,753
|
)
|
Proceeds from disposition of investment
securities
|
|
276,850,828
|
|
Net realized loss from investment
securities
|
|
2,106,405
|
|
Net proceeds from short-term investment
securities
|
|
16,081,743
|
|
Net change in unrealized depreciation on
investment securities
|
|
46,977,057
|
|
Premium amortization
|
|
69,465
|
|
Discount amortization
|
|
(21,358
|
)
|
Decrease in deposits with brokers for
securities sold short and written options
|
|
3,846,934
|
|
Increase in receivable for investments sold
|
|
(14,270,869
|
)
|
Increase in dividends receivable
|
|
(20,575
|
)
|
Increase in interest receivable
|
|
(88,460
|
)
|
Decrease in other assets
|
|
15,170
|
|
Increase in interest due on loan payable
|
|
201,966
|
|
Decrease in securities sold short
|
|
(5,002,637
|
)
|
Increase in options written at value
|
|
2,059,450
|
|
Decrease in payable for investments
purchased
|
|
(2,343,680
|
)
|
Increase in dividends payable short sales
|
|
22,819
|
|
Increase in interest payable - margin
account
|
|
29,878
|
|
Decrease in accrued investment advisory fee
|
|
(25,012
|
)
|
Decrease in accrued administration fee
|
|
(10,184
|
)
|
Increase in accrued trustee fee
|
|
5,743
|
|
Decrease in other payables
|
|
(5,388
|
)
|
Net Cash
Provided by Operating Activities
|
|
22,023,046
|
|
|
|
|
|
Cash
Flows From Financing Activities:
|
|
|
|
Net proceeds from bank borrowing
|
|
82,306,280
|
|
Redemption of auction market preferred
shares
|
|
(95,051,829
|
)
|
Cash distributions paid
|
|
(10,144,533
|
)
|
Net Cash
Used in Financing Activities
|
|
(22,890,082
|
)
|
|
|
|
|
Net
decrease in cash
|
|
(867,036
|
)
|
|
|
|
|
Cash and
foreign currency, beginning balance
|
|
$
|
1,322,739
|
|
Cash and
foreign currency, ending balance
|
|
$
|
455,703
|
|
|
|
|
|
Supplemental
Disclosure of Cash Flow Information:
|
|
|
|
Cash paid during the period for interest
from bank borrowing:
|
|
$
|
862,716
|
|
See Notes
to Financial Statements
21
F
INANCIAL HIGHLIGHTS
|
|
For the
Six Months Ended
September 30, 2008
|
|
For the Year Ended
March 31, 2008
|
|
For the Year Ended
March 31, 2007
|
|
For the Period
June 1, 2005 to
March 31, 2006^
|
|
For the Period
July 28, 2004
(inception) to
May 31, 2005
|
|
|
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
Per Common Share Operating Performance
|
|
|
|
|
|
|
|
|
|
|
|
Net
asset value - beginning of period
|
|
$
|
21.60
|
|
$
|
22.61
|
|
$
|
24.42
|
|
$
|
20.78
|
|
$
|
19.10
|
|
Income
from investment operations:
|
|
|
|
|
|
|
|
|
|
|
|
Net
investment income
|
|
0.13
|
*
|
0.46
|
*
|
1.79
|
|
0.92
|
|
0.93
|
|
Net
realized and unrealized gain (loss) on investments
|
|
(3.69
|
)
|
1.47
|
|
(0.98
|
)
|
4.75
|
|
1.99
|
|
Distributions
to Preferred Shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
Net
investment income
|
|
(0.05
|
)
|
(0.49
|
)
|
(0.47
|
)
|
(0.31
|
)
|
(0.14
|
)
|
Total
from Investment Operations
|
|
(3.61
|
)
|
1.44
|
|
0.34
|
|
5.36
|
|
2.78
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
Net
investment income
|
|
(0.92
|
)
|
(1.72
|
)
|
(1.44
|
)
|
(1.05
|
)
|
(0.93
|
)
|
Net
realized gain
|
|
(0.00
|
)
|
(0.73
|
)
|
(0.71
|
)
|
(0.67
|
)
|
(0.00
|
)
|
Total
Distributions to Common Shareholders
|
|
(0.92
|
)
|
(2.45
|
)
|
(2.15
|
)
|
(1.72
|
)
|
(0.93
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Share Transactions:
|
|
|
|
|
|
|
|
|
|
|
|
Common
share offering costs charged to paid-in capital
|
|
|
|
|
|
|
|
|
|
(0.04
|
)
|
Preferred
share offering costs and sales load charged to paid-in capital
|
|
|
|
|
|
|
|
|
|
(0.13
|
)
|
Total
Capital Share Transactions
|
|
|
|
|
|
|
|
|
|
(0.17
|
)
|
Net
asset value - end of period
|
|
$
|
17.07
|
|
$
|
21.60
|
|
$
|
22.61
|
|
$
|
24.42
|
|
$
|
20.78
|
|
Market
price - end of period
|
|
$
|
13.56
|
|
$
|
18.90
|
|
$
|
20.82
|
|
$
|
23.99
|
|
$
|
22.59
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return - Net Asset Value (1):
|
|
(17.28
|
%)
|
7.10
|
%
|
1.59
|
%
|
25.99
|
%
|
13.89
|
%
|
Total Investment Return - Market Price (1):
|
|
(24.90
|
%)
|
1.77
|
%
|
(4.77
|
%)
|
13.85
|
%
|
18.24
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios and Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
Net
assets attributable to common shares, end of period (000)
|
|
$
|
178,097
|
|
$
|
225,359
|
|
$
|
235,962
|
|
$
|
248,354
|
|
$
|
205,260
|
|
Ratios
to average net assets attributable to common shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
Net
expenses (3)
|
|
3.34%
|
(2)
|
2.10
|
%
|
2.02
|
%
|
2.07%
|
(2)
|
1.89%
|
(2)
|
Net
expenses excluding interest expense (3)
|
|
2.39%
|
(2)
|
|
(5)
|
|
(5)
|
|
(5)
|
|
(5)
|
Net
expenses excluding dividends on short sales (3)
|
|
2.89%
|
(2)
|
1.85%
|
|
1.75
|
%
|
1.83%
|
(2)
|
1.54%
|
(2)
|
Net
investment income (3)
|
|
1.20%
|
(2)
|
2.02%
|
|
2.63
|
%
|
2.73%
|
(2)
|
1.23%
|
(2)
|
Preferred
share dividends
|
|
0.49%
|
(2)
|
2.14%
|
|
2.10
|
%
|
1.62%
|
(2)
|
0.82%
|
(2)
|
Portfolio
turnover rate
|
|
82
|
%
|
136%
|
|
187
|
%
|
182
|
%
|
236
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
Auction Market Preferred Shares (AMPS)
|
|
|
|
|
|
|
|
|
|
|
|
Liquidation
value, end of period, including dividends on preferred shares (000)
|
|
|
(5)
|
$
|
95,052
|
|
$
|
95,042
|
|
$
|
95,051
|
|
$
|
95,050
|
|
Total
shares outstanding (000)
|
|
|
(5)
|
3.8
|
|
3.8
|
|
3.8
|
|
3.8
|
|
Asset
coverage per share (4)
|
|
|
(5)
|
$
|
84,319
|
|
$
|
87,106
|
|
$
|
90,370
|
|
$
|
79,029
|
|
Liquidation
preference per share
|
|
|
(5)
|
$
|
25,000
|
|
$
|
25,000
|
|
$
|
25,000
|
|
$
|
25,000
|
|
Average
market value per share (6)
|
|
|
(5)
|
$
|
25,000
|
|
$
|
25,000
|
|
$
|
25,000
|
|
$
|
25,000
|
|
*
|
|
Based on average shares
outstanding
|
(1)
|
|
Total
investment return is calculated assuming a purchase of a common share at the
opening on the first day and a sale at closing on the last day of each period
reported. Total investment return on net asset value excludes a sales load of
$0.90 per share for the period, effectively reducing the net asset value at
issuance from $20.00 to $19.10. Dividends and distributions, if any, are
assumed for purposes of this calculation to be reinvested at prices obtained
under the Funds dividend reinvestment plan. Total investment returns do not
reflect brokerage commissions on the purchase or sale of the Funds common
shares. Total investment returns for less than a full year are not
annualized. Past performance is not a guarantee of future results.
|
(2)
|
|
Annualized.
|
(3)
|
|
Ratios
do not reflect dividend payments to preferred shareholders.
|
(4)
|
|
Calculated
by subtracting the Funds total liabilities (excluding Preferred Shares) from
the Funds total assets and dividing by the number of preferred shares
outstanding.
|
(5)
|
|
All
series of AMPS issued by the Fund were fully redeemed, at par value, on
May 22, 2008. A borrowing facility replaced the AMPS, as the Funds form
of leverage, May 22, 2008.
|
(6)
|
|
Based
on monthly prices.
|
^
|
|
As
approved by the Board of Trustees of the Fund, the fiscal year-end changed
from May 31 to March 31, effective March 15, 2006.
|
See Notes
to Financial Statements
22
N
OTES
TO FINANCIAL STATEMENTS
September 30, 2008 (Unaudited)
1.
SIGNIFICANT ACCOUNTING AND OPERATING POLICIES
Clough
Global Allocation Fund (the Fund) is a closed-end management investment
company that was organized under the laws of the state of Delaware by an
Amended 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.
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.
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 more 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 included
with 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.
A
foreign currency contract is a commitment to purchase or sell a foreign
currency at a future date, at a negotiated rate. The Fund may enter into
foreign currency contracts to settle specific purchases or sales of securities
denominated in a foreign currency and for protection from adverse exchange rate
fluctuation. Risks to the Fund include the potential inability of the counterparty
to meet the terms of the contract.
The
net U.S. dollar value of foreign currency underlying all contractual
commitments held by the Fund and the resulting unrealized appreciation or
depreciation are determined using prevailing forward foreign currency exchange
rates. Unrealized appreciation
23
N
OTES TO FINANCIAL STATEMENTS (CONTINUED)
September 30, 2008 (Unaudited)
and
depreciation on foreign currency contracts are reported in the Funds Statement
of Assets and Liabilities as a receivable or a payable and in the Funds
Statement of Operations with the change in unrealized appreciation or
depreciation. There were no outstanding foreign currency contracts for the Fund
as of September 30, 2008.
The
Fund may realize a gain or loss upon the closing or settlement of the foreign
transaction. Such realized gains and losses are reported with all other foreign
currency gains and losses in the 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 September 30,
2008, securities which have been fair valued represented 2.15% 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
September 30, 2008.
|
|
Investments in
|
|
Other Financial Instruments*
|
|
Valuation Inputs
|
|
Securities at Value
|
|
Unrealized Appreciation (Depreciation)
|
|
Level 1
- Quoted Prices
|
|
$
|
201,596,878
|
|
$
|
|
|
Level 2 - Other Significant Observable
Inputs
|
|
$
|
69,068,379
|
|
$
|
|
|
Level 3 - Significant Unobservable Inputs
|
|
$
|
142,500
|
|
$
|
|
|
Total
|
|
$
|
270,807,757
|
|
$
|
|
|
* Other financial instruments
include futures, forwards and swap contracts.
24
N
OTES TO FINANCIAL STATEMENTS (CONTINUED)
September 30, 2008 (Unaudited)
The
following is a reconciliation of assets in which significant unobservable
inputs (Level 3) were used in determining fair value:
|
|
Investments in
|
|
Other Financial
|
|
OFI Market
|
|
|
|
Securities
|
|
Instruments (OFI)
|
|
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 9/30/08
|
|
$
|
142,500
|
|
|
|
|
|
Options:
The Fund may purchase or write (sell) put and call options. One of the
risks
associated with purchasing
an option among others, is that the Fund pays a premium whether or not the
option is exercised. Additionally, the Fund bears the risk of loss of premium
and change in market value should the counterparty not perform under the
contract. Put and call options purchased are accounted for in the same manner
as portfolio securities. The cost of securities acquired through the exercise
of call options is increased by premiums paid. The proceeds from securities
sold through the exercise of put options are decreased by the premiums paid.
When
the Fund writes an option, an amount equal to the premium received by the Fund
is recorded as a liability and is subsequently adjusted to the current value of
the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from investments. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage com- missions, is
also treated as a realized gain, or, if the premium is less than the amount
paid for the closing purchase transaction, as a realized loss. If a call option
is exercised, the premium is added to the proceeds from the sale of the
underlying security or currency in determining whether the Fund has realized a
gain or loss. If a put option is exercised, the premium reduces the cost basis
of the securities purchased by the Fund. The Fund, as writer of an option,
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 for
the six months ended September 30, 2008 was as follows:
Written Call Options
|
|
Contracts
|
|
Premiums
|
|
Outstanding, March 31, 2008
|
|
|
|
$
|
|
|
Positions opened
|
|
883
|
|
775,874
|
|
Closed
|
|
(383
|
)
|
(541,808
|
)
|
Outstanding, September 30, 2008
|
|
500
|
|
$
|
234,066
|
|
Market Value September 30 2008
|
|
|
|
$
|
15 000
|
|
Written Put Options
|
|
Contracts
|
|
Premiums
|
|
Outstanding, March 31, 2008
|
|
7,490
|
|
$
|
3,332,650
|
|
Positions opened
|
|
6,050
|
|
3,055,413
|
|
Exercised
|
|
(2,500
|
)
|
(840,620
|
)
|
Expired
|
|
(6,990
|
)
|
(2,982,203
|
)
|
Outstanding, September 30, 2008
|
|
4,050
|
|
$
|
2,565,240
|
|
Market Value September 30 2008
|
|
|
|
$
|
4 044 750
|
|
25
N
OTES TO FINANCIAL STATEMENTS (CONTINUED)
September 30, 2008 (Unaudited)
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.
Income Taxes:
The Funds policy is to comply with the provisions of the Internal
Revenue
Code applicable to
regulated investment companies and to distribute all of its taxable income to
its shareholders. Therefore, no federal income tax provision is required.
Effective
April 1, 2007, the Fund adopted FASB Interpretation No. 48 (FIN 48)
Accounting for Uncertainty in Income Taxes, which requires that the financial
statement effects of a tax position taken or expected to be taken in a tax
return be recognized in the financial statements when it is more likely than
not, based on the technical merits, that the position will be sustained upon
examination. Management has concluded that the Fund has taken no uncertain tax
positions that require adjustment to the financial statements to comply with
the provisions of FIN 48. The Fund files income tax returns in the U.S. federal
jurisdiction and Colorado. The statue of limitations on the Funds federal and
state tax filings remains open for the fiscal years ended March 31, 2008,
March 31, 2007, March 31, 2006, and May 31, 2005.
Distributions to Shareholders:
The Fund intends to make a level dividend
distribution each
quarter to
Common Shareholders after payment of interest on any outstanding borrowings or
dividends on any outstanding preferred shares. The level dividend rate may be
modified by the Board of Trustees from time to time. Any net capital gains
earned by the Fund are distributed at least annually to the extent necessary to
avoid federal income and excise taxes. Distributions to shareholders are
recorded by the Fund on the ex-dividend date. The Fund has applied to the
Securities and Exchange Commission for an exemption from
Section 19(b) of the 1940 Act and Rule 19b-1 thereunder
permitting the Fund to make periodic distributions of long-term capital gains,
provided that the distribution policy of the Fund with respect to its Common
Shares calls for periodic (e.g., quarterly/monthly) distributions in an amount
equal to a fixed percentage of the Funds average net asset value over a
specified period of time or market price per common share at or about the time
of distribution or pay-out of a level dollar amount.
Securities Transactions and Investment Income:
Investment security transactions are accounted
for as of trade date. Dividend income is recorded on the ex-dividend date.
Certain dividend income from foreign securities will be recorded as soon as the
Fund is informed of the dividend if such information is obtained subsequent to
the ex-dividend date and may be subject to with-holding taxes in these
jurisdictions. 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.
Use of Estimates:
The Funds financial statements are prepared in accordance with
accounting principles generally accepted
in the United States of America. This 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 could differ from
these estimates.
26
N
OTES TO FINANCIAL STATEMENTS (CONTINUED)
September 30, 2008 (Unaudited)
Recent Accounting Pronouncements:
In March 2008 the FASB issued FASB
Statement No. 161, Disclosures about Derivative Instruments and Hedging
Activities (SFAS No. 161), which is intended to improve financial
reporting about derivative instruments and hedging activities. It is effective
for financial statements issued for fiscal years and interim periods beginning
after November 15, 2008. The Fund is currently evaluating the potential
impact, if any, the adoption of SFAS No. 161 will have on the Funds
financial statements.
2. TAXES
Net unrealized appreciation/depreciation of investments based on federal
tax cost as of September 30, 2008 were as follows:
Gross appreciation (excess of value over
tax cost)
|
|
$
|
6,599,935
|
|
Gross depreciation (excess of tax cost over
value)
|
|
(48,221,852
|
)
|
Net unrealized depreciation
|
|
(41,621,917
|
)
|
Cost of investments for income tax purposes
|
|
$
|
312,429,674
|
|
3. CAPITAL TRANSACTIONS
Common Shares:
There are an unlimited number of no par value
common shares of
beneficial
interest authorized. Of the 10,434,606 common shares outstanding on
September 30, 2008, ALPS Fund Services (ALPS) owned 5,236 shares.
Transactions
in common shares were as follows:
|
|
For the
|
|
For the
|
|
|
|
Six Months Ended
|
|
Year Ended
|
|
|
|
September 30,2008
|
|
March 31, 2008
|
|
Common shares outstanding - beginning of
period
|
|
10,434,606
|
|
10,434,606
|
|
Common shares issued as reinvestment of
dividends
|
|
|
|
|
|
Common shares outstanding - end of period
|
|
10,434,606
|
|
10,434,606
|
|
Preferred Shares:
In April 2008 the Fund announced its
intent to redeem all outstanding
shares
of its Auction Market Preferred Shares (AMPS). Proper notice was sent to AMPS
holders on or before May 22, 2008, and all outstanding AMPS issued by the
Fund were redeemed at par, in their entirety, pursuant to their terms.
The Fund obtained overnight collateralized financing to provide new
funding in order to redeem the AMPS and provide up to 33% leverage to the Fund
going forward. The Funds Board of Trustees approved the refinancing in
April 2008. The overnight facility is expected to lower the costs of
leverage. Also see Note 6 Leverage, for further information on the borrowing
facility used by the Fund as of September 30, 2008.
4. PORTFOLIO SECURITIES
Purchases and sales of investment securities, other than short-term
securities, for the six months ended September 30, 2008 aggregated
$266,794,753 and $276,850,828, respectively. Purchases and sales of U.S.
government and agency securities, other than short-term securities, for the
year ended September 30, 2008 aggregated $29,435,238 and $21,638,821,
respectively.
27
N
OTES TO FINANCIAL STATEMENTS (CONTINUED)
September 30, 2008 (Unaudited)
5.
INVESTMENT ADVISORY AND ADMINISTRATION AGREEMENTS
Clough
Capital Partners L.P. (Clough) serves as the Funds investment adviser
pursuant to an Investment Advisory Agreement with the Fund. As compensation for
its services to the Fund, Clough receives an annual investment advisory fee of
0.70% based on the Funds average daily total assets, computed daily and
payable monthly. ALPS serves as the Funds administrator pursuant to an
Administration, Bookkeeping and Pricing Services Agreement with the Fund. As
compensation for its services to the Fund, ALPS receives an annual
administration fee of 0.285% based on the Funds average daily total assets,
computed daily and payable monthly. ALPS will pay all expenses incurred by the
Fund, with the exception of advisory fees, trustees fees, portfolio
transaction expenses, litigation expenses, taxes, cost of preferred shares,
expenses of conducting repurchase offers for the purpose of repurchasing fund
shares, and extraordinary expenses.
6. LEVERAGE
On
May 22, 2008 the Fund entered into an overnight collateralized lending
arrangement (borrowing facility). The Fund may draw or pay certain amounts on
a daily basis to maintain leverage in the Fund near its anticipated level of
33% of total assets. The Fund has pledged all securities in its portfolio as
collateral for the borrowing facility. As of September 30, 2008 the market
value of the securities pledged as collateral for the borrowing facility
totaled $201,850,804. The Fund pays interest at a rate of 85 bps per annum
above the current U.S. Federal Funds rate. For the six months ended
September 30, 2008 the average cost of borrowing was 2.83% and the average
outstanding principal amount was $73,961,360.
7. OTHER
The
Independent Trustees of the Fund receive a quarterly retainer of $3,500 and an
additional $1,500 for each meeting attended. The Chairman of the Board of
Trustees receives a quarterly retainer of $4,200 and an additional $1,800 for
each meeting attended. The Chairman of the Audit Committee receives a quarterly
retainer of $3,850 and an additional $1,650 for each meeting attended.
28
DIVIDEND REINVESTMENT PLAN
September 30, 2008 (Unaudited)
Unless
the registered owner of Common Shares elects to receive cash by contacting The
Bank of New York Mellon (the Plan Administrator or BNY Mellon), all
dividends declared on Common Shares will be automatically reinvested by the
Plan Administrator for shareholders in the Funds Dividend Reinvestment Plan
(the Plan), in additional Common Shares. Shareholders who elect not to
participate in the Plan will receive all dividends and other distributions in
cash paid by check mailed directly to the shareholder of record (or, if the
Common Shares are held in street or other nominee name, then to such nominee)
by BNY Mellon as dividend disbursing agent. You may elect not to participate in
the Plan and to receive all dividends in cash by contacting BNY Mellon, as
dividend disbursing agent, at the address set forth below. Participation in the
Plan is completely voluntary and may be terminated or resumed at any time
without penalty by notice if received and processed by the Plan Administrator
prior to the dividend record date; otherwise such termination or resumption
will be effective with respect to any subsequently declared dividend or other
distribution. Some brokers may automatically elect to receive cash on your
behalf and may re-invest that cash in additional Common Shares for you. If you
wish for all dividends declared on your Common Shares to be automatically
reinvested pursuant to the Plan, please contact your broker.
The
Plan Administrator will open an account for each Common Shareholder under the
Plan in the same name in which such Common Shareholders Common Shares are
registered. Whenever the Fund declares a dividend or other distribution
(together, a Dividend) payable in cash, non-participants in the Plan will
receive cash and participants in the Plan will receive the equivalent in Common
Shares. The Common Shares will be acquired by the Plan Administrator for the
participants accounts, depending upon the circumstances described below,
either (i) through receipt of additional unissued but authorized Common
Shares from the Fund (Newly Issued Common Shares) or (ii) by purchase of
outstanding Common Shares on the open market (Open-Market Purchases) on the
American Stock Exchange or elsewhere. If, on the payment date for any Dividend,
the closing market price plus estimated brokerage commissions per Common Share
is equal to or greater than the net asset value per Common Share, the Plan
Administrator will invest the Dividend amount in Newly Issued Common Shares on
behalf of the participants. The number of Newly Issued Common Shares to be
credited to each participants account will be determined by dividing the
dollar amount of the Dividend by the net asset value per Common Share on the
payment date; provided that, if the net asset value is less than or equal to
95% of the closing market value on the payment date, the dollar amount of the
Dividend will be divided by 95% of the closing market price per Common Share on
the payment date. If, on the payment date for any Dividend, the net asset value
per Common Share is greater than the closing market value plus estimated
brokerage commissions, the Plan Administrator will invest the Dividend amount
in Common Shares acquired on behalf of the participants in Open-Market
Purchases. In the event of a market discount on the payment date for any
Dividend, the Plan Administrator will have until the last business day before
the next date on which the Common Shares trade on an ex-dividend basis or 30
days after the payment date for such Dividend, whichever is sooner (the Last
Purchase Date), to invest the Dividend amount in Common Shares acquired in
Open-Market Purchases. If, before the Plan Administrator has completed its
Open-Market Purchases, the market price per Common Share exceeds the net asset
value per Common Share, the average per Common Share purchase price paid by the
Plan Administrator may exceed the net asset value of the Common Shares,
resulting in the acquisition of fewer Common Shares than if the Dividend had
been paid in Newly Issued Common Shares on the Dividend payment date. Because
of the foregoing difficulty with respect to Open-Market Purchases, the Plan
29
provides
that if the Plan Administrator is unable to invest the full Dividend amount in
Open-Market Purchases during the purchase period or if the market discount
shifts to a market premium during the purchase period, the Plan Administrator
may cease making Open-Market Purchases and may invest the uninvested portion of
the Dividend amount in Newly Issued Common Shares at the net asset value per
Common Share at the close of business on the Last Purchase Date provided that,
if the net asset value is less than or equal to 95% of the then current market
price per Common Share; the dollar amount of the Dividend will be divided by
95% of the market price on the payment date.
The
Plan Administrator maintains all shareholders accounts in the Plan and
furnishes written confirmation of all transactions in the accounts, including
information needed by shareholders for tax records. Common Shares in the
account of each Plan participant will be held by the Plan Administrator on
behalf of the Plan participant, and each shareholder proxy will include those
shares purchased or received pursuant to the Plan. The Plan Administrator will
forward all proxy solicitation materials to participants and vote proxies for
shares held under the Plan in accordance with the instructions of the
participants. In the case of Common Shareholders such as banks, brokers or
nominees which hold shares for others who are the beneficial owners, the Plan
Administrator will administer the Plan on the basis of the number of Common
Shares certified from time to time by the record shareholders name and held
for the account of beneficial owners who participate in the Plan.
There
will be no brokerage charges with respect to Common Shares issued directly by
the Fund. However, each participant will pay a pro rata share of brokerage
commissions incurred in connection with Open-Market Purchases. The automatic
reinvestment of Dividends will not relieve participants of any federal, state
or local income tax that may be payable (or required to be withheld) on such
Dividends. Participants that request a sale of Common Shares through the Plan
Administrator are subject to brokerage commissions. The Fund reserves the right
to amend or terminate the Plan. There is no direct service charge to
participants with regard to purchases in the Plan; however, the Fund reserves
the right to amend the Plan to include a service charge payable by the
participants.
All
correspondence or questions concerning the Plan should be directed to the Plan
Administrator, The Bank of New York Mellon, 101 Barclay Street, New York, New
York 10286, 11E,Transfer Agent Services, (800) 433-8191.
30
F
UND
P
ROXY
V
OTING
P
OLICIES
&
P
ROCEDURES
September 30, 2008 (Unaudited)
Fund
policies and procedures used in determining how to vote proxies relating to
portfolio securities and a summary of proxies voted by the Fund for the period
ended June 30, 2008 are available without a charge, upon request, by
contacting the Fund at 1-877-256-8445 and on the U.S. Securities and Exchange
Commissions (Commission) website at http://www.sec.gov.
P
ORTFOLIO
H
OLDINGS
September 30, 2008 (unaudited)
The
Fund files its complete schedule of portfolio holdings with the Commission for
the first and third quarters of each fiscal year on Form N-Q within 60
days after the end of the period. Copies of the Funds Forms N-Q are available
upon request, by contacting the Fund at 1-877-256-8445 and on the Commissions
website at http://www.sec.gov.You may also review and copy form N-Q at the
Commissions Public Reference Room in Washington, D.C. For more
information about the operation of the Public Reference Room, please call the
Commission at 1-800-SEC-0330.
N
OTICE
September 30, 2008 (unaudited)
Notice
is hereby given in accordance with Section 23(c) of the Investment
Company Act of 1940 that the Fund may purchase at market prices from time to
time shares of its common stock in the open market.
S
HAREHOLDER
M
EETING
September 30, 2008 (unaudited)
On
August 4, 2008, the Fund held its Annual Meeting of Shareholders for the
purpose of voting on a proposal to re-elect four Trustees of the Fund. The
results of the proposal were as follows:
Proposal 1:
Re-election of Trustees
|
|
Andrew C.
|
|
Adam D.
|
|
John F.
|
|
Jerry G.
|
|
|
|
Boynton
|
|
Crescenzi
|
|
Mee
|
|
Rutledge
|
|
For
|
|
9,888,669
|
|
9,879,769
|
|
9,884,859
|
|
9,886,269
|
|
Withheld
|
|
164,894
|
|
173,794
|
|
168,704
|
|
167,294
|
|
Withheld from
Director
|
|
600
|
|
9,500
|
|
4,410
|
|
3,000
|
|
31
I
NVESTMENT
A
DVISORY
A
GREEMENT
September 30, 2008 (Unaudited)
On
July 9, 2008, the Board of Trustees met in person to, among other things,
review and consider the renewal of the Advisory Agreement. In its consideration
of the Advisory Agreement, the Trustees, including the non-interested Trustees,
considered in general the nature, quality and scope of services to be provided
by Clough.
Prior
to the beginning of their review of the Advisory Agreement, counsel to the
Fund, who also serves as independent counsel to the non-interested Trustees,
discussed with the Trustees their fiduciary responsibilities in general and
also specifically with respect to the renewal of the Advisory Agreement.
Mr.Canty,
as Partner of Clough, next presented Cloughs materials regarding consideration
of renewal of the Advisory Agreement. Mr. Canty stated that included in
the Board materials were responses by Clough to a questionnaire drafted by
legal counsel to the Fund to assist the Board in evaluating whether to renew
the Advisory Agreement (the 15(c) Materials). Mr. Canty noted that
the 15(c) Materials were extensive, and included information relating to
the Funds investment results; portfolio composition; advisory fee and expense
comparisons; financial information regarding Clough; descriptions such as
compliance monitoring; and portfolio trading practices and information about
the personnel providing investment management services to the Fund, and the
nature of services provided under the Advisory Agreement.
Mr. Canty
discussed the organizational structure of Clough and the qualifications of
Clough and its principals to act as the Funds adviser. He reviewed the
professional experience of the portfolio managers, referring the Trustees to
the biographies of Chuck Clough, Eric Brock, and himself, Partners at Clough,
emphasizing that Mr. Clough, Mr. Brock, and he each had substantial
experience as an investment professional. Mr. Canty stated that Clough is
the investment adviser to the Fund, the Clough Global Equity Fund and the
Clough Global Opportunities Fund, all closed-end funds. The Trustees, all of
whom currently serve as Trustees for the Fund, the Clough Global Equity Fund
and the Clough Global Opportunities Fund, acknowledged their familiarity with
the expertise and standing in the investment community of Messrs. Clough,
Canty, and Brock, and their satisfaction with the expertise of Clough and the
services provided by Clough to the Fund. The Trustees concluded that the
portfolio management team was well qualified to serve the Fund in those
functions.
Mr. Canty
then reviewed Cloughs current staffing as well as future staffing plans. He
described Cloughs procedures relating to compliance and oversight with respect
to Cloughs brokerage allocation policies. He discussed Cloughs order
management systems that contain pre-trade compliance functions that review each
trade against certain of the Funds investment restrictions and applicable 1940
Act and Internal Revenue Code restrictions, and the efforts that Cloughs Chief
Compliance Officer will undertake to summarize monthly for Cloughs management
and quarterly for the Trustees any violations that may occur, as well any other
violations detected through the manual monitoring that supplements the order
management systems testing. He also reviewed the adequacy of Cloughs
facilities. Mr. Canty further discussed the portfolio turnover rate of the
Fund. The Trustees concluded that Clough appeared to have adequate procedures
and personnel in place to ensure compliance by Clough with applicable law and
with the Funds investment objectives and restrictions.
Mr. Canty
next reviewed the terms of the Advisory Agreement, stating that Clough would
receive a fee of 0.70% of the average daily total assets of the Fund. He then
discussed the fees charged by Clough to other clients for which it provides
comparable services. Mr. Canty discussed the actual dollar amount of
management fees paid under the Advisory Agreement. The Trustees then reviewed
Cloughs income statement for
32
the
year ended December 31, 2007, and its balance sheet as of that date. The
Trustees further reviewed a profit and loss analysis as it relates to Cloughs
advisory businesses.
Mr. Canty
discussed the possible benefits Clough may accrue because of its relationship
with the Fund as well as potential benefits that accrue to the Fund because of
its relationship with Clough. Mr. Canty stated that Clough does not
realize any direct benefits due to the allocation of brokerage and related
transactions on behalf of the Fund.
The
Board of Trustees reviewed and discussed materials prepared and distributed in
advance of the meeting regarding the comparability of the investment advisory
fees of the Fund with the investment advisory fees of other investment
companies, which had been prepared at the request of ALPS by Lipper Analytical
Services (Lipper.) Lippers report contained information regarding investment
performance, comparisons of cost and expense structures of the Fund with other
funds cost and expense structures, as well as comparisons of the Funds
performance with the performance during similar periods of members of an
objectively identified peer group and related matters.
As
the Fund is unique in the marketplace, Lipper had a difficult time presenting a
large peer group for comparison. The Trustees compared fees from eleven (11)
closed-end investment companies versus the Funds fees. The investment advisory
fee for this group ranged from 0.500% to 1.050%, with a median of 0.876%.The
total expenses for this group ranged from 0.619% to 1.332%, with a median of
1.081%.The Funds total expenses were 1.027%.
The
Trustees stated that the objectives of the funds in the analysis differed from
the Funds objectives and policies. In conjunction with Lippers reports, the
Trustees also reviewed a comparative fund universe prepare by Clough. The
Trustees believed that the Lipper report, augmented by Cloughs analysis,
provided a sufficient comparative universe.
The
Trustees then reviewed the Funds performance as compared to the performance of
the closed-end fund universe selected by Lipper. The Trustees reviewed the
Funds performance as compared to the eleven (11) closed-endfunds for one-year
performance ended as of May 31, 2008. The performance ranged from a high
of 13.14% to a low of -5.83% with a median of 7.00%. The Funds performance
during such time period was 12.33%.The Trustees then reviewed performance data
since the Funds inception through May 31, 2008.The performance data
ranged from a high of 25.94% to a low of 14.29% with a median of 17.10%.The
Funds performance during such time period was 15.72%.
At
this point, Mr. Burke and Mr. Canty, both interested persons of the
Fund, as well as the other representatives of ALPS and Clough, left the
meeting. The non-interested Trustees, with the assistance of legal counsel,
reviewed and discussed in more detail the information that had been presented relating
to Clough, the Advisory Agreement and Cloughs profitability.
Mr. Burke,
Mr. Canty, and the representatives of ALPS rejoined the meeting. The Board
of Trustees of the Fund, present in person, with the non-interested Trustees
present in person voting separately, unanimously concluded that the investment
advisory fee of 0.70% of the Funds total assets are fair and reasonable for
the Fund and that the renewal of the Advisory Agreement is in the best
interests of the Fund and its shareholders.
33
T
RUSTEES
& O
FFICERS
September 30, 2008 (Unaudited)
Information
pertaining to the Trustees and Officers of the Trust is set forth below. Trust-
ees deemed to be interested persons of the Trust as defined in the 1940 Act are
referred to as Interested Trustees. Additional information about the Trustees
is available, with- out charge, upon request by contacting the Fund at
1-877-256-8445.
INTERESTED TRUSTEES AND OFFICERS
|
|
|
|
|
|
Number of
|
|
|
Position(s) Held
|
|
|
|
Portfolios in
|
|
|
with Funds/
|
|
Principal Occupation(s) During
|
|
Fund Complex
|
|
|
Length of Time
|
|
past 5 years* and other
|
|
Overseen by
|
Name, Age and Address
|
|
Served
|
|
Directorships Held by Trustee
|
|
Trustee
|
James E.
Canty
Age - 46
One Post Office Square
40th Floor
Boston, MA 02109
|
|
Trustee and Portfolio
Manager/
Since Inception
|
|
Mr. Canty is a
founding partner, Chief Financial Officer and General
Counsel for Clough. Mr. Canty is currently a member of the Board of Directors of Clough Offshore Fund, Ltd and Board of Trustees of Clough Global Equity Fund and Clough Global Opportunities Fund. Because of his affiliation with Clough, Mr. Canty is considered an interested Trustee of the Fund.
|
|
3
|
|
|
|
|
|
|
|
Edmund J.
Burke
Age - 47
1290 Broadway
Ste. 1100
Denver, CO 80203
|
|
Principal Executive
Officer And
President/Since Inception
Trustee/Since
July 12, 2006
|
|
Mr. Burke
joined ALPS in 1991 and is currently the Chief Executive Officer and President of ALPS Holdings, Inc., and a Director of ALPS Advisers, Inc., ALPS Distributors, Inc. ALPS Fund Services, Inc., and FTAM Distributors, Inc. Because of his position with ALPS, Mr. Burke is deemed an affiliate of the Trust as defined under the 1940 Act. Mr. Burke is also currently the President of the Reaves Utility Income Fund and Financial Investors Variable Insurance Trust. Mr. Burke is a Trustee and President of the Clough Global Equity Fund and Clough Global Opportunities Fund, is a Trustee of the Liberty All-Star Equity Fund; and is a Director of the Liberty All-Star Growth Fund, Inc.
|
|
3
|
34
INTERESTED TRUSTEES AND OFFICERS
|
|
|
|
|
|
Number of
|
|
|
Position(s) Held
|
|
|
|
Portfolios in
|
|
|
with Funds/
|
|
Principal Occupation(s) During
|
|
Fund Complex
|
|
|
Length of Time
|
|
past 5 years* and other
|
|
Overseen by
|
Name, Age and Address
|
|
Served
|
|
Directorships Held by Trustee
|
|
Trustee
|
Jeremy O.
May
Age - 38
1290 Broadway
Ste. 1100
Denver, CO 80203
|
|
Treasurer/Since Inception
|
|
Mr. May joined
ALPS in 1995 and is
currently President and Director of ALPS and Director of ALPS Advisers, Inc.,ALPS Distributors, Inc.ALPS Fund Services, Inc., ALPS Holdings, Inc. and FTAM Distributors, Inc. Because of his positions with ALPS, Mr. May is deemed an affiliate of
the Trust as defined under the
1940 Act. Mr. May is
also the Treasurer of the Liberty
All-Star Equity Fund, Liberty All-Star
Growth Fund, Inc., Reaves Utility
Income Fund, Clough Global Equity
Fund, Clough Global Opportunities Fund, and Financial Investors Variable Insurance Trust. Mr. May is also President, Chairman and Trustee of the ALPS Variable Insurance Trust and is also a Trustee of ALPS ETF Trust. Mr. May is
currently on the Board of
Directors and is Chairman of
the Audit Committee of the Uni- versity
of Colorado Foundation.
|
|
N/A
|
|
|
|
|
|
|
|
Kimberly
R. Storms
Age - 36
1290 Broadway
Ste. 1100
Denver, CO 80203
|
|
Assistant
Treasurer/Since July 13, 2005
|
|
Ms. Storms is Vice
President
and Director of Fund Administration. Ms. Storms joined ALPS in 1998 as Assistant Controller. Because of her position with ALPS, Ms. Storms is deemed an affiliate of the Trust as defined under the 1940 Act. Ms. Storms is also Treasurer of ALPS ETF Trust, Assistant Treasurer of the Clough Global
Equity Fund, Clough Global
Opportunities Fund, Reaves
Utility Income Fund, Liberty All-Star
Growth Fund, Inc., Liberty All-Star
Equity Fund, and ALPS Variable Insurance Trust, and Assistant Secretary of Ameristock Mutual Fund, Inc.
|
|
N/A
|
35
INTERESTED TRUSTEES AND OFFICERS
|
|
|
|
|
|
Number of
|
|
|
Position(s) Held
|
|
|
|
Portfolios in
|
|
|
with Funds/
|
|
Principal Occupation(s) During
past 5
|
|
Fund Complex
|
|
|
Length of Time
|
|
years* and other
|
|
Overseen by
|
Name, Age and Address
|
|
Served
|
|
Directorships Held by Trustee
|
|
Trustee
|
Erin Douglas
Age - 31
1290 Broadway
Ste. 1100
Denver, CO 80203
|
|
Secretary/
Since Inception
|
|
Ms. Douglas is
Associate Counsel of
ALPS. Ms. Douglas joined ALPS as Associate
Counsel in January 2003. Ms.
Douglas is deemed an affiliate of
the Trust as defined under the 1940
Act. Ms. Douglas is currently the
Secretary of Clough Global Equity
Fund and Clough Global Opportunities
Fund. From 2004 to 2007,
Ms. Douglas was the Secretary of Financial Investors Trust.
|
|
N/A
|
|
|
|
|
|
|
|
Michael T.
Akins*
Age - 32
1290 Broadway
Ste. 1100
Denver, CO 80203
|
|
Chief
Compliance Officer/Since September 20, 2006
|
|
Mr.Akins is Deputy Chief
Compliance
Officer of
ALPS. Mr. Akins previously served
as Assistant Vice-President and Compliance
Officer for UMB Financial Corporation.
Before joining UMB, Mr.Akins was an Account Manager at State Street Corporation. Mr. Akins is deemed an affiliate of the Trust as defined under the 1940 Act. Mr.Akins also serves as Chief Compliance Officer of Clough Global Equity Fund, Clough Global Opportunities Fund, Financial Investors Trust, Financial Investors Variable Insurance Trust, Reaves Utility Income Fund, ALPS Variable Insurance Trust and ALPS ETF Trust.
|
|
N/A
|
*
Except as otherwise indicated, each individual has held the
office shown or other offices in the same
company for the last five years.
36
INDEPENDENT TRUSTEES
|
|
|
|
|
|
Number of
|
|
|
Position(s) Held
|
|
|
|
Portfolios in
|
|
|
with Funds/
|
|
Principal Occupation(s) During
|
|
Fund Complex
|
|
|
Length of Time
|
|
past 5 years* and other
|
|
Overseen by
|
Name, Age and Address
|
|
Served
|
|
Directorships Held by Trustee
|
|
Trustee
|
Andrew C.
Boynton
Age - 52
Carroll School of
Management
Boston College
Fulton Hall 510
140 Comm.Ave.
Chestnut Hill, MA 02467
|
|
Trustee/Since
March 2005
|
|
Mr. Boynton is
currently the Dean of
the Carroll School of Management at Boston College. Mr. Boynton served as Professor of Strategy from 1996 to 2005 and Program Director of the Executive MBA Program from 1998 to 2005 at International Institute of Management Development, Lausanne, Switzerland. Mr. Boynton is also
a Trustee of the Clough Global
Equity Fund and Clough Global
Opportunities Fund.
|
|
3
|
|
|
|
|
|
|
|
Robert
Butler
Age - 67
12 Harvard Drive
Hingham, MA 02043
|
|
Trustee/Since
Inception
Chairman/Since
July 12, 2006
|
|
Since 2001, Mr.Butler has
been an inde
pendent
consultant for businesses. Mr. Butler
has over 45 years experience in the investment business, including 20 years as a senior executive with a global
investment management/natural resources company and 20 years with a
securities industry regulation organization, neither of which Mr. Butler
has been employed by since 2001. Mr.Butler is currently Chairman and Trustee
of the Clough Global Equity Fund and Clough Global Opportunities Fund.
|
|
3
|
37
INDEPENDENT TRUSTEES
|
|
|
|
|
|
Number of
|
|
|
Position(s) Held
|
|
|
|
Portfolios in
|
|
|
with Funds/
|
|
Principal Occupation(s) During
|
|
Fund Complex
|
|
|
Length of Time
|
|
past 5 years* and other
|
|
Overseen by
|
Name, Age and Address
|
|
Served
|
|
Directorships Held by Trustee
|
|
Trustee
|
Adam
Crescenzi
Age - 66
100 Walden Street
Concord, MA 01742
|
|
Trustee/Since Inception
|
|
Mr. Crescenzi is a
founding partner of Simply Tuscan Imports beginning 2007 (wholesaling) and is also currently a Trustee of Clough Global Equity Fund, Clough Global Opportunities Fund, Dean College, and
Chairman of the Board of
Directors of Creative Realities (consulting)
and ICEX, Inc. (research).
Mr. Crescenzi is an active member
of the strategic committee of the Patrons of Boston College McMullen Museum of Arts. Previously, Mr. Crescenzi was a founding partner of Telos Partners, a
business advisory firm from 1998
until 2007.
|
|
3
|
|
|
|
|
|
|
|
John F.
Mee, Esq.
Age - 65
1290 Broadway, Ste. 1100
Denver, CO 80203
|
|
Trustee/Since
Inception
|
|
Mr. Mee
is an attorney practicing commercial law,
family law, products liability and criminal law. He is an Advisor in the Harvard Law
School Trial Advocacy Work-shop
from 1990 to present. Mr. Mee is a member of the Bar of the Commonwealth of Massachusetts. He
serves on the Board of
Directors of the Holly Cross Alumni
Association and the Board of
Trustees of the Clough Global Equity
Fund and Clough Global Opportunities
Fund and Concord Carlisle Scholarship Fund, a Charitable Trust.
|
|
3
|
38
INDEPENDENT TRUSTEES
|
|
|
|
|
|
Number of
|
|
|
Position(s) Held
|
|
|
|
Portfolios in
|
|
|
with Funds/
|
|
Principal Occupation(s) During
|
|
Fund Complex
|
|
|
Length of Time
|
|
past 5 years* and other
|
|
Overseen by
|
Name, Age and Address
|
|
Served
|
|
Directorships Held by Trustee
|
|
Trustee
|
Richard C.
Rantzow
Age - 70
1290 Broadway, Suite 1100
Denver, CO 80203
|
|
Trustee/Since Inception
Vice-Chairman/ Since July 12, 2006
|
|
Mr. Rantzow is
Vice-Chairman and Trustee of the Clough Global Equity Fund and Clough Global
Op
portunities Fund.
Mr. Rantzow is also
Trustee and Chairman of the Audit
Committee of the Liberty All-Star
Equity Fund and Director and Chairman
of the Audit Committee of the Liberty All-Star Growth Fund, Inc. Mr. Rantzow was from 1992 to 2005 Chairman of the First Funds Family of mutual funds.
|
|
3
|
|
|
|
|
|
|
|
Jerry G.
Rutledge
Age - 64
2745 Springmede Court
Colorado Springs, CO 80906
|
|
Trustee/Since
Inception
|
|
Mr. Rutledge is the
President and
owner of
Rutledges Inc., a retail clothing
business. Mr. Rutledge is currently
Director of the American National
Bank and a Trustee of Clough
Global Equity Fund and Clough
Global Opportunities Fund.
Mr. Rutledge was from 1994 to
2007 a Regent of the University of
Colorado.
|
|
3
|
39
|
C
LOUGH
G
LOBAL
A
LLOCATION
F
UND
|
1290
Broadway, Suite 1100
|
Denver,
CO 80203
|
1-877-256-8445
|
|
This
Fund is neither insured nor guaranteed by the U.S. Government, the FDIC, the
Federal Reserve Board or any other governmental agency or insurer.
For
more information about the Fund, including a prospectus, please visit
www.cloughglobal.com or call 1-877-256-8445.
|
Item
2.
Code of Ethics.
Not
applicable to semi-annual report.
Item
3.
Audit
Committee Financial Expert.
Not
applicable to semi-annual report.
Item
4.
Principal Accountant Fees and Services.
Not
applicable to semi-annual report.
Item
5.
Audit Committee
of Listed Registrants.
Not
applicable.
Item
6.
Schedule of Investments.
Schedule
of Investments is included as part of the Report to Stockholders filed under
Item 1 of this form.
Item 7.
Disclosure
of Proxy Voting Policies and Procedures for Closed-End Management Investment
Companies.
Not
applicable to semi-annual report.
Item
8.
Portfolio Managers of Closed-End Management Investment Companies
.
Not
applicable to semi-annual report.
Item
9.
Purchases of Equity Securities by Closed-End Management Investment Companies
and Affiliated Purchasers.
Not
applicable.
Item
10.
Submission of Matters to a Vote of Security Holders.
There have been no
material changes by which shareholders may recommend nominees to the Board of
Trustees.
Item
11.
Controls and Procedures.
(a)
The Registrants principal
executive officer and principal financial officer have concluded that the
Registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under
the Investment Company Act of 1940, as amended) are effective based on their
evaluation of these controls and procedures as of a date within 90 days of the
filing date of this document.
(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, as amended) during the second fiscal
quarter of the period covered by this report that has materially affected, or
is reasonably likely to materially affect, the Registrants internal control
over financial reporting.
Item
12.
Exhibits.
(a)(1) Not
applicable to semi-annual report.
(a)(2) The
certifications required by Rule 30a-2(a) of the Investment Company
Act of 1940, as amended, and Section 302 of the Sarbanes-Oxley Act of 2002
are attached hereto as Ex99.Cert.
(a)(3) Not
applicable.
(b) A
certification for the Registrants Principal Executive Officer and Principal
Financial Officer, as required by Rule 30a-2(b) of the Investment
Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act
of 2002 are attached hereto as Ex99.906Cert.
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
|
|
|
|
|
Date:
|
December 8,
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.
CLOUGH
GLOBAL ALLOCATION FUND
|
|
|
|
By:
|
/s/
Edmund J. Burke
|
|
|
Edmund
J. Burke
|
|
|
President/Principal
Executive Officer
|
|
|
|
|
Date:
|
December 8,
2008
|
|
By:
|
/s/
Jeremy O. May
|
|
|
Jeremy
O. May
|
|
|
Treasurer/Principal
Financial Officer
|
|
|
|
|
Date:
|
December 8,
2008
|
|
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