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, 2009
|
|
|
|
|
|
|
|
|
|
|
Item
1.
Reports to Stockholders.
Semi-Annual Report
September 30, 2009
(Unaudited)
S
HAREHOLDER LETTER
September 30,
2009 (Unaudited)
To Our Investors:
The net asset value of the
Clough Global Allocation Fund substantially outperformed the overall US market
indices so far in 2009. Through October 31, 2009, the underlying value of
the Clough Global Allocation Fund, defined as the change in net asset value
adjusted for reinvested distributions increased 35.41%. The return on the
Funds market price for the same period was 40.13%. The Morgan Stanley World
Index increased 23.12% and the S&P 500 increased 17.05% over the same
period. Since inception through October 31, 2009, the Funds compound
annual total return including distributions is 5.74% compared to 3.98% for the
Morgan Stanley World Index and .89% for the S&P 500. The Funds
compound annual return since inception on
market price was 1.94%.
Investors are risk averse, if
mutual fund flows are any indication. US bond fund inflows year-to-date have
been $320 billion, and Credit Lyonnais Securities Asia (CLSA) points out that
is more than the cumulative inflow of $248 billion over the last 6 years.
Investors actually sold equity funds. Year-to-date outflows for equity funds
are $25 billion according to CLSA.
Bond investors will likely be
disappointed. A shortage of yield increasingly grips the
financial markets as both mortgage
originations and corporate bond yields have collapsed and money rates continue
to hover around zero. Boston Properties, Inc., an office REIT,
recently issued a ten year bond yielding
less than 6%, a level unheard of six months ago. Since shrunken corporate bond
yields offer less competition to stocks, a strong bid for equities could be
sustained for awhile. Moreover when compared with the estimated $13 trillion in
savings sitting at the money rate, the bond market is not that large. Corporate
bonds outstanding total perhaps $3 trillion and the municipal bond market adds
another $2.7 trillion, so combined they total about 40% of US equity
capitalization and they proved very illiquid and hard to buy when investors
tried to capture the higher yields available earlier in the year. Meanwhile US
companies are piling up cash faster than ever and this could be a positive
catalyst for equities. According to Bloomberg, US companies posted annualized
cash flow of more than $1.5 trillion in each of the past three quarters when the
economy was declining at between a 3% and 6% annual rate. We can still find
equities offering free cash flow yields of 10% or more.
We have not made significant
changes to our thematic exposure and we have made only modest adjustments to
the portfolio overall.
More signs of global growth
are visible, particularly in the emerging world. Singapore just announced its
real GDP rose 14.9% at an annual rate in the third quarter after rising 20.7%
in the second. Emerging markets in the aggregate now produce roughly 50% of
global GDP on a purchasing power parity basis. The combination of rising
savings in the OECD (Organization for Economic Co-Operation and Development)
world and still high savings rates in many emerging economies suggest that
capital will move globally at low interest rates for the foreseeable future and
where return on investment is high, equity valuations could surprise on the
upside.
www.cloughglobal.com
|
|
2
This is the basis for our
exposure to emerging markets and why we recently increased our exposure to
Brazil. Interest rates have been high there for a long time and the resulting
capital scarcity has curtailed investment in its non-export capital stock. As
recently as mid-2005, the overnight rate was 19
3
/
4
%. Now the Brazilian overnight bank rate, called the SELIC rate (short
for Sistema Especial de Liquidação e Custodia), has fallen 500 basis points in
2009 to 8
3
/
4
%. This is the first time it has been in
single digits. We believe Brazil is about to enter a long period of easier
monetary policy and lower interest rates. Inflation is low and labor market
slack is high enough to suppress it. We believe the currency is cheap and that
will help attract foreign investment flows as well as provide incremental
returns to our dollar based fund.
Moreover consumption growth
is being buttressed by government investment into housing via the establishment
of a securitization market. We believe these policies will add support to an
investment boom in Brazils domestic economy. This suggests higher Return on
Investments (ROI) for consumer exposed businesses, including banking, retailing
and homebuilding, and we have focused our investment in those sectors.
In the meantime, our industry
focus in China equity holdings has migrated from property developers to more
direct consumer focused companies. While western savings rise, Chinas will be
declining. Estimates are that 80-90 percent of Chinese car buyers pay cash for
their purchases (BCA Research), and the growing use of credit will likely
support an accelerating consumer economy for some time. The opportunity to
invest in that growing spending stream is one that we think will be open to us
for over a decade and that is why we have developed a research effort in Hong
Kong. Government spending to build a consumer safety net and to strengthen
urban infrastructure will likely foster capital formation and the growth of
companies established to exploit this market.
Meanwhile, we have become
even more convinced that the most profitable segment of the US automotive
supply chain will be the surviving Original Equipment Manufacturer (OEM) auto
parts manufacturers. We have traded around our positions a bit but now we think
the decline in auto sales in the wake of the end of Cash for Clunkers has run
its course and auto sales are about to ramp up from unsustainably low levels.
Inventories are back down to levels not seen since the 1970s according to
Merrill Lynch and production is not meeting even depressed demand. US auto
sales would likely be normalized at a 12-13 million annual rate because
sustained sales below that would imply liquidation of the domestic auto fleet.
Moreover, enough capacity has been taken out by the suppliers that such demand
will strain capacity and lead to better pricing and profitability. The
survivors include such classic names as Borg Warner, TRW Automotive Holdings
Corp., and Tenneco Inc*. There is a difference between rising manufactured good
prices because of supply chain shortages and broad inflation. Those industries
which have been forced by cash flow deficits and excess debt to liquidate and
rationalize capacity will find pricing and profitability can rise in an
otherwise deflationary economy. That we think is the case with the domestic auto
supply industry.
|
2009
Semi-Annual Report
|
3
We still hold our energy
positions, which remain essentially long crude oil producers and deep water
drilling and production technologies while remaining short commodity land
drilling rig operators. New crude discoveries fall well short of depletion
rates in existing fields and are expensive to develop and bring into
production. Tens of billions of dollars of investment will be necessary to do
so and we are investing in those companies which we think will be able to grow
profitable backlogs as the majors spend to develop difficult reserves. The
stock market seems to be making the distinction between energy sectors which
will grow and those which will not.
Finally, so long as credit
spreads are declining and financial market liquidity is strong, we will
continue to hold positions in banks with a national footprint and capital
markets exposure.
The short book is based upon
business models that are weakening, either because of a collapse in demand or a
structural decline in profit margins. In either event, we think the equity will
come under pressure. Commercial REITs have rallied to a point where the implied
capitalization rates have become too low, and the for-profit education and
solar power industries are examples of industries whose revenue dependence upon
public funds may prove their profit margin undoing.
Our investment strategies
which are based upon finding and investing in major profit cycles on the global
stage have worked well in 2009 and we see no evidence they will not work well
in 2010.
If you have any questions
about your investment, please call 1-877-256-8445.
Sincerely,
Charles I. Clough, Jr.
*
The Clough Funds each held between 0.53%-0.54% of net
assets in Borg Warner, 0.37%-0.38% in TRW, and 0.62%-0.63% in Tenneco as of
11/16/09.
Clough Capital Partners, L.P.
is a Boston-based investment management firm that has approximately $2.2
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.
Forward-looking
statements are based on information that is available on the date hereof, and
neither the fund manager nor any other person affiliated with the fund manager
has any duty to update any forward-looking statements. Important factors that
could affect actual results to differ from these statements include, among
other factors, material, negative changes to the asset class and the actual
composition of the portfolio.
4
P
ORTFOLIO ALLOCATION
September 30, 2009 (Unaudited)
Asset Type**
Common
Stock US
|
|
48.50
|
%
|
|
|
|
|
|
Common
Stock Foreign
|
|
23.60
|
%
|
|
|
|
|
|
ETFs
|
|
(0.05
|
)
%
|
|
|
|
|
|
Total Equities
|
|
72.05
|
%
|
|
|
|
|
|
Corporate
Debt
|
|
18.02
|
%
|
|
|
|
|
|
Government
L/T
|
|
4.71
|
%
|
|
|
|
|
|
Asset/Mort-backed
|
|
0.79
|
%
|
|
|
|
|
|
Equity
Linked Notes
|
|
0.40
|
%
|
|
|
|
|
|
Total Fixed Income
|
|
23.92
|
%
|
|
|
|
|
|
Short-Term
Investments
|
|
3.74
|
%
|
|
|
|
|
|
Options
|
|
0.41
|
%
|
|
|
|
|
|
Other
(Foreign Cash)
|
|
(0.12
|
)
%
|
|
|
|
|
|
Total Other
|
|
4.03
|
%
|
|
|
|
|
|
TOTAL
INVESTMENTS
|
|
100.00
|
%
|
|
|
|
|
|
Global Breakdown^
United
States
|
|
74.83
|
%
|
|
|
|
|
|
Hong
Kong
|
|
4.72
|
%
|
|
|
|
|
|
Brazil
|
|
3.60
|
%
|
|
|
|
|
|
Canada
|
|
2.87
|
%
|
|
|
|
|
|
Switzerland
|
|
2.83
|
%
|
|
|
|
|
|
Bermuda
|
|
2.18
|
%
|
|
|
|
|
|
Taiwan
|
|
1.11
|
%
|
|
|
|
|
|
Japan
|
|
1.05
|
%
|
|
|
|
|
|
Papua
New Guinea
|
|
1.02
|
%
|
|
|
|
|
|
Netherlands
|
|
0.91
|
%
|
|
|
|
|
|
South
Africa
|
|
0.82
|
%
|
|
|
|
|
|
Israel
|
|
0.72
|
%
|
|
|
|
|
|
Indonesia
|
|
0.67
|
%
|
|
|
|
|
|
Thailand
|
|
0.60
|
%
|
|
|
|
|
|
China
|
|
0.48
|
%
|
|
|
|
|
|
France
|
|
0.47
|
%
|
|
|
|
|
|
Greece
|
|
0.45
|
%
|
|
|
|
|
|
Vietnam
|
|
0.42
|
%
|
|
|
|
|
|
Malaysia
|
|
0.28
|
%
|
|
|
|
|
|
Ireland
|
|
0.26
|
%
|
|
|
|
|
|
Luxembourg
|
|
0.23
|
%
|
|
|
|
|
|
United Kingdom
|
|
0.12
|
%
|
|
|
|
|
|
South Korea
|
|
0.12
|
%
|
|
|
|
|
|
Singapore
|
|
0.11
|
%
|
|
|
|
|
|
Panama
|
|
0.05
|
%
|
|
|
|
|
|
Korea
|
|
(0.02
|
)
%
|
|
|
|
|
|
Australia
|
|
(0.15
|
)
%
|
|
|
|
|
|
Germany
|
|
(0.19
|
)
%
|
|
|
|
|
|
Finland
|
|
(0.27
|
)
%
|
|
|
|
|
|
Mexico
|
|
(0.29
|
)
%
|
|
|
|
|
|
**
|
|
Includes
securities sold short.
|
^
|
|
Includes
securities sold short and foreign cash balances.
|
5
S
TATEMENT OF INVESTMENTS
September 30, 2009 (Unaudited)
|
|
Shares
|
|
Value
|
|
COMMON STOCKS 108.91%
|
|
|
|
|
|
Consumer/Retail 11.61%
|
|
|
|
|
|
Anta
Sports Products, Ltd.
|
|
482,000
|
|
$
|
597,676
|
|
ArvinMeritor, Inc.
|
|
27,255
|
|
213,134
|
|
Belle
International Holdings, Ltd.
|
|
78,500
|
|
80,627
|
|
Best
Buy Co., Inc.
|
|
16,800
|
|
630,336
|
|
China
Dongxiang Group Co.
|
|
1,196,000
|
|
797,843
|
|
China
Lilang, Ltd.(a)
|
|
692,000
|
|
330,372
|
|
Compagnie
Generale des Etablissements Michelin
|
|
18,306
|
|
1,436,117
|
|
Companhia
Brasileira de Meios de Pagamento
|
|
37,600
|
|
372,477
|
|
Cooper
Tire & Rubber Co.
|
|
14,700
|
|
258,426
|
|
Federal
- Mogul Corp.(a)
|
|
2,663
|
|
32,142
|
|
Ford
Motor Co.(a)
|
|
280,137
|
|
2,019,788
|
|
The
Goodyear Tire & Rubber Co.(a)
|
|
157,900
|
|
2,689,037
|
|
Jardine
Strategic Holdings, Ltd.
|
|
21,221
|
|
359,908
|
|
Kraft
Foods, Inc.
|
|
32,700
|
|
859,029
|
|
Little
Sheep Group, Ltd.(b)
|
|
59,000
|
|
28,472
|
|
Marriott
International, Inc.
|
|
19,774
|
|
545,565
|
|
New
World Department Store China, Ltd.
|
|
104,700
|
|
84,300
|
|
New
World Development, Ltd.
|
|
287,000
|
|
617,694
|
|
Nikon
Corp.
|
|
28,000
|
|
512,182
|
|
Peak
Sport Products Co., Ltd.(a)
|
|
452,000
|
|
207,044
|
|
Ports
Design, Ltd.
|
|
499,000
|
|
1,246,526
|
|
Regal
Hotels International Holdings, Ltd.
|
|
374,390
|
|
131,398
|
|
Shanghai
Industrial Holdings, Ltd.
|
|
159,300
|
|
718,387
|
|
Sino-Ocean
Land Holdings, Ltd.
|
|
250,000
|
|
226,450
|
|
Sinopharm
Group Co.(a)
|
|
21,900
|
|
55,498
|
|
Starwood
Hotels & Resorts Worldwide, Inc.
|
|
30,600
|
|
1,010,718
|
|
Target
Corp.
|
|
26,800
|
|
1,251,024
|
|
Tenneco, Inc.(a)
|
|
93,684
|
|
1,221,639
|
|
Toshiba
Corp.(a)
|
|
196,000
|
|
1,028,419
|
|
TRW
Automotive Holdings Corp.(a)
|
|
28,200
|
|
472,350
|
|
Wal-Mart
Stores, Inc.
|
|
12,000
|
|
589,080
|
|
|
|
|
|
20,623,658
|
|
|
|
|
|
|
|
Energy 21.83%
|
|
|
|
|
|
Exploration & Production 11.34%
|
|
|
|
|
|
Anadarko
Petroleum Corp.
|
|
50,032
|
|
3,138,507
|
|
Cabot
Oil & Gas Corp.
|
|
7,200
|
|
257,400
|
|
Halliburton
Co.
|
|
30,000
|
|
813,600
|
|
Husky
Energy, Inc.
|
|
18,100
|
|
509,535
|
|
InterOil
Corp.(a)
|
|
61,375
|
|
2,410,810
|
|
Newfield
Exploration Co.(a)
|
|
15,000
|
|
638,400
|
|
Noble
Energy, Inc.
|
|
30,259
|
|
1,995,884
|
|
Occidental
Petroleum Corp.
|
|
47,800
|
|
3,747,520
|
|
PetroHawk
Energy Corp.(a)
|
|
74,900
|
|
1,813,329
|
|
Petroleo
Brasileiro S.A. - ADR
|
|
25,800
|
|
1,184,220
|
|
Petroleo
Brasileiro S.A. - Spons ADR
|
|
33,030
|
|
1,298,410
|
|
Plains
Exploration & Production Co.(a)
|
|
38,800
|
|
1,073,208
|
|
Range
Resources Corp.
|
|
11,200
|
|
552,832
|
|
Southwestern
Energy Co.(a)
|
|
16,892
|
|
720,951
|
|
|
|
|
|
20,154,606
|
|
|
|
|
|
|
|
|
6
|
|
Shares
|
|
Value
|
|
Oil Services and Drillers 9.86%
|
|
|
|
|
|
Calfrac
Well Services, Ltd.
|
|
20,000
|
|
$
|
354,925
|
|
Cameron
International Corp.(a)
|
|
45,600
|
|
1,724,592
|
|
Diamond
Offshore Drilling, Inc.
|
|
24,600
|
|
2,349,791
|
|
FMC
Technologies, Inc.(a)
|
|
20,424
|
|
1,066,950
|
|
Hess
Corp.
|
|
6,400
|
|
342,144
|
|
National
Oilwell Varco, Inc.(a)
|
|
33,800
|
|
1,457,794
|
|
Noble
Corp.
|
|
14,946
|
|
567,350
|
|
Oceaneering
International, Inc.(a)
|
|
20,680
|
|
1,173,590
|
|
Schlumberger,
Ltd.
|
|
22,700
|
|
1,352,920
|
|
Suncor
Energy, Inc.
|
|
64,382
|
|
2,225,042
|
|
Superior
Well Services, Inc.(a)
|
|
15,316
|
|
148,259
|
|
Transocean, Inc.(a)
|
|
31,499
|
|
2,694,109
|
|
Trican
Well Service, Ltd.
|
|
20,000
|
|
259,655
|
|
Weatherford
International, Ltd.(a)
|
|
81,483
|
|
1,689,143
|
|
Willbros
Group, Inc.(a)
|
|
6,694
|
|
101,950
|
|
|
|
|
|
17,508,214
|
|
|
|
|
|
|
|
Pipelines 0.60%
|
|
|
|
|
|
El
Paso Pipeline Partners LP
|
|
5,165
|
|
107,070
|
|
Plains
All American Pipeline LP
|
|
20,700
|
|
958,203
|
|
|
|
|
|
1,065,273
|
|
|
|
|
|
|
|
Tankers 0.03%
|
|
|
|
|
|
Golar
LNG, Ltd.
|
|
5,500
|
|
60,830
|
|
|
|
|
|
|
|
TOTAL
ENERGY
|
|
|
|
38,788,923
|
|
|
|
|
|
|
|
Finance 14.79%
|
|
|
|
|
|
Banks 11.98%
|
|
|
|
|
|
Banco
Bradesco S.A. - ADR
|
|
32,100
|
|
638,469
|
|
Bangkok
Bank PLC
|
|
78,800
|
|
285,388
|
|
Bank
Danamon Indonesia Tbk PT
|
|
282,000
|
|
144,428
|
|
Bank
Mandiri Tbk PT
|
|
2,660,000
|
|
1,293,533
|
|
Bank
of America Corp.
|
|
159,200
|
|
2,693,664
|
|
Bank
of China, Ltd.
|
|
381,000
|
|
200,577
|
|
BlackRock
Kelso Capital Corp.
|
|
105,700
|
|
784,294
|
|
BOC
Hong Kong Holdings, Ltd.
|
|
702,000
|
|
1,539,861
|
|
Citigroup, Inc.
|
|
925,536
|
|
4,479,594
|
|
Daishin
Security System Co., Ltd. - GDR(a)(b)(c)
|
|
28,500
|
|
107,759
|
|
DBS
Group Holdings, Ltd.
|
|
28,000
|
|
263,969
|
|
Indochina
Capital Vietnam Holdings, Ltd.(a)
|
|
200,000
|
|
1,000,000
|
|
Itau
Unibanco Holding S.A. - ADR
|
|
63,440
|
|
1,278,316
|
|
Kasikornbank
PLC
|
|
129,000
|
|
318,542
|
|
Mizuho
Financial Group, Inc.
|
|
346,800
|
|
687,689
|
|
PennantPark
Investment Corp.
|
|
177,530
|
|
1,439,768
|
|
The
PNC Financial Services Group, Inc.
|
|
55,428
|
|
2,693,247
|
|
Public
Bank BHD
|
|
158,491
|
|
467,093
|
|
Regions
Financial Corp.
|
|
60,900
|
|
378,189
|
|
Siam
Commercial Bank PCL
|
|
230,000
|
|
585,154
|
|
|
|
|
|
21,279,534
|
|
|
|
|
|
|
|
|
7
|
|
Shares
|
|
Value
|
|
Non-Bank 2.81%
|
|
|
|
|
|
Apollo
Investment Corp.
|
|
257,789
|
|
$
|
2,461,886
|
|
Ares
Capital Corp.
|
|
110,824
|
|
1,221,281
|
|
Lender
Processing Services, Inc.
|
|
13,800
|
|
526,746
|
|
Maiden
Holdings, Ltd.(b)
|
|
23,900
|
|
173,753
|
|
Redecard
S.A.
|
|
23,600
|
|
364,870
|
|
T&D
Holdings, Inc.
|
|
9,000
|
|
243,636
|
|
|
|
|
|
4,992,172
|
|
|
|
|
|
|
|
TOTAL
FINANCE
|
|
|
|
26,271,706
|
|
|
|
|
|
|
|
Gold/Metals 2.26%
|
|
|
|
|
|
Agnico-Eagle
Mines, Ltd.
|
|
8,400
|
|
569,940
|
|
Anglo
American PLC - ADR(a)
|
|
18,134
|
|
287,968
|
|
Anglo
Platinum, Ltd. (a)
|
|
11,200
|
|
994,462
|
|
Cameco
Corp.
|
|
8,851
|
|
246,058
|
|
Goldcorp, Inc.
|
|
11,700
|
|
472,329
|
|
Kinross
Gold Corp.
|
|
23,500
|
|
509,950
|
|
Lonmin
PLC(a)
|
|
34,800
|
|
931,011
|
|
|
|
|
|
4,011,718
|
|
|
|
|
|
|
|
Health Care 0.70%
|
|
|
|
|
|
BioSphere
Medical, Inc.(a)
|
|
182,703
|
|
623,017
|
|
BioSphere
Medical, Inc.(a)(d)
|
|
50,000
|
|
170,500
|
|
Molecular
Insight Pharmaceuticals, Inc.(a)
|
|
80,200
|
|
443,506
|
|
|
|
|
|
1,237,023
|
|
|
|
|
|
|
|
Industrial 12.07%
|
|
|
|
|
|
Aegean
Marine Petroleum Network, Inc.
|
|
46,800
|
|
1,053,000
|
|
Bakrie
Sumatera Plantations Tbk PT
|
|
1,527,000
|
|
137,454
|
|
BE
Aerospace, Inc.(a)
|
|
145,800
|
|
2,936,412
|
|
BorgWarner, Inc.
|
|
44,500
|
|
1,346,570
|
|
Chicago
Bridge & Iron Co.
|
|
115,479
|
|
2,157,148
|
|
China
Resources Cement Holdings, Ltd.(a)(c)
|
|
614,000
|
|
308,979
|
|
China
South City Holdings, Ltd.(a)(b)(c)
|
|
1,178,000
|
|
246,238
|
|
Crown
Holdings, Inc.(a)
|
|
43,300
|
|
1,177,760
|
|
Foster
Wheeler, Ltd.(a)
|
|
96,000
|
|
3,063,360
|
|
Fosun
International, Ltd.
|
|
8,000
|
|
5,584
|
|
General
Cable Corp.(a)
|
|
75,700
|
|
2,963,655
|
|
Hitachi,
Ltd. (a)
|
|
184,500
|
|
567,281
|
|
JSR
Corp.
|
|
14,200
|
|
291,071
|
|
Kingboard
Chemical Holdings, Ltd.
|
|
41,980
|
|
159,523
|
|
Matrix
Service Co.(a)
|
|
397
|
|
4,315
|
|
McDermott
International, Inc.(a)
|
|
96,531
|
|
2,439,338
|
|
Sinopec
Shanghai Petrochemical Co., Ltd. (a)
|
|
990,000
|
|
412,604
|
|
Solutia, Inc.(a)
|
|
46,960
|
|
543,797
|
|
Tyco
Electronics, Ltd.
|
|
68,600
|
|
1,528,408
|
|
Weichai
Power Co., Ltd.
|
|
19,500
|
|
102,783
|
|
|
|
|
|
21,445,280
|
|
|
|
|
|
|
|
|
8
|
|
Shares
|
|
Value
|
|
Insurance 10.48%
|
|
|
|
|
|
ACE,
Ltd. (a)
|
|
16,400
|
|
$
|
876,744
|
|
Aflac, Inc.
|
|
31,400
|
|
1,342,036
|
|
Arch
Capital Group, Ltd.(a)
|
|
4,900
|
|
330,946
|
|
Everest
Re Group, Ltd.
|
|
8,900
|
|
780,530
|
|
Fidelity
National Financial, Inc.
|
|
177,203
|
|
2,672,221
|
|
Lincoln
National Corp.
|
|
91,988
|
|
2,383,409
|
|
Loews
Corp.
|
|
85,400
|
|
2,924,950
|
|
Montpelier
Re Holdings, Ltd.
|
|
62,800
|
|
1,024,896
|
|
PartnerRe,
Ltd.
|
|
15,238
|
|
1,172,412
|
|
RenaissanceRe
Holdings, Ltd.
|
|
13,500
|
|
739,260
|
|
Torchmark
Corp.
|
|
18,400
|
|
799,112
|
|
The
Travelers Cos., Inc.
|
|
62,900
|
|
3,096,567
|
|
XL
Capital, Ltd.
|
|
26,800
|
|
467,928
|
|
|
|
|
|
18,611,011
|
|
|
|
|
|
|
|
Real Estate 3.16%
|
|
|
|
|
|
Apollo
Commercial Real Estate Finance, Inc.(a)
|
|
35,800
|
|
655,140
|
|
Cheung
Kong Holdings, Ltd.
|
|
69,000
|
|
875,627
|
|
Great
Eagle Holdings, Ltd.
|
|
219,080
|
|
541,053
|
|
Henderson
Land Development Co., Ltd.
|
|
19,000
|
|
125,031
|
|
Italian-Thai
Development PLC(a)
|
|
2,088,000
|
|
231,236
|
|
Kerry
Properties, Ltd.
|
|
205,572
|
|
1,099,472
|
|
Sino
Land Co., Ltd.
|
|
237,014
|
|
424,482
|
|
Sun
Hung Kai Properties, Ltd.
|
|
98,800
|
|
1,455,856
|
|
YNH
Property BHD
|
|
373,828
|
|
205,222
|
|
|
|
|
|
5,613,119
|
|
|
|
|
|
|
|
Real Estate Investment Trusts (REITs) 7.99%
|
|
|
|
|
|
Annaly
Capital Management, Inc.
|
|
293,200
|
|
5,318,649
|
|
Anworth
Mortgage Asset Corp.
|
|
160,614
|
|
1,265,638
|
|
Capstead
Mortgage Corp.
|
|
34,700
|
|
482,677
|
|
Chimera
Investment Corp.
|
|
165,632
|
|
632,714
|
|
Hatteras
Financial Corp.
|
|
98,400
|
|
2,950,032
|
|
Hatteras
Financial Corp.(b)
|
|
50,300
|
|
1,507,994
|
|
Host
Hotels & Resorts, Inc.
|
|
124,700
|
|
1,467,719
|
|
MFA
Financial, Inc.
|
|
71,500
|
|
569,140
|
|
Regal
Real Estate Investment Trust
|
|
37,439
|
|
6,860
|
|
|
|
|
|
14,201,423
|
|
|
|
|
|
|
|
Technology & Communications 18.04%
|
|
|
|
|
|
Arrow
Electronics, Inc.(a)
|
|
47,800
|
|
1,345,570
|
|
Avnet, Inc.(a)
|
|
27,200
|
|
706,384
|
|
Centron
Telecom International Holdings, Ltd.(a)
|
|
238,000
|
|
77,695
|
|
China
Telecom Corp., Ltd.
|
|
688,000
|
|
324,911
|
|
Chunghwa
Telecom Co., Ltd. - ADR
|
|
115,934
|
|
2,091,455
|
|
Cisco
Systems, Inc.(a)
|
|
177,000
|
|
4,166,580
|
|
Elpida
Memory, Inc.(a)
|
|
20,800
|
|
272,730
|
|
Hewlett-Packard
Co.
|
|
33,600
|
|
1,586,256
|
|
|
|
|
|
|
|
|
9
|
|
Shares
|
|
Value
|
|
Technology & Communications (continued)
|
|
|
|
|
|
Honeywell
International, Inc.
|
|
87,800
|
|
$
|
3,261,770
|
|
Intel
Corp.
|
|
65,200
|
|
1,275,964
|
|
Magal
Security Systems, Ltd.(a)
|
|
76,443
|
|
310,359
|
|
Microsoft
Corp.
|
|
163,242
|
|
4,226,336
|
|
National
Semiconductor Corp.
|
|
45,600
|
|
650,712
|
|
Net
Servicos de Comunicacao S.A. - ADR
|
|
91,234
|
|
1,051,015
|
|
NII
Holdings, Inc.(a)
|
|
17,100
|
|
512,658
|
|
Oracle
Corp.
|
|
114,500
|
|
2,386,180
|
|
Qualcomm, Inc.
|
|
66,200
|
|
2,977,676
|
|
Radvision,
Ltd.(a)
|
|
157,945
|
|
1,399,392
|
|
Seagate
Technology
|
|
126,533
|
|
1,924,567
|
|
Symantec
Corp.(a)
|
|
82,800
|
|
1,363,716
|
|
Zhuzhou
CSR Times Electric Co., Ltd.
|
|
79,000
|
|
137,408
|
|
|
|
|
|
32,049,334
|
|
|
|
|
|
|
|
Transportation 1.26%
|
|
|
|
|
|
Babcock &
Brown Air, Ltd. - ADR
|
|
62,800
|
|
602,880
|
|
Burlington
Northern Santa Fe Corp.
|
|
4,200
|
|
335,286
|
|
Localiza
Rent A Car S.A.
|
|
57,400
|
|
575,102
|
|
Santos
Brasil Participacoes S.A.(a)
|
|
60,000
|
|
477,534
|
|
TAM
S.A. - ADR(a)
|
|
18,700
|
|
241,417
|
|
|
|
|
|
2,232,219
|
|
|
|
|
|
|
|
Utilities 4.72%
|
|
|
|
|
|
DPL, Inc.
|
|
28,900
|
|
754,290
|
|
Enbridge, Inc.
|
|
14,400
|
|
559,107
|
|
EQT
Corp.
|
|
14,487
|
|
617,146
|
|
FirstEnergy
Corp.
|
|
7,000
|
|
320,040
|
|
KBR, Inc.
|
|
83,470
|
|
1,944,016
|
|
Quanta
Services, Inc.(a)
|
|
189,013
|
|
4,182,858
|
|
|
|
|
|
8,377,457
|
|
TOTAL COMMON STOCKS
|
|
|
|
|
|
(Cost
$167,232,361)
|
|
|
|
193,462,871
|
|
|
|
|
|
|
|
EXCHANGE TRADED FUNDS 5.83%
|
|
|
|
|
|
iShares
iBoxx $ High Yield Corporate Bond Fund
|
|
32,701
|
|
2,823,731
|
|
iShares
MSCI Brazil Index Fund
|
|
24,226
|
|
1,639,373
|
|
Semiconductor
HOLDRs Trust
|
|
24,900
|
|
637,938
|
|
SPDR
Gold Shares(a)
|
|
53,200
|
|
5,258,820
|
|
|
|
|
|
|
|
TOTAL EXCHANGE TRADED FUNDS
|
|
|
|
|
|
(Cost
$8,221,995)
|
|
|
|
10,359,862
|
|
|
|
|
|
|
|
|
10
|
|
Principal
|
|
|
|
|
|
Amount
|
|
Value
|
|
EQUITY LINKED NOTES 0.53%
|
|
|
|
|
|
ASUSTeK
Computer, Inc. (issued by BNP Paribas),
expiring 05/05/2014,(a)
|
|
$
|
148,356
|
|
$
|
254,742
|
|
CJ
O Shipping Co. (issued by BNP Paribas),
expiring 05/07/2014(a)
|
|
643
|
|
44,586
|
|
Hynix
Semiconductor, Inc. (issued by BNP Paribas),
expiring 05/06/2015(a)
|
|
8,500
|
|
142,839
|
|
Korean
Air Lines Co., Ltd. (issued by BNP Paribas),
expiring 05/07/2014(a)
|
|
2,267
|
|
92,354
|
|
KT
Corp. (issued by BNP Paribas),
expiring 05/07/2014(a)
|
|
3,900
|
|
133,889
|
|
Taiwan
Semiconductor Manufacturing Co., Ltd.
(issued by BNP Paribas), expiring 04/01/2010(a)
|
|
139,000
|
|
278,876
|
|
|
|
|
|
|
|
TOTAL EQUITY LINKED NOTES
|
|
|
|
|
|
(Cost
$906,637)
|
|
|
|
947,286
|
|
|
|
|
|
|
|
|
|
Description
and
|
|
Coupon
|
|
Principal
|
|
|
|
Maturity
Date
|
|
Rate
|
|
Amount
|
|
Value
|
|
CORPORATE BONDS 23.97%
|
|
|
|
|
|
|
|
ACE
INA Holdings, Inc.
|
|
|
|
|
|
|
|
02/15/2017
|
|
5.700
|
%
|
200,000
|
|
216,138
|
|
03/15/2018
|
|
5.800
|
%
|
375,000
|
|
405,850
|
|
Allstate
Life Global Funding Trusts
|
|
|
|
|
|
|
|
04/30/2013
|
|
5.375
|
%
|
525,000
|
|
559,447
|
|
Anadarko
Petroleum Corp.
|
|
|
|
|
|
|
|
09/15/2016
|
|
5.950
|
%
|
625,000
|
|
663,529
|
|
Analog
Devices, Inc.
|
|
|
|
|
|
|
|
07/01/2014
|
|
5.000
|
%
|
350,000
|
|
368,270
|
|
Aon
Corp.
|
|
|
|
|
|
|
|
12/14/2012
|
|
7.375
|
%
|
365,000
|
|
387,930
|
|
Apache
Corp.
|
|
|
|
|
|
|
|
09/15/2013
|
|
6.000
|
%
|
600,000
|
|
668,231
|
|
AT&T, Inc.
|
|
|
|
|
|
|
|
02/15/2019
|
|
5.800
|
%
|
525,000
|
|
562,953
|
|
Ball
Corp.
|
|
|
|
|
|
|
|
03/15/2018
|
|
6.625
|
%
|
650,000
|
|
628,875
|
|
Bank
of America Corp.
|
|
|
|
|
|
|
|
12/01/2017
|
|
5.750
|
%
|
900,000
|
|
899,806
|
|
BE
Aerospace, Inc.
|
|
|
|
|
|
|
|
07/01/2018
|
|
8.500
|
%
|
525,000
|
|
539,438
|
|
The
Boeing Co.
|
|
|
|
|
|
|
|
03/15/2014
|
|
5.000
|
%
|
250,000
|
|
272,995
|
|
Bombardier, Inc.
|
|
|
|
|
|
|
|
05/01/2014
|
|
6.300
|
%
|
650,000
|
|
630,500
|
|
BorgWarner, Inc.
|
|
|
|
|
|
|
|
10/01/2019
|
|
8.000
|
%
|
200,000
|
|
205,738
|
|
Bottling
Group LLC
|
|
|
|
|
|
|
|
01/15/2019
|
|
5.125
|
%
|
600,000
|
|
640,579
|
|
11
Description
and
|
|
Coupon
|
|
Principal
|
|
|
|
Maturity
Date
|
|
Rate
|
|
Amount
|
|
Value
|
|
CORPORATE BONDS (continued)
|
|
|
|
|
|
|
|
Burlington
Northern Santa Fe Corp.
|
|
|
|
|
|
|
|
05/01/2017
|
|
5.650
|
%
|
$
|
725,000
|
|
$
|
781,461
|
|
Chubb
Corp.
|
|
|
|
|
|
|
|
11/15/2011
|
|
6.000
|
%
|
550,000
|
|
593,699
|
|
Cisco
Systems, Inc.
|
|
|
|
|
|
|
|
02/15/2019
|
|
4.950
|
%
|
500,000
|
|
526,577
|
|
The
Coca-Cola Co.
|
|
|
|
|
|
|
|
03/15/2014
|
|
3.625
|
%
|
260,000
|
|
269,840
|
|
Coca-Cola
Enterprises, Inc.
|
|
|
|
|
|
|
|
03/01/2015
|
|
4.250
|
%
|
600,000
|
|
635,449
|
|
Comcast
Corp.
|
|
|
|
|
|
|
|
03/15/2016
|
|
5.900
|
%
|
200,000
|
|
215,276
|
|
Computer
Sciences Corp.
|
|
|
|
|
|
|
|
03/15/2018(b)
|
|
6.500
|
%
|
400,000
|
|
441,339
|
|
The
Connecticut Light & Power Co.
|
|
|
|
|
|
|
|
Series 09-A,
02/01/2019
|
|
5.500
|
%
|
450,000
|
|
488,206
|
|
Constellation
Brands, Inc.
|
|
|
|
|
|
|
|
09/01/2016
|
|
7.250
|
%
|
400,000
|
|
400,000
|
|
Corning, Inc.
|
|
|
|
|
|
|
|
06/15/2015
|
|
6.050
|
%
|
400,000
|
|
405,183
|
|
Crown
Americas LLC /
Crown
Americas Capital Corp. II
|
|
|
|
|
|
|
|
05/15/2017
|
|
7.625
|
%
|
700,000
|
|
710,500
|
|
CSX
Transportation, Inc.
|
|
|
|
|
|
|
|
10/15/2014
|
|
8.375
|
%
|
336,363
|
|
398,698
|
|
The
Dayton Power & Light Co.
|
|
|
|
|
|
|
|
10/01/2013
|
|
5.125
|
%
|
375,000
|
|
400,526
|
|
Devon
Financing Corp. ULC
|
|
|
|
|
|
|
|
09/30/2011
|
|
6.875
|
%
|
630,000
|
|
685,846
|
|
Duke
Energy Carolinas LLC
|
|
|
|
|
|
|
|
11/15/2013
|
|
5.750
|
%
|
400,000
|
|
442,396
|
|
EatonVance
Corp.
|
|
|
|
|
|
|
|
10/02/2017
|
|
6.500
|
%
|
750,000
|
|
811,287
|
|
Enbridge
Energy Partners LP
|
|
|
|
|
|
|
|
03/01/2019
|
|
9.875
|
%
|
375,000
|
|
466,589
|
|
Florida
Power Corp.
|
|
|
|
|
|
|
|
06/15/2018
|
|
5.650
|
%
|
400,000
|
|
440,936
|
|
Ford
Motor Credit Co. LLC
|
|
|
|
|
|
|
|
10/01/2014
|
|
8.700
|
%
|
700,000
|
|
686,636
|
|
Forest
Oil Corp.
|
|
|
|
|
|
|
|
06/15/2019
|
|
7.250
|
%
|
600,000
|
|
564,000
|
|
General
Dynamics Corp.
|
|
|
|
|
|
|
|
02/01/2014
|
|
5.250
|
%
|
590,000
|
|
647,554
|
|
General
Mills, Inc.
|
|
|
|
|
|
|
|
02/15/2012
|
|
6.000
|
%
|
600,000
|
|
652,297
|
|
The
Goldman Sachs Group, Inc.
|
|
|
|
|
|
|
|
01/15/2016
|
|
5.350
|
%
|
650,000
|
|
672,334
|
|
Goodrich
Corp.
|
|
|
|
|
|
|
|
03/01/2019(b)
|
|
6.125
|
%
|
425,000
|
|
462,667
|
|
|
|
|
|
|
|
|
|
|
|
12
Description
and
|
|
Coupon
|
|
Principal
|
|
|
|
Maturity
Date
|
|
Rate
|
|
Amount
|
|
Value
|
|
CORPORATE BONDS (continued)
|
|
|
|
|
|
|
|
The
Goodyear Tire & Rubber Co.
|
|
|
|
|
|
|
|
05/15/2016
|
|
10.500
|
%
|
$
|
650,000
|
|
$
|
708,500
|
|
Hasbro, Inc.
|
|
|
|
|
|
|
|
05/15/2014
|
|
6.125
|
%
|
350,000
|
|
381,248
|
|
Hewlett-Packard
Co.
|
|
|
|
|
|
|
|
03/01/2014
|
|
6.125
|
%
|
350,000
|
|
394,580
|
|
03/01/2018
|
|
5.500
|
%
|
300,000
|
|
328,369
|
|
Iron
Mountain, Inc.
|
|
|
|
|
|
|
|
01/01/2016
|
|
6.625
|
%
|
275,000
|
|
266,750
|
|
Johnson
Controls, Inc.
|
|
|
|
|
|
|
|
01/15/2016
|
|
5.500
|
%
|
800,000
|
|
829,926
|
|
JPMorgan
Chase & Co.
|
|
|
|
|
|
|
|
04/23/2019
|
|
6.300
|
%
|
675,000
|
|
738,251
|
|
Kellogg
Co.
|
|
|
|
|
|
|
|
05/30/2016
|
|
4.450
|
%
|
250,000
|
|
261,946
|
|
The
Kroger Co.
|
|
|
|
|
|
|
|
02/01/2010
|
|
8.050
|
%
|
500,000
|
|
511,058
|
|
McDonalds
Corp.
|
|
|
|
|
|
|
|
02/01/2019
|
|
5.000
|
%
|
600,000
|
|
639,777
|
|
Morgan
Stanley
|
|
|
|
|
|
|
|
10/15/2015
|
|
5.375
|
%
|
600,000
|
|
620,145
|
|
Nabors
Industries, Inc.
|
|
|
|
|
|
|
|
01/15/2019
|
|
9.250
|
%
|
550,000
|
|
654,686
|
|
National
OilwellVarco, Inc.
|
|
|
|
|
|
|
|
Series B,
08/15/2015
|
|
6.125
|
%
|
545,000
|
|
555,643
|
|
Newfield
Exploration Co.
|
|
|
|
|
|
|
|
09/01/2014
|
|
6.625
|
%
|
350,000
|
|
345,625
|
|
05/15/2018
|
|
7.125
|
%
|
200,000
|
|
200,500
|
|
Oracle
Corp.
|
|
|
|
|
|
|
|
04/15/2018
|
|
5.750
|
%
|
255,000
|
|
281,448
|
|
Pacificorp
|
|
|
|
|
|
|
|
01/15/2019
|
|
5.500
|
%
|
600,000
|
|
653,127
|
|
PetroHawk
Energy Corp.
|
|
|
|
|
|
|
|
06/01/2015
|
|
7.875
|
%
|
600,000
|
|
594,000
|
|
Pioneer
Natural Resources Co.
|
|
|
|
|
|
|
|
03/15/2017
|
|
6.650
|
%
|
650,000
|
|
621,949
|
|
Potash
Corp. of Saskatchewan, Inc.
|
|
|
|
|
|
|
|
05/15/2014
|
|
5.250
|
%
|
400,000
|
|
433,275
|
|
Precision
Castparts Corp.
|
|
|
|
|
|
|
|
12/15/2013
|
|
5.600
|
%
|
400,000
|
|
419,971
|
|
Progress
Energy
|
|
|
|
|
|
|
|
01/15/2019
|
|
5.300
|
%
|
600,000
|
|
651,202
|
|
Public
Service Co. of Colorado
|
|
|
|
|
|
|
|
06/01/2019
|
|
5.125
|
%
|
600,000
|
|
644,635
|
|
Public
Service Electric & Gas Co.
|
|
|
|
|
|
|
|
11/01/2013
|
|
6.330
|
%
|
600,000
|
|
676,282
|
|
Range
Resources Corp.
|
|
|
|
|
|
|
|
05/15/2019
|
|
8.000
|
%
|
600,000
|
|
618,000
|
|
Roche
Holdings, Inc.
|
|
|
|
|
|
|
|
03/01/2019(b)
|
|
6.000
|
%
|
600,000
|
|
669,101
|
|
|
|
|
|
|
|
|
|
|
|
13
Description and
|
|
Coupon
|
|
Principal
|
|
|
|
Maturity Date
|
|
Rate
|
|
Amount
|
|
Value
|
|
CORPORATE BONDS (continued)
|
|
|
|
|
|
|
|
Silgan
Holdings, Inc.
|
|
|
|
|
|
|
|
08/15/2016
|
|
7.250
|
%
|
$
|
600,000
|
|
$
|
609,000
|
|
South
Carolina Electric & Gas Co.
|
|
|
|
|
|
|
|
11/01/2018
|
|
5.250
|
%
|
400,000
|
|
427,354
|
|
Starwood
Hotels & Resorts Worldwide, Inc.
|
|
|
|
|
|
|
|
05/15/2018
|
|
6.750
|
%
|
675,000
|
|
640,406
|
|
TEPPCO
Partners LP
|
|
|
|
|
|
|
|
02/01/2013
|
|
6.125
|
%
|
560,000
|
|
602,091
|
|
Thermo
Fisher Scientific, Inc.
|
|
|
|
|
|
|
|
06/01/2015
|
|
5.000
|
%
|
500,000
|
|
520,645
|
|
Torchmark
Corp.
|
|
|
|
|
|
|
|
06/15/2016
|
|
6.375
|
%
|
275,000
|
|
281,064
|
|
The
Travelers Cos., Inc.
|
|
|
|
|
|
|
|
06/15/2012
|
|
5.375
|
%
|
510,000
|
|
539,176
|
|
05/15/2018
|
|
5.800
|
%
|
275,000
|
|
305,221
|
|
Tyco
International Finance S.A.
|
|
|
|
|
|
|
|
01/15/2019
|
|
8.500
|
%
|
450,000
|
|
549,590
|
|
Union
Pacific Corp.
|
|
|
|
|
|
|
|
01/31/2013
|
|
5.450
|
%
|
500,000
|
|
537,850
|
|
United
Technologies Corp.
|
|
|
|
|
|
|
|
02/01/2019
|
|
6.125
|
%
|
500,000
|
|
573,097
|
|
VerizonWireless
Capital LLC
|
|
|
|
|
|
|
|
02/01/2014(b)
|
|
5.550
|
%
|
400,000
|
|
432,773
|
|
Wal-Mart
Stores, Inc.
|
|
|
|
|
|
|
|
02/15/2018
|
|
5.800
|
%
|
250,000
|
|
281,294
|
|
Warner
Chilcott Corp.
|
|
|
|
|
|
|
|
02/01/2015
|
|
8.750
|
%
|
500,000
|
|
515,000
|
|
Weatherford
International, Ltd.
|
|
|
|
|
|
|
|
03/01/2019
|
|
9.625
|
%
|
615,000
|
|
771,136
|
|
XTO
Energy, Inc.
|
|
|
|
|
|
|
|
12/15/2013
|
|
5.750
|
%
|
775,000
|
|
838,189
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS
|
|
|
|
|
|
|
|
(Cost
$39,330,959)
|
|
|
|
|
|
42,573,455
|
|
|
|
|
|
|
|
|
|
ASSET/MORTGAGE BACKED SECURITIES 1.05%
|
|
|
|
|
|
|
|
Freddie
Mac REMICS
|
|
|
|
|
|
|
|
Series 2006-3155,
Class SA,
|
|
|
|
|
|
|
|
11/15/2035(e)
|
|
36.640
|
%
|
1,012,318
|
|
1,173,567
|
|
Government
National Mortgage Association (GNMA)
|
|
|
|
|
|
|
|
Series 2007-37,
Class SA, 03/20/2037(e)
|
|
21.250
|
%
|
308,735
|
|
327,308
|
|
Series 2007-37,
Class SB, 03/20/2037(e)
|
|
21.250
|
%
|
270,793
|
|
285,050
|
|
Series 2007-37,
Class SY, 06/16/2037(e)
|
|
23.594
|
%
|
72,313
|
|
74,091
|
|
|
|
|
|
|
|
|
|
TOTAL ASSET/MORTGAGE BACKED SECURITIES
|
|
|
|
|
|
|
|
(Cost $1,596,619)
|
|
|
|
|
|
1,860,016
|
|
|
|
|
|
|
|
|
|
|
|
14
Description
and
|
|
Coupon
|
|
Principal
|
|
|
|
Maturity
Date
|
|
Rate
|
|
Amount
|
|
Value
|
|
GOVERNMENT & AGENCY OBLIGATIONS 6.26%
|
|
|
|
|
|
|
|
Small
Business Administration Participation Certificates
|
|
|
|
|
|
|
|
Series 2008-20L,
Class 1, 12/01/2028
|
|
6.220
|
%
|
$
|
577,043
|
|
$
|
637,053
|
|
U.S.Treasury
Bonds
|
|
|
|
|
|
|
|
06/30/2012
|
|
4.875
|
%
|
600,000
|
|
658,266
|
|
08/15/2018
|
|
4.000
|
%
|
9,300,000
|
|
9,823,859
|
|
|
|
|
|
|
|
|
|
TOTAL GOVERNMENT & AGENCY OBLIGATIONS
|
|
|
|
|
|
|
|
(Cost
$11,289,356)
|
|
|
|
|
|
11,119,178
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration
|
|
Exercise
|
|
Number
of
|
|
|
|
|
|
Date
|
|
Price
|
|
Contracts
|
|
Value
|
|
PURCHASED OPTIONS 0.94%
|
|
|
|
|
|
|
|
|
|
Purchased Call Options 0.03%
|
|
|
|
|
|
|
|
|
|
SPDR
Gold Trust
|
|
|
|
|
|
|
|
|
|
|
|
January, 2010
|
|
$
|
100.00
|
|
150
|
|
63,000
|
|
TOTAL
PURCHASED CALL OPTIONS
|
|
|
|
|
|
|
|
|
|
(Cost
$207,378)
|
|
|
|
|
|
|
|
63,000
|
|
|
|
|
|
|
|
|
|
|
|
Purchased Put Options 0.91%
|
|
|
|
|
|
|
|
|
|
iShares
FTSE/Xinhua
China 25
Index Fund
|
|
November, 2009
|
|
39.00
|
|
230
|
|
32,200
|
|
Oil
Services Holders Trust
|
|
October, 2009
|
|
100.00
|
|
380
|
|
12,920
|
|
Oil
Services Holders Trust
|
|
January, 2010
|
|
115.00
|
|
280
|
|
249,200
|
|
S&P
500 Index
|
|
December, 2009
|
|
880.00
|
|
350
|
|
283,500
|
|
S&P
500 Index
|
|
December, 2009
|
|
895.00
|
|
355
|
|
333,700
|
|
S&P
500 Index
|
|
December, 2009
|
|
970.00
|
|
350
|
|
698,250
|
|
SPDR
Gold Trust
|
|
January, 2010
|
|
80.00
|
|
300
|
|
5,250
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL
PURCHASED PUT OPTIONS
|
|
|
|
|
|
|
|
|
|
(Cost
$7,833,507)
|
|
|
|
|
|
|
|
1,615,020
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS
|
|
|
|
|
|
|
|
|
|
(Cost
$8,040,885)
|
|
|
|
|
|
|
|
1,678,020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares/Principal
|
|
|
|
|
|
Amount
|
|
Value
|
|
SHORT-TERM INVESTMENTS 4.97%
|
|
|
|
|
|
Money Markets
|
|
|
|
|
|
Dreyfus
Treasury Prime Money Market
Fund (0.000% 7-day yield)(f)(g)
|
|
1,838,041
|
|
1,838,041
|
|
|
|
|
|
|
|
U.S. Treasury Bills
|
|
|
|
|
|
U.S.Treasury
Bill Discount Notes
|
|
|
|
|
|
2/11/2010,
0.151%(h)
|
|
3,500,000
|
|
3,498,551
|
|
3/11/2010,
0.177%(h)
|
|
3,500,000
|
|
3,497,778
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS
|
|
|
|
|
|
(Cost
$8,833,383)
|
|
|
|
8,834,370
|
|
15
|
|
Value
|
|
Total Investments - 152.46%*
|
|
|
|
(Cost
$245,452,195)
|
|
$
|
270,835,058
|
|
|
|
|
|
Liabilities
in Excess of Other Assets - (52.46%)
|
|
(93,196,656
|
)
|
|
|
|
|
NET ASSETS - 100.00%
|
|
$
|
177,638,402
|
|
SCHEDULE OF
OPTIONS WRITTEN
|
|
Expiration
|
|
Exercise
|
|
Number
of
|
|
|
|
|
|
Date
|
|
Price
|
|
Contracts
|
|
Value
|
|
Put Options Written
|
|
|
|
|
|
|
|
|
|
Shares
FTSE/Xinhua China 25 Index Fund
|
|
November, 2009
|
|
$
|
31.00
|
|
230
|
|
$
|
(3,450
|
)
|
Oil
Services Holders Trust
|
|
October, 2009
|
|
80.00
|
|
380
|
|
(1,330
|
)
|
Oil
Services Holders Trust
|
|
January, 2010
|
|
95.00
|
|
280
|
|
(76,580
|
)
|
S&P
500 Index
|
|
December, 2009
|
|
800.00
|
|
705
|
|
(267,900
|
)
|
S&P
500 Index
|
|
December, 2009
|
|
895.00
|
|
350
|
|
(329,000
|
)
|
SPDR
Gold Trust
|
|
January, 2010
|
|
90.00
|
|
260
|
|
(31,200
|
)
|
|
|
|
|
|
|
|
|
|
|
TOTAL OPTIONS WRITTEN
|
|
|
|
|
|
|
|
|
|
(Premiums
received $4,298,653)
|
|
|
|
|
|
|
|
$
|
(709,460
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF
SECURITIES SOLD SHORT
|
|
Shares
|
|
Value
|
|
Common Stocks
|
|
|
|
|
|
Berkshire
Hathaway, Inc.
|
|
(302
|
)
|
$
|
(1,003,546
|
)
|
Boston
Properties, Inc.
|
|
(8,500
|
)
|
(557,175
|
)
|
CARBO
Ceramics, Inc.
|
|
(1,499
|
)
|
(77,273
|
)
|
Caterpillar, Inc.
|
|
(20,200
|
)
|
(1,036,866
|
)
|
China
Shenhua Energy Co., Ltd.
|
|
(220,000
|
)
|
(960,897
|
)
|
Cie
Generale dOptique Essilor International S.A.
|
|
(5,600
|
)
|
(319,147
|
)
|
Cochlear,
Ltd.
|
|
(6,000
|
)
|
(353,374
|
)
|
ConocoPhillips
|
|
(16,800
|
)
|
(758,688
|
)
|
Deutsche
Bank AG
|
|
(5,800
|
)
|
(445,266
|
)
|
ENSCO
International, Inc.
|
|
(12,200
|
)
|
(518,988
|
)
|
Federal
Realty Investment Trust
|
|
(5,600
|
)
|
(343,672
|
)
|
First
Solar, Inc.
|
|
(8,400
|
)
|
(1,284,024
|
)
|
Genuine
Parts Co.
|
|
(21,194
|
)
|
(806,644
|
)
|
Kohls
Corp.
|
|
(5,300
|
)
|
(302,365
|
)
|
Las
Vegas Sands Corp.
|
|
(33,700
|
)
|
(567,508
|
)
|
Macys, Inc.
|
|
(27,200
|
)
|
(497,488
|
)
|
Nabors
Industries, Ltd.
|
|
(22,500
|
)
|
(470,250
|
)
|
The
NASDAQ OMX Group, Inc.
|
|
(14,795
|
)
|
(311,435
|
)
|
NetFlix, Inc.
|
|
(15,632
|
)
|
(721,729
|
)
|
Nokia
Corp. - ADR
|
|
(44,400
|
)
|
(649,128
|
)
|
NYSE
Euronext
|
|
(11,484
|
)
|
(331,773
|
)
|
PACCAR, Inc.
|
|
(37,657
|
)
|
(1,420,046
|
)
|
Patterson-UTI
Energy, Inc.
|
|
(48,400
|
)
|
(730,840
|
)
|
Quest
Diagnostics, Inc.
|
|
(15,000
|
)
|
(782,850
|
)
|
Rowan
Companies, Inc.
|
|
(44,800
|
)
|
(1,033,536
|
)
|
Simon
Property Group, Inc.
|
|
(11,029
|
)
|
(765,743
|
)
|
Smith
International, Inc.
|
|
(19,500
|
)
|
(559,650
|
)
|
Sony
Corp. - ADR
|
|
(38,503
|
)
|
(1,124,288
|
)
|
SunPower
Corp.
|
|
(44,000
|
)
|
(1,315,160
|
)
|
Tesoro
Corp.
|
|
(15,100
|
)
|
(226,198
|
)
|
|
|
|
|
|
|
|
16
|
|
Shares
|
|
Value
|
|
Unit
Corp.
|
|
(17,400
|
)
|
$
|
(717,750
|
)
|
Vale
S.A.-ADR
|
|
(26,200
|
)
|
(606,006
|
)
|
Vertex
Pharmaceuticals, Inc.
|
|
(7,000
|
)
|
(265,300
|
)
|
Vornado
Realty Trust
|
|
(627
|
)
|
(40,385
|
)
|
WW
Grainger, Inc.
|
|
(6,600
|
)
|
(589,776
|
)
|
Wynn
Resorts, Ltd.
|
|
(8,971
|
)
|
(635,954
|
)
|
|
|
|
|
|
|
Exchange Traded Funds
|
|
|
|
|
|
iShares
Dow Jones US Real Estate Index Fund
|
|
(89,576
|
)
|
(3,821,312
|
)
|
iShares
MSCI Mexico Investable Market Index Fund
|
|
(15,500
|
)
|
(677,040
|
)
|
iShares
MSCI South Korea Index Fund
|
|
(6,117
|
)
|
(289,823
|
)
|
iShares
Russell 2000 Index Fund
|
|
(75,000
|
)
|
(4,517,250
|
)
|
United
States Oil Fund LP
|
|
(31,900
|
)
|
(1,154,461
|
)
|
|
|
|
|
|
|
TOTAL SECURITIES SOLD SHORT
|
|
|
|
|
|
(Proceeds
$28,128,910)
|
|
|
|
$
|
(33,590,604
|
)
|
Abbreviations:
ADR -
American Depositary Receipt
AG-Aktiengesellschaft
is a German acronym on company names meaning Public Company
BHD -
Berhad (in Malaysia; equivalent to Public Limited Company)
FTSE -
Financial Times Stock Exchange
GDR -
Global Depositary Receipt
HOLDRs -
Holding Company Depositary Receipts
LLC -
Limited Liability Company
LP -
Limited Partnership
MSCI -
Morgan Stanley Capital International
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
S&P -
Standard & Poors
SPDR -
Standard & Poors Depositary Receipt
Tbk -
Terbuka (stock symbol in Indonesian)
ULC -
Unlimited Liability Company
*
|
|
All
securities are being held as collateral for borrowings, written options
and/or short sales as of September 30, 2009. (See Note 6)
|
(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, 2009,
these securities had a total value of $4,070,096 or 2.29% of total net
assets.
|
(c)
|
|
Fair
valued security; valued in accordance with procedures approved by the Funds
Board of Trustees. As of September 30, 2009, these securities had a
total value of $662,976 or 0.37% of net assets.
|
(d)
|
|
Private
Placement; these securities may only be resold in transactions exempt from
registration under the Securities Act of 1933. As of September 30, 2009,
these securities had a total value of $170,500 or 0.10% of total net assets.
|
(e)
|
|
Floating
or variable rate security - rate disclosed as of September 30, 2009.
|
(f)
|
|
Less than
0.0005%
|
(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.
|
(h)
|
|
Discount
at purchase.
|
For Fund
compliance purposes, the Funds industry classifications refer to any one of
the industry sub-classifications used by one or more widely recognized market
indexes, and/or as defined by Fund management. This definition may not apply
for purposes of this report, which may combine industry sub-classifications for
reporting ease. Industries are shown as a percent of net assets. These industry
classifications are unaudited.
See Notes
to Financial Statements
17
S
TATEMENT OF ASSETS & LIABILITIES
September 30, 2009 (Unaudited)
Assets:
|
|
|
|
Investments,
at value (Cost - see below)
|
|
$
|
270,835,058
|
|
Cash
|
|
1,401,562
|
|
Deposit
with broker for securities sold short and written options
|
|
28,833,903
|
|
Dividends
receivable
|
|
681,670
|
|
Interest
receivable
|
|
716,582
|
|
Receivable
for investments sold
|
|
8,228,377
|
|
Total
Assets
|
|
310,697,152
|
|
|
|
|
|
Liabilities:
|
|
|
|
Foreign
cash due to Custodian (Cost $287,797)
|
|
287,861
|
|
Loan
payable
|
|
89,800,000
|
|
Interest
due on loan payable
|
|
5,132
|
|
Securities
sold short (Proceeds $28,128,910)
|
|
33,590,604
|
|
Options
written at value (Premiums received $4,298,653)
|
|
709,460
|
|
Payable
for investments purchased
|
|
8,378,798
|
|
Dividends
payable - short sales
|
|
19,934
|
|
Interest
payable - margin account
|
|
24,350
|
|
Accrued
investment advisory fee
|
|
170,815
|
|
Accrued
administration fee
|
|
69,546
|
|
Accrued
trustees fee
|
|
2,250
|
|
Total
Liabilities
|
|
133,058,750
|
|
|
|
|
|
Net
Assets
|
|
$
|
177,638,402
|
|
Cost
of investments
|
|
$
|
245,452,195
|
|
|
|
|
|
Composition of Net Assets:
|
|
|
|
Paid-in
capital
|
|
$
|
196,009,967
|
|
Overdistributed
net investment income
|
|
(3,605,814
|
)
|
Accumulated
net realized loss on investments, options, securities
sold short and foreign currency transactions
|
|
(38,269,128
|
)
|
Net
unrealized appreciation in value of investments, options,
securities sold short and translation of
assets and liabilities denominated
in foreign currencies
|
|
23,503,377
|
|
Net
Assets
|
|
$
|
177,638,402
|
|
Shares
of common stock outstanding of no par value, unlimited
shares authorized
|
|
10,434,606
|
|
Net
asset value per share
|
|
$
|
17.02
|
|
See Notes to Financial Statements
18
S
TATEMENT OF OPERATIONS
For the Six Months Ended September 30, 2009 (Unaudited)
Investment Income:
|
|
|
|
Dividends
(Net of foreign withholding taxes of $70,459)
|
|
$
|
2,746,167
|
|
Interest
on investment securities (Net of foreign withholding taxes of $1,015)
|
|
1,714,294
|
|
Hypothecated
securities Income (see note 6)
|
|
37,479
|
|
Total
Income
|
|
4,497,940
|
|
|
|
|
|
Expenses:
|
|
|
|
Investment
advisory fee
|
|
959,923
|
|
Administration
fee
|
|
390,826
|
|
Interest
on loan
|
|
679,604
|
|
Trustees
fee
|
|
67,183
|
|
Dividend
expense - short sales
|
|
334,009
|
|
Interest
expense - margin account
|
|
106,511
|
|
Other
expenses
|
|
139,703
|
|
Total
Expenses
|
|
2,677,759
|
|
|
|
|
|
Net
Investment Income
|
|
1,820,181
|
|
|
|
|
|
Net realized gain (loss) on:
|
|
|
|
Investment
securities
|
|
(5,438,643
|
)
|
Securities
sold short
|
|
(6,058,870
|
)
|
Written
options
|
|
3,938,258
|
|
Foreign
currency transactions
|
|
(6,185
|
)
|
Net
change in unrealized appreciation (depreciation) on
investments, options, securities sold short
and translation of assets and
liabilities denominated in foreign currencies
|
|
50,624,552
|
|
Net
gain on investments, options, securities sold short and foreign
currency transactions
|
|
43,059,112
|
|
Net
Increase in Net Assets Attributable to Common Shares
from Operations
|
|
$
|
44,879,293
|
|
See Notes to Financial Statements
19
S
TATEMENTS OF CHANGES IN NET
ASSETS
September 30, 2009
(Unaudited)
|
|
For the
Six Months Ended
September 30, 2009
(Unaudited)
|
|
For the
Year Ended
March 21, 2009
|
|
Common Shareholder Operations:
|
|
|
|
|
|
Net investment income
|
|
$
|
1,820,181
|
|
$
|
3,110,417
|
|
Net realized gain (loss) from:
|
|
|
|
|
|
Investment securities
|
|
(5,438,643
|
)
|
(67,100,746
|
)
|
Securities sold short
|
|
(6,058,870
|
)
|
29,251,211
|
|
Written options
|
|
3,938,258
|
|
7,944,236
|
|
Foreign currency transactions
|
|
(6,185
|
)
|
(167,609
|
)
|
Net change in unrealized appreciation
(depreciation)
on investments, options, securities sold short and translation of
assets and liabilities denominated in foreign currencies
|
|
50,624,552
|
|
(43,388,529
|
)
|
Distributions to Preferred Shareholders from:
|
|
|
|
|
|
Net investment income
|
|
|
|
(544,694
|
)
|
Net Increase (Decrease) in Net Assets Attributable
to Common Shares from Operations
|
|
44,879,293
|
|
(70,895,714
|
)
|
|
|
|
|
|
|
Distributions to Common Shareholders:
|
|
|
|
|
|
Net investment income
|
|
(5,425,995
|
)
|
(8,507,063
|
)
|
Net realized gains
|
|
|
|
(3,193,929
|
)
|
Tax return of capital
|
|
|
|
(4,576,993
|
)
|
Net Decrease in Net Assets from Distributions
|
|
(5,425,995
|
)
|
(16,277,985
|
)
|
|
|
|
|
|
|
Net Increase (Decrease) in Net Assets Attributable
to Common Shares
|
|
$
|
39,453,298
|
|
$
|
(87,173,699
|
)
|
|
|
|
|
|
|
Net Assets Attributable to Common
Shares:
|
|
|
|
|
|
Beginning of period
|
|
138,185,104
|
|
225,358,803
|
|
End of period*
|
|
$
|
177,638,402
|
|
$
|
138,185,104
|
|
|
|
|
|
|
|
|
* Includes overdistributed net
investment income of:
|
|
$
|
(3,605,814
|
)
|
|
|
See Notes to Financial Statements
20
S
TATEMENT OF
C
ASH
F
LOWS
For the Six Months Ended September 30, 2009
(Unaudited)
Cash Flows From Operating Activities:
|
|
|
|
Net
increase in net assets from operations
|
|
$
|
44,879,293
|
|
Adjustments
to reconcile net increase in net assets from operations
to net cash provided by operating
activities:
|
|
|
|
Purchase
of investment securities
|
|
(148,528,897
|
)
|
Proceeds
from disposition of investment securities
|
|
121,153,942
|
|
Cover
securities sold short transactions
|
|
75,024,408
|
|
Proceeds
from securities sold short transactions
|
|
(71,293,040
|
)
|
Written
options transactions
|
|
5,516,793
|
|
Proceeds
from written options transactions
|
|
(47,880
|
)
|
Purchased
options transactions
|
|
(11,881,283
|
)
|
Proceeds
from purchased options transactions
|
|
265,534
|
|
Net
proceeds from short-term investment securities
|
|
(7,801,724
|
)
|
Net
realized loss from investment securities
|
|
5,438,643
|
|
Net
realized loss on securities sold short
|
|
6,058,870
|
|
Net
realized gain on written options
|
|
(3,938,258
|
)
|
Net
change in unrealized appreciation on investment securities
|
|
(50,624,552
|
)
|
Premium
amortization
|
|
118,772
|
|
Discount
amortization
|
|
(61,325
|
)
|
Increase
in deposits with brokers for securities sold short
and written options
|
|
4,993,306
|
|
Increase
in dividends receivable
|
|
(269,124
|
)
|
Increase
in interest receivable
|
|
(157,106
|
)
|
Increase
in receivable for investments sold
|
|
(321,333
|
)
|
Increase
in interest due on loan payable
|
|
2,109
|
|
Increase
in payable for investments purchased
|
|
7,853,603
|
|
Decrease
in dividends payable-short sales
|
|
(48,308
|
)
|
Increase
in interest payable-margin account
|
|
16,196
|
|
Increase
in accrued investment advisory fee
|
|
39,963
|
|
Increase
in accrued administration fee
|
|
16,271
|
|
Decrease
in accrued trustee fee
|
|
(2,774
|
)
|
Net cash provided by operating activities
|
|
(23,597,901
|
)
|
|
|
|
|
Cash Flows From Financing Activities:
|
|
|
|
Net
proceeds from bank borrowing
|
|
29,600,000
|
|
Cash
distributions paid
|
|
(5,425,995
|
)
|
Net cash used in financing activities
|
|
24,174,005
|
|
|
|
|
|
Net increase in cash
|
|
576,104
|
|
|
|
|
|
Cash, beginning balance
|
|
$
|
537,597
|
|
Cash and foreign currency, ending balance
|
|
$
|
1,113,701
|
|
|
|
|
|
Supplemental Disclosure of Cash Flow Information:
|
|
|
|
Cash
paid during the period for interest from bank borrowing:
|
|
$
|
677,495
|
|
See Notes to Financial Statements
21
F
INANCIAL HIGHLIGHTS
September 30, 2009 (Unaudited)
|
|
For the
Six Months Ended
September 30, 2009
(Unaudited)
|
|
Per Common Share Operating Performance
|
|
|
|
Net
asset value beginning of period
|
|
$
|
13.24
|
|
Income
from investment operations:
|
|
|
|
Net
investment income
|
|
0.17
|
*
|
Net
realized and unrealized gain (loss) on investments
|
|
4.13
|
|
Distributions
to Preferred Shareholders from:
|
|
|
|
Net
investment income
|
|
|
|
Total
from Investment Operations
|
|
4.30
|
|
|
|
|
|
Distributions to Common Shareholders from:
|
|
|
|
Net
investment income
|
|
(0.52
|
)
|
Net
realized gain
|
|
|
|
Tax
return of capital
|
|
|
|
Total
Distributions to Common Shareholders
|
|
(0.52
|
)
|
|
|
|
|
Capital Share Transactions:
|
|
|
|
Common
share offering costs charged to paidin capital
|
|
|
|
Preferred
share offering costs and sales load charged to
paidin capital
|
|
|
|
Total
Capital Share Transactions
|
|
|
|
Net
asset value end of period
|
|
$
|
17.02
|
|
Market
price end of period
|
|
$
|
14.66
|
|
|
|
|
|
Total Investment Return Net Asset Value(1):
|
|
33.74
|
%
|
Total Investment Return Market Price(1):
|
|
42.81
|
%
|
|
|
|
|
Ratios and Supplemental Data
|
|
|
|
Net
assets attributable to common shares, end of period (000)
|
|
$
|
177,638
|
|
Ratios
to average net assets attributable to common shareholders:
|
|
|
|
Total
expenses(2)
|
|
3.33
|
%(3)
|
Total
expenses excluding interest on loan(2)(7)
|
|
2.49
|
%(3)
|
Total
expenses excluding dividends on short sales(2)
|
|
2.92
|
%(3)
|
Net
investment income(2)
|
|
2.27
|
%(3)
|
Preferred
share dividends
|
|
N/A
|
|
Portfolio
turnover rate
|
|
55
|
%
|
|
|
|
|
Auction Market Preferred Shares (AMPS)
|
|
|
|
Liquidation
value, end of period, including dividends on
preferred shares (000)
|
|
N/A
|
|
Total
shares outstanding (000)
|
|
N/A
|
|
Asset
coverage per share(5)
|
|
N/A
|
|
Liquidation
preference per share
|
|
N/A
|
|
Average
market value per share(6)
|
|
N/A
|
|
*
|
|
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)
|
|
Ratios do
not reflect dividend payments to preferred shareholders.
|
(3)
|
|
Annualized.
|
22
|
|
|
|
|
|
|
|
|
|
For the Period
|
|
|
|
For the
|
|
For the
|
|
For the
|
|
For the Period
|
|
July 28, 2004
|
|
|
|
Year Ended
|
|
Year Ended
|
|
Year Ended
|
|
June 1, 2005 to
|
|
(inception) to
|
|
|
|
March 31, 2009
|
|
March 31, 2008
|
|
March 31, 2007
|
|
March 31, 2006^
|
|
May 31, 2005
|
|
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
|
|
0.30
|
*
|
0.46
|
*
|
1.79
|
|
0.92
|
|
0.93
|
|
Net
realized and unrealized gain (loss) on investments
|
|
(7.05
|
)
|
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
|
|
(6.80
|
)
|
1.44
|
|
0.34
|
|
5.36
|
|
2.78
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders from:
|
|
|
|
|
|
|
|
|
|
|
|
Net
investment income
|
|
(0.81
|
)
|
(1.72
|
)
|
(1.44
|
)
|
(1.05
|
)
|
(0.93
|
)
|
Net
realized gain
|
|
(0.31
|
)
|
(0.73
|
)
|
(0.71
|
)
|
(0.67
|
)
|
|
|
Tax
return of capital
|
|
(0.44
|
)
|
|
|
|
|
|
|
|
|
Total
Distributions to Common Shareholders
|
|
(1.56
|
)
|
(2.45
|
)
|
(2.15
|
)
|
(1.72
|
)
|
(0.93
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Share Transactions:
|
|
|
|
|
|
|
|
|
|
|
|
Common
share offering costs charged to paidin capital
|
|
|
|
|
|
|
|
|
|
(0.04
|
)
|
Preferred
share offering costs and sales load charged to paidin capital
|
|
|
|
|
|
|
|
|
|
(0.13
|
)
|
Total
Capital Share Transactions
|
|
|
|
|
|
|
|
|
|
(0.17
|
)
|
Net
asset value end of period
|
|
$
|
13.24
|
|
$
|
21.60
|
|
$
|
22.61
|
|
$
|
24.42
|
|
$
|
20.78
|
|
Market
price end of period
|
|
$
|
10.68
|
|
$
|
18.90
|
|
$
|
20.82
|
|
$
|
23.99
|
|
$
|
22.59
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return Net Asset Value(1):
|
|
(32.20
|
)%
|
7.10
|
%
|
1.59
|
%
|
25.99
|
%
|
13.89
|
%
|
Total Investment Return Market Price(1):
|
|
(37.50
|
)%
|
1.77
|
%
|
(4.77
|
)%
|
13.85
|
%
|
18.24
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios and Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
Net
assets attributable to common shares, end of period (000)
|
|
$
|
138,185
|
|
$
|
225,359
|
|
$
|
235,962
|
|
$
|
248,354
|
|
$
|
205,260
|
|
Ratios
to average net assets attributable to common shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
Total
expenses(2)
|
|
3.35
|
%
|
2.10
|
%
|
2.02
|
%
|
2.07
|
%(3)
|
1.89
|
%(3)
|
Total
expenses excluding interest on loan(2)(7)
|
|
2.43
|
%
|
|
(4)
|
|
(4)
|
|
(4)
|
|
(4)
|
Total
expenses excluding dividends on short sales(2)
|
|
2.88
|
%
|
1.85
|
%
|
1.75
|
%
|
1.83
|
%(3)
|
1.54
|
%(3)
|
Net
investment income(2)
|
|
1.73
|
%
|
2.02
|
%
|
2.63
|
%
|
2.73
|
%(3)
|
1.23
|
%(3)
|
Preferred
share dividends
|
|
0.30
|
%
|
2.14
|
%
|
2.10
|
%
|
1.62
|
%(3)
|
0.82
|
%(3)
|
Portfolio
turnover rate
|
|
233
|
%
|
136
|
%
|
187
|
%
|
182
|
%
|
236
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
Auction Market Preferred Shares (AMPS)
|
|
|
|
|
|
|
|
|
|
|
|
Liquidation
value, end of period, including dividends on preferred shares (000)
|
|
|
(4)
|
$
|
95,052
|
|
$
|
95,042
|
|
$
|
95,051
|
|
$
|
95,050
|
|
Total
shares outstanding (000)
|
|
|
(4)
|
3.8
|
|
3.8
|
|
3.8
|
|
3.8
|
|
Asset
coverage per share(5)
|
|
|
(4)
|
$
|
84,319
|
|
$
|
87,106
|
|
$
|
90,370
|
|
$
|
79,029
|
|
Liquidation
preference per share
|
|
|
(4)
|
$
|
25,000
|
|
$
|
25,000
|
|
$
|
25,000
|
|
$
|
25,000
|
|
Average
market value per share(6)
|
|
|
(4)
|
$
|
25,000
|
|
$
|
25,000
|
|
$
|
25,000
|
|
$
|
25,000
|
|
(4)
|
|
All
series of AMPS issued by the Fund were fully redeemed, at par value, on
May 22, 2008.
|
(5)
|
|
Calculated
by subtracting the Funds total liabilities (excluding Preferred Shares) from
the Funds total assets and dividing by the number of preferred shares
outstanding.
|
(6)
|
|
Based on
monthly prices.
|
(7)
|
|
For the
six months ended September 30, 2009 and the year ended March 31,
2009 the ratio of total expenses to average net assets excluding inerest on
loan and interest expense on margin was 2.35% and 2.35%, respectively.
|
^
|
|
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
23
N
OTES
TO FINANCIAL STATEMENTS
September 30,
2009 (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 New York 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.
24
N
OTES
TO FINANCIAL STATEMENTS
September 30,
2009 (Unaudited)
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 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, 2009.
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, 2009, securities which have been fair
valued represented 0.37% of the Funds net assets.
The Fund adopted the
provisions of Financial Accounting Standards Board (FASB) Accounting
Standards Codification
TM
(ASC)
820, FairValue Measurements and Disclosures (formerly FASB Statement of
Financial Accounting Standards (SFAS) No. 157, Fair Value
Measurements), on April 1, 2008. FASB ASC 820 established a threetier
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 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)
25
N
OTES TO FINANCIAL STATEMENTS
(CONTINUED)
September 30,
2009 (Unaudited)
The following is a summary of
the inputs used as of September 30, 2009 in valuing the Funds investments
carried at value:
Investments
in Securities at Value
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
|
Common
Stocks
|
|
$
|
193,153,892
|
|
$
|
308,979
|
|
$
|
|
|
$
|
193,462,871
|
|
Exchange
Traded Funds
|
|
10,359,862
|
|
|
|
$
|
|
|
10,359,862
|
|
Equity
Linked Notes
|
|
947,286
|
|
|
|
$
|
|
|
947,286
|
|
Corporate
Bonds
|
|
|
|
42,573,455
|
|
$
|
|
|
42,573,455
|
|
Asset/Mortgage
Backed Securities
|
|
|
|
1,860,016
|
|
$
|
|
|
1,860,016
|
|
Government &
Agency Obligations
|
|
10,482,125
|
|
637,053
|
|
$
|
|
|
11,119,178
|
|
Purchased
Options
|
|
1,678,020
|
|
|
|
$
|
|
|
1,678,020
|
|
Short-Term
Investments
|
|
8,834,370
|
|
|
|
$
|
|
|
8,834,370
|
|
TOTAL
|
|
$
|
225,455,555
|
|
$
|
45,379,503
|
|
$
|
|
|
$
|
270,835,058
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments*
|
|
|
|
|
|
|
|
|
|
Written
options and securities
sold
short
|
|
$
|
(34,300,064
|
)
|
$
|
|
|
$
|
|
|
$
|
(34,300,064
|
)
|
TOTAL
|
|
$
|
(34,300,064
|
)
|
$
|
|
|
$
|
|
|
$
|
(34,300,064
|
)
|
* Other
financial instruments include written options and securities sold short.
All
securities of the Fund were valued using either Level 1 or Level 2 inputs
during the six months ended September 30, 2009. Thus, a reconciliation of
assets in which significant unobservable inputs (Level 3) were used is not
applicable for this Fund.
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 commissions, 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.
26
N
OTES TO FINANCIAL
STATEMENTS (CONTINUED)
September 30, 2009 (Unaudited)
Written option activity for
the six months ended September 30, 2009 was as follows:
Written
Put Options
|
|
Contracts
|
|
Premiums
|
|
Outstanding,
March 31, 2008
|
|
1,000
|
|
$
|
2,767,999
|
|
Positions
opened
|
|
4,195
|
|
5,516,792
|
|
Exercised
|
|
|
|
|
|
Expired
|
|
(2,950
|
)
|
(3,941,273
|
)
|
Closed
|
|
(40
|
)
|
(44,865
|
)
|
Outstanding,
March 31, 2009
|
|
2,205
|
|
$
|
4,298,653
|
|
Market
Value, March 31, 2009
|
|
|
|
$
|
709,460
|
|
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.
Derivatives
Instruments and Hedging Activities:
The Fund has adopted the provisions of FASB ASC 815, Disclosures about
Derivative Instruments and Hedging Activities (formerly FASB SFAS
No. 161, Disclosures about Derivative Instruments and Hedging
Activities). FASB ASC 815 has established improved financial reporting about
derivative instruments and hedging activities as it relates to disclosure
associated with these types of investments. The following discloses the amounts
related to the Funds use of derivative instruments and hedging activities.
The effect of derivatives
instruments on the Balance Sheet as of September 30, 2009:
Derivatives
not accounted
|
|
Asset
Derivatives
|
|
Liability
Derivitives
|
|
for as
hedging instruments
|
|
Balance
Sheet
|
|
|
|
Balance
Sheet
|
|
|
|
under
FASB ASC 815
|
|
Location
|
|
Fair
Value
|
|
Location
|
|
Fair
Value
|
|
Equity
Contracts
|
|
Investments, at value
|
|
$
|
1,678,020
|
|
Options written at value
|
|
$
|
709,460
|
|
TOTAL
|
|
|
|
$
|
1,678,020
|
|
|
|
$
|
709,460
|
|
The effect of derivatives
instruments on the Statement of Operations for the six months ended September 30,
2009:
|
|
|
|
Realized
|
|
Change
in Unrealized
|
|
Derivatives
not
|
|
|
|
Gain/(Loss)
|
|
Gain/(Loss)
|
|
accounted
for as
|
|
Location
of Gain/(Loss)
|
|
On
Derivatives
|
|
On
Derivatives
|
|
hedging
instruments
|
|
On
Derivatives Recognized
|
|
Recognized
|
|
Recognized
|
|
under
FASB ASC 815
|
|
in
Income
|
|
in
Income
|
|
in
Income
|
|
Equity
Contracts
|
|
Net realized gain (loss) on
Investment securities and Written options/Net change in unrealized
appreciation (depreciation) on investments, options, securities sold short
and translation of assets and liabilities denominated in foreign currencies
|
|
$
|
(4,767,479
|
)
|
$
|
(2,339,631
|
)
|
TOTAL
|
|
|
|
$
|
(4,767,479
|
)
|
$
|
(2,339,631
|
)
|
27
N
OTES TO FINANCIAL STATEMENTS (CONTINUED)
September 30,
2009 (Unaudited)
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.
FASB ASC 740, Income Taxes
(formerly FASB Interpretation No. 48, Accounting for Uncertainty in
Income Taxes) 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 FASB ASC 740. 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, 2009, March 31, 2008,
March 31, 2007, and March 31, 2006.
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 Investment Company Act of 1940, as amended, (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 withholding 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.
Recent
Accounting Pronouncements:
In June 2009, FASB issued FASB ASC 105 (formerly FASB Statement
168), Generally Accepted Accounting Principles, establishing the FASB
Accounting Standards CodificationTM (ASC) as the source of authoritative
generally accepted accounting principles (GAAP) to be applied by
nongovernmental entities. FASB ASC 105 is effective for annual and interim periods
ending after September 15, 2009, and the Company
28
N
OTES TO FINANCIAL STATEMENTS (CONTINUED)
September 30,
2009 (Unaudited)
has updated its references to
GAAP in this report in accordance with the provisions of this pronouncement.
The implementation of FASB ASC 105 did not have a material effect on its financial
position or results of operation.
In April 2009, the FASB
issued FASB ASC 820-10-65 (formerly FASB Staff Position No. FAS 157-4),
Determining Fair Value When the Volume and Level of Activity for the Asset or
Liability Have Significantly Decreased and Identifying Transactions That Are
Not Orderly. This standard applies to all assets and liabilities within the
scope of accounting pronouncements that require or permit fair value
measurements, with certain defined exceptions, and provides additional guidance
for estimating fair value when the volume and level of activity for the asset
or liability have significantly decreased. ASC 820-10-65 is effective for
interim reporting periods ending after June 15, 2009. The implementation
of ASC 820-10-65 did not have a material effect on the Companys financial
position or results of operation.
2. TAXES
Net unrealized
appreciation/depreciation of investments based on federal tax cost as of
September 30, 2009, were as follows:
Gross
appreciation (excess of value over tax cost)
|
|
|
|
$
|
39,906,276
|
|
Gross
depreciation (excess of tax cost over value)
|
|
|
|
(18,428,938
|
)
|
Net
unrealized appreciation
|
|
|
|
$
|
21,477,338
|
|
Cost
of investments for income tax purposes
|
|
|
|
$
|
249,357,720
|
|
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,
2009, 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,
2009
|
|
March 31,
2009
|
|
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 alternative
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. See Note 6 Leverage, for further
information on the borrowing facility used by the Fund during the six months
ended, and as of, September 30, 2009.
4. PORTFOLIO
SECURITIES
Purchases and sales of
investment securities, other than short-term securities, for the six months
ended September 30, 2009 aggregated $148,528,897 and $121,153,942
respectively. Purchases and sales of U.S. government and agency securities,
other than short-term securities, for the six months ended September 30,
2009 aggregated $2,372,256 and $11,099,948, respectively.
29
N
OTES TO FINANCIAL STATEMENTS (CONTINUED)
September 30,
2009 (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.
Both Clough and ALPS are
considered to be affiliates of the Fund as defined in the 1940 Act.
6. LEVERAGE
In January 2009 the Fund
entered into a Committed Facility Agreement (the Agreement) with BNP Paribas
Prime Brokerage, Inc. (BNP) that allowed the Fund to borrow up to an
initial limit of $60,200,000 (the Initial Limit). During the six months ended
September 30, 2009, Fund and BNP amended the Agreement to increase the
borrowing limit on several occasions, subject to the applicable asset coverage
requirements of Section 18 of the 1940 Act. In April, June and
September the Fund borrowed additional amounts of $11,000,000,
$11,000,000, and $7,600,000, respectively. Borrowings under the Agreement are
secured by assets of the Fund. Interest is charged at the three month LIBOR
(London Inter-bank Offered Rate) plus 1.10% on the amount borrowed and 1.00% on
the undrawn balance. The Fund also pays a one time Arrangement fee of 0.25% on
(i) the Initial Limit and (ii) any increased borrowing amount in the
excess of the Initial Limit, paid in monthly installments for the six months
immediately following the date on which borrowings were drawn by the Fund. The
Arrangement fee paid for the six months ended September 30, 2009 totaled
$124,250 and is included in Other expenses in the Statement of Operations. For
the six months ended September 30, 2009, the average amount borrowed under
the agreement and the average interest rate for the amount borrowed were
$78,051,366 and 1.73% respectively. As of September 30, 2009, the amount
of such outstanding borrowings is $89,800,000. The interest rate applicable to
the borrowings on September 30, 2009 was 1.39%.
In addition, BNP has the
ability to reregister the collateral in its own name or in another name other
than the Fund to pledge, re-pledge, sell, lend or otherwise transfer or use the
collateral (Hypothecated Securities) with all attendant rights of ownership.
The Fund can recall any Hypothecated Securities upon demand and without
condition and BNP is obligated to return such security or equivalent security
to the Fund the lesser of five days or the standard market settlement time in
the principal market in which the Hypothecated Securities are traded after such
request. If the Fund recalls a Hypothecated Security in connection with a sales
transaction and BNP fails to return the Hypothecated Securities or equivalent
securities in a timely fashion, BNP shall remain liable to the Funds custodian
for the ultimate delivery of such Hypothecated Securities or equivalent
securities to the executing broker for the sales transaction and for any buy-in
costs that the executing broker may impose with respect to the failure to
deliver. If Hypothecated Securities are not returned by BNP to the Fund by the
deadline to exercise a corporate action (conversion, sub-division, consolidation,
etc.) with respect to such Hypothecated Securities, the Fund can request, and
BNP shall, to the extent
commercially reasonable under the
circumstances, return equivalent securities in such form that will arise if the
right had been exercised. The Fund shall also have the right to apply and set
off an amount equal to one hundred percent (100%) of the then-current fair
market value
30
N
OTES TO FINANCIAL STATEMENTS (CONTINUED)
September 30,
2009 (Unaudited)
of such Hypothecated
Securities against any amounts owed to BNP under the Agreement. The Fund may,
with 30 days notice, reduce the Maximum Commitment Financing (Initial Limit
amount plus the increased borrowing amount in excess of the Initial Limit) to a
lesser amount if drawing on the full amount would result in a violation of the
applicable asset coverage requirement of Section 18 of the 1940 Act.
The Board of Trustees has
approved the Agreement.
The interest incurred on
borrowed amounts is recorded as Interest on Loan in the Statement of
Operations, a part of Total Expenses. Total Expenses are used to calculate some
of the ratios shown in the Financial Highlights. This differs from the way the
dividends paid on the AMPS were recorded in prior years as those amounts were
excluded from Total Expenses on the Statement of Operations. This change in
presentation, based on accounting principles generally accepted in the U.S.,
can cause the ratio of expenses to average net assets (as shown in the Financial
Highlights) to increase compared to prior fiscal years. This is a reflection of
how the information is presented on the financial statements, rather than a
true increase in the cost of leverage (financing vs. the AMPS now redeemed).
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.
31
D
IVIDEND REINVESTMENT PLAN
September 30,
2009 (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 reinvest 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, nonparticipants 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 (OpenMarket 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 OpenMarket 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 exdividend 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 OpenMarket Purchases. If, before
the Plan Administrator has completed its OpenMarket 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 OpenMarket Purchases, the Plan provides that if the Plan
Administrator
32
is unable to invest the full
Dividend amount in OpenMarket 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 OpenMarket 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 OpenMarket 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 4338191.
33
A
DDITIONAL INFORMATION
September 30, 2009 (Unaudited)
F
UND PROXY VOTING POLICIES & PROCEDURES
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, 2009,
are available without a charge, upon request, by contacting the Fund at 18772568445
and on the U.S. Securities and Exchange Commissions (Commission) website at
http://www.sec.gov or on the Fund website at http://www.cloughglobal.com.
P
ORTFOLIO HOLDINGS
September 30,
2009 (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 NQ within 60 days after the end of
the period. Copies of the Funds Forms NQ are available without a charge, upon
request, by contacting the Fund at 18772568445 and on the Commissions
website at http://www.sec.gov. You may also review and copy Form NQ 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 1800SEC0330.
N
OTICE
September 30,
2009 (Unaudited)
Notice is hearby 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 MEETING
September 30,
2008 (unaudited)
On July 17, 2009, the
Fund held its annual Meeting of Shareholders for the purpose of voting on a
proposal to re-elect three Trustees of the Fund. The results of the proposal
were as follows:
Proposal 1:
Re-election of Trustees
|
|
Robert L.
|
|
James E.
|
|
Richard C.
|
|
|
|
Butler
|
|
Canty
|
|
Rantzow
|
|
For
|
|
9,587,244
|
|
9,578,715
|
|
9,581,068
|
|
Withheld
|
|
407,908
|
|
416,437
|
|
414,084
|
|
Withheld
from Director
|
|
407,908
|
|
416,437
|
|
414,084
|
|
34
I
NVESTMENT ADVISORY AGREEMENT
September 30, 2009 (Unaudited)
On July 8, 2009, 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.
The Board reviewed the
organizational structure of Clough and the qualifications of Clough and its
principals to act as the Funds adviser. The Board considered the professional
experience of the portfolio managers, including the biographies of Charles I.
Clough, Jr., Eric A. Brock and James E. Canty, emphasizing that
Mr. Clough, Mr. Brock, and Mr. Canty each had substantial
experience as an investment professional. The Board further noted that Clough
is the investment adviser to the Fund, the Clough Global Opportunities Fund and
the Clough Global Equity Fund, all closed-end funds. The Trustees, all of whom
currently serve as Trustees for the Fund, the Clough Global Allocation Fund and
the Clough Global Equity Fund, acknowledged their familiarity with the
expertise and standing in the investment community of Messrs. Clough,
Brock and Canty, 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.
In response to a request from
a Trustee, Mr. Canty then reviewed Cloughs current staffing as well as
future staffing plans. The Board next reviewed Cloughs procedures relating to
compliance and oversight with respect to Cloughs brokerage allocation and soft
dollar policies. In response to a question from a Trustee, Mr. Gillis
explained how Clough Capital calculated the portfolio turnover rate for each
Fund. The Trustees noted that 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 noted 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. The Board also noted the adequacy of Cloughs facilities.
Mr. Canty further discussed the portfolio turnover rates 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.
35
The Board 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. The Trustees reviewed 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 Agreements. The Trustees then reviewed Cloughs income
statement for the year ended December 31, 2008, and its balance sheet as
of that date. The Trustees further reviewed a profit and loss analysis as it
relates to Cloughs advisory business and compared the profitability analysis
to that provided by Clough Capital to the Board in previous years.
The Board 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 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 seven (7) closed-end investment companies versus the Funds fees. The
investment advisory fee for this group ranged from 0.647% to 1.000%, with a
median of 0.991% . The Board noted that
as prepared by Lipper, the net total expenses for this group ranged from 0.732%
to 1.388%, with a median of 1.224% . The Funds net total expenses were 1.059%
. The Board noted that in addition to the Lipper report, the Board also
received from Clough a comparative fund universe. The Board discussed the
differences in the net total expenses for the Fund as described in the Lipper
report versus that prepared by Clough. The Board noted that the report prepared
by Clough contained the fees and expenses associated with leveraging the Fund
and that the Clough report appeared to be the more accurate comparative
universe.
The Trustees further noted
that the objectives of the funds in the Lipper analysis differed from the
Funds objectives and policies. The Trustees believed that the Lipper report,
augmented by Cloughs analysis, provided a sufficient comparative universe.
Nonetheless, the Trustees noted that the Lipper report appeared to contain some
inconsistencies that were corrected in the Clough report.
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 performance comparison
between the Fund versus twelve (12) closed-end funds. For the one year ended
performance as of May 31, 2009, the performance data ranged from a high of
-20.75% to a low of -50.26% with a median of -33.97%. The Funds performance
during such time period was -29.66%. The Trustees then reviewed the performance
comparison for four (4) closed-end funds versus the Fund from the Funds
inception through May 31, 2009. The performance data ranged from a high of
4.86% to a low of -1.22% with a median of 3.46%. The Funds performance during
such time period was 4.39%.
36
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.
37
T
RUSTEES & OFFICERS
September 30, 2009 (Unaudited)
Information pertaining to the
Trustees and Officers of the Trust is set forth below. Trustees 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,
without charge, upon request by contacting the Fund at 18772568445.
INTERESTED TRUSTEES AND OFFICERS
Name, Age and Address
|
|
Position(s) Held
with Funds/
Length of Time
Served
|
|
Principal
Occupation(s) During
past 5 years* and other Directorships
Held by Trustee
|
|
Number
of
Portfolios in
Fund Complex
Overseen by
Trustee
|
|
|
|
|
|
|
|
James E.
Canty
Age - 47
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 position
with Clough, Mr. Canty is
deemed an affiliate of the Trust as defined under the 1940 Act.
|
|
3
|
|
|
|
|
|
|
|
Edmund J.
Burke
Age - 48
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 Financial Investors Trust
and Financial Investors Variable Insurance
Trust. Mr. Burke is a Trustee
and President of the Clough Global
Equity Fund, Clough Global Opportunities
Fund, and Reaves Utility Income
Fund, is a Trustee and Vice
President of the Liberty All-Star Equity Fund, and is a Director and Vice President of the Liberty All-Star Growth Fund, Inc.
|
|
3
|
*
Except as otherwise indicated, each individual has held the
office shown or other offices in the same company for the last five years.
38
Name, Age and Address
|
|
Position(s) Held
with Funds/
Length of Time
Served
|
|
Principal
Occupation(s) During
past 5 years* and other Directorships
Held by Trustee
|
|
Number
of
Portfolios in
Fund Complex
Overseen by
Trustee
|
|
|
|
|
|
|
|
Jeremy O.
May
Age - 39
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 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., Clough Global Equity Fund, Clough Global Opportunities Fund, Financial Investors Trust and Financial Investors Variable Insurance Trust. Mr. May is also President, Chairman and Trustee of the ALPS Variable Insurance Trust and Chairman, Trustee and Treasurer of the Reaves Utility Income Fund. Mr. May is currently on the
Board of Directors and is
Chairman of the Audit Committee of the University of Colorado Foundation.
|
|
N/A
|
|
|
|
|
|
|
|
Lauren E.
Motley*
Age - 29
1290 Broadway
Ste. 1100
Denver, CO 80203
|
|
Assistant
Treasurer/Since December 10, 2008
|
|
Ms. Motley joined ALPS
in September
2005 as a
Fund Controller. Prior to joining
ALPS, Ms. Motley worked for PricewaterhouseCoopers
from 2003 to 2005. Ms. Motley
is currently also Assistant
Treasurer of the Clough Global
Equity Fund, Clough Global Opportunities
Fund, and Reaves Utility Income
Fund.
|
|
N/A
|
39
Name, Age and Address
|
|
Position(s) Held
with Funds/
Length of Time
Served
|
|
Principal
Occupation(s) During
past 5 years* and other Directorships
Held by Trustee
|
|
Number
of
Portfolios in
Fund Complex
Overseen by
Trustee
|
|
|
|
|
|
|
|
Erin E.
Douglas
Age - 32
1290 Broadway
Ste. 1100
Denver, CO 80203
|
|
Secretary/Since
Inception
|
|
Ms. Douglas is Senior
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 - 33
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 joined ALPS
in 2006. Mr. Akins previously served as Assistant Vice-President and Compliance Officer for UMB Financial Corporation from 2003 to 2006. Before joining UMB, Mr. Akins was an Account Manager at State Street Corporation from 2000 to 2003. 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, EGA Emerging Global Shares Trust, 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.
40
INDEPENDENT TRUSTEES
Name, Age and Address
|
|
Position(s) Held
with Funds/
Length of Time
Served
|
|
Principal
Occupation(s) During
past 5 years* and other Directorships
Held by Trustee
|
|
Number
of
Portfolios in
Fund Complex
Overseen by
Trustee
|
|
|
|
|
|
|
|
Andrew C.
Boynton
Age - 53
Carroll School of Management
Boston College
Fulton Hall 510
140 Comm.Ave.
Chestnut Hill, MA 02467
|
|
Trustee/Since
Inception
|
|
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 L.
Butler
Age - 68
1290 Broadway
Ste. 1100
Denver, CO 80203
|
|
Trustee/Since
Inception
Chairman/Since July 12, 2006
|
|
Since 2001, Mr. Butler
has been an independent 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
|
|
|
|
|
|
|
|
Adam D.
Crescenzi
Age - 67
1290 Broadway
Ste. 1100
Denver, CO 80203
|
|
Trustee/Since
Inception
|
|
Mr. Crescenzi is a
Trustee of Dean
College
and a Trustee and Chairman of the
Nominating Committee of Clough Global
Equity Fund and Clough Global Opportunities
Fund. He has been a founder and
an investor of several start-up
technology and service firms. He
is currently the Founding Partner of Simply Tuscan Imports LLC since 2007. He also serves as a Director of two non-profit organizations. He is retired from CSC Index as Executive Vice-President of Management Consulting Services.
|
|
3
|
41
Name, Age and Address
|
|
Position(s) Held
with Funds/
Length of Time
Served
|
|
Principal
Occupation(s) During
past 5 years* and other Directorships
Held by Trustee
|
|
Number
of
Portfolios in
Fund Complex
Overseen by
Trustee
|
|
|
|
|
|
|
|
John F.
Mee, Esq.
Age - 66
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 College of the Holy
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
|
|
|
|
|
|
|
|
Richard C.
Rantzow
Age - 71
1290 Broadway
Ste. 1100
Denver, CO 80203
|
|
Trustee/Since
Inception
Vice Chairman/ Since July 12, 2006
|
|
Mr. Rantzow is
Vice-Chairman and
Trustee
and Chairman of the Audit Committee
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 - 65
1290 Broadway
Ste. 1100
Denver, CO 80203
|
|
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, Clough Global Opportunities
Fund and Financial Investors
Trust. Mr. Rutledge was from
1994 to 2007 a Regent of the University
of Colorado.
|
|
3
|
42
|
|
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 4,
2009
|
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 4,
2009
|
By:
|
/s/
Jeremy O. May
|
|
|
Jeremy
O. May
|
|
Treasurer/Principal
Financial Officer
|
|
|
Date:
|
December 4,
2009
|
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