UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY
SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-21583
CLOUGH GLOBAL ALLOCATION FUND
(Exact name of registrant as specified in charter)
1290 Broadway, Suite 1100, Denver, Colorado 80203
(Address of principal executive offices) (Zip code)
Erin Nelson
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:
December 31, 2013
Item 1 Schedule of Investments.
The Schedule of Investments is included herewith.
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Clough Global Allocation Fund
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STATEMENT OF INVESTMENTS
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December 31, 2013 (Unaudited)
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Shares
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Value
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COMMON STOCKS 122.72%
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Consumer Discretionary 31.98%
|
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Asbury Automotive Group,
Inc.
(a)(b)(c)
|
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|
41,404
|
|
|
|
$2,225,051
|
|
AutoNation, Inc.
(a)(b)(c)
|
|
|
93,882
|
|
|
|
4,664,997
|
|
Beazer Homes USA, Inc.
(a)(b)
|
|
|
60,371
|
|
|
|
1,474,260
|
|
Byd Co., Ltd. - Class H
(a)
|
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|
148,500
|
|
|
|
727,725
|
|
Charter Communications, Inc. -
Class A
(a)(b)(c)
|
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|
19,600
|
|
|
|
2,680,496
|
|
Cia de Locacao das
Americas
(d)
|
|
|
161,639
|
|
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|
479,590
|
|
Denso Corp.
|
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|
14,500
|
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|
764,172
|
|
Don Quijote Co., Ltd.
|
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|
15,600
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|
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|
943,614
|
|
DR Horton, Inc.
(b)
|
|
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72,700
|
|
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|
1,622,664
|
|
Fifth & Pacific Cos., Inc.
(a)(b)
|
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|
25,883
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|
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|
830,068
|
|
Fuji Heavy Industries, Ltd.
|
|
|
24,173
|
|
|
|
692,067
|
|
Geely Automobile Holdings, Ltd.
|
|
|
1,300,000
|
|
|
|
628,683
|
|
Group 1 Automotive, Inc.
(b)(c)
|
|
|
33,389
|
|
|
|
2,371,287
|
|
Honda Motor Co., Ltd.
|
|
|
10,148
|
|
|
|
417,252
|
|
Imax Corp.
(a)(b)
|
|
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36,200
|
|
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|
1,067,176
|
|
Las Vegas Sands Corp.
(b)
|
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|
7,675
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|
|
|
605,327
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|
Lennar Corp. - Class A
(b)
|
|
|
45,500
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|
|
|
1,799,980
|
|
Liberty Global, Inc. -
Class A
(a)(b)
|
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|
12,857
|
|
|
|
1,144,144
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|
Liberty Global, Inc. -
Series C
(a)(b)
|
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|
18,400
|
|
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1,551,488
|
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Liberty Interactive Corp. -
Class A
(a)(b)
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|
63,651
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1,868,157
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Liberty Media Corp. -
Class A
(a)(b)(c)
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21,012
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3,077,207
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Liberty Ventures -
Series A
(a)(b)(c)
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34,186
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4,190,862
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Lithia Motors, Inc. - Class A
(b)(c)
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40,615
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2,819,493
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Man Wah Holdings, Ltd.
|
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674,334
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1,055,726
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Mazda Motor Corp.
(a)
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136,757
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706,446
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Orient-Express Hotels, Ltd. -
Class A
(a)(b)
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45,406
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|
686,085
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Penske Automotive Group,
Inc.
(b)(c)
|
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64,341
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3,034,322
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|
PulteGroup, Inc.
(b)
|
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59,300
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1,207,941
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Samsonite International S.A.
|
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268,800
|
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818,086
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Service Corp. International
(b)
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62,100
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1,125,873
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Signet Jewelers, Ltd.
|
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7,500
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590,250
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Sirius XM Holdings, Inc.
(a)(b)
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474,600
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1,656,354
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Time Warner Cable, Inc.
(b)(c)
|
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|
21,020
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|
|
|
2,848,210
|
|
Toyota Motor Corp.
|
|
|
19,700
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|
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|
1,200,969
|
|
Under Armour, Inc. -
Class A
(a)(b)
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14,500
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|
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1,265,850
|
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Wyndham Worldwide Corp.
(b)(c)
|
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72,300
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|
|
|
5,327,787
|
|
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|
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60,169,659
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Consumer Staples 2.79%
|
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Brasil Pharma S.A.
(a)(d)
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170,528
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488,617
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China Huishan Dairy Holdings
Co., Ltd.
(a)
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|
860,000
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|
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|
310,537
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Shares
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Value
|
Consumer Staples (continued)
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Hengan International Group Co., Ltd.
|
|
|
72,000
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|
|
$850,522
|
Kirin Holdings Co., Ltd.
|
|
|
72,000
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|
|
1,034,432
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Suntory Beverage & Food Ltd.
|
|
|
10,600
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|
|
337,698
|
Unicharm Corp.
|
|
|
6,500
|
|
|
370,335
|
Vinda International Holdings, Ltd.
|
|
|
601,498
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|
|
1,000,648
|
Whole Foods Market, Inc.
(b)
|
|
|
14,700
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|
|
850,101
|
|
|
|
|
|
|
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|
|
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|
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5,242,890
|
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|
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|
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Energy 12.55%
|
|
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Asia Oil Leveraged Exploration &
Production 1.07%
|
Gazprom OAO - ADR
|
|
|
114,601
|
|
|
979,839
|
OAO Lukoil - Sponsored ADR
|
|
|
16,614
|
|
|
1,037,544
|
|
|
|
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|
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|
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|
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2,017,383
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|
|
|
|
|
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Natural Gas Leveraged Exploration &
Production 0.40%
|
Range Resources Corp.
(b)
|
|
|
9,000
|
|
|
758,790
|
|
|
|
|
|
|
|
|
Non-North American Producers 0.92%
|
InterOil Corp.
(a)(b)
|
|
|
33,419
|
|
|
1,720,744
|
|
|
|
|
|
|
|
|
Oil Leveraged Exploration & Production 3.18%
|
Anadarko Petroleum Corp.
(b)
|
|
|
8,906
|
|
|
706,424
|
Antero Resources Corp.
(a)(b)
|
|
|
2,700
|
|
|
171,288
|
Apache Corp.
(b)
|
|
|
8,300
|
|
|
713,302
|
Denbury Resources, Inc.
(a)(b)
|
|
|
45,912
|
|
|
754,334
|
EOG Resources, Inc.
(b)
|
|
|
2,000
|
|
|
335,680
|
Gulfport Energy Corp.
(a)(b)
|
|
|
20,108
|
|
|
1,269,820
|
Occidental Petroleum Corp.
(b)
|
|
|
9,200
|
|
|
874,920
|
Pioneer Natural Resources Co.
(b)
|
|
|
3,400
|
|
|
625,838
|
Talisman Energy, Inc.
(b)
|
|
|
45,900
|
|
|
534,735
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,986,341
|
|
|
|
|
|
|
|
|
Oil Services & Drillers 1.02%
|
Dresser-Rand Group, Inc.
(a)(b)
|
|
|
9,900
|
|
|
590,337
|
Halliburton Co.
(b)
|
|
|
16,000
|
|
|
812,000
|
Weatherford International, Ltd.
(a)(b)
|
|
|
32,914
|
|
|
509,838
|
|
|
|
|
|
|
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|
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1,912,175
|
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Refiners 5.69%
|
|
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|
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|
|
HollyFrontier Corp.
(b)
|
|
|
48,698
|
|
|
2,419,804
|
Marathon Petroleum Corp.
(b)
|
|
|
27,700
|
|
|
2,540,921
|
Phillips 66
(b)
|
|
|
29,900
|
|
|
2,306,187
|
Tesoro Corp.
|
|
|
15,200
|
|
|
889,200
|
Valero Energy Corp.
(b)
|
|
|
50,700
|
|
|
2,555,280
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,711,392
|
|
|
|
|
|
|
|
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|
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|
Shares
|
|
|
Value
|
Energy (continued)
|
|
|
|
|
|
|
Tankers 0.27%
|
Golar LNG, Ltd.
(b)
|
|
|
13,973
|
|
|
$507,080
|
|
|
|
|
|
|
|
|
|
|
TOTAL ENERGY
|
|
|
|
|
|
23,613,905
|
|
|
|
|
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|
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|
Financials 24.07%
|
|
|
|
|
|
|
Capital Markets 4.82%
|
CITIC Securities Co., Ltd. - Class H
|
|
|
549,797
|
|
|
1,499,582
|
Daiwa Securities Group, Inc.
|
|
|
266,105
|
|
|
2,653,217
|
Haitong Securities Co., Ltd. -
Class H
(d)
|
|
|
735,253
|
|
|
1,280,053
|
Morgan Stanley
(b)(c)
|
|
|
95,287
|
|
|
2,988,200
|
Nomura Holdings, Inc.
|
|
|
84,600
|
|
|
649,904
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,070,956
|
|
|
|
|
|
|
|
|
Commercial Banks 3.87%
|
Grupo Financiero Banorte SAB de
CV - Class O
|
|
|
105,888
|
|
|
740,928
|
Mitsubishi UFJ Financial Group, Inc.
|
|
|
155,400
|
|
|
1,024,096
|
Mizuho Financial Group, Inc.
|
|
|
473,100
|
|
|
1,024,279
|
Sberbank of Russia - ADR
|
|
|
42,010
|
|
|
528,486
|
Sumitomo Mitsui Financial Group, Inc.
|
|
|
21,800
|
|
|
1,121,983
|
Sumitomo Mitsui Trust Holdings, Inc.
|
|
|
277,500
|
|
|
1,459,833
|
Wells Fargo & Co.
|
|
|
30,500
|
|
|
1,384,700
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,284,305
|
|
|
|
|
|
|
|
|
Diversified Financials 7.04%
|
Atlas Mara Co.-Nvest, Ltd.
(a)(d)
|
|
|
116,958
|
|
|
1,412,268
|
Bank of America Corp.
(b)(c)
|
|
|
197,091
|
|
|
3,068,707
|
Citigroup, Inc.
(b)(c)
|
|
|
133,028
|
|
|
6,932,089
|
ING Groep NV
(a)
|
|
|
65,589
|
|
|
911,334
|
JPMorgan Chase & Co.
(b)
|
|
|
15,700
|
|
|
918,136
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,242,534
|
|
|
|
|
|
|
|
|
Insurance 2.68%
|
American International Group, Inc.
|
|
|
21,712
|
|
|
1,108,398
|
Genworth Financial, Inc. -
Class A
(a)(b)(c)
|
|
|
131,861
|
|
|
2,047,801
|
Hartford Financial Services Group, Inc.
(b)
|
|
|
51,928
|
|
|
1,881,351
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,037,550
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts 3.41%
|
American Homes 4 Rent -
Class A
(a)(d)(e)
|
|
|
109,600
|
|
|
1,775,520
|
American Residential Properties, Inc.
(a)(b)(d)
|
|
|
34,000
|
|
|
583,440
|
Digital Realty Trust, Inc.
(b)
|
|
|
23,867
|
|
|
1,172,347
|
PennyMac Mortgage Investment Trust
(b)
|
|
|
40,600
|
|
|
932,176
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
Financials (continued)
|
|
|
|
|
|
|
Redwood Trust, Inc.
(b)
|
|
|
40,100
|
|
|
$776,737
|
Select Income REIT
(d)
|
|
|
18,300
|
|
|
489,342
|
Two Harbors Investment Corp.
|
|
|
74,100
|
|
|
687,648
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,417,210
|
|
|
|
|
|
|
|
|
Real Estate Management & Development 0.26%
|
BHG S.A. - Brazil Hospitality
Group
(a)
|
|
|
84,200
|
|
|
492,513
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 1.99%
|
Home Loan Servicing Solutions Ltd.
(b)
|
|
|
45,592
|
|
|
1,047,248
|
Nationstar Mortgage Holdings,
Inc.
(a)(b)(c)
|
|
|
22,850
|
|
|
844,536
|
Ocwen Financial Corp.
(a)(b)
|
|
|
33,300
|
|
|
1,846,485
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,738,269
|
|
|
|
|
|
|
|
|
|
|
TOTAL FINANCIALS
|
|
|
|
|
|
45,283,337
|
|
|
|
|
|
|
|
|
|
|
Health Care 19.87%
|
|
|
|
|
|
|
Aetna, Inc.
(b)(c)
|
|
|
25,751
|
|
|
1,766,261
|
Akorn, Inc.
(a)(b)
|
|
|
64,800
|
|
|
1,596,024
|
Alkermes PLC
(a)(b)
|
|
|
20,800
|
|
|
845,728
|
Allergan, Inc.
(b)(c)
|
|
|
20,500
|
|
|
2,277,140
|
Amarin Corp. PLC - ADR
(a)
|
|
|
55,242
|
|
|
108,827
|
Astellas Pharma, Inc.
|
|
|
22,900
|
|
|
1,354,734
|
Biogen Idec, Inc.
(a)(b)
|
|
|
4,600
|
|
|
1,286,850
|
Catamaran Corp.
(a)(b)(c)
|
|
|
49,600
|
|
|
2,355,008
|
Celgene Corp.
(a)(b)(c)
|
|
|
12,051
|
|
|
2,036,137
|
Centene Corp.
(a)
|
|
|
11,800
|
|
|
695,610
|
Community Health Systems,
Inc.
(a)(b)
|
|
|
19,806
|
|
|
777,782
|
Forest Laboratories, Inc.
(a)(b)(c)
|
|
|
38,929
|
|
|
2,336,908
|
Gilead Sciences, Inc.
(a)(b)(c)
|
|
|
25,995
|
|
|
1,953,524
|
HCA Holdings, Inc.
(a)(b)
|
|
|
33,877
|
|
|
1,616,272
|
Healthways, Inc.
(a)(b)
|
|
|
92,498
|
|
|
1,419,844
|
Ironwood Pharmaceuticals, Inc.
(a)(b)
|
|
|
55,000
|
|
|
638,550
|
Jazz Pharmaceuticals PLC
(a)
|
|
|
5,413
|
|
|
685,069
|
LifePoint Hospitals, Inc.
(a)(b)
|
|
|
19,690
|
|
|
1,040,419
|
McKesson Corp.
(b)
|
|
|
6,380
|
|
|
1,029,732
|
Perrigo Co. Plc
(b)
|
|
|
10,900
|
|
|
1,672,714
|
Pfizer, Inc.
(b)(c)
|
|
|
98,800
|
|
|
3,026,244
|
Salix Pharmaceuticals, Ltd.
(a)(b)
|
|
|
7,700
|
|
|
692,538
|
Sanofi - ADR
(b)
|
|
|
17,153
|
|
|
919,915
|
Sinopharm Group Co., Ltd. -
Class H
|
|
|
396,400
|
|
|
1,137,420
|
Team Health Holdings, Inc.
(a)(b)
|
|
|
16,734
|
|
|
762,234
|
Towa Pharmaceutical Co., Ltd.
|
|
|
14,000
|
|
|
586,934
|
UnitedHealth Group, Inc.
(b)
|
|
|
9,400
|
|
|
707,820
|
Veracyte, Inc.
(a)(b)
|
|
|
7,700
|
|
|
111,650
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
Health Care (continued)
|
|
|
|
|
|
|
WellPoint, Inc.
(b)(c)
|
|
|
21,200
|
|
|
$1,958,668
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,396,556
|
|
|
|
|
|
|
|
|
|
|
Industrials 14.06%
|
|
|
|
|
|
|
Allison Transmission Holdings,
Inc.
(b)(c)(d)
|
|
|
132,569
|
|
|
3,660,230
|
Brenntag AG
|
|
|
9,288
|
|
|
1,721,775
|
Colfax Corp.
(a)(b)
|
|
|
13,614
|
|
|
867,076
|
Delta Air Lines, Inc.
|
|
|
101,000
|
|
|
2,774,470
|
Empresas ICA SAB de CV
(a)
|
|
|
241,609
|
|
|
498,707
|
Empresas ICA SAB de CV -
ADR
(a)(b)(c)
|
|
|
15,930
|
|
|
134,609
|
FANUC Corp.
|
|
|
4,100
|
|
|
749,454
|
FLIR Systems, Inc.
(b)
|
|
|
97,000
|
|
|
2,919,700
|
Japan Airlines Co., Ltd.
|
|
|
17,300
|
|
|
852,597
|
Mitsubishi Heavy Industries, Ltd.
|
|
|
182,000
|
|
|
1,125,078
|
Scorpio Bulkers, Inc.
(a)
|
|
|
30,700
|
|
|
308,535
|
SMC Corp.
|
|
|
1,840
|
|
|
463,014
|
Sumitomo Corp.
|
|
|
37,672
|
|
|
472,554
|
TransDigm Group, Inc.
(b)
|
|
|
10,400
|
|
|
1,674,608
|
United Continental Holdings, Inc.
(a)
|
|
|
66,900
|
|
|
2,530,827
|
Verisk Analytics, Inc. - Class A
(a)(b)
|
|
|
13,400
|
|
|
880,648
|
ViaSat, Inc.
(a)(b)(c)
|
|
|
47,949
|
|
|
3,004,005
|
WABCO Holdings, Inc.
(a)(b)
|
|
|
13,545
|
|
|
1,265,238
|
Wesco Aircraft Holdings, Inc.
(a)
|
|
|
24,900
|
|
|
545,808
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,448,933
|
|
|
|
|
|
|
|
|
|
|
Information Technology 14.25%
|
|
|
|
|
|
|
Cisco Systems, Inc.
(b)
|
|
|
76,900
|
|
|
1,726,405
|
Citrix Systems, Inc.
(a)(b)
|
|
|
23,900
|
|
|
1,511,675
|
eBay, Inc.
(a)(b)
|
|
|
29,707
|
|
|
1,630,617
|
EMC Corp.
(b)
|
|
|
37,100
|
|
|
933,065
|
Endurance International Group Holdings, Inc.
(a)(b)
|
|
|
110,100
|
|
|
1,561,218
|
Google, Inc. - Class A
(a)
|
|
|
4,040
|
|
|
4,527,669
|
Hoya Corp.
|
|
|
13,400
|
|
|
371,805
|
Investment AB Kinnevik - Class B
|
|
|
50,178
|
|
|
2,324,063
|
Jive Software, Inc.
(a)(b)
|
|
|
73,835
|
|
|
830,644
|
Keyence Corp.
|
|
|
1,450
|
|
|
619,599
|
Micron Technology, Inc.
(a)(b)(c)
|
|
|
85,000
|
|
|
1,849,600
|
NXP Semiconductor NV
(a)(b)
|
|
|
40,152
|
|
|
1,844,181
|
Omron Corp.
|
|
|
22,597
|
|
|
996,706
|
Samsung Electronics Co., Ltd.
|
|
|
553
|
|
|
718,924
|
SanDisk Corp.
(b)
|
|
|
27,134
|
|
|
1,914,032
|
Seagate Technology
(b)
|
|
|
24,900
|
|
|
1,398,384
|
SK Hynix, Inc.
(a)
|
|
|
27,911
|
|
|
973,255
|
Western Digital Corp.
(b)
|
|
|
12,900
|
|
|
1,082,310
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,814,152
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
Materials 2.88%
|
|
|
|
|
|
|
Berry Plastics Group, Inc.
(a)(b)
|
|
|
72,801
|
|
|
$1,731,936
|
Graphic Packaging Holding Co.
(a)(b)
|
|
|
153,406
|
|
|
1,472,697
|
WR Grace & Co.
(a)(b)
|
|
|
22,500
|
|
|
2,224,575
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,429,208
|
|
|
|
|
|
|
|
|
Telecommunication Services 0.27%
|
Nippon Telegraph & Telephone Corp.
|
|
|
9,500
|
|
|
510,588
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $200,319,390)
|
|
|
|
|
|
230,909,228
|
|
|
|
|
|
|
|
|
|
EXCHANGE TRADED FUNDS 1.73%
|
|
|
|
SPDR
®
Gold Shares
(a)(b)
|
|
|
27,970
|
|
|
3,249,275
|
|
|
|
|
|
|
|
|
|
TOTAL EXCHANGE TRADED FUNDS
(Cost $3,611,498)
|
|
|
3,249,275
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS 1.19%
|
|
|
|
|
|
|
Financials 0.40%
|
First Republic Bank, 5.500%
(b)
|
|
|
38,600
|
|
|
744,980
|
|
|
|
|
|
|
|
|
Fixed Income 0.79%
|
BB&T Corp., Series G,
5.200%
(b)
|
|
|
38,600
|
|
|
725,680
|
US Bancorp, Series H,
5.150%
(b)
|
|
|
38,600
|
|
|
770,842
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,496,522
|
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCKS
(Cost $2,898,474)
|
|
|
2,241,502
|
|
|
|
|
|
|
|
|
|
|
WARRANTS 0.04%
|
|
|
|
|
|
|
Atlas Mara Co.-Nvest, Ltd., Strike price $11.50, Expires 12/17/2017
(a)
|
|
|
116,958
|
|
|
74,853
|
|
|
|
|
|
|
|
|
|
|
TOTAL WARRANTS
(Cost $1,170)
|
|
|
|
|
|
74,853
|
|
|
|
|
|
|
|
|
|
|
Description and
Maturity Date
|
|
Principal
Amount
|
|
|
Value
|
CORPORATE BONDS 8.94%
|
|
|
|
|
|
|
B/E Aerospace, Inc.
04/01/2022, 5.250%
(b)
|
|
|
$575,000
|
|
|
586,500
|
Ball Corp.
11/15/2023, 4.000%
(b)
|
|
|
1,025,000
|
|
|
922,500
|
Bank of America Corp.
Series U, 12/01/2049, 5.200%
(b)(f)
|
|
|
1,665,000
|
|
|
1,473,525
|
|
|
|
|
|
|
|
Description and
Maturity Date
|
|
Principal
Amount
|
|
|
Value
|
CORPORATE BONDS (continued)
|
The Bank of New York Mellon Corp.
Series D, 12/20/2049, 4.500%
(b)(f)
|
|
|
$1,190,000
|
|
|
$1,082,900
|
Citigroup, Inc.
07/30/2049, 5.950%
(b)(f)
|
|
|
1,335,000
|
|
|
1,237,011
|
Crown Americas LLC / Crown Americas Capital Corp. IV
Series WI, 01/15/2023,
4.500%
(b)
|
|
|
1,050,000
|
|
|
987,000
|
Eaton Vance Corp.
06/15/2023, 3.625%
(b)
|
|
|
490,000
|
|
|
469,632
|
Ford Motor Credit Co. LLC
09/20/2022, 4.250%
(b)
|
|
|
1,000,000
|
|
|
1,004,921
|
General Electric Capital Corp.
Series C, 06/15/2049, 5.250%
(b)(f)
|
|
|
1,050,000
|
|
|
989,625
|
General Motors Co.
10/02/2023, 4.875%
(b)(d)
|
|
|
1,500,000
|
|
|
1,526,250
|
ING US, Inc.
05/15/2053, 5.650%
(b)(f)
|
|
|
150,000
|
|
|
145,912
|
JPMorgan Chase & Co.
Series Q, 11/01/2049, 5.150%
(b)(f)
|
|
|
1,485,000
|
|
|
1,340,212
|
Lamar Media Corp.
05/01/2023, 5.000%
(b)
|
|
|
740,000
|
|
|
706,700
|
Lear Corp.
01/15/2023, 4.750%
(b)(d)
|
|
|
725,000
|
|
|
683,313
|
PNC Financial Services Group, Inc.,
Series R, 05/29/2049, 4.850%
(b)(f)
|
|
|
1,490,000
|
|
|
1,338,020
|
Provident Bank of Maryland
05/01/2018, 9.500%
(b)
|
|
|
1,000,000
|
|
|
997,223
|
TRW Automotive, Inc.
12/01/2023, 4.450%
(d)
|
|
|
435,000
|
|
|
423,038
|
Zions Bancorporation
12/15/2049, 5.800%
(b)(f)
|
|
|
1,005,000
|
|
|
917,063
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS
(Cost $16,919,872)
|
|
|
|
|
|
16,831,345
|
|
|
|
|
|
|
|
|
ASSET/MORTGAGE BACKED SECURITIES 0.19%
|
Small Business Administration Participation Certificates
Series 2008-20L, Class 1,
12/01/2028, 6.220%
(b)
|
|
|
321,901
|
|
|
363,393
|
|
|
|
|
|
|
|
|
|
TOTAL ASSET/MORTGAGE BACKED SECURITIES
(Cost $321,902)
|
|
|
363,393
|
|
|
|
|
|
|
|
|
GOVERNMENT & AGENCY OBLIGATIONS 5.93%
|
U.S. Treasury Bonds
|
|
|
|
|
|
|
05/15/2021, 3.125%
(b)
|
|
|
3,200,000
|
|
|
3,332,000
|
11/15/2023, 2.750%
(b)
|
|
|
3,400,000
|
|
|
3,320,579
|
08/15/2029, 6.125%
(b)
|
|
|
1,245,000
|
|
|
1,631,728
|
08/15/2041, 3.750%
(b)
|
|
|
2,950,000
|
|
|
2,865,188
|
|
|
|
|
|
|
|
|
|
TOTAL GOVERNMENT & AGENCY OBLIGATIONS
(Cost $11,435,224)
|
|
|
11,149,495
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Contracts
|
|
|
Value
|
PURCHASED OPTIONS
|
|
|
|
|
|
|
PUT OPTIONS PURCHASED 0.27%
|
S&P 500
®
Index, Expires February, 2014, Exercise Price $1,800.00
|
|
|
300
|
|
|
$516,000
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS
(Cost $855,610)
|
|
|
516,000
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
SHORT-TERM INVESTMENTS 6.64%
|
Money Market Fund
|
|
|
|
|
|
|
Morgan Stanley Institutional Liquidity Funds - Prime Portfolio
(0.045% 7-day yield)
|
|
|
12,484,637
|
|
|
12,484,637
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $12,484,637)
|
|
|
12,484,637
|
|
|
|
|
|
|
|
|
|
Total Investments - 147.65%
(Cost $248,847,777)
|
|
|
277,819,728
|
|
|
Liabilities in Excess of Other Assets - (47.65%)
(g)
|
|
|
(89,659,446)
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS - 100.00%
|
|
|
|
|
|
$188,160,282
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF WRITTEN
OPTIONS
|
|
Number of
Contracts
|
|
|
Value
|
CALL OPTIONS WRITTEN
|
McKesson Corp., Expires January, 2014, Exercise Price $140.00
|
|
|
30
|
|
|
$(63,900)
|
Pfizer, Inc., Expires March, 2014, Exercise Price $30.00
|
|
|
500
|
|
|
(58,500)
|
|
|
|
|
|
|
|
|
|
TOTAL CALL OPTIONS WRITTEN
(Premiums received $38,148)
|
|
|
(122,400)
|
|
|
|
|
|
|
|
|
|
|
PUT OPTIONS WRITTEN
|
|
|
|
|
|
|
S&P 500
®
Index, Expires February, 2014, Exercise Price $1,720.00
|
|
|
300
|
|
|
(202,500)
|
|
|
|
|
|
|
|
|
|
TOTAL PUT OPTIONS WRITTEN
(Premiums received $343,391)
|
|
|
(202,500)
|
|
|
|
|
|
|
|
|
|
TOTAL WRITTEN OPTIONS
(Premiums received $381,539)
|
|
|
$(324,900)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SCHEDULE OF SECURITIES SOLD
SHORT
(a)
|
|
Shares
|
|
|
Value
|
COMMON STOCKS (15.15%)
|
|
|
|
|
|
|
Energy (0.51%)
|
|
|
|
|
|
|
Non-North American Producers (0.51%)
|
Petroleo Brasileiro S.A. - ADR
|
|
|
(69,519
|
)
|
|
$(957,972)
|
|
|
|
|
|
|
|
|
|
|
TOTAL ENERGY
|
|
|
|
|
|
(957,972)
|
|
|
|
|
|
|
|
|
|
|
Financials (2.54%)
|
|
|
|
|
|
|
Capital Markets (0.83%)
|
Deutsche Bank AG
|
|
|
(25,739
|
)
|
|
(1,241,649)
|
Mediobanca SpA
|
|
|
(35,800
|
)
|
|
(313,232)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,554,881)
|
|
|
|
|
|
|
|
|
Commercial Banks (1.71%)
|
Banco Bilbao Vizcaya Argentaria S.A. - ADR
|
|
|
(7,771
|
)
|
|
(96,283)
|
Banco Santander S.A.
|
|
|
(64,331
|
)
|
|
(575,784)
|
Banco Santander S.A. - ADR
|
|
|
(10,358
|
)
|
|
(93,947)
|
Credit Agricole S.A.
|
|
|
(35,715
|
)
|
|
(457,185)
|
Lloyds Banking Group PLC
|
|
|
(600,006
|
)
|
|
(783,740)
|
Societe Generale S.A.
|
|
|
(18,477
|
)
|
|
(1,073,186)
|
UniCredit SpA
|
|
|
(18,961
|
)
|
|
(140,336)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(3,220,461)
|
|
|
|
|
|
|
|
|
|
|
TOTAL
FINANCIALS
|
|
|
|
|
|
(4,775,342)
|
|
|
|
|
|
|
|
|
|
|
Health Care (2.96%)
|
|
|
|
|
|
|
Intuitive Surgical, Inc.
|
|
|
(2,743
|
)
|
|
(1,053,531)
|
Merck & Co., Inc.
|
|
|
(34,500
|
)
|
|
(1,726,725)
|
Owens & Minor, Inc.
|
|
|
(18,700
|
)
|
|
(683,672)
|
St. Jude Medical, Inc.
|
|
|
(11,800
|
)
|
|
(731,010)
|
Vertex Pharmaceuticals, Inc.
|
|
|
(9,480
|
)
|
|
(704,364)
|
Waters Corp.
|
|
|
(6,800
|
)
|
|
(680,000)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(5,579,302)
|
|
|
|
|
|
|
|
|
|
|
Industrials (3.39%)
|
|
|
|
|
|
|
Atlas Copco AB - A Shares
|
|
|
(55,752
|
)
|
|
(1,545,524)
|
Bombardier, Inc. - Class B
|
|
|
(270,983
|
)
|
|
(1,176,024)
|
Caterpillar, Inc.
|
|
|
(24,000
|
)
|
|
(2,179,440)
|
Sandvik AB
|
|
|
(104,789
|
)
|
|
(1,477,703)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(6,378,691)
|
|
|
|
|
|
|
|
|
|
|
Information Technology (4.38%)
|
|
|
|
|
|
|
Arrow Electronics, Inc.
|
|
|
(3,800
|
)
|
|
(206,150)
|
ASML Holding NV
|
|
|
(14,900
|
)
|
|
(1,396,130)
|
Avago Technologies, Ltd.
|
|
|
(21,000
|
)
|
|
(1,110,690)
|
F5 Networks, Inc.
|
|
|
(16,777
|
)
|
|
(1,524,358)
|
Freescale Semiconductor, Ltd.
|
|
|
(44,200
|
)
|
|
(709,410)
|
Hewlett-Packard Co.
|
|
|
(52,803
|
)
|
|
(1,477,428)
|
Infosys Technologies, Ltd. - Sponsored ADR
|
|
|
(1,218
|
)
|
|
(68,939)
|
|
|
|
|
|
|
|
SCHEDULE OF SECURITIES
SOLD SHORT
(a)
|
|
Shares
|
|
|
Value
|
Information Technology (continued)
|
International Business Machines Corp.
|
|
|
(5,500
|
)
|
|
$(1,031,635)
|
Xilinx, Inc.
|
|
|
(15,500
|
)
|
|
(711,760)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(8,236,500)
|
|
|
|
|
|
|
|
|
|
|
Materials (1.37%)
|
|
|
|
|
|
|
BHP Billiton, Ltd.
|
|
|
(27,839
|
)
|
|
(944,331)
|
Cliffs Natural Resources, Inc.
|
|
|
(62,534
|
)
|
|
(1,639,016)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2,583,347)
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Proceeds $26,214,051)
|
|
|
(28,511,154)
|
|
|
|
|
|
|
|
|
EXCHANGE TRADED FUNDS (20.93%)
|
Health Care Select Sector SPDR
®
Fund
|
|
|
(69,800
|
)
|
|
(3,869,712)
|
iShares
®
FTSE China 25 Index Fund
|
|
|
(44,493
|
)
|
|
(1,706,307)
|
iShares
®
MSCI Emerging Markets Index Fund
|
|
|
(90,600
|
)
|
|
(3,784,362)
|
iShares
®
Nasdaq Biotechnology ETF
|
|
|
(8,687
|
)
|
|
(1,972,470)
|
iShares
®
Russell 2000
®
Index
Fund
|
|
|
(162,800
|
)
|
|
(18,772,468)
|
SPDR
®
S&P 500
®
ETF
Trust
|
|
|
(50,200
|
)
|
|
(9,270,434)
|
|
|
TOTAL EXCHANGE TRADED FUNDS
(Proceeds $34,909,327)
|
|
|
(39,375,753)
|
|
|
|
|
|
|
|
|
|
TOTAL SECURITIES SOLD SHORT
(Proceeds $61,123,378)
|
|
|
$(67,886,907)
|
|
|
|
|
|
|
|
(a)
|
Non-income producing security.
|
(b)
|
Pledged security; a portion or all of the security is pledged as collateral for written options, securities sold short or borrowings as of December 31,
2013. (See Note 1)
|
(c)
|
Loaned security; a portion or all of the security is on loan as of December 31, 2013.
|
(d)
|
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
December 31, 2013, these securities had a total value of $12,801,661 or 6.80% of net assets.
|
(e)
|
Fair valued security; valued by management in accordance with procedures approved by the Funds Board of Trustees. As of December 31, 2013, these securities had a total value of $1,775,520 or 0.94% of total
net assets.
|
(f)
|
Floating or variable rate security - rate disclosed as of December 31, 2013.
|
(g)
|
Includes cash which is being held as collateral for total return swap contracts.
|
Abbreviations:
AB - Aktiebolag is the
Swedish equivalent of the term corporation
ADR - American Depositary Receipt
AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders
Bps - Basis Points
ETF - Exchange Traded Fund
LLC - Limited Liability Corporation
Ltd. -
Limited
MSCI - Morgan Stanley Capital International
NV - Naamloze Vennootschap (Dutch: Limited Liability Company)
OAO - Otkrytoe Aktsionernoe Obschestvo (a Russian open joint stock corporation)
PLC - Public Limited Liability
REIT - Real Estate Investment Trust
S.A. - Generally designates corporations in various countries, mostly those employing the civil law
SpA - Societa` Per Azioni is an Italian shared company
SAB de CV - Sociedad Anonima de Capital Variable (Spanish Variable Capital Company)
S&P - Standard & Poors
SPDR -
Standard & Poors Depositary Receipt
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL RETURN SWAP CONTRACTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counter Party
|
|
Reference
Entry/Obligation
|
|
Notional
Amount
|
|
|
Floating Rate Paid by the
Fund
|
|
Floating Rate Index
|
|
Termination
Date
|
|
|
Unrealized
Depreciation
|
|
Morgan Stanley
|
|
Bharti Infratel, Ltd.
|
|
$
|
1,535,035
|
|
|
30 Bps + 1D FEDEF
|
|
1D FEDEF
|
|
|
12/30/2014
|
|
|
$
|
(498,932)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,535,035
|
|
|
|
|
|
|
|
|
|
|
$
|
(498,932)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized appreciation/depreciation of investments based on federal tax costs were as follows:
|
|
|
|
|
|
|
|
|
|
As of December 31, 2013
|
|
Gross appreciation (excess of value over tax cost)
|
|
$
|
33,579,011
|
|
Gross depreciation (excess of tax cost over value)
|
|
|
(5,819,879)
|
|
Net unrealized appreciation
|
|
$
|
27,759,132
|
|
|
|
|
|
|
Cost of investments for income tax purposes
|
|
$
|
250,060,596
|
|
|
|
|
|
|
See Notes to Quarterly Statement of Investments.
CLOUGH GLOBAL ALLOCATION FUND
NOTES TO QUARTERLY STATEMENT OF INVESTMENTS
DECEMBER 31, 2013
(UNAUDITED)
1. ORGANIZATION AND 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.
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.
Investment Valuation:
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. Most securities listed on a foreign exchange are valued at the last sale price at the close of the exchange on which the security is primarily traded. In certain countries market maker
prices are used since they are the most representative of the daily trading activity. Market maker prices are usually the mean between the bid and ask prices. Certain markets are not closed at the time that the Fund prices its portfolio securities.
In these situations, snapshot prices are provided by the individual pricing services or other alternate sources at the close of the NYSE as appropriate. Securities not traded on a particular day are valued at the mean between the last reported bid
and the asked quotes, or the last sale price when appropriate; otherwise fair value will be determined by the board-appointed fair valuation committee. 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 or dealers 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 or a matrix method which considers yield or price of comparable bonds provided by a
pricing service. 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. Total return swaps are priced based on
valuations provided by a board approved independent third party pricing agent. If a total return swap price cannot be obtained from an independent third party pricing agent the Fund shall seek to obtain a bid price from at least one independent
and/or executing broker.
If the price of a security is unavailable in accordance with the aforementioned pricing procedures, or the price of
a security is unreliable, e.g., due to the occurrence of a significant event, the security may be valued at its fair value determined by management 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 a
Fund could actually receive on a sale of the security.
A three-tier hierarchy has been established to classify 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 the Funds investments as of the reporting period end. These inputs are categorized in the
following hierarchy under applicable financial accounting standards:
|
|
|
Level 1
|
|
Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement
date;
|
Level 2
|
|
Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either
directly or indirectly) for substantially the full term of the asset or liability; and
|
Level 3
|
|
Significant unobservable prices or inputs (including the Funds own assumptions in determining the fair value of investments) where there is little or no market
activity for the asset or liability at the measurement date.
|
The following is a summary of the inputs used as of December 31, 2013 in valuing the Funds
investments carried at value. The Fund recognizes transfers between the levels as of the beginning of the annual period in which the transfer occurred. There were no transfers between Levels 1 and 2 during the period ended December 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities at Value*
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary
|
|
$
|
60,169,659
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
60,169,659
|
|
Consumer Staples
|
|
|
5,242,890
|
|
|
|
|
|
|
|
|
|
|
|
5,242,890
|
|
Energy
|
|
|
23,613,905
|
|
|
|
|
|
|
|
|
|
|
|
23,613,905
|
|
Financials
|
|
|
43,507,817
|
|
|
|
1,775,520
|
|
|
|
|
|
|
|
45,283,337
|
|
Health Care
|
|
|
37,396,556
|
|
|
|
|
|
|
|
|
|
|
|
37,396,556
|
|
Industrials
|
|
|
26,448,933
|
|
|
|
|
|
|
|
|
|
|
|
26,448,933
|
|
Information Technology
|
|
|
26,814,152
|
|
|
|
|
|
|
|
|
|
|
|
26,814,152
|
|
Materials
|
|
|
5,429,208
|
|
|
|
|
|
|
|
|
|
|
|
5,429,208
|
|
Telecommunication Services
|
|
|
510,588
|
|
|
|
|
|
|
|
|
|
|
|
510,588
|
|
Exchange Traded Funds
|
|
|
3,249,275
|
|
|
|
|
|
|
|
|
|
|
|
3,249,275
|
|
Preferred Stocks
|
|
|
2,241,502
|
|
|
|
|
|
|
|
|
|
|
|
2,241,502
|
|
Warrants
|
|
|
74,853
|
|
|
|
|
|
|
|
|
|
|
|
74,853
|
|
Corporate Bonds
|
|
|
|
|
|
|
16,831,345
|
|
|
|
|
|
|
|
16,831,345
|
|
Asset/Mortgage Backed Securities
|
|
|
|
|
|
|
363,393
|
|
|
|
|
|
|
|
363,393
|
|
Government & Agency Obligations
|
|
|
11,149,495
|
|
|
|
|
|
|
|
|
|
|
|
11,149,495
|
|
Purchased Options
|
|
|
516,000
|
|
|
|
|
|
|
|
|
|
|
|
516,000
|
|
Short-Term Investments
|
|
|
12,484,637
|
|
|
|
|
|
|
|
|
|
|
|
12,484,637
|
|
|
|
TOTAL
|
|
$
|
258,849,470
|
|
|
$
|
18,970,258
|
|
|
$
|
|
|
|
$
|
277,819,728
|
|
|
|
|
|
|
|
|
Other Financial Instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Written Options
|
|
$
|
(324,900)
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
(324,900)
|
|
Securities Sold Short
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
$
|
(28,511,154)
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
(28,511,154)
|
|
Exchange Traded Funds
|
|
|
(39,375,753)
|
|
|
|
|
|
|
|
|
|
|
|
(39,375,753)
|
|
Total Return Swap Contracts
**
|
|
$
|
|
|
|
$
|
(498,932)
|
|
|
$
|
|
|
|
$
|
(498,932)
|
|
|
|
TOTAL
|
|
$
|
(68,211,807)
|
|
|
$
|
(498,932)
|
|
|
$
|
|
|
|
$
|
(68,710,739)
|
|
|
|
|
|
|
|
|
|
|
|
|
* For detailed industry
descriptions, see the accompanying Statements of Investments.
** Swap
contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contracts value from trade date.
|
In the event a board approved independent pricing service is unable to provide an evaluated price for a security or Clough Capital
Partners L.P. (the advisor) believes the price provided is not reliable, securities of the Fund may be valued at fair value as described above. In these instances the advisor may seek to find an alternative independent source, such as a
broker/dealer to provide a price quote, or by using evaluated pricing models similar to the techniques and models used by the independent pricing service. These fair value measurement techniques may utilize unobservable inputs (Level 3).
On a monthly basis, the Fair Value Committee of the Fund meets and discusses securities that have been fair valued during the preceding month in accordance with the
Funds Fair Value Procedures and reports quarterly to the Board of Trustees on the results of those meetings.
For the period ended December 31, 2013, the
Fund did not have significant unobservable inputs (Level 3) used in determining fair value. Therefore, a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value is not applicable.
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.
A foreign currency contract is a commitment to purchase or sell a foreign currency at a future date, at a
negotiated rate. The Fund may enter into foreign currency contracts to settle specific purchases or sales of securities denominated in a foreign currency and for protection from adverse exchange rate fluctuation. Risks to the Fund include the
potential inability of the counterparty to meet the terms of the contract.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held by the Fund and the resulting unrealized appreciation or depreciation are determined using prevailing forward foreign currency exchange rates. These spot contracts are used by the broker to settle investments denominated in foreign
currencies.
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.
The Fund may also sell a security short if
it owns at least an equal amount of the security sold short or another security convertible or exchangeable for an equal amount of the security sold short without payment of further compensation (a short sale against-the-box). In a short sale
against-the-box, the short seller is exposed to the risk of being forced to deliver stock that it holds to close the position if the borrowed stock is called in by the lender, which would cause gain or loss to be recognized on the delivered stock.
The Fund expects normally to close its short sales against-the-box by delivering newly acquired stock.
Derivatives Instruments and Hedging Activities:
The following discloses the Funds use of derivative instruments and hedging activities.
The Funds investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of
derivative contracts, including, but not limited to, purchased and written options, swaps, and warrants. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of
exposure to market factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity securities; they require little or no initial cash investment, they can focus exposure on only
certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objective more quickly and efficiently than if it was to make
direct purchases or sales of securities capable of effecting a similar response to market factors.
Market Risk Factors:
In pursuit of its
investment objective, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors:
Equity Risk: Equity risk relates to the change in value of equity securities as they relate to increases or decreases in
the general market.
Risk of Investing in Derivatives: The Funds use of derivatives can result in losses due
to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease or hedge exposures to market risk factors for securities held by the Fund, there are also risks that those
derivatives may not perform as expected, resulting in losses for the combined or hedged positions.
Derivatives may
have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure
relative to its net assets and can substantially increase the volatility of the Funds performance.
Additional
associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or
decrease exposure to, per its investment objective, but are the additional risks from investing in derivatives.
Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the
derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by
each derivative type in the notes that follow.
The Fund may acquire put and call options and options on stock
indices and enter into stock index futures contracts, certain credit derivatives transactions and short sales in connection with its equity investments. In connection with the Funds investments in debt securities, it may enter into related
derivatives transactions such as interest rate futures, swaps and options thereon and certain credit derivatives transactions. Derivatives transactions of the types described above subject the Fund to increased risk of principal loss due to
imperfect correlation or unexpected price or interest rate movements. The Fund also will be subject to credit risk with respect to the counterparties to the derivatives contracts purchased by a Fund. If a counterparty becomes bankrupt or otherwise
fails to perform its obligations under a derivatives contract due to financial difficulties, the Fund may experience significant delays in obtaining any recovery under the derivatives contract in a bankruptcy or other reorganization proceeding. The
Fund may obtain only a limited recovery or may obtain no recovery in such circumstances.
Option Writing/Purchasing:
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. 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. The Fund is obligated to pay interest to the broker for any debit balance of the margin account relating to options.
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. The difference between the premium received and the amount paid on effecting a
closing purchase transaction, including brokerage commissions, is recorded as a realized gain or 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 Call Options
|
|
|
Written Put Options
|
|
|
|
Contracts
|
|
|
Premiums
|
|
|
Contracts
|
|
|
Premiums
|
|
Outstanding, March 31, 2013
|
|
|
|
|
|
$
|
|
|
|
|
|
|
|
$
|
|
|
Positions opened
|
|
|
2,427
|
|
|
|
265,225
|
|
|
|
1,200
|
|
|
|
1,574,559
|
|
Exercised
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expired
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Closed
|
|
|
(1,897)
|
|
|
|
(227,077)
|
|
|
|
(900)
|
|
|
|
(1,231,168)
|
|
Split
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding, December 31, 2013
|
|
|
530
|
|
|
$
|
38,148
|
|
|
|
300
|
|
|
$
|
343,391
|
|
|
|
Market Value, December 31, 2013
|
|
|
|
|
|
$
|
122,400
|
|
|
|
|
|
|
$
|
202,500
|
|
|
|
Swaps:
During the period the
Fund engaged in total return swaps. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of
an underlying asset. The Fund may utilize swap agreements as a means to gain exposure to certain assets and/or to hedge or protect the Fund from adverse movements in securities prices or interest rates. The Fund is subject to equity risk
and interest rate risk in the normal course of pursuing its investment objective through investments in swap contracts. Swap agreements entail the risk that a party will default on its payment obligation to the Fund. If the other party to a swap
defaults, the Fund would risk the loss of the net amount of the payments that it contractually is entitled to receive. If the Fund utilizes a swap at the wrong time or judges market conditions incorrectly, the swap may result in a loss to the Fund
and reduce the Funds total return.
Total return swaps involve an exchange by two parties in which one party makes payments based on a set rate, either
fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income it generates and any capital gains over the payment period. The Funds maximum risk of loss from counterparty
risk or credit risk is the discounted value of the payments to be received from/paid to the counterparty over the contracts remaining life, to the extent that the amount is positive. The risk is mitigated by having a netting arrangement
between the Fund and the counterparty and by the posting of collateral to the Fund to cover the Funds exposure to the counterparty.
International Swaps and
Derivatives Association, Inc. Master Agreements (ISDA Master Agreements) govern OTC financial derivative transactions entered into by a Fund and those counterparties. The ISDA Master Agreements maintain provisions for general
obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions
under the applicable ISDA Master Agreement. Any election to early terminate could be material to the financial statements.
During the nine month period ended
December 31, 2013, the Fund invested in swap agreements consistent with the Funds investment strategies to gain exposure to certain markets or indices.
Warrants
:
The Fund may purchase or otherwise receive warrants or rights. Warrants and
rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options
above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be
less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit the Funds ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish.
Item 2 - Controls and Procedures.
(a)
|
The Registrants Principal Executive Officer and Principal Financial Officer concluded that the Registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940 (17 CFR 270.30a-3(c))) were effective as of a date within 90 days of the filing date of this report (the Evaluation Date), based on their evaluation of the effectiveness of the Registrants disclosure controls
and procedures as of the Evaluation Date.
|
(b)
|
There were no changes in the Registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the
Registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting.
|
Item 3 Exhibits.
(a)
|
Certification of Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as
EX-99.CERT.
|
SIGNATURES
|
|
|
|
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly authorized.
|
|
|
|
|
CLOUGH GLOBAL ALLOCATION FUND
|
|
|
|
|
|
By:
|
|
/s/ Edmund J. Burke
|
|
|
|
|
Edmund J. Burke
|
|
|
|
|
President
(principal executive officer)
|
|
|
|
|
|
Date:
|
|
February 26, 2014
|
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by
the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
|
|
|
By:
|
|
/s/ Edmund J. Burke
|
|
|
|
|
Edmund J. Burke
|
|
|
|
|
President
(principal executive officer)
|
|
|
|
|
|
Date:
|
|
February 26, 2014
|
|
|
|
|
|
By:
|
|
/s/ Jeremy O. May
|
|
|
|
|
Jeremy O. May
|
|
|
|
|
Treasurer
(principal financial officer)
|
|
|
|
|
|
Date:
|
|
February 26, 2014
|
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