Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The registrant's annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940, as amended (the "Investment
Company Act") is as follows:
ANNUAL
REPORT
December 31, 2007
OLD MUTUAL/CLAYMORE LONG-SHORT FUND | OLA
photo of: 2 boats on water.
Logo: OLD MUTUAL
ASSET MANAGEMENT
CLAYMORE (R)
WWW.OLDMUTUALCLAYMORE.COM
... YOUR COURSE TO THE LATEST,
MOST UP-TO-DATE INFORMATION ABOUT THE
OLD MUTUAL/CLAYMORE LONG-SHORT FUND
photo of: 2 boats on water.
OLA
LISTED
NYSE
Old Mutual/
Claymore
Long-Short Fund
CLAYMORE (R)
There can be no assurance the Fund will achieve its investment objective. The
value of the Fund will fluctuate with the value of the underlying securities.
Historically, closed-end funds often trade at a discount to their net asset
value.
NOT FDIC INSURED o NOT BANK GUARANTEED o MAY LOSE VALUE
The shareholder report you are reading right now is just the beginning of the
story. Online at WWW.OLDMUTUALCLAYMORE.COM, you will find:
o Daily, weekly and monthly data on share prices, distributions and more
o Portfolio overviews and performance analyses
o Announcements, press releases and special notices
o Fund and adviser contact information
Analytic Investors, LLC and Claymore are continually updating and expanding
shareholder information services on the Fund's website, in an ongoing effort to
provide you with the most current information about how your Fund's assets are
managed, and the results of our efforts. It is just one more way we are working
to keep you better informed about your investment in the Fund.
2 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund
Dear SHAREHOLDER
We are pleased to submit the annual shareholder report for the Old
Mutual/Claymore Long-Short Fund (the "Fund") for the 12 months ended December
31, 2007. As you may know, the Fund's investment objective is to provide a high
level of current income and gains with a secondary objective of long-term
capital appreciation. The Fund seeks to achieve these objectives by investing in
a diversified portfolio of common stocks and other equity securities utilizing a
long/short strategy and opportunistically employing a strategy of writing
(selling) calls on equity indices and, to a lesser extent, on individual
securities. The Fund also seeks to enhance returns through an asset allocation
strategy that involves purchasing or selling futures contracts on U.S. or
foreign securities indices, foreign currencies and other assets.
Analytic Investors, LLC ("Analytic") is the Fund's Sub-Adviser. The firm,
established in 1970, is an affiliate of Old Mutual (US) Holdings Inc., more
commonly known as Old Mutual Asset Management. Analytic specializes in the
creation and continuous management of optioned-equity and optioned-debt
portfolios for mutual funds, foundations, insurance companies, endowments,
profit-sharing plans, funds of hedge funds, and individual investors. As of
December 31, 2007, Analytic managed or supervised approximately $12.5 billion in
assets.
We believe that the Fund provides shareholders with the potential to outperform
the S&P 500 Index over full market cycles through its unique multi-strategy
approach to investing. Analytic has employed the Fund's strategy for nearly
three decades in other investment products for institutional and retail
investors. While the Fund's options overlay has similarities to a covered call
fund, the Fund's long/short equity security selection and its asset allocation
makes it different. We believe that this multi-strategy approach provides
opportunities unavailable in a traditional covered call fund and provides the
potential for high returns over time.
All Fund returns cited - whether based on net asset value ("NAV") or market
price - assume the reinvestment of all distributions. For the 12 months ended
December 31, 2007, the Fund provided a total return based on market price of
-8.45%. This represents a closing market price of $15.33 on December 31, 2007,
versus $18.33 on December 31, 2006. On an NAV basis, the Fund generated a total
return of 2.54%. This represents a NAV of $17.79 on December 31, 2007, versus
$18.89 on December 31, 2006. The Fund's market price at December 31, 2007,
represented a discount to NAV of 13.83%; as of December 31, 2006, the share
price was at a 2.96% discount to NAV. We believe that the Fund's market price
discount to NAV represents an opportunity, as common shares of the Fund are now
available in the market at prices below the value of the securities in the
underlying portfolio.
We encourage shareholders to consider the opportunity to reinvest their
distributions from the Fund through the Dividend Reinvestment Plan ("DRIP"),
which is described in detail on page 26 of the Fund's annual report. When shares
trade at a discount to NAV, the DRIP takes advantage of the discount by
reinvesting the quarterly dividend distribution in common shares of the
Annual Report | December 31, 2007 | 3
OLA | Old Mutual/Claymore Long-Short Fund | DEAR SHAREHOLDER continued
Fund purchased in the market at a price less than NAV. Conversely, when the
market price of the Fund's common shares is at a premium above NAV, the DRIP
reinvests participants' dividends in newly-issued common shares at NAV, subject
to an IRS limitation that the purchase price cannot be more than 5% below the
market price per share. The DRIP provides a cost-effective means to accumulate
additional shares and enjoy the benefits of compounding returns over time. Since
the Fund endeavors to maintain a steady quarterly distribution rate, the DRIP
plan effectively provides an income averaging technique, which causes
shareholders to accumulate a larger number of Fund shares when the market price
is depressed than when the price is higher.
The Fund's most recent quarterly dividend of $0.40, declared on December 3,
2007, represents an annualized distribution rate of 10.44%, based on the Fund's
closing market price of $15.33 on December 31, 2007.
To learn more about the Fund's performance and investment strategy, we encourage
you to read the Questions & Answers section of the report, which begins on page
5. You will find information about Analytic's investment philosophy and
discipline, its views on the market environment and how it structured the Fund's
portfolio based on its views.
We appreciate your investment and look forward to serving your investment needs
in the future. For the most up-to-date information on your investment, please
visit the Fund's website at www.oldmutualclaymore.com.
Sincerely,
/s/ Nicholas Dalmaso
Nicholas Dalmaso
Old Mutual/Claymore Long-Short Fund
|
4 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund
QUESTIONS & ANSWERS
DENNIS M. BEIN, CFA
CHIEF INVESTMENT OFFICER, PORTFOLIO MANAGER
ANALYTIC INVESTORS, LLC
As Chief Investment Officer, Dennis Bein oversees the implementation of
Analytic's investment strategies. He is a major contributor to the firm's
ongoing research efforts as well as to the new product development efforts and
strategy applications. As Portfolio Manager, Bein directs the Fund's management
team on day-to-day portfolio management and research related to the Fund's
equity-based investment strategies. Bein joined Analytic in 1995, and has worked
as investment professional since 1990. He is a CFA charterholder and earned an
M.B.A. from the Anderson Graduate School of Management at the University of
California, Riverside.
The Old Mutual/Claymore Long-Short Fund (the "Fund") is managed by Analytic
Investors, LLC. In the following interview, Chief Investment Officer and
Portfolio Manager Dennis Bein, CFA, explains the factors that impacted the
Fund's performance for the annual period ended December 31, 2007.
BEFORE WE DISCUSS PERFORMANCE, WILL YOU REMIND US OF THE FUND'S INVESTMENT
OBJECTIVES AND EXPLAIN HOW YOUR INVESTMENT STRATEGY SEEKS TO ACHIEVE THOSE
OBJECTIVES?
The Fund's primary investment objective is to provide a high level of current
income and gains, with a secondary objective of long-term capital appreciation.
The Fund seeks to achieve these objectives by investing in a diversified
portfolio of common stocks and other equity securities, utilizing a long and
short strategy and opportunistically employing a strategy of writing (selling)
calls on equity indices, sectors and, to a lesser extent, on individual
securities.
We utilize quantitative models to develop an equity portfolio that offers the
potential for capital appreciation over time. The portfolio is constructed with
a level of diversification and risk similar to that of the S&P 500, but is
designed with the objective of outperforming the index over a full market cycle
by having its long positions invested in the stocks that we believe will
outperform, while selling short the stocks that we believe will underperform. To
generate income and help reduce volatility, we then apply a call options
overlay. Finally, to potentially enhance returns, we also engage in asset
allocation strategies by purchasing or selling futures contracts on U.S. or
foreign securities indices as well as foreign currency forward contracts and
other assets.
WILL YOU TELL US MORE ABOUT THE SPECIFICS OF YOUR PROCESS?
There are three components of the strategy that we believe make the Fund unique
among covered call funds.
STOCK SELECTION. We begin by analyzing stock characteristics rather than
focusing on individual stocks as many investment managers do. Our quantitative
review is based on sophisticated mathematical models focused on variables that
cover multiple dimensions of a stock's value, such as its valuation, growth
potential, historical return patterns, liquidity and risk. The models identify
characteristics that investors are currently rewarding or punishing by examining
a universe of approximately 3,000 stocks to determine which financial
characteristics are shared by the market's largest gaining or losing stocks.
Stocks possessing favorable characteristics are ranked and become candidates for
the long portfolio. Stocks that possess unfavorable characteristics are
candidates for the short portfolio. Ultimately a portfolio of at least 75
highly-ranked stocks is combined with short positions of at least 20 low-ranked
stocks. We monitor the portfolio on a real-time basis using our proprietary
management system, which identifies media events or changes in fundamental
factors that are potentially significant for the portfolio holdings. However, we
trade securities only when we believe the incremental return potential will
exceed the associated transaction costs.
OPTIONS OVERLAY. Our process is unique because we typically do not write (sell)
call options on individual securities as a traditional covered call fund might.
We prefer to sell options on indices because we have strong convictions about
the stocks held in the Fund's portfolio. This strategy helps preserve the upside
potential of the Fund's individual equity holdings, which is more important to
us than giving away the upside potential of the market sectors on which we have
written the calls. We believe giving away market or sector upside potential in
exchange for lower overall volatility and a higher yield provided by the call
options premiums benefits the Fund.
ASSET ALLOCATION. We also engage in asset allocation strategies for the Fund by
purchasing or selling futures contracts on U.S. or foreign securities indices,
foreign currencies and other assets. This enables us to attempt to enhance Fund
returns, to hedge against market and other risks in the portfolio and to obtain
market exposure with reduced transaction costs. Essentially we take long and
short equity, fixed-income and currency futures positions based on our global
research models.
WHAT IS A SHORT SALE?
A short sale is three-step trading strategy that seeks to capitalize on an
anticipated decline in the price of a security. First, arrangements are made to
borrow shares of the security, typically from a broker. Next, the investor will
sell the borrowed shares immediately in the open market with the intention of
buying them back at some point in the future. Finally, to complete the cycle, at
a later date the investor will repurchase the shares (hopefully at a lower
price) and will return them to the lender. In the end, the investor will receive
the difference if the share price falls, but will of course incur a loss if it
rises.
Annual Report | December 31, 2007 | 5
OLA | Old Mutual/Claymore Long-Short Fund | QUESTIONS & ANSWERS continued
WHAT IS AN INDEX OPTION?
An index option is a contract which gives the buyer the right to participate in
market gains over and above (in the case of a call) or below (in the case of a
put) a specified price (the strike price) on or before a pre-determined date
(the expiration date). After this pre-determined date, the option and its
corresponding rights expire. For example, the seller of an index call option is
obligated, until the expiration date, to pay the holder of the option the
difference between the index price and the option's strike price, upon the
holder's request. The price of the option is determined from trading activity in
the options market and generally reflects the relationship between the current
price for the index and the strike price, as well as the time remaining until
the expiration date.
WILL YOU PROVIDE AN OVERVIEW OF EQUITY MARKETS DURING 2007?
It was a generally positive period for the U.S. equity market, although with
considerable volatility, especially in the last few months of the year. Except
for a period of weakness in late February and early March, equity markets were
quite strong during the first half of 2007. By the end of May, most indices were
at or near their all-time highs, and positive trends continued through mid-July.
As the third quarter developed, there was a sharp reversal, as liquidity
concerns and problems in the sub-prime mortgage market created severe market
turbulence. A rally in September was sparked in part by the first of the Federal
Reserve Board's three interest rate reductions. Volatility increased and most
indices were down in the fourth quarter, as markets responded to further bad
news about the potential impact of the sub-prime mortgage crisis.
There was a major change in market leadership in 2007: after a long period
during which small-cap stocks generally outperformed large-cap stocks, large-cap
stocks regained market leadership, as investors became less comfortable with
risk. Growth stocks performed much better than value stocks during 2007,
especially in the last half of the year.
HOW DID THE FUND PERFORM IN THIS ENVIRONMENT?
The Fund successfully met its primary investment objective of generating a high
level of current income through a combination of net investment income and net
realized gains. The Fund provided investors with consistent quarterly
distributions of $0.40 per share during 2007. This represents an annualized
distribution rate of 10.44% based upon the closing market price of $15.33 on
December 31, 2007. Each of the distributions was accompanied by a letter
detailing the source of the distribution. (These letters are also posted on the
Fund's web site.) However, a final determination of the components of the Fund's
distributions for tax purposes will be made in January 2008 after the end of the
Fund's fiscal year.
All Fund returns cited - whether based on net asset value ("NAV") or market
price - assume the reinvestment of all distributions. For the 12 months ended
December 31, 2007, the Fund provided a total return based on market price of
-8.45% and 2.54% on an NAV basis. On December 31, 2007, the Fund's closing
market price was $15.33, which represented a discount of 13.83% to NAV of
$17.79. On December 31, 2006, the Fund's market price closed at $18.33 and its
NAV was $18.89, reflecting a discount of 2.96%.
As most investors may know, the market value of the Fund's shares fluctuates
from time to time, and it may be higher or lower than the Fund's NAV. The
current discount to NAV may provide an opportunity for suitable investors to
purchase shares of the Fund below the market value of the securities in the
underlying portfolio. We believe that, over the long term, the progress of the
NAV will be reflected in the market price return to shareholders.
The Fund's return was below returns of the S&P 500 Index, which returned 5.49%,
and the CBOE S&P 500 BuyWrite Index ("BXM"), which returned 6.55%. The BXM is an
index that simulates an ongoing covered call strategy on the S&P 500 Index (the
"S&P 500") and consists of an unmanaged portfolio of stocks upon which a
one-month at-the-money call option on the S&P 500 is continuously written. When
comparing the Fund's performance to the S&P 500 and BXM, it is important to
remember that while the Fund invests primarily in domestic equities, it also
employs an options overlay and asset allocation strategies. The Fund's options
program and its asset allocation strategies detracted from performance during
2007.
WILL YOU TELL US ABOUT THE CHARACTERISTICS FAVORED BY YOUR QUANTITATIVE MODEL
DURING THE FIRST HALF OF 2007?
Analytic Investors' process is based on the fundamental belief that there is
persistency in the types of stock characteristics investors prefer, and we
believe that portfolios that reflect these biases will add value in the long
run.
During the first half of 2007, investors favored certain valuation
characteristics, such as sales-to-price, cash-flow-to-price and
earnings-to-price ratios, while avoiding companies with above-average dividend
yields. Lower quality companies outperformed higher quality companies during the
period, and companies with above average price momentum underperformed. (Our
definition of quality is based on a number of factors such as financial strength
and profitability; it is intended to reflect the market's overall view of
quality.)
In the last half of the year, the more growth-oriented factors in our model
became more important, as investors began paying more attention to historical
and recent earnings per share growth, and price momentum returned to favor.
Stocks with above-
6 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund | QUESTIONS & ANSWERS continued
average dividend yields underperformed, as did stocks with above-average trading
volume. Our process was able to adapt to these changes in the equity market, and
the equity portion of the Fund outperformed the S&P 500 Index during 2007.
WHICH DECISIONS REGARDING THE COMMON EQUITY PORTFOLIO HAD THE GREATEST POSITIVE
IMPACT ON PERFORMANCE?
Stock selection was positive within the majority of economic sectors, with the
strongest contributions in the health care, financials, and telecommunication
services sectors. A long position in Medco Health Solutions Inc. (0.9% of total
common stocks and securities sold short), contributed to performance, as the
pharmacy benefits manager continued to report strong earnings and reiterated its
positive expectations for 2008.
A short position in Boston Scientific Corporation (0.4% of total common stocks
and securities sold short) also helped performance, as shares of the medical
device manufacturer fell during the latter half of the year as the company
aggressively cut jobs and reported a significant third-quarter loss. Short
positions in the financials sector added to performance, as this sector
weakened. A short position in Citigroup Inc. (not held in the portfolio at
period end) contributed, as the financial services firm suffered a downgrade by
analysts who estimated the company would likely have to take as much as $15
billion in write-downs over the next two quarters due to bets on risky debt.
Also positive was a short position in bond insurer MBIA Inc. (0.2% of total
common stocks and securities sold short); this stock dropped amid concerns that
bond insurers may have to raise new capital or take other steps to maintain
credit ratings. MBIA also disclosed it had insured $8.1 billion in CDOs-squared,
which are collateralized debt obligations backed by a combination of other CDOs
and mortgages, with $5.1 billion of that insurance written in 2006 and 2007, a
time when the problems with sub-prime borrowers were emerging.
WHICH AREAS OF THE EQUITY PORTFOLIO HURT PERFORMANCE?
Detracting from performance was a long position in Electronic Data Systems Corp.
(0.6% of total common stocks and securities sold short), an information
technology services company, which moved lower over analyst concerns regarding
lower bookings and free cash flow.
A long position is Office Depot, Inc. (less than 0.1% of total common stocks and
securities sold short) hurt performance as the stock moved lower on
disappointing earnings and concerns about possible accounting irregularities.
A long position in Tyson Foods, Inc. (0.5% of total common stocks and securities
sold short) detracted from performance as the world's largest meat processor
lowered its 2007 earnings guidance after it was hit hard by higher beef and pork
prices.
A short position in First Data Corporation (not held in the portfolio at period
end) also negatively impacted performance as the financial services company
soared on news of a $26 billion takeover bid from private equity firm Kohlberg
Kravis Roberts & Co.; this transaction was completed in September 2007.
In addition, a short position in Juniper Networks (not held in the portfolio at
period end) hurt as the networking equipment company stock rallied on the news
of a second-quarter profit, prompting analysts to release positive comments and
upgrade the stock.
WHAT WAS THE IMPACT ON PERFORMANCE OF THE OPTIONS AND ASSET ALLOCATION PROGRAMS?
The net effect of the options program was negative during the period, as would
be anticipated when equity markets are up. The global asset allocation strategy
also detracted from returns during the year. The third quarter proved
particularly difficult, as the market turbulence experienced in the U.S. was
felt worldwide in equity markets and currency markets. The equity component
posted negative results during the third quarter, as the Fund had short
positions in most Asia-Pacific markets, which were up, and long positions in
most European markets, which were down. The Fund's positioning was based on our
desire to gain exposure to two of our strongest-performing equity factors:
earnings yield and earnings yield minus bond yield. Losses resulted primarily
from negative returns on those two factors.
The currency portfolio also experienced losses mainly because of our interest
differential factor, as we had positive exposure to currencies such as the
Australian dollar which had high interest rates and short positions in lower
interest rate currencies such as the Swiss franc and Japanese yen. The interest
differential factor is an element of our model that involves taking long or
short positions in various currencies depending on their relative short-term
interest rates with the expectation that currencies with higher interest rates
will hold their value or appreciate relative to those with lower rates. During
the period covered by this report, the interest differential factor led to
losses because of appreciation of currencies with lower interest rates in which
the Fund held short positions relative to currencies with higher interest rates
in which the fund held long positions.
While historically this has been our best performing factor in the global asset
allocation strategy, in an environment of increasing volatility such as that
experienced in the last few months of 2007, this factor generally produces
negative returns. The volatility of the G7 currencies was near historical highs
during the period. (The G7 currencies are currencies of seven industrialized
nations that meet periodically to achieve a cooperative effort on international
economic and monetary issues. The countries are France, Germany, Italy, Japan,
the U.K., Canada and the U.S., and the currencies are the euro, the British
pound, the Japanese yen, and the U.S. and Canadian dollars.)
Annual Report | December 31, 2007 | 7
OLA | Old Mutual/Claymore Long-Short Fund | QUESTIONS & ANSWERS continued
WHAT IS YOUR OUTLOOK FOR THE MARKET AND THE FUND IN THE MONTHS AHEAD?
With the U.S. economy apparently teetering on the brink of recession, and the
ultimate impact of credit problems still unclear, it is a time to approach
investment decisions with caution. We believe that the Fund's structure, with a
long and short equity portfolio, an index options program to preserve upside
potential of individual securities, and an asset allocation strategy for
exposure to world markets has the potential to provide attractive returns in a
wide variety of market conditions.
Analytic intends to continue to emphasize stocks with above-average
sales-per-share ratios. We intend also to focus on select companies with strong
recent and projected earnings growth, while de-emphasizing companies with
higher-than-average dividend yields. We anticipate continuing to seek to
emphasize companies with above-average price momentum, while de-emphasizing
companies with high financial leverage and above average trading volume.
OLA RISKS AND OTHER CONSIDERATIONS
As with any stock, the price of the Fund's Common Shares will fluctuate with
market conditions and other factors. Shares of closed-end management investment
companies frequently trade at a discount from their net asset value. If you sell
your common shares, you may receive more or less than your original investment.
The common shares are designed for long-term investors and should not be treated
as a vehicle for trading.
The Fund will ordinarily have substantial exposure (both long and short) to
common stocks and other equity securities in pursuing its investment objectives
and policies. The market price of common stocks and other equity securities in
which the Fund invests may go up or down, sometimes rapidly or unpredictably.
Equity securities may decline in value due to factors affecting equity
securities markets generally, particular industries represented in those markets
or the issuer itself.
The Fund makes substantial use of short sales for investment and risk management
purposes, including when Analytic anticipates that the market price of
securities will decline or will underperform relative to other securities held
in the Fund's portfolio. The Fund intends to take short equity positions in an
amount equal to approximately 30% of the Fund's net assets at the time of sale,
but reserves the flexibility to hold short positions of up 70% of net assets.
Short sales are transactions in which the Fund sells a security or other
instrument (such as an option, forward, futures or other derivative contract)
that it does not own. When the Fund engages in a short sale on a security, it
must borrow the security sold short and deliver it to the counterparty. The Fund
will ordinarily have to pay a fee or premium to borrow particular securities and
be obligated to repay the lender of the security any dividends or interest that
accrue on the security during the period of the loan. The amount of any gain
from a short sale will be decreased, and the amount of any loss increased, by
the amount of the premium, dividends, interest or expenses the Fund pays in
connection with the short sale. Short sales expose the Fund to the risk that it
will be required to cover its short position at a time when the securities have
appreciated in value, thus resulting in a potentially unlimited loss to the
Fund.
The distributions shareholders receive from the Fund are based primarily on the
dividends it earns from its equity investments as well as the gains the Fund
receives from writing options and using other derivative instruments, closing
out short sales and selling portfolio securities, each of which can vary widely
over the short and long term. The dividend income from the Fund's investments in
equity securities will be influenced by both general economic activity and
issuer-specific factors. In the event of a recession or adverse events affecting
a specific industry or issuer, an issuer of equity securities held by the Fund
may reduce the dividends paid on such securities. If prevailing market interest
rates decline, interest rates on any debt instruments held by the Fund, and
shareholders' income from the Fund, would likely decline as well. Please see the
"Distributions" section of the Prospectus for a description of other risks
associated with the level, timing and character of the Fund's distributions.
There are various risks associated with the Option Strategy. The purchaser of an
index option written by the Fund has the right to any appreciation in the cash
value of the index over the strike price on the expiration date. Therefore, as
the writer of an index call option; the Fund forgoes the opportunity to profit
from increases in the index over the strike price of the option. However, the
Fund has retained the risk of loss (net of premiums received) should the price
of the Fund's portfolio securities decline. Similarly, as the writer of a call
option on an individual security held in the Fund's portfolio, the Fund forgoes,
during the option's life, the opportunity to profit from increases in the market
value of the security covering the call option above the sum of the premium and
the strike price of the call but has retained the risk of loss (net of premiums
received) should the price of the underlying security decline. The value of
options written by the Fund, which will be priced daily, will be affected by,
among other factors, changes in the value of underlying securities (including
those comprising an index), changes in the dividend rates of underlying
securities, changes in interest rates, changes in the actual or perceived
volatility of the stock market and underlying securities and the remaining time
to an option's expiration. The value of an option also may be adversely affected
if the market for the option is reduced or becomes less liquid.
An investment in the Fund is subject to certain risks and other considerations,
including, but not limited to: Equity Risk; Short Sale Risk; Options Risk,
Management Risk; Tax Treatment of Distributions; Derivatives Risk; Counterparty
Risk; Credit Risk; Income Risk; Medium- and Smaller-Company Risk; Focused
Investment Risk; Interest Rate Risk; Liquidity Risk; Market Disruption and
Geopolitical Risk; Leverage Risk; Foreign Investment Risk; Other Investment
Companies Risk; and Inflation/Deflation Risk.
8 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund
Fund SUMMARY | AS OF DECEMBER 31, 2007 (unaudited)
FUND STATISTICS
Share Price $15.33
Common Share Net Asset Value $17.79
Premium/(Discount) to NAV -13.83%
Net Assets ($000) $338,072
-------------------------------------------------------
TOTAL RETURNS
-------------------------------------------------------
(INCEPTION 8/25/05) MARKET NAV
-------------------------------------------------------
One Year -8.45% 2.54%
Since Inception - average annual -2.66% 5.23%
-------------------------------------------------------
% OF COMMON
STOCKS AND
SECTOR BREAKDOWN SECURITIES SOLD SHORT
-------------------------------------------------------
Financials 16.6%
Information Technology 14.6%
Consumer Discretionary 12.1%
Industrials 12.1%
Energy 12.1%
Consumer Staples 9.9%
Health Care 9.8%
Telecommunications 5.0%
Materials 4.6%
Utilities 3.2%
-------------------------------------------------------
|
Securities are classified by sectors that represent broad groupings of related
industries.
TOP TEN % OF NET
LONG-TERM COMMON STOCKS ASSETS
-------------------------------------------------------
Exxon Mobil Corp. 6.0%
General Electric Co. 4.3%
Chevron Corp. 3.5%
AT&T, Inc. 3.2%
JPMorgan Chase & Co. 2.8%
Hewlett-Packard Co. 2.5%
Boeing Co. 2.5%
Loews Corp. 2.0%
Altria Group, Inc. 2.0%
Cardinal Health, Inc. 1.9%
-------------------------------------------------------
% OF NET
TOP FIVE SECURITIES SOLD SHORT ASSETS
-------------------------------------------------------
Anadarko Petroleum Corp. 1.6%
Paychex, Inc. 1.4%
Leucadia National Corp. 1.4%
Bemis Co., Inc. 1.3%
Clorox Co. 1.1%
-------------------------------------------------------
|
Past performance does not guarantee future results. All portfolio data is
subject to change daily. For more current information, please visit
www.claymore.com. The above summaries are provided for informational purposes
only and should not be viewed as recommendations.
Line Chart:
SHARE PRICE & NAV Performance
Share
Price NAV
12/31/06 18.33 18.89
18.85 19.01
18.45 18.91
18.47 18.93
18.48 18.95
18.6 18.92
18.65 19.02
18.8 19.14
18.84 19.2
18.84 19.16
18.75 19.17
18.75 19.26
18.59 19.19
18.72 19.25
18.85 19.44
18.63 19.41
18.76 19.31
18.87 19.37
19.02 19.52
19.17 19.62
19.15 19.77
19.2 19.77
19.24 19.71
19.36 19.71
19.26 19.75
19.3 19.8
19 19.77
19.03 19.72
19.3 19.78
19.27 19.8
19.12 19.74
19.22 19.76
19.24 19.8
19.09 19.87
19.21 19.82
19.39 19.73
19.38 19.68
18.84 18.99
19.05 18.96
18.76 18.81
18.66 18.56
18.5 18.31
18.73 18.57
18.96 18.56
18.87 18.81
18.96 18.92
18.97 18.92
18.22 18.21
18.12 18.07
18.32 18.29
18.4 18.18
18.45 18.5
18.42 18.54
18.53 18.63
18.52 18.79
18.53 18.88
18.36 18.83
18.32 18.8
18.32 18.68
18.41 18.92
18.59 18.91
18.85 18.92
18.93 18.99
18.98 19.05
19.12 19.14
19.15 19.16
19.04 19.29
18.89 19.27
18.93 19.24
19.02 19.29
19.07 19.42
19.09 19.4
18.95 19.31
18.74 19.26
18.86 19.54
18.82 19.38
18.76 19.3
18.97 19.47
18.96 19.42
18.94 19.32
18.68 19.3
18.69 19.38
18.85 19.43
18.9 19.5
18.86 19.51
18.91 19.54
18.78 19.55
18.85 19.57
18.65 19.46
18.86 19.65
18.8 19.59
18.84 19.71
18.89 19.77
18.91 19.8
18.97 20.01
19.04 19.93
18.92 19.97
18.99 19.99
18.88 19.83
18.89 20.01
18.98 19.98
19.07 20.11
19.2 20.11
19.38 20.23
19.49 20.19
19.38 20.15
19.1 19.91
18.89 19.79
19.16 19.97
19.26 19.98
18.98 19.85
18.77 19.65
18.91 19.78
18.98 20.03
19.15 19.91
19.15 19.86
18.98 19.75
18.93 19.8
18.91 19.64
19 19.72
18.99 19.61
18.86 19.63
18.8 19.77
18.93 19.81
19.18 19.93
19.11 20.02
19 19.95
18.98 20.01
18.99 20.03
18.93 19.75
18.91 19.8
19.25 20.02
19.05 20
19.05 20.03
18.94 19.95
18.82 19.84
18.77 19.91
18.59 19.97
18.37 19.81
17.79 19.41
17.67 19.43
17.28 18.93
17.12 18.76
17.32 18.85
17.55 18.97
17.62 18.98
17.62 18.98
17.52 18.56
17.44 18.77
17.5 18.88
17.4 18.87
17.26 18.24
16.88 18.29
17 18.64
16.71 18.4
16.09 18.28
15.9 17.8
16.7 18.12
16.93 18.04
16.95 17.97
17.3 18.18
16.86 18.22
17.22 18.42
16.93 18.38
16.4 18.02
16.92 18.24
16.93 18.27
17.3 18.3
17.3 18.46
17.22 18.11
17.23 18.16
16.85 17.73
16.68 17.67
16.81 17.93
16.24 17.54
16.15 17.68
16.05 17.54
15.81 17.43
16.17 17.77
16.2 17.98
16.07 17.9
16.28 18.05
16.25 17.99
16.1 17.82
16.03 18
16.13 18.07
16.14 18.07
16.24 18.26
16.33 18.24
16.44 18.21
16.37 18.24
16.57 18.32
16.49 18.34
16.52 18.4
16.33 18.42
16.45 18.43
16.42 18.52
16.24 18.48
16.06 18.35
16.01 18.54
16.22 18.47
15.91 18.14
15.95 18.09
15.97 18.26
15.95 18.25
15.9 18.38
16.05 18.47
16.03 18.55
15.86 18.48
15.93 18.61
15.65 18.27
15.7 18.18
15.47 18.09
15.63 18.25
15.3 17.87
15.36 17.98
15.31 17.6
14.88 17.41
15.08 17.75
15.02 17.62
14.62 17.43
14.54 17.46
14.5 17.11
14.57 17.32
14.5 16.99
14.6 17.23
14.41 16.96
14.53 17.2
14.85 17.71
14.93 17.72
15.21 17.92
15.31 17.84
15.16 17.67
15.34 17.93
15.51 18.07
15.61 18.13
15.59 18.21
15.23 17.94
14.98 17.75
14.97 17.83
14.96 17.61
14.82 17.35
14.82 17.5
14.78 17.48
14.76 17.62
15.1 17.88
15.73 17.98
15.35 17.98
15.22 17.87
15.23 17.84
12/31/07 15.33 17.79
|
Bar Chart:
DISTRIBUTIONS TO SHAREHOLDERS (Year ended 12/31/07)
Mar 0.4
Jun 0.4
Sep 0.4
Dec 0.4
% OF NET
FUND BREAKDOWN ASSETS
-------------------------------------------------------
Long-Term Investments 121.1%
Short-Term Investments 6.5%
-------------------------------------------------------
Total Investments 127.6%
Securities Sold Short -27.6%
Other Assets less Liabilities 2.2%
Total Value of Options Written -2.2%
-------------------------------------------------------
Total Net Assets 100.0%
-------------------------------------------------------
Annual Report | December 31, 2007 | 9
|
OLA | Old Mutual/Claymore Long-Short Fund
Portfolio of INVESTMENTS | DECEMBER 31, 2007
NUMBER
OF SHARES VALUE
--------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -121.1%
COMMON STOCKS - 120.9%
CONSUMER DISCRETIONARY - 11.7%
3,619 AutoNation, Inc. (a) $ 56,674
43,367 Bed Bath & Beyond, Inc. (a) 1,274,556
67,419 Best Buy Co., Inc. (b) 3,549,610
86,557 Big Lots, Inc. (a)(b) 1,384,046
3,115 Clear Channel Communications, Inc. (b) 107,530
144,702 Comcast Corp. - Class A (a)(b) 2,642,259
121,122 DIRECTV Group, Inc. (a)(b) 2,800,341
32,665 Eastman Kodak Co. (b) 714,384
11,247 Expedia, Inc. (a)(b) 355,630
530,738 Ford Motor Co. (a)(b) 3,571,867
8,661 Gap, Inc. 184,306
59,055 General Motors Corp. (b) 1,469,879
118 Harman International Industries, Inc. (b) 8,698
1,026 Harrah's Entertainment, Inc. (b) 91,057
35,253 Hasbro, Inc. 901,772
48,486 IAC/InterActiveCorp. (a) 1,305,243
285,201 Interpublic Group of Companies, Inc. (a)(b) 2,312,980
9,082 Liz Claiborne, Inc. 184,819
41,084 Marriott International, Inc. - Class A (b) 1,404,251
46,541 Newell Rubbermaid, Inc. 1,204,481
11,527 Office Depot, Inc. (a)(b) 160,341
11,525 OfficeMax, Inc. (b) 238,106
10,229 Polo Ralph Lauren Corp. (b) 632,050
75,598 Snap-On, Inc. (b) 3,646,847
55,329 Time Warner, Inc. 913,482
46,827 VF Corp. 3,215,142
141,730 Walt Disney Co. (The) (b) 4,575,044
34,711 Wyndham Worldwide Corp. 817,791
--------------------------------------------------------------------------------
39,723,186
--------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
--------------------------------------------------------------------------------
CONSUMER STAPLES - 11.7%
89,958 Altria Group, Inc. (b) $ 6,799,026
118,269 Archer-Daniels-Midland Co. (b) 5,491,230
1,856 Brown-Forman Corp. - Class B (b) 137,548
34,086 Coca-Cola Enterprises, Inc. (b) 887,259
65,165 ConAgra Foods, Inc. 1,550,275
19,085 Constellation Brands, Inc. - Class A (a)(b) 451,169
24,821 Costco Wholesale Corp. (b) 1,731,513
121,626 Dean Foods Co. (a) 3,145,248
66,774 Kraft Foods, Inc. - Class A (b) 2,178,836
165,846 Kroger Co. (b) 4,429,747
45,511 Procter & Gamble Co. (b) 3,341,418
135,017 SYSCO Corp. (b) 4,213,881
159,741 Tyson Foods, Inc. - Class A 2,448,829
944 Walgreen Co. 35,947
60,348 Wal-Mart Stores, Inc. 2,868,340
--------------------------------------------------------------------------------
39,710,266
--------------------------------------------------------------------------------
ENERGY - 15.1%
2,573 Apache Corp. 276,700
128,287 Chevron Corp. (b) 11,973,026
29,932 ConocoPhillips (b) 2,642,996
4,806 Devon Energy Corp. (b) 427,301
216,674 Exxon Mobil Corp. 20,300,187
80,923 Halliburton Co. (b) 3,067,791
12,685 Hess Corp. (b) 1,279,409
63,302 Marathon Oil Corp. (b) 3,852,560
7,941 Murphy Oil Corp. (b) 673,714
5,562 Occidental Petroleum Corp. 428,218
14,809 Schlumberger Ltd. (Netherlands Antilles) (b) 1,456,761
7,145 Transocean, Inc. (Cayman Islands) (a)(b) 1,022,807
9,866 Weatherford International Ltd. (Bermuda) (a) 676,808
79,820 Williams Cos., Inc. 2,855,960
--------------------------------------------------------------------------------
50,934,238
--------------------------------------------------------------------------------
FINANCIALS - 19.7%
63,445 ACE Ltd. (Cayman Islands) (b) 3,919,632
39,020 American Express Co. (b) 2,029,820
9,346 Ameriprise Financial, Inc. (b) 515,058
66,959 AON Corp. (b) 3,193,275
6,807 Apartment Investment & Management Co., REIT -
Class A (b) 236,407
14,113 Assurant, Inc. (b) 944,160
21,682 AvalonBay Communities, Inc., REIT (b) 2,041,143
41,734 Bank of New York Mellon Corp. (b) 2,034,950
64,476 Capital One Financial Corp. (b) 3,047,136
46,267 CB Richard Ellis Group, Inc. - Class A (a) 997,054
214,493 Charles Schwab Corp. (b) 5,480,296
6,144 Cincinnati Financial Corp. 242,934
|
See notes to financial statements.
10 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund | PORTFOLIO OF INVESTMENTS continued
NUMBER
OF SHARES VALUE
--------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
40,733 Discover Financial Services (b) $ 614,253
25,962 Franklin Resources, Inc. (b) 2,970,832
20,862 Hartford Financial Services Group, Inc. (b) 1,818,958
106,148 Host Hotels & Resorts, Inc., REIT (b) 1,808,762
16,621 Janus Capital Group, Inc. (b) 546,000
214,764 JPMorgan Chase & Co. (b) 9,374,448
136,182 Loews Corp. (b) 6,855,402
64,560 MetLife, Inc. (b) 3,978,187
10,275 Morgan Stanley 545,705
44,146 Northern Trust Corp. (b) 3,380,701
1,952 PNC Financial Services Group, Inc. (b) 128,149
2,594 Prudential Financial, Inc. 241,346
6,752 State Street Corp. 548,262
7,255 T Rowe Price Group, Inc. 441,684
7,724 Torchmark Corp. 467,534
116,030 Travelers Co., Inc. 6,242,414
42,367 Wells Fargo & Co. 1,279,060
12,567 XL Capital Ltd. - Class A (Cayman Islands) 632,246
--------------------------------------------------------------------------------
66,555,808
--------------------------------------------------------------------------------
HEALTH CARE - 12.8%
106,285 AmerisourceBergen Corp. (b) 4,769,008
31,571 Amgen, Inc. (a)(b) 1,466,157
2,514 Barr Pharmaceuticals, Inc. (a)(b) 133,493
61,907 Baxter International, Inc. (b) 3,593,701
77,258 Bristol-Myers Squibb Co. (b) 2,048,882
114,040 Cardinal Health, Inc. (b) 6,585,810
66,982 Cigna Corp. (b) 3,598,943
20,884 Genzyme Corp. (a)(b) 1,554,605
38,061 Humana, Inc. (a)(b) 2,866,374
75,905 McKesson Corp. (b) 4,972,537
46,902 Medco Health Solutions, Inc. (a)(b) 4,755,863
63,266 PerkinElmer, Inc. 1,646,181
76,891 Pfizer, Inc. (b) 1,747,732
59,458 Schering-Plough Corp. (b) 1,583,961
14,348 Stryker Corp. 1,072,083
15,442 Thermo Fisher Scientific, Inc. (a) 890,695
1,046 WellPoint, Inc. (a) 91,766
--------------------------------------------------------------------------------
43,377,791
--------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
--------------------------------------------------------------------------------
INDUSTRIALS - 17.0%
83,443 Allied Waste Industries, Inc. (a) $ 919,542
94,806 Boeing Co. (b) 8,291,733
3,805 C.H. Robinson Worldwide, Inc. (b) 205,927
23,584 CSX Corp. (b) 1,037,224
28,010 FedEx Corp. (b) 2,497,652
16,002 Fluor Corp. (b) 2,331,812
391,106 General Electric Co. (b) 14,498,299
57,455 Honeywell International, Inc. (b) 3,537,504
51,763 Jacobs Engineering Group, Inc. (a) 4,949,061
12,036 Lockheed Martin Corp. (b) 1,266,909
27,121 Northrop Grumman Corp. (b) 2,132,796
16,894 Parker Hannifin Corp. (b) 1,272,287
36,250 Raytheon Co. (b) 2,200,375
13,100 Robert Half International, Inc. 354,224
71,610 RR Donnelley & Sons Co. (b) 2,702,561
59,740 Ryder System, Inc. (b) 2,808,377
115,660 Southwest Airlines Co. (b) 1,411,052
3,323 Terex Corp. (a)(b) 217,889
14,843 United Parcel Service, Inc. - Class B 1,049,697
42,825 WW Grainger, Inc. (b) 3,748,044
--------------------------------------------------------------------------------
57,432,965
--------------------------------------------------------------------------------
INFORMATION TECHNOLOGY - 18.3%
33,739 Agilent Technologies, Inc. (a)(b) 1,239,571
1,971 Analog Devices, Inc. 62,481
555 Apple, Inc. (a) 109,934
56,622 Applied Materials, Inc. (b) 1,005,607
14,772 BMC Software, Inc. (a) 526,474
63,534 Broadcom Corp. - Class A (a)(b) 1,660,779
92,782 Cisco Systems, Inc. (a)(b) 2,511,609
48,870 Computer Sciences Corp. (a)(b) 2,417,599
4,106 Convergys Corp. (a)(b) 67,585
11,582 Corning, Inc. (b) 277,852
62,928 Dell, Inc. (a)(b) 1,542,365
24,067 eBay, Inc. (a)(b) 798,784
14,167 Electronic Arts, Inc. (a)(b) 827,494
146,307 Electronic Data Systems Corp. (b) 3,032,944
8,197 EMC Corp. (b) 151,890
7,152 Google, Inc. - Class A (a)(b) 4,945,465
164,699 Hewlett-Packard Co. (b) 8,314,006
94,652 Intel Corp. (b) 2,523,422
26,050 International Business Machines Corp. (b) 2,816,005
65,591 Jabil Circuit, Inc. (b) 1,001,575
1,182 Micron Technology, Inc. (a)(b) 8,569
86,009 Microsoft Corp. (b) 3,061,920
30,732 Molex, Inc. (b) 838,984
171,688 Motorola, Inc. (b) 2,753,876
|
See notes to financial statements.
Annual Report | December 31, 2007 | 11
OLA | Old Mutual/Claymore Long-Short Fund | PORTFOLIO OF INVESTMENTS continued
NUMBER
OF SHARES VALUE
--------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
16,807 National Semiconductor Corp. (b) $ 380,510
12,692 NVIDIA Corp. (a)(b) 431,782
8,936 Oracle Corp. (a)(b) 201,775
256,661 Sun Microsystems, Inc. (a) 4,653,255
39,141 Teradata Corp. (a)(b) 1,072,855
177,983 Texas Instruments, Inc. 5,944,632
228,723 Unisys Corp. (a) 1,081,860
7,348 VeriSign, Inc. (a) 276,358
62,038 Western Union Co. 1,506,283
227,081 Xerox Corp. 3,676,441
--------------------------------------------------------------------------------
61,722,541
--------------------------------------------------------------------------------
MATERIALS - 5.6%
46,110 Alcoa, Inc. (b) 1,685,321
120,405 Ashland, Inc. 5,710,809
384 Du Pont (E.I.) de Nemours and Co. (b) 16,931
6,903 Ecolab, Inc. (b) 353,503
4,968 Hercules, Inc. (b) 96,131
54,509 International Paper Co. (b) 1,765,001
5,070 Monsanto Co. (b) 566,268
15,069 Newmont Mining Corp. (b) 735,819
69,312 Pactiv Corp. (a)(b) 1,845,779
28,258 PPG Industries, Inc. (b) 1,984,559
56,944 Rohm & Haas Co. (b) 3,022,018
40,065 Sealed Air Corp. (b) 927,104
2,312 Vulcan Materials Co. 182,856
--------------------------------------------------------------------------------
18,892,099
--------------------------------------------------------------------------------
TELECOMMUNICATIONS - 5.4%
258,870 AT&T, Inc. (b) 10,758,637
316,482 Qwest Communications International, Inc. (b) 2,218,539
62,186 Sprint Nextel Corp. (b) 816,502
105,025 Verizon Communications, Inc. 4,588,542
--------------------------------------------------------------------------------
18,382,220
--------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
--------------------------------------------------------------------------------
UTILITIES - 3.6%
72,599 AES Corp. (a)(b) $ 1,552,892
11,067 Allegheny Energy, Inc. (b) 703,972
185,092 CMS Energy Corp. (b) 3,216,899
17,181 Dominion Resources, Inc. (b) 815,238
10,333 Dynegy, Inc. - Class A (a) 73,778
3,700 Pepco Holdings, Inc. 108,521
130,657 PG&E Corp. (b) 5,630,010
--------------------------------------------------------------------------------
12,101,310
--------------------------------------------------------------------------------
TOTAL COMMON STOCKS - 120.9%
(Cost $434,342,795) 408,832,424
--------------------------------------------------------------------------------
TRACKING STOCKS - 0.2%
HEALTH CARE - 0.2%
18,777 Applera Corp - Applied Biosystems Group
(Cost $637,327) 636,916
--------------------------------------------------------------------------------
TOTAL LONG-TERM INVESTMENTS - 121.1%
(Cost $434,980,122) 409,469,340
--------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 6.5%
U.S. GOVERNMENT SECURITIES - 6.5%
|
$22,250,000 U.S. Treasury Bill yielding 3.072%, 6/05/08 maturity (b)
(Cost $21,958,118) 21,940,569
TOTAL INVESTMENTS - 127.6%
(Cost $456,938,240) 431,409,909
Securities Sold Short - (27.6%)
(Proceeds $98,422,499) (93,194,396)
Total Value of Options Written
(Premiums received $8,372,488) - (2.2%) (7,483,625)
Other Assets less Liabilities - 2.2% 7,340,315
--------------------------------------------------------------------------------
NET ASSETS - 100.0% $338,072,203
================================================================================
|
See notes to financial statements.
12 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund | PORTFOLIO OF INVESTMENTS continued
NUMBER
OF SHARES VALUE
--------------------------------------------------------------------------------
SECURITIES SOLD SHORT - 27.6%
COMMON STOCKS - 27.6%
CONSUMER DISCRETIONARY - 6.3%
3,012 Apollo Group, Inc. - Class A $ 211,292
10,054 Black & Decker Corp. 700,261
14,161 Carnival Corp. (Panama) 630,023
78,920 CBS Corp. - Class B 2,150,570
27,318 Centex Corp. 690,053
123,228 Circuit City Stores, Inc. 517,558
38,537 DR Horton, Inc. 507,532
10,766 EW Scripps Co. - Class A 484,578
21,047 GameStop Corp. - Class A 1,307,229
53,977 Gannett Co., Inc. 2,105,103
2,863 Goodyear Tire & Rubber Co. 80,794
65,798 Harley-Davidson, Inc. 3,073,424
70,945 Home Depot, Inc. 1,911,258
9,328 JC Penney Co., Inc. 410,339
50,513 Jones Apparel Group, Inc. 807,703
48,644 KB Home 1,050,710
20,315 Lennar Corp. - Class A 363,435
10,916 Mattel, Inc. 207,841
2,582 Meredith Corp. 141,958
27,192 Pulte Homes, Inc. 286,604
13,321 Sears Holdings Corp. 1,359,408
45,931 Tiffany & Co. 2,114,204
--------------------------------------------------------------------------------
21,111,877
--------------------------------------------------------------------------------
CONSUMER STAPLES - 2.9%
37,176 Anheuser-Busch Cos., Inc. 1,945,792
3,259 Avon Products, Inc. 128,828
56,611 Clorox Co. 3,689,339
35,970 Hershey Co. 1,417,218
21,075 Whole Foods Market, Inc. 859,860
32,268 Wrigley (Wm) Jr. Co. 1,889,291
--------------------------------------------------------------------------------
9,930,328
--------------------------------------------------------------------------------
ENERGY - 2.9%
81,332 Anadarko Petroleum Corp. 5,342,699
39,883 Nabors Industries Ltd. (Bermuda) 1,092,395
12,586 Rowan Cos., Inc. 496,644
48,562 Spectra Energy Corp. 1,253,871
6,469 Tesoro Corp. 308,571
25,288 XTO Energy, Inc. 1,298,792
--------------------------------------------------------------------------------
9,792,972
--------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
--------------------------------------------------------------------------------
FINANCIALS - 5.0%
10,214 Aflac, Inc. $ 639,703
2,571 American Capital Strategies Ltd. 84,740
38,578 Bear Stearns Cos., Inc. 3,404,508
52,962 Countrywide Financial Corp. 473,480
34,771 Freddie Mac 1,184,648
37,035 General Growth Properties, Inc. 1,525,101
29,408 Genworth Financial, Inc. - Class A 748,434
55,898 Huntington Bancshares, Inc. 825,054
99,199 Leucadia National Corp. 4,672,273
55,570 MBIA, Inc. 1,035,269
9,318 Moody's Corp. 332,653
101,667 Progressive Corp. 1,947,940
--------------------------------------------------------------------------------
16,873,803
--------------------------------------------------------------------------------
HEALTH CARE - 1.5%
175,479 Boston Scientific Corp. 2,040,821
12,949 IMS Health, Inc. 298,345
111,084 Mylan Laboratories, Inc. 1,561,841
1,322 Quest Diagnostics, Inc. 69,934
13,930 Waters Corp. 1,101,445
--------------------------------------------------------------------------------
5,072,386
--------------------------------------------------------------------------------
INDUSTRIALS - 1.0%
182 Avery Dennison Corp. 9,671
2,459 Caterpillar, Inc. 178,425
13,319 Equifax, Inc. 484,279
6,491 L-3 Communications Holdings, Inc. 687,657
18,966 PACCAR, Inc. 1,033,268
16,856 Pitney Bowes, Inc. 641,202
3,947 Textron, Inc. 281,421
--------------------------------------------------------------------------------
3,315,923
--------------------------------------------------------------------------------
INFORMATION TECHNOLOGY - 3.5%
30,686 Cognizant Technology Solutions Corp. - Class A 1,041,483
10,037 Fidelity National Information Services, Inc. 417,439
24,441 Linear Technology Corp. 777,957
2,048 MEMC Electronic Materials, Inc. 181,227
55,042 Microchip Technology, Inc. 1,729,420
129,050 Paychex, Inc. 4,674,191
153,357 QLogic Corp. 2,177,669
2,679 SanDisk Corp. 88,862
126,968 Tellabs, Inc. 830,371
--------------------------------------------------------------------------------
11,918,619
--------------------------------------------------------------------------------
|
See notes to financial statements.
Annual Report | December 31, 2007 | l3
OLA | Old Mutual/Claymore Long-Short Fund | PORTFOLIO OF INVESTMENTS continued
NUMBER
OF SHARES VALUE
--------------------------------------------------------------------------------
MATERIALS - 1.3%
156,022 Bemis Co., Inc. $ 4,271,882
--------------------------------------------------------------------------------
TELECOMMUNICATIONS - 2.0%
18,001 CenturyTel, Inc. 746,321
222,952 Citizens Communications Co. 2,838,179
247,827 Windstream Corp. 3,226,708
--------------------------------------------------------------------------------
6,811,208
--------------------------------------------------------------------------------
UTILITIES - 1.2%
18,479 Consolidated Edison, Inc. 902,699
23,094 Exelon Corp. 1,885,394
242 Pinnacle West Capital Corp. 10,264
24,900 PPL Corp. 1,297,041
--------------------------------------------------------------------------------
4,095,398
--------------------------------------------------------------------------------
TOTAL SECURITIES SOLD SHORT - 27.6 %
(Proceeds $98,422,499) $ 93,194,396
================================================================================
|
CONTRACTS
(100 SHARES EXPIRATION EXERCISE MARKET
PER CONTRACT) CALL OPTIONS WRITTEN(a) DATE PRICE VALUE
-----------------------------------------------------------------------------------------------------
1,400 KBW Banks Index January 2008 $ 85.00 $ 658,000
150 MS Commodity Related Equity January 2008 840.00 649,500
775 CBOE Gold Index January 2008 170.00 670,375
150 S&P 400 Midcap Index January 2008 850.00 303,000
150 CBOE Oil Index January 2008 870.00 495,000
875 S&P 500 Index January 2008 1,450.00 3,443,125
100 S&P 500 Index January 2008 1,460.00 316,000
25 S&P 500 Index January 2008 1,485.00 44,750
625 AMEX Securities Broker/Dealer Index January 2008 200.00 696,875
2,300 AMEX Airline Index January 2008 35.00 207,000
-----------------------------------------------------------------------------------------------------
TOTAL CALL OPTIONS WRITTEN
(Premiums received $8,372,488) $7,483,625
=====================================================================================================
|
REIT - Real Estate Investment Trust
(a) Non-income producing security.
(b) All or a portion of these securities are held as collateral for Securities
Sold Short and futures.
Securities are classified by sectors that represent broad groupings of related
industries.
See notes to financial statements.
14 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund
Statement of ASSETS AND LIABILITIES | DECEMBER 31, 2007
ASSETS
Investments, at value (cost $456,938,240) $ 431,409,909
Cash 8,971,479
Unrealized appreciation on forward currency exchange contracts 2,777,543
Variation margin on futures 1,339,378
Dividends and interest receivable 394,284
Other assets 8,109
---------------------------------------------------------------------------------------------------------------
Total assets 444,900,702
---------------------------------------------------------------------------------------------------------------
LIABILITIES
Securities sold short, at value (proceeds $98,422,499) 93,194,396
Options written, at value (premiums received of $8,372,488) 7,483,625
Unrealized depreciation on forward currency exchange contracts 5,478,525
Advisory fee payable 287,686
Investments purchased payable 199,822
Administration fee payable 15,408
Accrued expenses 169,037
---------------------------------------------------------------------------------------------------------------
Total liabilities 106,828,499
---------------------------------------------------------------------------------------------------------------
Net Assets $ 338,072,203
===============================================================================================================
COMPOSITION OF NET ASSETS
Common stock, $.01 par value per share; unlimited number of shares authorized,
19,005,240 shares issued and outstanding $ 190,052
Additional paid-in capital 362,050,032
Net unrealized depreciation on investments, futures, options,
securities sold short, forwards and currency translation (21,224,348)
Accumulated net realized gain on investments, futures, options, securities sold short,
forwards and currency transactions 1,629,691
Accumulated net investment loss (4,573,224)
---------------------------------------------------------------------------------------------------------------
NET ASSETS $ 338,072,203
===============================================================================================================
NET ASSET VALUE (BASED ON 19,005,240 COMMON SHARES OUTSTANDING) $ 17.79
===============================================================================================================
|
See notes to financial statements.
Annual Report | December 31, 2007 | 15
OLA | Old Mutual/Claymore Long-Short Fund
Statement of OPERATIONS | FOR THE YEAR ENDED DECEMBER 31, 2007
INVESTMENT INCOME
Dividends $ 6,576,395
Interest 1,533,044
---------------------------------------------------------------------------------------------------------------
Total income $ 8,109,439
---------------------------------------------------------------------------------------------------------------
EXPENSES
Dividends on securities sold short 4,675,529
Advisory fee 3,581,382
Custodian fee 1,162,379
Professional fees 139,382
Trustees' fees and expenses 130,287
Fund accounting 101,227
Printing expense 98,902
Administration fee 86,628
Transfer agent fee 34,418
Insurance 22,602
NYSE listing fee 21,250
Miscellaneous 10,101
---------------------------------------------------------------------------------------------------------------
Total expenses 10,064,087
---------------------------------------------------------------------------------------------------------------
NET INVESTMENT LOSS (1,954,648)
---------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments $ 57,322,552
Futures (9,340,980)
Options (2,803,422)
Securities sold short (6,318,423)
Foreign currency forwards and currency transactions (1,938,746)
Net change in unrealized appreciation (depreciation) on:
Investments (30,901,392)
Futures (1,030,672)
Options (921,999)
Securities sold short 10,611,861
Foreign currency forwards and currency translation (3,279,463)
---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN 11,399,316
---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 9,444,668
===============================================================================================================
|
See notes to financial statements.
16 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund
Statement of CHANGES IN NET ASSETS |
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 2007 DECEMBER 31, 2006
----------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss) $ (1,954,648) $ 1,388,009
Net realized gain (loss) on investments, futures, options,
securities sold short, forwards and currency transactions 36,920,981 20,719,606
Net unrealized appreciation (depreciation) on investments,
futures, options, securities sold short, forwards and
currency translation (25,521,665) 10,045,070
----------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 9,444,668 32,152,685
----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From and in excess of net investment income (30,408,384) (30,408,384)
----------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (20,963,716) 1,744,301
NET ASSETS
Beginning of period 359,035,919 357,291,618
----------------------------------------------------------------------------------------------------------------
End of period (including accumulated net investment loss of
($4,573,224) and ($4,548,111), respectively) $ 338,072,203 $ 359,035,919
===============================================================================================================
|
See notes to financial statements.
Annual Report | December 31, 2007 | 17
OLA | Old Mutual/Claymore Long-Short Fund
Financial HIGHLIGHTS |
FOR THE PERIOD
FOR THE FOR THE AUGUST 25, 2005*
PER SHARE OPERATING PERFORMANCE YEAR ENDED YEAR ENDED THROUGH
FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD DECEMBER 31, 2007 DECEMBER 31, 2006 DECEMBER 31, 2005
------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 18.89 $ 18.80 $ 19.10(a)
------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss)(b) (0.10) 0.07 0.04
Net realized and unrealized gain on investments,
futures, options, securities sold short, forwards
and foreign currency 0.60 1.62 0.10
------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 0.50 1.69 0.14
------------------------------------------------------------------------------------------------------------------------------
COMMON SHARES' OFFERING EXPENSES CHARGED TO PAID-IN CAPITAL - - (0.04)
------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From and in excess of net investment income (1.60) (1.60) (0.40)
------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 17.79 $ 18.89 $ 18.80
------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE, END OF PERIOD $ 15.33 $ 18.33 $ 16.47
------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT RETURN(C)
Net asset value 2.54% 9.36% 0.52%
Market value -8.45% 21.70% -15.76%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (thousands) $ 338,072 $ 359,036 $357,292
RATIOS TO AVERAGE NET ASSETS, INCLUDING DIVIDEND EXPENSE
ON SECURITIES SOLD SHORT:
Total expense ratio 2.81% 2.00% 1.58%(d)(e)
Operating expense ratio 1.50% 1.52% 1.34%(d)
Dividends paid on securities sold short 1.31% 0.48% 0.24%(d)(e)
Net investment income (loss) ratio -0.55% 0.39% 0.75%(d)(e)
Portfolio turnover 323% 248% 60%
|
* Commencement of investment operations.
(a) Before deduction of offering expenses charged to capital.
(b) Based on average shares outstanding during the period.
(c) Total investment return is calculated assuming a purchase of a common share
at the beginning of the period and a sale on the last day of the period
reported either at net asset value ("NAV") or market price per share.
Dividends and distributions are assumed to be reinvested at NAV for NAV
returns or the prices obtained under the Fund's Dividend Reinvestment Plan
for market value returns. Total investment return does not reflect
brokerage commissions. A return calculated for a period of less than one
year is not annualized.
(d) Annualized.
(e) The expense ratio includes dividend payments made on securities sold short.
During the approximate four month period from August 25, 2005 through
December 31, 2005, nine securities sold short made two quarterly payments.
The annualized ratios noted above have been adjusted such that these
securities would only reflect the equivalent of four quarterly dividends
per security. Had this adjustment not been made, the expense ratio would
have been 1.65% and the net investment ratio would have been 0.68%.
See notes to financial statements.
18 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund
Notes to FINANCIAL STATEMENTS | DECEMBER 31, 2007
Note 1 - ORGANIZATION
Old Mutual/Claymore Long-Short Fund (the "Fund") was organized as a
Massachusetts business trust on December 3, 2004. The Fund is registered as a
diversified, closed-end management investment company under the Investment
Company Act of 1940, as amended.
The Fund's primary investment objective is to provide a high level of current
income and current gains. The Fund's secondary investment objective is to
provide long-term capital appreciation. The Fund seeks to achieve its investment
objective by investing in a diversified portfolio of equity securities and by
selling securities short in the S&P 500 Index that it believes will underperform
relative to the average stock in the S&P 500. The Fund will also write (sell)
call options on equity indices and, to a lesser extent, on individual securities
held in the Fund's portfolio. The Fund may also employ a variety of other
strategies involving futures and forward contracts and other derivative
instruments in an attempt to enhance the Fund's investment returns. There can be
no assurance that the Fund's investment objective will be achieved.
Note 2 - ACCOUNTING POLICIES
The preparation of the financial statements in accordance with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from these estimates.
The following is a summary of significant accounting policies followed by the
Fund.
(A) VALUATION OF INVESTMENTS AND DERIVATIVES
Equity securities listed on an exchange are valued at the last reported sale
price on the primary exchange on which they are traded. Equity securities for
which there are no transactions on a given day are valued at the mean of the
closing bid and asked prices. Securities traded on NASDAQ are valued at the
NASDAQ Official Closing Price. Readily marketable securities listed on an
exchange are valued at the last reported sale price on the primary exchange or
in the principal over the counter ("OTC") market on which they are traded. Debt
securities are valued by independent pricing services or dealers using the mean
of the closing bid and asked prices for such securities or, if such prices are
not available, at prices for securities of comparable maturity, quality and
type. Equity index options are valued at the closing price on the primary
exchange on which they are traded. Futures and options on future contracts are
valued at the settlement price determined by the exchange on which they are
traded. Forward exchange currency contracts are valued daily at current exchange
rates. All other types of securities, including restricted securities, and
securities for which market quotations are not readily available, are valued as
determined in accordance with procedures established in good faith by the Board
of Trustees. Short-term securities having a remaining maturity of sixty days or
less at the time of purchase are valued at amortized cost, which approximates
market value.
(B) INVESTMENT TRANSACTIONS AND INVESTMENT INCOME
Investment transactions are accounted for on the trade date. Realized gains and
losses on investments are determined on the identified cost basis. Dividend
income is recorded net of applicable withholding taxes on the ex-dividend date
and interest income is recorded on an accrual basis. Discounts or premiums on
debt securities purchased are accreted or amortized to interest income over the
lives of the respective securities using the effective interest method.
(C) FUTURES
The Fund may engage in asset allocation strategies by purchasing or selling
futures contracts on U.S. and foreign securities indices and other assets. A
futures contract provides for the future sale by one party and purchase by
another party of a specified quantity of the security or other financial
instrument at a specified price and time. A futures contract on an index is an
agreement in which two parties agree to take or make delivery of an amount of
cash equal to the difference between the value of the index at the close of the
last trading day of the contract and the price at which the index contract was
originally written. Upon entering into futures contracts, the Fund maintains an
amount of cash or liquid securities with a value equal to a percentage of the
contract amount with either a futures commission merchant pursuant to rules and
regulations promulgated under the 1940 Act, as amended, or with its custodian in
an account in the broker's name. This amount is known as initial margin. During
the period the futures contract is open, payments are received from or made to
the broker based upon changes in the value of the contract (the variation
margin). The risk of loss associated with a futures contract is in excess of the
variation margin reflected on the Statement of Assets and Liabilities. The Fund
may use futures contracts in an attempt to enhance the Fund's investment
returns, as an efficient way to gain broad market exposure with reduced
transaction costs and/or to hedge against market and other risks in the Fund's
portfolio. There are a number of risks associated with the use of futures
contracts. A purchase or sale of a futures contract may result in losses in
excess of the amount invested in the futures contract. If futures are used for
hedging, there can be no guarantee that there will be a correlation between
price movements in the hedging vehicle and in the Fund's portfolio securities
being hedged.
(D) OPTIONS
The Fund will opportunistically employ an option strategy in an attempt to
generate gains from option premiums, enhance distributions payable to the Fund's
shareholders and reduce overall portfolio risk. The Fund intends to pursue its
options strategy primarily by writing call options on equity indices. As the
writer (seller) of an equity index call option, the Fund would receive cash (the
premium) from the purchaser of the option, and the purchaser would have the
right to receive from the Fund any appreciation in the cash value of the index
over the strike price upon exercise. If the purchaser exercises the index option
sold by the Fund, the Fund would pay the purchaser the difference between the
cash value of the index and the strike price. In effect, the Fund sells the
potential appreciation in the value of the index above the strike price in
exchange for the premium.
Annual Report | December 31, 2007 | 19
OLA | Old Mutual/Claymore Long-Short Fund | NOTES TO FINANCIAL STATEMENTS
continued
(E) SECURITIES SOLD SHORT
The Fund may sell securities short. A short sale is a transaction in which the
Fund sells securities it does not own, but rather has borrowed, in anticipation
of a decline in the market price of the securities. The Fund is obligated to
replace the borrowed securities at their market price at the time of
replacement. The Fund's obligation to replace the securities borrowed in
connection with a short sale will be fully secured by collateral held in a
segregated account at the custodian. Short sales by the Fund involve certain
risks and special considerations. Possible losses from short sales differ from
losses that could be incurred from a purchase of a security because losses from
a short sale may be unlimited, whereas losses from purchases cannot exceed the
total amount invested.
(F) CURRENCY TRANSLATION
Assets and liabilities denominated in foreign currencies are translated into
U.S. dollars at the mean of the bid and asked price of respective exchange rates
on the last day of the period. Purchases and sales of investments denominated in
foreign currencies are translated at the exchange rate on the date of the
transaction.
Foreign exchange gain or loss resulting from holding of a foreign currency,
expiration of a currency exchange contract, difference in exchange rates between
the trade date and settlement date of an investment purchased or sold, and the
difference between dividends actually received compared to the amount shown in a
Fund's accounting records on the date of receipt are included as net realized
gains or losses on foreign currency forwards and currency transactions in the
Fund's Statement of Operations.
Foreign exchange gain or loss on assets and liabilities, other than investments,
are included in unrealized appreciation (depreciation) on foreign currency
translations.
(G) FORWARD EXCHANGE CURRENCY CONTRACTS
The Fund may enter into forward exchange currency contracts in order to hedge
its exposure to changes in foreign currency exchange rates on its foreign
portfolio holdings, to hedge certain firm purchases and sales commitments
denominated in foreign currencies and for investment purposes. A forward
exchange currency contract is a commitment to purchase or sell a foreign
currency on a future date at a negotiated forward rate. The gain or loss arising
from the difference between the original contracts and the closing of such
contracts are included in net realized gain or loss on foreign currency forwards
and currency transactions on the Statement of Operations.
Fluctuations in the value of open forward exchange currency contracts are
recorded for financial reporting purposes as unrealized appreciation and
depreciation on foreign currency forwards and currency translation on the
Statement of Operations.
The Fund's custodian will place and maintain cash not available for investment
or other liquid assets in a separate account of the Fund having a value at least
equal to the aggregate amount of the Fund's commitments under forward exchange
currency contracts entered into with respect to position hedges.
Risks may arise from the potential inability of a counterparty to meet the terms
of a contract and from unanticipated movements in the value of a foreign
currency relative to the U.S. dollar. The face or contract amount, in U.S.
dollars, reflects the total exposure the Fund has in that particular currency
contract.
(H) DISTRIBUTIONS TO SHAREHOLDERS
The Fund declares and pays quarterly dividends to common shareholders.
Distributions to shareholders are recorded on the ex-dividend date. The amount
and timing of distributions are determined in accordance with federal income tax
regulations, which may differ from U.S. generally accepted accounting
principles. These dividends consist of investment company taxable income, which
generally includes qualified dividend income, ordinary income, short-term
capital gains and premiums received on certain written options. Realized
short-term capital gains and premiums received on certain options are considered
ordinary income for tax purposes and will be reclassified at the Fund's fiscal
year end on the Fund's Statement of Assets and Liabilities from accumulated net
realized gains to accumulated net investment loss. Any net realized long-term
capital gains will be distributed annually to common shareholders.
Note 3 - INVESTMENT ADVISORY AGREEMENT, SUB-ADVISORY AGREEMENT AND OTHER
AGREEMENTS
Pursuant to an Investment Advisory Agreement (the "Agreement") between the Fund
and Claymore Advisors, LLC (the "Adviser"), the Adviser will furnish offices,
necessary facilities and equipment, oversee the activities of Analytic
Investors, LLC ("Analytic" or the "Sub-Adviser"), provide personnel including
certain officers required for its administrative management and pay the
compensation of all officers and trustees of the Fund who are its affiliates. As
compensation for these services, the Fund will pay the Adviser an annual fee,
payable monthly, in an amount equal to 1.00% of the Fund's average daily total
net assets.
Pursuant to a Sub-Advisory Agreement (the "Sub-Advisory Agreement") between the
Fund, the Adviser and the Sub-Adviser, the Sub-Adviser under the supervision of
the Fund's Board of Trustees and the Adviser, provides a continuous investment
program for the Fund's portfolio; provides investment research, makes and
executes recommendations for the purchase and sale of securities; and provides
certain facilities and personnel, including certain officers required for its
administrative management and pays the compensation of all officers and trustees
of the Fund who are its affiliates. As compensation for its services, the
Adviser pays the Sub-Adviser a fee, payable monthly, in an annual amount equal
to 0.50% of the Fund's average daily total net assets. Analytic is an affiliate
of Old Mutual (US) Holdings, Inc.
The Adviser provides Fund Administration services to the Fund. For its services,
the Adviser receives a fund administration fee payable monthly at the annual
rate set forth below as a percentage of the average daily total net assets of
the Fund:
NET ASSETS RATE
----------------------------------------------------------------
First $200,000,000 0.0275%
Next $300,000,000 0.0200%
Next $500,000,000 0.0150%
Over $1,000,000,000 0.0100%
|
The Bank of New York ("BNY") acts as the Fund's custodian, accounting agent, and
transfer agent. As custodian, BNY is responsible for the custody of the Fund's
assets. As accounting agent, BNY is responsible for maintaining the books and
records of the Fund's securities and cash. As transfer agent, BNY is responsible
for performing transfer agency services for the Fund.
Certain officers and trustees of the Fund are also officers and directors of the
Adviser or the Sub-Adviser. The Fund does not compensate its officers or
trustees who are officers of the aforementioned firms.
20 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund | NOTES TO FINANCIAL STATEMENTS
continued
Note 4 - FEDERAL INCOME TAXES
The Fund intends to comply with the requirements of Subchapter M of the Internal
Revenue Code of 1986, as amended, applicable to regulated investment companies.
Accordingly, no provision for U.S. federal income taxes is required. In
addition, by distributing substantially all of its ordinary income and long-term
capital gains, if any, during each calendar year, the Fund intends not to be
subject to U.S. federal excise tax.
Due to inherent differences in the recognition of income, expenses, and realized
gains/losses under U.S. generally accepted accounting principles and federal
income tax purposes, permanent differences between book and tax basis reporting
have been identified and appropriately reclassified on the Statement of Assets
and Liabilities. A permanent book and tax difference relating to a distribution
reclass in the amount of $30,408,384 was reclassified from net investment loss
to accumulated net realized gain. Also permanent book and tax differences
relating to losses on foreign currency transactions in the amount of $11,957,513
were reclassified from accumulated net realized gain to net investment loss.
Additionally, a permanent book and tax difference relating to the Fund's
investments in real estate investment trusts totaling $123,370 was reclassified
from net investment loss to accumulated net realized gain. Finally, a permanent
book and tax difference relating to net operating losses in the amount of
$14,010,418 was reclassified from net investment loss to accumulated net
realized gain.
Capital losses and foreign currency transactions incurred after October 31
("post-October" losses) within the taxable year are deemed to arise on the first
business day of the Fund's next taxable year. The Fund incurred and elected to
defer foreign currency related losses from 2007 in the amount of $7,274,206.
Information on the tax components of investments, excluding short sales
transactions and excluding written options, and net assets as of December 31,
2007 is as follows:
NET TAX NET TAX
COST OF UNREALIZED UNREALIZED
INVESTMENTS GROSS TAX GROSS TAX DEPRECIATION APPRECIATION ON
FOR TAX UNREALIZED UNREALIZED ON DERIVATIVES AND
PURPOSES APPRECIATION DEPRECIATION INVESTMENTS FOREIGN CURRENCY
---------------------------------------------------------------------------
$457,694,539 $5,140,592 ($31,425,222) ($26,284,630) $1,529,914
|
Information on the tax components of securities sold short as of December 31,
2007 is as follows:
PROCEEDS
FROM NET TAX
SECURITIES UNREALIZED
SOLD SHORT GROSS TAX GROSS TAX APPRECIATION
FOR TAX UNREALIZED UNREALIZED ON SECURITIES
PURPOSES APPRECIATION DEPRECIATION SOLD SHORT
----------------------------------------------------------------------
$98,300,124 $8,037,388 ($2,931,660) $5,105,728
|
Tax components of the following balances as of December 31, 2007 and 2006 are as
follows:
DECEMBER 31, 2007 DECEMBER 31, 2006
--------------------------------------------------------------------------------
Undistributed ordinary income ($4,518,893) ($3,599,922)
Accumulated capital and other losses - ($606,989)
|
For the years ended December 31, 2007 and December 31, 2006, the tax character
of distributions paid to shareholders as reflected in the Statement of Changes
in Net Assets, was as follows:
DISTRIBUTIONS PAID FROM: 2007 2006
------------------------------------------------------------------------
Ordinary income $26,761,014 $25,380,687
Capital Gain 3,647,370 5,027,697
------------------------------------------------------------------------
$30,408,384 $30,408,384
------------------------------------------------------------------------
|
On July 13, 2006, the Financial Accounting Standards Board ("FASB") released
FASB Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" ("FIN
48"). FIN 48 provides guidance for how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial statements. FIN
48 requires the evaluation of tax positions taken or expected to be taken in the
course of preparing the Fund's tax returns to determine whether the tax
positions are "more-likely-than-not" of being sustained by the applicable tax
authority. Tax positions not deemed to meet the more-likely-than-not threshold
would be recorded as a tax benefit or expense in the current year. Adoption of
FIN 48 is required for fiscal years beginning after December 15, 2006, but not
before its last NAV calculation in the first required financial statement
reporting period for its fiscal year beginning after December 15, 2006, and is
to be applied to all open tax years as of the effective date. Management has
evaluated the implications of FIN 48 and has determined it does not have any
impact on the financial statements as of December 31, 2007.
Tax years for 2005 and 2006 are still subject to examination by major
jurisdictions.
Note 5 - INVESTMENT TRANSACTIONS AND OPTIONS WRITTEN
For the year ended December 31, 2007, purchases and sales of investments,
excluding written options and short-term securities, were $1,391,185,632 and
$1,435,622,329, respectively.
The Fund entered into written call option contracts during the year ended
December 31, 2007. Details of the transactions were as follows:
NUMBER OF
CONTRACTS PREMIUMS RECEIVED
------------------------------------------------------------------------
Options outstanding, beginning of year 2,650 $ 3,595,800
Options written, during the year 72,793 102,589,008
Options expired, during the year (13,466) (11,272,462)
Options closed, during the year (55,427) (86,539,858)
------------------------------------------------------------------------
Options outstanding, end of year 6,550 $ 8,372,488
------------------------------------------------------------------------
|
Note 6 - DERIVATIVES
At December 31, 2007, the following futures contracts were outstanding:
UNREALIZED
NUMBER OF APPRECIATION
LONG CONTRACTS CONTRACTS (DEPRECIATION)
-------------------------------------------------------------------------------------------
Amsterdam Exchanges Index - January 2008
(Current notional value of 103,390 Euro per contract) 288 $ 740,988
DAX Index - March 2008
(Current notional value of 203,613 Euro per contract) 146 1,095,988
Dow Jones Euro STOXX 50 - March 2008
(Current notional value of 44,350 Euro per contract) 108 88,445
FTSE 100 Index - March 2008
(Current notional value of 64,550 Pound Sterling per contract) 307 802,311
S&P 500 E-Mini - March 2008
(Current notional value of $73,860 per contract) 551 (641,915)
TOPIX Index - March 2008
(Current notional value of 14,700,000 Japanese Yen per contract) 111 (744,943)
-------------------------------------------------------------------------------------------
1,511 $1,340,874
-------------------------------------------------------------------------------------------
|
Annual Report | December 31, 2007 | 21
OLA | Old Mutual/Claymore Long-Short Fund | NOTES TO FINANCIAL STATEMENTS
continued
SHORT CONTRACTS
-------------------------------------------------------------------------------------------
CAC 40 10 Year Euro Index - January 2008
(Current notional value of 56,205 Euro per contract) 205 (237,025)
Hang Seng Stock Index - January 2008
(Current notional value of 1,395,500 Hong Kong dollars
per contract) 65 (329,769)
IBEX 35 Index - January 2008
(Current notional value of 151,105 Euro per contract) 103 398,309
OMXS 30 Index - January 2008
(Current notional value of 108,375 Swedish Krona per contract) 813 (72,151)
S&P/MIB Index - March 2008
(Current notional value of 194,610 Euro per contract) 118 (101,361)
S&P/TSE 60 Index - March 2008
(Current notional value of 162,700 Canadian dollars per contract) 105 (249,304)
SPI 200 Index - March 2008
(Current notional value of 158,700 Australian
dollars per contract) 270 123,066
-------------------------------------------------------------------------------------------
1,679 $(468,235)
-------------------------------------------------------------------------------------------
3,190 $ 872,639
-------------------------------------------------------------------------------------------
|
All notional values are denominated in local currencies.
At December 31, 2007, the following forward exchange currency contracts were
outstanding:
LOCAL UNREALIZED
CURRENCY APPRECIATION
LONG CONTRACTS VALUE (DEPRECIATION)
-------------------------------------------------------------------------------------------
Australian Dollar, 74,000,000 expiring 3/19/08 64,668,143 $ 1,280,483
Norwegian Krone, 400,000,000 expiring 3/19/08 73,509,368 1,339,261
Pound Sterling, 25,000,000 expiring 3/19/08 49,662,186 (762,014)
Swedish Krona, 120,000,000 expiring 3/19/08 18,576,091 157,799
-------------------------------------------------------------------------------------------
$ 2,015,529
-------------------------------------------------------------------------------------------
SHORT CONTRACTS
-------------------------------------------------------------------------------------------
Canadian Dollar, 74,000,000 expiring 3/19/08 75,027,730 $(2,504,591)
Euro, 52,000,000 expiring 3/19/08 76,082,515 (946,675)
Japanese Yen, 1,800,000,000 expiring 3/19/08 16,246,674 (157,878)
Swiss Franc, 82,000,000 expiring 3/19/08 72,747,489 (1,107,367)
-------------------------------------------------------------------------------------------
(4,716,511)
-------------------------------------------------------------------------------------------
$(2,700,982)
-------------------------------------------------------------------------------------------
|
Note 7 - CAPITAL
COMMON SHARES
The Fund has an unlimited amount of common shares, $0.01 par value, authorized
and 19,005,240 issued and outstanding.
There were no transactions in common shares during the years ended December 31,
2007 or 2006, respectively.
Note 8 - INDEMNIFICATIONS
In the normal course of business, the Fund enters into contracts that contain a
variety of representations, which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would require
future claims that may be made against the Fund that have not yet occurred.
However, the Fund expects the risk of loss to be remote.
Note 9 - ACCOUNTING PRONOUNCEMENT
In September, 2006, the FASB issued Statement of Financial Accounting Standards
No. 157, "Fair Valuation Measurements" ("FAS 157"). This standard clarifies the
definition of fair value for financial reporting, establishes a framework for
measuring fair value and requires additional disclosures about the use of fair
value measurements. FAS 157 is effective for financial statements issued for
fiscal years beginning after November 15, 2007 and interim periods within those
fiscal years. As of December 31, 2007, the Fund does not believe the adoption of
FAS 157 will impact the amounts reported in the financial statements, however,
additional disclosure will be required about the inputs used to develop
measurements of fair value and the effect of certain of the measurements
reported in the statement of operations for a fiscal period.
22 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund
Report of INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
OLD MUTUAL/CLAYMORE LONG-SHORT FUND
We have audited the accompanying statement of assets and liabilities of Old
Mutual/Claymore Long-Short Fund (the "Fund"), including the portfolio of
investments, as of December 31, 2007, and the related statement of operations
for the year then ended, the statements of changes in net assets for each of the
two years in the period then ended, and the financial highlights for each of the
two years in the period then ended and for the period from August 25, 2005
(commencement of investment operations) through December 31, 2005. These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. Our
audits included consideration of internal control over financial reporting as a
basis for designing audit procedures that are appropriate in the circumstances,
but not for the purpose of expressing an opinion on the effectiveness of the
Fund's internal control over financial reporting. Accordingly, we express no
such opinion. An audit also includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements and financial
highlights, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
Our procedures included confirmation of securities owned as of December 31,
2007, by correspondence with the custodian and brokers or by other appropriate
auditing procedures where replies from brokers were not received. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Old
Mutual/Claymore Long-Short Fund at December 31, 2007, and the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended, and the financial highlights for each of
the two years in the period then ended and for the period from August 25, 2005
(commencement of investment operations) through December 31, 2005, in conformity
with U.S. generally accepted accounting principles.
/s/ Ernst & Young LLP
Chicago, Illinois
February 20, 2008
|
Annual Report | December 31, 2007 | 23
OLA | Old Mutual/Claymore Long-Short Fund
Supplemental INFORMATIONl (unaudited)
FEDERAL INCOME TAX INFORMATION
Qualified dividend income of as much as $5,890,887 was taxable to the Fund
through December 31, 2007. The Fund intends to designate the maximum amount of
dividends that qualify for the reduced tax rate pursuant to the Jobs and Growth
Tax Relief Reconciliation Act of 2003.
For corporate shareholders, $5,983,302 of investment income (dividend income
plus short-term gains, if any) qualifies for the dividends-received deduction.
Subchapter M on the Internal Revenue Code of 1986, as amended, requires the Fund
to advise shareholders within 60 days of the Fund's tax year end as to the
federal tax status of dividends and distributions received by shareholders
during such tax period. The Fund hereby designates $3,647,370 as long-term
capital gains according to IRC Section 852(b)(3)(C).
In January 2008, you will be advised on IRS Form 1099 DIV or substitute 1099 DIV
as to the federal tax status of the distributions received by you in the
calendar year 2007.
TRUSTEES
The Trustees of the Old Mutual/Claymore Long-Short Fund and their principal
occupations during the past five years:
NUMBER OF
NAME, ADDRESS,* YEAR OF TERM OF OFFICE** PRINCIPAL OCCUPATION DURING PORTFOLIOS IN THE
BIRTH AND POSITION(S) AND LENGTH OF THE PAST FIVE YEARS AND FUND COMPLEX*** OTHER DIRECTORSHIPS
HELD WITH REGISTRANT TIME SERVED OTHER AFFILIATIONS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES:
------------------------------------------------------------------------------------------------------------------------------------
Randall C. Barnes Since 2005 Investor (2001-present). Formerly, 47 None.
Year of Birth: 1951 Senior Vice President & Treasurer
Trustee (1993-1997), President, Pizza Hut
International (1991-1993) and
Senior Vice President, Strategic
Planning and New Business
Development (1987-1990) of PepsiCo,
Inc. (1987-1997).
------------------------------------------------------------------------------------------------------------------------------------
Steven D. Cosler Since 2005 Formerly, President, Chief 2 Director, SXC Health
Year of Birth: 1955 Executive Officer and Director of Solutions, Corp.
Trustee Priority Healthcare Corp.
(2002-2005). Formerly, President
and Chief Operating Officer of
Priority Healthcare Corp.
(2001-2002). Formerly, Executive
Vice President and Chief Operating
Officer of Priority Healthcare
Corp. (2000-2001).
------------------------------------------------------------------------------------------------------------------------------------
Robert M. Hamje Since 2005 Advisor to the Cleveland Foundation 2 Trustee, Old Mutual
Year of Birth: 1942 Investment Committee. Formerly, Advisor Mutual
Trustee President and Chief Investment Funds.
Officer of TRW Investment
Management Co. (1990-2003).
------------------------------------------------------------------------------------------------------------------------------------
L. Kent Moore Since 2005 Partner at WilSource Enterprise 2 Trustee, Old Mutual
Year of Birth: 1955 (December 2005-Present). Advisor Mutual
Trustee Previously, Managing Director High Funds.
Sierra Energy L.P., (2004-2005).
Formerly, Portfolio Manager and
Vice President of Janus Capital
Corp. (2000-2002) and Senior
Analyst/Portfolio Manager of
Marsico Capital Management
(1997-1999).
------------------------------------------------------------------------------------------------------------------------------------
Ronald A. Nyberg Since 2005 Partner of Nyberg & Cassioppi, LLC, 50 None
Year of Birth: 1953 a law firm specializing in
Trustee corporate law, estate planning and
business transactions
(2000-present). Formerly, Executive
Vice President, General Counsel and
Corporate Secretary of Van Kampen
Investments (1982-1999).
------------------------------------------------------------------------------------------------------------------------------------
Ronald E. Toupin, Jr. Since 2005 Formerly, Vice President, Manager 47 None.
Year of Birth: 1958 and Portfolio Manager of Nuveen
Trustee Asset Management (1998-1999), Vice
President of Nuveen Investment
Advisory Corp. (1992-1999), Vice
President and Manager of Nuveen
Unit Investment Trusts (1991-1999),
and Assistant Vice President and
Portfolio Manager of Nuveen Unit
Investment Trusts (1988-1999), each
of John Nuveen & Co., Inc.
(1982-1999).
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES:
------------------------------------------------------------------------------------------------------------------------------------
Matthew J. Appelstein+ Since 2005 Senior Vice President of Product 2 None.
Year of Birth: 1961 Strategy and Retirement Solutions
Trustee Planning, Director of Investment
Services, Old Mutual Asset
Management (2003-present).
Formerly, Senior Vice President of
Consulting Relationships, Fidelity
Management Trust Co. (1998-2003).
------------------------------------------------------------------------------------------------------------------------------------
Nicholas Dalmaso++ Since 2005 Senior Managing Director and Chief 50 None.
Year of Birth: 1965 Administrative Officer of Claymore
Trustee; Chief Legal and Advisors, LLC and Claymore
Executive Officer Securities, Inc. (2007-present).
Formerly, Senior Managing Director
and General Counsel of Claymore
Group, Inc., Claymore Advisors, LLC
and Claymore Securities, Inc.
(2001-2007). Assistant General
Counsel, John Nuveen and Co., Inc.
(1999-2001). Former Vice President
and Associate General Counsel of
Van Kampen Investments, Inc.
(1992-1999).
------------------------------------------------------------------------------------------------------------------------------------
|
* Address for all Trustees unless otherwise noted: 2455 Corporate West Drive,
Lisle, IL 60532
** After a Trustee's initial term, each Trustee is expected to serve a
three-year term concurrent with the class of Trustees for which he serves:
-Messrs. Moore, Nyberg and Toupin, as Class III Trustees, are expected to
stand for re-election at the Fund's 2008 annual meeting of shareholders.
-Messrs. Appelstein and Barnes, as Class I Trustees, are expected to stand
for re-election at the Fund's 2009 annual meeting of shareholders.
-Messrs. Cosler, Dalmaso and Hamje, as Class II Trustees, are expected to
stand for re-election at the Fund's 2010 annual meeting of shareholders.
*** The Claymore Fund Complex consists of U.S. registered investment companies
advised or serviced by Claymore Advisors, LLC or Claymore Securities, Inc.
The Claymore Fund Complex is overseen by multiple Boards of Trustees..
+ Mr. Appelstein is an "interested person" (as defined in Section 2(a)(19) of
the 1940 Act) of the Fund because of his position as an officer of Old
Mutual Asset Management, the parent company of the Fund's Sub-Adviser.
++ Mr. Dalmaso is an "interested person" (as defined in Section 2(a)(19) of
the 1940 Act) of the Fund because of his position as an officer of Claymore
Advisors, LLC, the Fund's Investment Adviser.
24 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund | SUPPLEMENTAL INFORMATION (unaudited)
continued
OFFICERS
The Officers of the Old Mutual/Claymore Long-Short Fund and their principal
occupations during the past five years:
NAME, ADDRESS*, YEAR OF BIRTH AND TERM OF OFFICE** AND PRINCIPAL OCCUPATION DURING THE PAST FIVE YEARS
POSITION(S) HELD WITH REGISTRANT LENGTH OF TIME SERVED AND OTHER AFFILIATIONS
--------------------------------------------------------------------------------------------------------------------------
OFFICERS:
--------------------------------------------------------------------------------------------------------------------------
Steven M. Hill Since 2005 Senior Managing Director of Claymore Advisors, LLC
Year of Birth: 1964 and Claymore Securities, Inc. (2005- present).
Chief Accounting Officer, Previously, Chief Financial Officer of Claymore
Chief Financial Officer Group, Inc. (2005-2006). Managing Director of
and Treasurer Claymore Advisors, LLC and Claymore Securities,
Inc. (2003-2005). Treasurer of Henderson Global
Funds and Operations Manager for Henderson Global
Investors (North America) Inc. (2002-2003);
Managing Director, FrontPoint Partners LLC
(2001-2002); Vice President, Nuveen Investments
(1999-2001); Chief Financial Officer, Skyline
Asset Management LP (1999); Vice President, Van
Kampen Investments and Assistant Treasurer, Van
Kampen mutual funds (1989-1999).
--------------------------------------------------------------------------------------------------------------------------
Matthew J. Patterson Since 2006 Vice President; Assistant General Counsel of
Year of Birth: 1971 Claymore Advisors, LLC (2006-present). Secretary
Secretary of certain funds in the Fund Complex. Previously,
Chief Compliance Officer and Clerk, The Preferred
Group of Mutual Funds (2005-2006); Chief
Compliance Officer and Secretary, Caterpillar
Investment Management Ltd (2005-2006); Securities
Counsel, Caterpillar Inc. (2004-2006); Associate,
Skadden, Arps, Slate, Meagher & Flom LLP
(2002-2004).
--------------------------------------------------------------------------------------------------------------------------
Bruce Saxon Since 2006 Vice President-Fund Compliance Officer of Claymore
Year of Birth: 1957 Advisors, LLC (Feb 2006-present). Previously,
Chief Compliance Officer Chief Compliance Officer/Assistant Secretary of
Harris Investment Management, Inc. (2003-2006).
Director-Compliance of Harrisdirect LLC
(1999-2003).
--------------------------------------------------------------------------------------------------------------------------
James Howley Since 2006 Vice President, Fund Administration of Claymore
Year of birth: 1972 Securities, Inc. (2004-present). Formerly,
Assistant Treasurer Manager, Mutual Fund Administration of Van Kampen
Investments, Inc. (1996-2004).
--------------------------------------------------------------------------------------------------------------------------
Melissa J. Nguyen Since 2006 Vice President, Assistant General Counsel of
Year of birth: 1978 Claymore Group Inc. (2005-present). Secretary of
Assistant Secretary certain funds in the Fund Complex. Formerly,
Associate, Vedder, Price, Kaufman & Kammholz, P.C.
(2003-2005).
--------------------------------------------------------------------------------------------------------------------------
|
* Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532
** Officers serve at the pleasure of the Board of Trustees and until his or
her successor is appointed and qualified or until his or her earlier
resignation or removal
Annual Report | December 31, 2007 | 25
OLA | Old Mutual/Claymore Long-Short Fund
Dividend Reinvestment PLAN | (unaudited)
Unless the registered owner of common shares elects to receive cash by
contacting the Bank of New York (the "Plan Administrator"), all dividends
declared on common shares of the Fund will be automatically reinvested by the
Plan Administrator for shareholders in the Fund's Dividend Reinvestment Plan
(the "Plan"), in additional common shares of the Fund. Participation in the Plan
is completely voluntary and may be terminated or resumed at any time without
penalty by notice if received and processed by the Plan Administrator prior to
the dividend record date; otherwise such termination or resumption will be
effective with respect to any subsequently declared dividend or other
distribution. Some brokers may automatically elect to receive cash on your
behalf and may re-invest that cash in additional common shares of the Fund for
you. If you wish for all dividends declared on your common shares of the Fund 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 shareholder's common shares are
registered. Whenever the Fund declares a dividend or other distribution
(together, a "Dividend") payable in cash, non-participants in the Plan will
receive cash and participants in the Plan will receive the equivalent in common
shares. The common shares will be acquired by the Plan Administrator for the
participants' accounts, depending upon the circumstances described below, either
(i) through receipt of additional unissued but authorized common shares from the
Fund ("Newly Issued Common Shares") or (ii) by purchase of outstanding common
shares on the open market ("Open-Market Purchases") on the New York Stock
Exchange or elsewhere. If, on the payment date for any Dividend, the closing
market price plus estimated brokerage commission 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
participant's 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 commission, the Plan
Administrator will invest the Dividend amount in common shares acquired on
behalf of the participants in Open-Market Purchases.
If, before the Plan Administrator has completed its Open-Market Purchases, the
market price per common share exceeds the net asset value per common share, the
average per common share purchase price paid by the Plan Administrator may
exceed the net asset value of the common shares, resulting in the acquisition of
fewer common shares than if the Dividend had been paid in Newly Issued Common
Shares on the Dividend payment date. Because of the foregoing difficulty with
respect to Open-Market Purchases, the Plan provides that if the Plan
Administrator is unable to invest the full Dividend amount in Open-Market
Purchases during the purchase period or if the market discount shifts to a
market premium during the purchase period, the Plan Administrator may cease
making Open-Market Purchases and may invest the uninvested portion of the
Dividend amount in Newly Issued Common Shares at 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 instruction of the participants.
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
commission incurred in connection with Open-Market Purchases. The automatic
reinvestment of Dividends will not relieve participants of any Federal, state or
local income tax that may be payable (or required to be withheld) on such
Dividends.
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, Attention: Stock Transfer Department,
101 Barclay 11E, New York, New York 10286, Phone Number: (866) 488-3559.
26 | Annual Report | December 31, 2007
OLA | Old Mutual/Claymore Long-Short Fund
Fund INFORMATION
BOARD OF TRUSTEES
Matthew J. Appelstein*
Randall C. Barnes
Steven D. Cosler
Nicholas Dalmaso*
Robert M. Hamje
L. Kent Moore
Ronald A. Nyberg
Ronald E. Toupin, Jr.
* Trustee is an "interested person" of the Fund as defined in the Investment
Company Act of 1940, as amended.
OFFICERS
Nicholas Dalmaso
Chief Executive Officer and
Chief Legal Officer
Steven M. Hill
Chief Accounting Officer, Chief
Financial Officer and Treasurer
Matthew J. Patterson
Secretary
Bruce Saxon
Chief Compliance Officer
James Howley
Assistant Treasurer
Melissa J. Nguyen
Assistant Secretary
INVESTMENT ADVISER
Claymore Advisors, LLC
Lisle, Illinois
INVESTMENT SUB-ADVISER
Analytic Investors, LLC
Los Angeles, California
ADMINISTRATOR
Claymore Advisors, LLC
Lisle, Illinois
ACCOUNTING AGENT, CUSTODIAN
AND TRANSFER AGENT
The Bank of New York
New York, New York
LEGAL COUNSEL
Skadden, Arps, Slate,
Meagher & Flom LLP
Chicago, Illinois
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
Ernst & Young LLP
Chicago, Illinois
PRIVACY PRINCIPLES OF OLD MUTUAL/CLAYMORE LONG-SHORT FUND FOR SHAREHOLDERS
The Fund is committed to maintaining the privacy of its shareholders and to
safeguarding its non-public personal information. The following information is
provided to help you understand what personal information the Fund collects, how
we protect that information and why, in certain cases, we may share information
with select other parties.
Generally, the Fund does not receive any non-public personal information
relating to its shareholders, although certain non-public personal information
of its shareholders may become available to the Fund. The Fund does not disclose
any non-public personal information about its shareholders or former
shareholders to anyone, except as permitted by law or as is necessary in order
to service shareholder accounts (for example, to a transfer agent or third party
administrator).
The Fund restricts access to non-public personal information about the
shareholders to Claymore Advisors, LLC employees with a legitimate business need
for the information. The Fund maintains physical, electronic and procedural
safeguards designed to protect the non-public personal information of its
shareholders.
QUESTIONS CONCERNING YOUR SHARES OF OLD MUTUAL/CLAYMORE LONG-SHORT FUND?
o If your shares are held in a Brokerage Account, contact your Broker.
o If you have physical possession of your shares in certificate form, contact
the Fund's Custodian and Transfer Agent: The Bank of New York, 101 Barclay
11E, New York, New York 12086 (866) 488-3559
This report is sent to shareholders of Old Mutual/Claymore Long-Short Fund for
their information. It is not a Prospectus, circular or representation intended
for use in the purchase or sale of shares of the Fund or of any securities
mentioned in this report.
A description of the Fund's proxy voting policies and procedures related to
portfolio securities is available without charge, upon request, by calling the
Fund at (800) 345-7999 or by accessing the Fund's Form N-PX on the U.S.
Securities and Exchange Commission's ("SEC") website at http://www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q is
available on the SEC website at http://www.sec.gov. The Fund's Form N-Q may also
be viewed and copied at the SEC's Public Reference Room in Washington, DC;
information on the operation of the Public Reference Room may be obtained by
calling (800) SEC-0330 or at www.claymore.com.
In June 2007, the Fund submitted a CEO annual certification to the NYSE in which
the Fund's principal executive officer certified that he was not aware, as of
the date of the certification, of any violation by the Fund of the NYSE's
Corporate Governance listing standards. In addition, as required by Section 302
of the Sarbanes-Oxley Act of 2002 and related SEC rules, the Fund's principal
executive and principal financial officers have made quarterly certifications,
included in filings with the SEC on Forms N-CSR and N-Q, relating to, among
other things, the Fund's disclosure controls and procedures and internal control
over financial reporting.
Annual Report | December 31, 2007 | 27
OLA | Old Mutual/Claymore Long-Short Fund
About the FUND MANAGER
ANALYTIC INVESTORS, LLC
Analytic Investors specializes in the application of systematic investment
processes to evaluate and exploit opportunities in the global equity, fixed
income and derivative securities markets. Based in Los Angeles and wholly owned
by Old Mutual plc, Analytic employs 35 professionals and manages more than $12
billion. The firm manages a range of traditional, long-only equity products as
well as a number of absolute return strategies. The firm was founded in 1970
and, since that time, has focused on delivering valued-added, risk-controlled
investment strategies to its range of institutional, fund-of-fund, and high net
worth clients.
INVESTMENT PHILOSOPHY
Analytic's philosophy is anchored in the conviction that the systematic
application of quantitative techniques to assess opportunity has the potential
to deliver quality, risk-adjusted performance, regardless of market cycle.
Analytic's quantitative methods bring together the best attributes of individual
security selection and unbiased portfolio modeling, yielding a management style
that is both disciplined and responsive.
INVESTMENT PROCESS
Analytic's innovative research seeks to uncover the factors that are driving
performance and are likely to be important going forward. Two core beliefs
underlie the firm's investment process:
o The attractiveness of every security is determined by a multitude of
factors that can be measured.
o The desirability of a security's characteristics change with economic
conditions.
Sophisticated quantitative techniques enable Analytic to simultaneously analyze
a variety of unique characteristics - such as relative valuation, growth
potential, historical returns, liquidity and risk - in an effort to identify and
exploit opportunities. Analytic uses thorough statistical analysis in an attempt
to identify the merits of each security as well as the relationships between
each security's measurable characteristics that may be driving its performance.
Analytic's proprietary multi-factor return models are applied in a
risk-controlled environment. The firm's highly evolved and successful approach,
supported by the research efforts of its investment team, capitalizes on
opportunity while neutralizing systematic market exposure and overall risk.
CLAYMORE SECURITIES, INC.
2455 Corporate West Drive
Lisle, IL 60532
Member FINRA/SIPC
NOT FDIC-INSURED | NOT BANK-GUARANTEED | MAY LOSE VALUE
OLA
LISTED
NYSE OLA-AR-1207