fp0003738_nq.htm
 
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
 MANAGEMENT INVESTMENT COMPANY
 
Investment Company Act file number     811-22066                              
 
Cornerstone Progressive Return Fund
(Exact name of registrant as specified in charter)
 
350 Jericho Turnpike, Suite 206        Jericho, New York
11753 
(Address of principal executive offices)
(Zip code)
 
Frank J. Maresca
 
  Ultimus Fund Solutions, LLC     350 Jericho Turnpike, Suite 206     Jericho, NY 11753
(Name and address of agent for service)
 
Registrant's telephone number, including area code:  (513) 587-3400      
 
Date of fiscal year end:         December 31, 2011                          
 
Date of reporting period:       September 30, 2011                          
 
Form N-Q is to be used by management investment companies other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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. § 3507.
 
 
 
 
 
Item 1.
Schedule of Investments.
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2011 (Unaudited)
  
   
Description
  
No. of Shares
    
Value
  
EQUITY SECURITIES - 98.30%
            
CLOSED-END FUNDS - 93.12%
            
CONVERTIBLE SECURITIES - 1.10%
            
Advent/Claymore Global Convertible Securities & Income Fund
     71,027     $ 447,470  
Calamos Convertible and High Income Fund
     38,800       430,680  
              878,150  
CORPORATE DEBT FUNDS INVESTMENT GRADE-RATED - 11.11%
                
AllianceBernstein Income Fund
     541,922       4,319,118  
BlackRock Core Bond Trust
     31,949       414,379  
BlackRock Enhanced Government Fund, Inc.
     11,847       181,496  
BlackRock Income Opportunity Trust, Inc.
     45,815       449,445  
Federated Enhanced Treasury Income Fund
     59,077       886,155  
MFS Government Markets Income Trust
     66,199       440,885  
Montgomery Street Income Securities, Inc.
     10,285       160,446  
Rivus Bond Fund
     1       25  
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
     122,194       1,543,310  
Western Asset/Claymore Inflation-Linked Securities & Income Fund
     35,251       446,278  
              8,841,537  
DEVELOPED MARKET - 1.52%
                
Japan Smaller Capitalization Fund, Inc.
     162,524       1,207,553  
                 
EMERGING MARKETS - 1.09%
                
First Israel Fund, Inc.
     6,224       87,136  
First Trust/Aberdeen Emerging Opportunity Fund
     25,481       439,802  
Morgan Stanley Eastern Europe Fund, Inc. *
     7,300       98,769  
Morgan Stanley Emerging Markets Fund, Inc.
     12,500       156,875  
Morgan Stanley Frontier Emerging Markets Fund, Inc.
     7,665       84,545  
              867,127  
EMERGING MARKETS DEBT - 0.13%
                
Morgan Stanley Emerging Markets Debt Fund, Inc.
     10,710       103,566  
                 
FLEXIBLE INCOME - 4.93%
                
MFS Charter Income Trust
     15,505       132,258  
Putnam Master Intermediate Income Trust
     71,251       359,818  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2011 (Unaudited) (Continued)
  
   
Description
  
No. of Shares
    
Value
  
CLOSED-END FUNDS (Continued)
            
FLEXIBLE INCOME (Continued)
            
Wells Fargo Advantage Multi-Sector Income Fund
     103,484     $ 1,470,508  
Zweig Total Return Fund, Inc. (The)
     648,533       1,958,570  
              3,921,154  
GENERAL & INSURED UNLEVERAGED - 0.08%
                
Nuveen Select Tax-Free Income Portfolio 3
     4,484       61,655  
                 
GENERAL BOND - 7.14%
                
BlackRock Build America Bond Trust
     199,621       4,032,344  
Duff & Phelps Utility & Corporate Bond Trust Inc.
     15,963       183,894  
MFS InterMarket Income Trust I
     18,369       148,422  
Nuveen Build America Bond Fund
     66,003       1,316,760  
              5,681,420  
GENERAL MUNICIPAL LEVERAGED - 5.88%
                
BlackRock MuniYield Investment Quality Fund
     9,445       130,624  
BlackRock MuniYield Quality Fund III, Inc.
     107,974       1,427,416  
Eaton Vance Municipal Bond Fund
     38,730       478,316  
Eaton Vance Tax-Advantaged Bond and Option Strategies Fund
     48,070       796,039  
Invesco Municipal Premium Income Trust
     19,536       156,093  
Nuveen Insured Municipal Opportunity Fund, Inc.
     90,249       1,298,683  
Nuveen Municipal Market Opportunity Fund, Inc.
     15,000       202,500  
Nuveen Premium Income Municipal Fund 4, Inc.
     7,353       93,015  
Nuveen Quality Income Municipal Fund, Inc.
     7,005       98,000  
              4,680,686  
GLOBAL - 1.48%
                
Clough Global Allocation Fund
     29,600       367,040  
Clough Global Equity Fund
     38,519       449,517  
First Trust Active Dividend Income Fund (The)
     6,400       53,632  
Gabelli Global Multimedia Trust Inc.
     12,093       75,702  
GDL Fund (The)
     19,379       230,998  
              1,176,889  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2011 (Unaudited) (Continued)
  
   
Description
  
No. of Shares
    
Value
  
CLOSED-END FUNDS (Continued)
            
GLOBAL INCOME - 0.44%
            
Nuveen Global Government Enhanced Income Fund
     22,058     $ 321,385  
Western Asset Variable Rate Strategic Fund Inc.
     1,627       25,105  
              346,490  
HIGH CURRENT YIELD (LEVERAGED) - 0.61%
                
BlackRock Senior High Income Fund, Inc.
     32,559       118,840  
First Trust Strategic High Income Fund
     40,757       140,612  
First Trust Strategic High Income Fund II
     26,741       123,276  
Helios Strategic Income Fund, Inc.
     18,745       99,723  
              482,451  
HIGH YIELD MUNICIPAL DEBT - 1.98%
                
BlackRock Muni Assets Fund, Inc.
     85,655       1,024,434  
Invesco Municipal Income Opportunities Trust II
     9,463       66,714  
Nuveen Municipal High Income Opportunity Fund
     18,700       216,359  
Nuveen Municipal High Income Opportunity Fund 2
     24,955       272,509  
              1,580,016  
INCOME & PREFERRED STOCK - 1.81%
                
BlackRock Preferred Opportunity Trust
     27,459       271,295  
Calamos Strategic Total Return Fund
     69,238       551,134  
Nuveen Tax-Advantaged Floating Rate Fund
     25,003       50,756  
Preferred Income Strategies Fund
     60,839       568,236  
              1,441,421  
INSURED MUNICIPAL LEVERAGED - 0.49%
                
Invesco Van Kampen Trust For Insured Municipals
     2,937       38,269  
Nuveen Insured Tax-Free Advantage Municipal Fund
     24,770       352,725  
              390,994  
LOAN PARTICIPATION - 3.51%
                
BlackRock Diversified Income Strategies Fund, Inc.
     13,700       125,903  
BlackRock Floating Rate Income Strategies Fund, Inc.
     17,911       228,007  
BlackRock Floating Rate Income Strategies Fund II, Inc.
     3,200       37,216  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2011 (Unaudited) (Continued)
  
   
Description
  
No. of Shares
    
Value
  
CLOSED-END FUNDS (Continued)
            
LOAN PARTICIPATION (Continued)
            
BlackRock Floating Rate Income Trust
     25,300     $ 320,551  
Eaton Vance Floating-Rate Income Trust
     9,517       134,095  
Eaton Vance Senior Floating-Rate Trust
     45,345       644,352  
Eaton Vance Senior Income Trust
     41,950       264,705  
Invesco Van Kampen Dynamic Credit Opportunities Fund
     41,626       443,317  
Invesco Van Kampen Senior Income Trust
     25,000       105,500  
Nuveen Floating Rate Income Opportunity Fund
     46,970       490,367  
              2,794,013  
OPTION ARBITRAGE/OPTIONS STRATEGIES - 42.11%
                
AGIC International & Premium Strategy Fund
     7,200       72,792  
BlackRock Enhanced Capital & Income Fund, Inc.
     202,852       2,395,682  
BlackRock Enhanced Equity Dividend Trust
     324,916       2,267,914  
Cohen & Steers Global Income Builder, Inc.
     70,569       612,539  
Eaton Vance Enhanced Equity Income Fund
     208,336       2,037,526  
Eaton Vance Enhanced Equity Income Fund II
     243,653       2,402,419  
Eaton Vance Risk-Managed Diversified Equity Income Fund
     361,450       3,957,878  
Eaton Vance Tax-Managed Buy-Write Income Fund
     147,258       1,711,138  
Eaton Vance Tax-Managed Buy-Write Opportunities Fund
     264,757       2,891,146  
Eaton Vance Tax-Managed Diversified Equity Income Fund
     407,200       3,473,416  
Eaton Vance Tax-Managed Global Buy-Write Opportunities Fund
     367,136       3,583,247  
Eaton Vance Tax-Managed Global Diversified Equity Income Fund
     448,796       3,590,368  
Madison/Claymore Covered Call & Equity Strategy Fund
     2,785       19,801  
Nuveen Equity Premium Advantage Fund
     76,057       835,106  
Nuveen Equity Premium and Growth Fund
     40,216       462,082  
Nuveen Equity Premium Income Fund
     118,860       1,269,425  
Nuveen Equity Premium Opportunity Fund
     177,820       1,932,903  
              33,515,382  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2011 (Unaudited) (Continued)
  
   
Description
  
No. of Shares
    
Value
  
CLOSED-END FUNDS (Continued)
            
PACIFIC EX JAPAN - 5.66%
            
Aberdeen Indonesia Fund, Inc.
     2,400     $ 27,912  
China Fund, Inc. (The)
     46,205       1,062,715  
Morgan Stanley China A Share Fund, Inc.
     134,733       2,854,992  
Thai Fund, Inc. (The)
     47,002       556,034  
              4,501,653  
REAL ESTATE - 0.03%
                
LMP Real Estate Income Fund, Inc.
     2,900       25,201  
RMR Asia Pacific Real Estate Fund
     1       12  
              25,213  
SECTOR EQUITY - 2.02%
                
BlackRock EcoSolutions Investment Trust
     70,379       565,847  
Evergreen Utilities and High Income Fund
     40,508       417,232  
Gabelli Healthcare & WellnessRx Trust (The) *
     22,831       152,739  
Petroleum & Resources Corporation (a)
     21,049       476,128  
              1,611,946  
                 
TOTAL CLOSED-END FUNDS
       74,109,316  
                 
CONSUMER DISCRETIONARY - 0.44%
                
Comcast Corporation - Class A
     3,358       70,182  
DIRECTV Group, Inc. (The) - Class A *
     4,000       169,000  
Ford Motor Company *
     5,000       48,350  
Time Warner, Inc.
     2,000       59,940  
              347,472  
CONSUMER STAPLES - 0.58%
                
H.J. Heinz Company
     2,000       100,960  
Wal-Mart Stores, Inc.
     7,000       363,300  
              464,260  
ENERGY - 0.90%
                
Chevron Corporation
     5,000       462,600  
ConocoPhillips
     4,000       253,280  
              715,880  
FINANCIALS - 0.56%
                
AFLAC, Inc.
     2,000       69,900  
American Express Company
     3,000       134,700  
JPMorgan Chase & Co.
     8,000       240,960  
              445,560  
HEALTH CARE - 0.70%
                
Abbott Laboratories
     3,000       153,420  

See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2011 (Unaudited) (Continued)
  
Description
  
No. of Shares
    
Value
  
HEALTH CARE (Continued)
            
Becton, Dickinson and Company
     3,000     $ 219,960  
Cardinal Health, Inc.
     2,000       83,760  
Merck & Company, Inc.
     3,000       98,130  
              555,270  
INDUSTRIALS - 0.64%
                
3M Company
     1,567       112,495  
Emerson Electric Company
     2,000       82,620  
Union Pacific Corporation
     2,000       163,340  
United Technologies Corporation
     2,108       148,319  
              506,774  
INFORMATION TECHNOLOGY - 1.20%
                
International Business Machines Corporation
     3,000       525,090  
Oracle Corporation
     15,000       431,100  
              956,190  
MATERIALS - 0.09%
                
Freeport-McMoRan Copper & Gold, Inc.
     2,238       68,147  
                 
UTILITIES - 0.07%
                
Duke Energy Corporation
     3,000       59,970  
                 
TOTAL EQUITY SECURITIES (cost - $87,213,061)
       78,228,839  
                 
SHORT-TERM INVESTMENT - 1.08%
                
MONEY MARKET FUND - 1.08%
                
Fidelity Institutional Money Market Government Portfolio - Class I (cost - $855,586)
     855,586       855,586  
                 
TOTAL INVESTMENTS - 99.38% (cost - $88,068,647)
       79,084,425  
                 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.62%
       497,287  
                 
NET ASSETS - 100.00%
     $ 79,581,712  
 
* Non-income producing security.
(a) Affiliated investment.  The Fund holds 0.60% (based on net assets) of Petroleum & Resources Corporation.  A trustee of the Fund also serves as a director to such company.  During the nine months ended September 30, 2011, there were additional purchases of 25,349 shares of Petroleum & Resources Corporation with a cost of $721,318 and sales of 6,775 shares with a cost of $180,334 and sale proceeds of $170,926.
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
NOTES TO SCHEDULES OF INVESTMENTS
September 30, 2011 (UNAUDITED)
 
Federal Income Tax Cost: At September 30, 2011 the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation from investments were $88,068,647, $875,067, $(9,859,289) and $(8,984,222), respectively.
 
As required by the Fair Value Measurement and Disclosures Topic of the FASB Accounting Standards Codification, the Fund has performed an analysis of all assets and liabilities measured at fair value to determine the significance and character of all inputs to their fair value determination.
 
The fair value hierarchy prioritizes the inputs to valuation techniques used to measure fair value into the following three broad categories.
 
·
Level 1 – quoted unadjusted prices for identical instruments in active markets to which the Fund has access at the date of measurement.
 
·
Level 2 – quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Level 2 inputs are those in markets for which there are few transactions, the prices are not current, little public information exists or instances where prices vary substantially over time or among brokered market makers.
 
·
Level 3 – model derived valuations in which one or more significant inputs or significant value drivers are unobservable.  Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.
 
The following is a summary of the inputs used as of September 30, 2011 in valuing the Fund’s investments carried at value:
 
Valuation Inputs
  
INVESTMENTS
IN
SECURITIES
    
OTHER
FINANCIAL
INSTRUMENTS*
  
             
Level 1 - Quoted Prices
            
  Equity Investments
  
$
78,228,839
    
$
-
  
Short-Term Investments
    
855,586
      
-
  
Level 2 - Other Significant Observable Inputs
    
-
      
-
  
Level 3 – Significant Unobservable Inputs
    
-
      
-
  
Total
  
$
79,084,425
    
$
-
  
 
* Other financial instruments include futures, forwards and swap contracts.
 
 
 
 
 
The breakdown of the Fund’s investments into major categories is disclosed in its Schedule of Investments.
 
During the nine months ended September 30, 2011, the Fund did not have any significant transfers in and out of Level 1 or Level 2.
 
The Fund did not have any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at September 30, 2011.
 
In May 2011, FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs”. ASU No. 2011-04 establishes common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. generally accepted accounting principles (“GAAP”) and International Financial Reporting Standards (“IFRSs”).  ASU No. 2011-04 is effective for interim and annual periods beginning after December 15, 2011 and is applied prospectively.  Management is currently evaluating ASU No. 2011-04 and does not believe that it will have a material impact on the Fund’s financial statements and disclosures. 

The Fund is exposed to financial market risks, including the valuations of its investment portfolio.  For the nine months ended September 30, 2011, the Fund did not engage in derivative instruments and other hedging activities.
 
The Fund has evaluated the need for addition disclosures and/or adjustments resulting through the date its financial statements were issued.  Based on this evaluation, no additional disclosures or adjustments were required to such Schedule of Investments.
 
Securities valuation policies and other investment related disclosures are herby incorporated by reference to the Fund’s semi-annual report previously filed with the Securities and Exchange Commission on the Form N-CSR on September 2, 2011 with a file number 811-22066.
 
Other information regarding the Fund is available in the Fund’s most recent semi-annual report filed with the Securities and Exchange Commission on the Form N-CSR on September 2, 2011, file number 811-22066.  This information is also available to registered shareholders by calling (800) 937-5449.  For general inquiries, please call (513) 326-3597.  This information is also available on the website of the Securities and Exchange Commission – http://www.sec.gov.
 
 
 
 
 
Item 2.
Controls and Procedures.
 
(a)   Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing date of this report, the registrant’s principal executive officer and principal financial officer have concluded that such disclosure controls and procedures are reasonably designed and are operating effectively to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared, and that such information is recorded, processed, summarized, and reported on a timely basis.
 
(b)   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
 
Item 3.
Exhibits.
 
File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)):  Attached hereto
 
 
 
 
 
SIGNATURES
 
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
(Registrant)   Cornerstone Progressive Return Fund                        
 
 
       
By (Signature and Title)*
/s/ Ralph W. Bradshaw
  
   
Ralph W. Bradshaw, President and Chairman
  
   
(Principal Executive Officer)
  
       
Date
November 18, 2011
    
 
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
 
By (Signature and Title)*
/s/ Ralph W. Bradshaw
  
   
Ralph W. Bradshaw, President and Chairman
  
    (Principal Executive Officer)  
       
Date
November 18, 2011
    
       
By (Signature and Title)*
/s/ Frank J. Maresca
  
   
Frank J. Maresca, Treasurer
 
    (Principal Financial Officer)  
       
Date
November 18, 2011
    
 
* Print the name and title of each signing officer under his or her signature.