UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-21583 |
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CLOUGH GLOBAL ALLOCATION FUND |
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(Exact name of registrant as specified in charter) |
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1625 Broadway, Suite 2200, Denver, Colorado |
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80202 |
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(Address of principal executive offices) |
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(Zip code) |
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Erin Douglas Clough Global Allocation Fund 1625 Broadway, Suite 2200 Denver, Colorado 80202 |
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(Name and address of agent for service) |
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Registrant's telephone number, including area code: |
(303) 623-2577 |
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Date of fiscal year end: |
March 31 |
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Date of reporting period: |
December 31, 2006 |
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Item 1 – Schedule of Investments.
CLOUGH GLOBAL ALLOCATION FUND
QUARTERLY STATEMENT OF INVESTMENTS
December 31, 2006 (UNAUDITED)
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Shares |
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Value |
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COMMON STOCKS 100.39% |
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Consumer/Retail 4.51% |
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ASKUL Corp. |
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27,600 |
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$ |
536,902 |
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Avis Budget Group, Inc. |
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8,700 |
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188,703 |
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Cia Brasileira de Distribuicao Grupo Pao de Acucar |
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10,900 |
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372,453 |
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Coinmach Service - Class A |
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50,000 |
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595,000 |
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Daimaru, Inc. |
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153,700 |
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2,083,258 |
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DSW, Inc. (a) |
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30,092 |
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1,160,649 |
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Honeys Co. Ltd. |
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15,500 |
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575,690 |
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Isetan Co. Ltd. |
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41,000 |
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740,725 |
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Komeri Company Ltd. |
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26,000 |
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760,304 |
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Melco PBL Entertainment Macau Ltd. - ADR (a) |
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1,200 |
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25,512 |
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Point, Inc. |
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19,300 |
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1,268,233 |
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Staples, Inc. |
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42,200 |
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1,126,740 |
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Takashimaya Co. Ltd. |
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55,000 |
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777,362 |
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Yamada Denki Co. Ltd. |
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3,300 |
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280,072 |
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10,491,603 |
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Energy 16.24% |
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Coal 0.06% |
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Evergreen Energy, Inc. (a) |
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15,400 |
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152,306 |
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Exploration & Production 6.77% |
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Addax Petroleum Corp. (b) |
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10,700 |
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300,406 |
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Anadarko Petroleum Corp. |
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35,600 |
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1,549,312 |
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Cairn Energy PLC (a) |
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36,800 |
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1,296,247 |
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Canadian Natural Resources Ltd. |
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8,300 |
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441,809 |
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Chesapeake Energy Corp. * |
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20,800 |
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604,240 |
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Chevron Corp. |
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12,000 |
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882,360 |
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Cnooc Ltd. |
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2,000 |
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190,041 |
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ConocoPhillips |
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15,200 |
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1,093,640 |
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Devon Energy Corp. |
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39,400 |
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2,642,952 |
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Hess Corp. |
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38,600 |
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1,913,402 |
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Newfield Exploration Co. (a) |
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1,100 |
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50,545 |
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Parallel Petro Corp. (a) |
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50,600 |
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889,042 |
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PetroHawk Energy Corp. (a) |
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5,000 |
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57,500 |
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PetroHawk Energy Corp. (a) (d) |
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18,000 |
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207,000 |
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Southwestern Energy (a) |
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39,600 |
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1,387,980 |
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Suncor Energy, Inc. |
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14,000 |
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1,104,740 |
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Talisman Energy, Inc. |
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28,300 |
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480,504 |
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Ultra Petroleum Corp. (a) |
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13,400 |
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639,850 |
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15,731,570 |
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Oil Services and Drillers 8.99% |
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Cameron International Corp. (a) * |
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2,000 |
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106,100 |
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Diamond Offshore Drilling Inc. |
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33,000 |
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2,638,020 |
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Global SantaFe Corp. |
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59,000 |
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3,468,020 |
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Grant Prideco Inc. (a) |
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7,500 |
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298,275 |
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Halliburton Co. * |
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40,700 |
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1,263,735 |
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Helix Energy Solutions Group, Inc. (a) |
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15,800 |
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495,646 |
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Helmerich & Payne, Inc. |
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53,000 |
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1,296,910 |
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National - Oilwell, Inc. (a) |
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4,000 |
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244,720 |
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Noble Corp. |
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51,300 |
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3,906,495 |
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Oil States International, Inc. (a) |
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8,000 |
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257,840 |
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Petroplus Holdings AG (a) |
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1,200 |
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72,876 |
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Rowan Companies, Inc. |
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15,000 |
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498,000 |
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Schlumberger Ltd. |
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24,000 |
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1,515,840 |
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Transocean, Inc. (a) |
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40,875 |
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3,306,379 |
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Weatherford International (a) |
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36,400 |
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1,521,156 |
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20,890,012 |
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Refiners 0.42% |
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Valero Energy Corp. |
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19,000 |
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972,040 |
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TOTAL ENERGY |
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37,745,928 |
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Finance 33.70% |
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Banks 23.33% |
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Banco Bilbao Vizcaya - Spon ADR |
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37,000 |
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890,220 |
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Banco Bradesco - Spon ADR |
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90,600 |
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3,655,710 |
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Banco Itau Holding Financeira - Spon ADR |
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71,200 |
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2,566,048 |
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Banco Santander Chile - Spon ADR |
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11,400 |
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549,024 |
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BanColombia SA - Spon ADR |
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12,100 |
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376,915 |
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Bangkok Bank PLC |
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249,500 |
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774,189 |
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Bank of Yokohama Ltd. |
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529,800 |
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4,149,184 |
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Barclays PLC - Spon ADR |
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25,400 |
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1,476,756 |
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Barclays PLC |
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105,200 |
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1,503,652 |
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Brookline Bancorp, Inc. |
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148,000 |
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1,949,160 |
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Citigroup, Inc. * |
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116,900 |
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6,511,330 |
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Credit Suisse Group |
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12,100 |
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845,185 |
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DBS Group Holdings Ltd. |
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32,000 |
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471,524 |
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Hana Financial Group, Inc. |
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35,200 |
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1,850,839 |
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Joyo Bank Ltd. |
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333,000 |
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1,838,419 |
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Kasikornbank PLC |
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290,600 |
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504,144 |
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KBW, Inc. (a) |
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6,600 |
|
193,974 |
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Kookmin Bank (a) |
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8,500 |
|
685,440 |
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Mizuho Financial Group, Inc. |
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|
173 |
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1,235,662 |
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Morgan Stanley |
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4,400 |
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358,292 |
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NewAlliance Bancshares, Inc. |
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43,600 |
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715,040 |
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Nikko Cordial Corp. |
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392,000 |
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4,496,282 |
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Nomura Holdings Inc - ADR |
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85,800 |
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1,625,052 |
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Nomura Holdings Inc. |
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132,500 |
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2,499,580 |
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People’s Bank |
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17,000 |
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758,540 |
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Shizuoka Bank Ltd. |
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202,000 |
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2,004,638 |
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Siam Commercial Bank PLC |
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460,000 |
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752,609 |
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Siam Commercial Bank PLC - NVDR |
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|
431,700 |
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706,307 |
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Sovereign Bancorp, Inc. |
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13,100 |
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332,609 |
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Sumitomo Mitsui Financial Group, Inc. |
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|
103 |
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1,055,922 |
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UBS AG - Registered |
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22,800 |
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1,385,589 |
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UBS AG |
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58,700 |
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3,541,371 |
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Unibanco - Uniao de Bancos Brasileiros - Spon ADR |
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21,300 |
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1,980,048 |
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54,239,254 |
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Non-Bank 10.37% |
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Apollo Investment Corp. |
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414,089 |
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9,275,593 |
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Ares Capital Corp. |
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|
47,900 |
|
915,369 |
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Crystal River Capital, Inc. |
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34,900 |
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890,997 |
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Daiwa Securities Group, Inc. |
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461,400 |
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5,175,993 |
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Fannie Mae |
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49,600 |
|
2,945,744 |
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Freddie Mac |
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21,600 |
|
1,466,640 |
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Kohlberg Capital Corp. (a) |
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|
12,000 |
|
207,600 |
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Legg Mason, Inc. |
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8,000 |
|
760,400 |
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|
Mitsubishi UFJ Financial Group, Inc. |
|
|
119 |
|
1,469,938 |
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Monex Beans Holdings, Inc. |
|
|
671 |
|
521,554 |
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SBI E*Trade Securities |
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|
490 |
|
465,274 |
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24,095,102 |
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TOTAL FINANCE |
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78,334,356 |
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Healthcare 3.17% |
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BioSphere Medical, Inc. (a) (d) |
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50,000 |
|
334,000 |
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BioSphere Medical, Inc. (a) |
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|
182,703 |
|
1,220,456 |
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Boston Scientific Corp. (a) |
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|
42,100 |
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723,278 |
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Sepracor, Inc. (a) * |
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|
53,700 |
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3,306,846 |
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UnitedHealth Group, Inc. |
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33,100 |
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1,778,463 |
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7,363,043 |
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Industrial 9.12% |
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Agrium, Inc. |
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29,000 |
|
913,210 |
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Altra Holdings, Inc. (a) |
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3,000 |
|
42,150 |
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American Science & Engineering Inc. (a) * |
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58,758 |
|
3,496,689 |
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Boeing Co. |
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8,000 |
|
710,720 |
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Caterpillar, Inc. |
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|
46,600 |
|
2,857,978 |
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Color Kinetics, Inc. (a) |
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33,800 |
|
721,630 |
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Empresa Brasileira de Aeronautica - Spon ADR |
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34,255 |
|
1,418,499 |
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General Electric Co. |
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|
55,800 |
|
2,076,318 |
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Insituform Technologies - Class A (a) |
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|
34,500 |
|
892,170 |
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Kokuyo Company Ltd. |
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|
88,500 |
|
1,398,836 |
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Magal Security Systems Ltd. (a) |
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76,443 |
|
684,165 |
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Mueller Water Products Inc. (a) |
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|
20,159 |
|
300,369 |
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Owens-Illinois Inc. (a) |
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|
18,300 |
|
337,635 |
|
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Smurfit-Stone Container Corp. (a) |
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|
217,100 |
|
2,292,576 |
|
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Textron, Inc. |
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|
3,700 |
|
346,949 |
|
|
Trina Solar Ltd. - ADR (a) |
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|
900 |
|
17,010 |
|
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Tyco International Ltd. |
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|
44,400 |
|
1,349,760 |
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USG Corp. (a) |
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19,400 |
|
1,063,120 |
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Washington Group International Inc. (a) |
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3,000 |
|
179,370 |
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|
Willbros Group Inc. (a) |
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5,200 |
|
98,280 |
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21,197,434 |
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Insurance 5.83% |
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Allstate Corp. |
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33,500 |
|
2,181,185 |
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American International Group |
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|
28,800 |
|
2,063,808 |
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Arch Capital Group Ltd. (a) |
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3,000 |
|
202,830 |
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Aspen Insurance Hldg. |
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6,200 |
|
163,432 |
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|
Chubb Corp. |
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|
16,700 |
|
883,597 |
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|
Everest Re Group Ltd. |
|
|
6,900 |
|
676,959 |
|
|
Hanover Insurance Group, Inc. |
|
|
2,500 |
|
122,000 |
|
|
Hartford Financial Services Group, Inc. |
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|
10,000 |
|
933,100 |
|
|
Montpelier Re Holdings Ltd. |
|
|
106,700 |
|
1,985,687 |
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PartnerRe Ltd. * |
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|
25,200 |
|
1,789,956 |
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|
Platinum Underwriters Holdings |
|
|
42,684 |
|
1,320,643 |
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RAM Holdings Ltd. (a) |
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|
10,500 |
|
150,045 |
|
|
St. Paul Travelers Cos., Inc. |
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|
20,200 |
|
1,084,538 |
|
|
|
|
|
|
|
13,557,780 |
|
|
|
|
|
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Metals & Mining 0.71% |
|
|
|
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|
Alcoa, Inc. |
|
|
9,800 |
|
294,098 |
|
|
Coeur d’Alene Mines Corp. (a) |
|
|
273,600 |
|
1,354,320 |
|
|
|
|
|
|
|
1,648,418 |
|
|
|
|
|
|
|
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|
Real Estate 5.07% |
|
|
|
|
||
|
Aeon Mall Co. Ltd. |
|
|
10,300 |
|
581,623 |
|
|
Beijing Capital Land Ltd. (b) |
|
|
225,000 |
|
115,128 |
|
|
Cheung Kong Holdings Ltd. |
|
|
249,800 |
|
3,075,010 |
|
|
Diamond City Co. Ltd. |
|
|
7,400 |
|
332,675 |
|
|
Great Eagle Holdings Ltd. |
|
|
118,000 |
|
339,817 |
|
|
Henderson Land Development Co. Ltd. |
|
|
148,000 |
|
827,687 |
|
|
Hongkong Land Holdings Ltd. |
|
|
197,600 |
|
786,448 |
|
|
Hysan Development Co. Ltd. |
|
|
150,300 |
|
393,223 |
|
|
Mitsui Fudosan Co. Ltd. |
|
|
46,700 |
|
1,139,982 |
|
|
Shanghai Jin Jiang International Hotels Group Co. Ltd. (a) (b) |
|
|
11,100 |
|
5,323 |
|
|
Sistema-Hals - GDR (a) (b) |
|
|
12,000 |
|
159,600 |
|
|
Sun Hung Kai Properties Ltd. |
|
|
194,000 |
|
2,228,495 |
|
|
Trinity Capital PLC (a) (b) |
|
|
564,168 |
|
911,320 |
|
|
Urban Corp. |
|
|
58,000 |
|
880,198 |
|
|
|
|
|
|
|
11,776,529 |
|
|
Real Estate Investments Trusts (REITS) 1.53% |
|
|
|
|
|||
|
Champion REIT (a) (b) |
|
|
270,600 |
|
130,807 |
|
|
|
Douglas Emmett, Inc. |
|
|
6,100 |
|
162,199 |
|
|
|
Mills Corp. |
|
|
88,700 |
|
1,774,000 |
|
|
|
Sunlight Real Estate Investment Trust (a) |
|
|
11,384 |
|
3,308 |
|
|
|
Trustreet Properties, Inc. |
|
|
88,600 |
|
1,492,910 |
|
|
|
|
|
|
|
|
3,563,224 |
|
|
|
|
|
|
|
|
|
|
|
|
Technology & Communications 14.77% |
|
|
|
|
|||
|
Automatic Data Processing, Inc. |
|
|
14,400 |
|
709,200 |
|
|
|
Avnet Inc. (a) |
|
|
78,100 |
|
1,993,893 |
|
|
|
Canadian Satellite - Class A (a) (b) |
|
|
32,000 |
|
185,225 |
|
|
|
Canadian Satellite (a) |
|
|
16,000 |
|
92,612 |
|
|
|
Chartered Semiconductor Manufacturing Ltd. (a) |
|
|
960,000 |
|
801,173 |
|
|
|
China Communications Construction Co. Ltd. (a) (b) |
|
|
36,900 |
|
36,481 |
|
|
|
EMC Corp. (a) |
|
|
113,900 |
|
1,503,480 |
|
|
|
Intel Corp. |
|
|
165,700 |
|
3,355,425 |
|
|
|
International Rectifier Corp. (a) |
|
|
74,400 |
|
2,866,632 |
|
|
|
Lenovo Group Ltd. |
|
|
4,870,000 |
|
1,978,479 |
|
|
|
Marvell Technology Group Ltd. (a) |
|
|
35,200 |
|
675,488 |
|
|
|
News Corp - Class B * |
|
|
105,900 |
|
2,357,334 |
|
|
|
Nokia Corp - Spon ADR |
|
|
65,700 |
|
1,335,024 |
|
|
|
Photon Dynamics Inc. (a) |
|
|
30,000 |
|
350,700 |
|
|
|
Powerchip Semiconductor Corp. (b) |
|
|
225,000 |
|
1,519,110 |
|
|
|
Qualcomm, Inc. |
|
|
74,300 |
|
2,807,797 |
|
|
|
Radvision Ltd. * |
|
|
157,945 |
|
3,171,536 |
|
|
|
Seagate Technology |
|
|
29,200 |
|
773,800 |
|
|
|
Sprint Nextel Corp. |
|
|
124,000 |
|
2,342,360 |
|
|
|
Symantec Corp. (a) |
|
|
63,100 |
|
1,315,635 |
|
|
|
Time Warner, Inc. |
|
|
105,500 |
|
2,297,790 |
|
|
|
Trident Microsystems, Inc. (a) |
|
|
11,200 |
|
203,616 |
|
|
|
Western Digital Corp. (a) |
|
|
34,800 |
|
712,008 |
|
|
|
Yahoo! Inc. (a) |
|
|
36,700 |
|
937,318 |
|
|
|
|
|
|
|
|
34,322,116 |
|
|
|
|
|
|
|
|
|
|
|
|
Transportation 0.91% |
|
|
|
|
|||
|
Allegiant Travel Co. (a) |
|
|
600 |
|
16,836 |
|
|
|
Gol - Linhas Aereas - ADR |
|
|
39,850 |
|
1,142,499 |
|
|
|
Republic Airways Holdings, Inc. (a) |
|
|
7,600 |
|
127,528 |
|
|
|
Singapore Airlines Ltd. |
|
|
73,000 |
|
832,926 |
|
|
|
|
|
|
|
|
2,119,789 |
|
|
|
|
|
|
|
|
|
|
|
|
Utilities 4.83% |
|
|
|
|
|||
|
British Energy Group PLC (a) |
|
|
56,200 |
|
597,509 |
|
|
|
China Coal Energy Co. (a) (b) |
|
|
124,000 |
|
80,506 |
|
|
|
China Power International Development Ltd. |
|
|
875,000 |
|
480,343 |
|
|
|
China Resources Power Holdings Co. |
|
|
359,000 |
|
541,848 |
|
|
|
Datang International Power Generation Co. Ltd. |
|
|
1,533,100 |
|
1,596,507 |
|
|
|
Huadian Power International Co. |
|
|
2,230,800 |
|
877,602 |
|
|
|
Huaneng Power International, Inc |
|
|
2,416,000 |
|
2,158,724 |
|
|
|
ITC Holdings Corp. |
|
|
13,600 |
|
542,640 |
|
|
|
Mirant Corp. (a) |
|
|
10,500 |
|
331,485 |
|
|
|
PNOC Energy Development Corp. (a) (b) |
|
|
1,162,000 |
|
114,897 |
|
|
|
PPL Corp. |
|
|
9,000 |
|
322,560 |
|
|
|
Reliant Energy, Inc. (a) |
|
|
50,400 |
|
716,184 |
|
|
|
Sinopec Shanghai Petrochemical Co. Ltd. |
|
|
1,600,000 |
|
789,890 |
|
|
|
Sinotrans Ltd. |
|
|
1,001,000 |
|
361,623 |
|
|
|
Williams Cos., Inc. * |
|
|
50,100 |
|
1,308,612 |
|
|
|
Zhejiang Southeast |
|
|
761,500 |
|
421,109 |
|
|
|
|
|
|
|
|
11,242,039 |
|
|
|
TOTAL COMMON STOCKS |
|
|
|
|
|
|
|
|
(Cost $210,611,211) |
|
|
|
|
233,362,259 |
|
|
|
|
|
|
|
|
|
|
|
|
EXCHANGE TRADED FUNDS 2.66% |
|
|
|
|
|||
|
iShares |
|
|
|
|
|
|
|
|
MSCI Hong Kong * |
|
|
228,300 |
|
3,645,951 |
|
|
|
MSCI Pacific |
|
|
10,000 |
|
1,252,400 |
|
|
|
MSCI Taiwan |
|
|
88,400 |
|
1,282,684 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL
EXCHANGE TRADED FUNDS |
|
|
|
|
6,181,035 |
|
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS 1.40% |
|
|
|
|
|||
|
Arch Capital Group Ltd., 7.875% |
|
|
75,000 |
|
1,947,000 |
|
|
|
Ashford Hospitality Trust, Inc., 8.55% |
|
|
50,000 |
|
1,298,440 |
|
|
|
TOTAL PREFERRED STOCKS |
|
|
|
|
|
|
|
3,245,440 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
SHORT TERM INVESTMENTS 14.13% |
|
|
|
|
|
|
||||||||
|
JP Morgan Prime |
|
|
|
|
|
12,845,191 |
|
12,845,191 |
|
|||||
|
Merrill Lynch Premier Institutional |
|
|
|
|
|
20,000,000 |
|
20,000,000 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
TOTAL
SHORT TERM INVESTMENTS |
|
|
|
|
|
|
|
32,845,191 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
CLOSED-END FUNDS 0.45% |
|
|
|
|
|
|
||||||||
|
The Ottoman Fund (a) (b) |
|
|
|
|
|
515,340 |
|
1,050,901 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
TOTAL
CLOSED-END FUNDS |
|
|
|
|
|
|
|
1,050,901 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Due Date |
|
Coupon |
|
Principal Amount |
|
Value |
|
|||||||
|
CORPORATE BONDS 8.92% |
|
|
|
|
|
|
||||||||
|
Barclays Bank PLC |
|
|
|
|
|
|
|
|
|
|||||
|
09/24/2007 (c) |
|
|
|
17.00 |
% |
3,000,000 |
|
3,331,125 |
|
|||||
|
09/26/2007 (c) |
|
|
|
17.05 |
% |
5,000,000 |
|
5,539,850 |
|
|||||
|
09/28/2007 (c) |
|
|
|
16.90 |
% |
5,000,000 |
|
5,562,925 |
|
|||||
|
Consolidated Edison Co. of New York |
|
|
|
|
|
|
|
|
|
|||||
|
06/15/2036 * |
|
|
|
6.20 |
% |
3,000,000 |
|
3,120,582 |
|
|||||
|
Merrill Lynch |
|
|
|
|
|
|
|
|
|
|||||
|
06/13/2008 * (b) (c) |
|
|
|
15.22 |
% |
3,000,000 |
|
3,189,900 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
TOTAL
CORPORATE BONDS |
|
|
|
|
|
|
|
20,744,382 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
ASSET/MORTGAGE BACKED SECURITIES 4.06% |
|
|
|
|
|
|
||||||||
|
FNR |
|
|
|
|
|
|
|
|
|
|||||
|
Series 2006-83, Class HZ, maturity date 9/25/2036 * |
|
|
|
6.00 |
% |
5,479,228 |
|
5,423,510 |
|
|||||
|
FHR |
|
|
|
|
|
|
|
|
|
|||||
|
Series 3211, Class LZ, maturity date 9/15/2036 * |
|
|
|
6.00 |
% |
4,060,300 |
|
4,011,654 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
TOTAL
ASSET/MORTGAGE BACKED SECURITIES |
|
|
|
|
|
9,435,164 |
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
GOVERNMENT & AGENCY OBLIGATIONS 13.69% |
|
|
|
|
|
|
|
|||||||
|
Non-U.S. Government Obligations 2.35% |
|
|
|
|
|
|
|
|||||||
|
UK Treasury |
|
|
|
|
|
|
|
|
|
|||||
|
09/07/2015 |
|
|
|
4.75 |
% |
2,800,000 |
|
5,468,643 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
TOTAL NON-U.S. GOVERNMENT & AGENCY OBLIGATIONS |
|
|
|
|
|
5,468,643 |
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
U.S. Government Obligations 11.34% |
|
|
|
|
|
|
||||||||
|
Federal Home Loan Bank System (FHLB) |
|
|
|
|
|
|
|
|
|
|||||
|
11/22/2021 ^ |
|
|
|
8.00 |
% |
2,000,000 |
|
1,991,100 |
|
|||||
|
12/20/2021 ^ (c) |
|
|
|
7.50 |
% |
7,000,000 |
|
7,008,750 |
|
|||||
|
Federal Home Loan Mortgage Corporation (FHLMC) |
|
|
|
|
|
|
|
|
|
|||||
|
08/10/2016 ^ * |
|
|
|
8.55 |
% |
7,500,000 |
|
7,565,625 |
|
|||||
|
U.S. Treasury Bond |
|
|
|
|
|
|
|
|
|
|||||
|
08/15/2022 * |
|
|
|
7.25 |
% |
500,000 |
|
627,227 |
|
|||||
|
02/15/2025 * |
|
|
|
7.625 |
% |
4,500,000 |
|
5,957,230 |
|
|||||
|
02/15/2031 * |
|
|
|
5.375 |
% |
3,000,000 |
|
3,214,455 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
TOTAL U.S.
GOVERNMENT OBLIGATIONS |
|
|
|
|
|
|
|
26,364,387 |
|
|||||
|
TOTAL
GOVERNMENT & AGENCY OBLIGATIONS |
|
|
|
|
|
31,833,030 |
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Total
Investments - 145.70% |
|
|
|
|
|
|
|
338,697,402 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Liabilities in Excess of Other Assets - (4.67%)% |
|
|
|
|
|
|
|
(10,864,015 |
) |
|||||
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Liquidation Preference of Auction Market |
|
|
|
|
|
|
|
|
|
|||||
|
Preferred Shares, Series W28 (including dividends payable on preferred shares) - (41.03%) |
|
|
|
|
|
(95,376,212 |
) |
|||||||
|
NET ASSETS - 100.00% |
|
|
|
|
|
|
|
$ |
232,457,175 |
|
||||
SCHEDULE OF SECURITIES SOLD SHORT
|
Name |
|
Shares |
|
Value |
|
|
|
Amazon.com Corp. (a) |
|
(46,700 |
) |
$ |
(1,842,782 |
) |
|
American Eagle Outfitters |
|
(72,300 |
) |
(2,256,483 |
) |
|
|
Arch Coal, Inc. |
|
(21,000 |
) |
(630,630 |
) |
|
|
Bankunited Financial Corp. |
|
(13,200 |
) |
(369,072 |
) |
|
|
Cheniere Energy, Inc. (a) |
|
(48,900 |
) |
(1,411,743 |
) |
|
|
Comerica, Inc. |
|
(26,700 |
) |
(1,566,756 |
) |
|
|
CONSOL Energy, Inc. |
|
(4,400 |
) |
(141,372 |
) |
|
|
Countrywide Financial |
|
(20,500 |
) |
(870,225 |
) |
|
|
Cummins, Inc. |
|
(7,000 |
) |
(827,260 |
) |
|
|
Downey Financial Corp. |
|
(19,700 |
) |
(1,429,826 |
) |
|
|
Fifth Third Bancorp |
|
(15,000 |
) |
(613,950 |
) |
|
|
Frontline Limited |
|
(26,600 |
) |
(847,210 |
) |
|
|
Graco, Inc. |
|
(16,500 |
) |
(653,730 |
) |
|
|
Harley-Davidson, Inc. |
|
(20,100 |
) |
(1,416,447 |
) |
|
|
LandAmerica Financial |
|
(29,300 |
) |
(1,849,123 |
) |
|
|
Longs Drug Stores Corp. |
|
(16,600 |
) |
(703,508 |
) |
|
|
Panera Bread Co. (a) |
|
(28,500 |
) |
(1,593,435 |
) |
|
|
Patterson-UTI Energy, Inc. |
|
(40,098 |
) |
(931,477 |
) |
|
|
Polaris Industries, Inc. |
|
(76,900 |
) |
(3,601,227 |
) |
|
|
Semiconductor HOLDRs Trust |
|
(10,300 |
) |
(347,110 |
) |
|
|
Sony Corp. - Spon ADR |
|
(31,200 |
) |
(1,336,296 |
) |
|
|
Southern Copper Corp. |
|
(10,700 |
) |
(576,623 |
) |
|
|
SunTrust Banks, Inc. |
|
(12,000 |
) |
(1,013,400 |
) |
|
|
Thor Industries, Inc. |
|
(19,200 |
) |
(844,608 |
) |
|
|
Tidewater, Inc. |
|
(10,000 |
) |
(483,600 |
) |
|
|
Timken Co. |
|
(26,200 |
) |
(764,516 |
) |
|
|
Toro Co. |
|
(55,200 |
) |
(2,573,976 |
) |
|
|
United States Steel Corp. |
|
(4,400 |
) |
(321,816 |
) |
|
|
|
|
|
|
|
|
|
|
Total Securities Sold Short (Proceeds $32,488,772) |
|
|
|
$ |
(31,818,201 |
) |
|
ADR |
|
American Depository Receipt |
|
|
|
|
|
(a) |
|
Non-Income Producing Security |
|
|
|
|
|
(b) |
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of December 31, 2006, these securities had total value of $7,799,604 or 3.36% of total net assets. |
|
|
|
|
|
(c) |
|
Fair valued security; valued in accordance with procedures approved by the Board of Trustees. As of December 31, 2006, these securities had total value of $24,632,550 or 10.60% of total net assets. |
|
|
|
|
|
(d) |
|
Private Placement; these securities may only be resold in transactions exempt from registration under the securities Act of 1933. As of December 31, 2006, these securities had total value of $541,000 or 0.23% of total net assets. |
|
|
|
|
|
^ |
|
Floating or variable rate security - rate disclosed as of December 31, 2006. Maturity date represents the next reset date. |
|
|
|
|
|
* |
|
Security, or portion of security, is being held as collateral for written options and/or short sales. |
Income Tax Information:
Net unrealized appreciation/depreciation of investments based on federal tax costs were as follows:
As of December 31, 2006
|
Gross appreciation (excess of value over tax cost) |
|
27,992,306 |
|
|
Gross depreciation (excess of tax cost over value) |
|
(2,712,451 |
) |
|
Net unrealized appreciation |
|
25,279,855 |
|
|
Cost of investments for income tax purposes |
|
313,417,547 |
|
See Notes to Quarterly Statement of Investments
1. Significant Accounting and Operating Policies
Clough Global Allocation Fund is a closed-end management investment company (the “Fund”) that was organized under the laws of the state of Delaware by an Agreement and Declaration of Trust dated April 27, 2004. The Fund is a non-diversified series with an investment objective to provide a high level of total return. The Declaration of Trust provides that the Trustees may authorize separate classes of shares of beneficial interest.
The following summarizes the significant accounting policies of the Fund.
Security Valuation: The net asset value per Share of the Fund is determined no less frequently than daily, on each day that the American Stock Exchange (the “Exchange”) is open for trading, as of the close of regular trading on the Exchange (normally 4:00 p.m. New York time). Trading may take place in foreign issues held by the Fund at times when the Fund is not open for business. As a result, the Fund’s net asset value may change at times when it is not possible to purchase or sell shares of the Fund. Securities held by the fund for which exchange quotations are readily available are valued at the last sale price, or if no sale price or if traded on the over-the-counter market, at the mean of the bid and asked prices on such day. Over-the-counter securities traded on NASDAQ are valued based upon the closing price. Debt securities for which the over-the-counter market is the primary market are normally valued on the basis of prices furnished by one or pricing services at the mean between the latest available bid and asked prices. As authorized by the Trustees, debt securities (other than short-term obligations) may be valued on the basis of valuations furnished by a pricing service which determines valuations based upon market transactions for normal, institutional-size trading units of securities. Short-term obligations maturing within 60 days are valued at amortized cost, which approximates value, unless the Trustees determine that under particular circumstances such method does not result in fair value. Over-the-counter options are valued at the mean between bid and asked prices provided by dealers. Financial futures contracts listed on commodity exchanges and exchange-traded options are valued at closing settlement prices. Securities for which there is no such quotation or valuation and all other assets are valued at fair value in good faith by or at the direction of the Trustees.
Foreign Securities: The Fund may invest a portion of its assets in foreign securities. In the event that the Fund executes a foreign security transaction, the Fund will generally enter into a forward foreign currency contract to settle the foreign security transaction. Foreign securities may carry more risk than U.S. securities, such as political, market and currency risks.
The accounting records of the Fund are maintained in U.S. dollars. Prices of securities denominated in foreign currencies are translated into U.S. dollars at the closing rates of exchange at period end. Amounts related to the purchase and sale of foreign securities and investment income are translated at the rates of exchange prevailing on the respective dates of such transactions.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Options: In order to hedge against adverse market shifts, the Fund may utilize up to 10% of its total assets to purchase put and call options on securities. The Fund may also utilize an additional
10% of its total assets to purchase put and call options on domestic stock indices to hedge against risks of market-wide price movements affecting its assets. When a Fund purchases a call or put option, an amount equal to the premium paid is included in the Fund’s Statement of Assets and Liabilities, which is included in the Annual and Semi-Annual reports to shareholders, as an investment, and is subsequently marked-to-market to reflect the current market value of the option. If an option expires on the stipulated expiration date or if the Fund enters into a closing sale transaction, a gain or loss is realized. If the Fund exercises a call, the cost of the security acquired is increased by the premium paid for the call. If the Fund exercises a put option, a gain or loss is realized from the sale of the underlying security, and the proceeds from such a sale are decreased by the premium originally paid.
The Fund may also write covered put and call options on securities and stock indices. When a Fund writes a put or call option, an amount equal to the premium received is included in the Statement of Assets and Liabilities, which is included in the Annual and Semi-Annual reports to shareholders, as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. If a written put option is exercised, the cost of the security acquired is decreased by the premium originally received. As a writer of an option, a Fund has no control over whether the underlying securities are subsequently sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing securities.
Written option activity as of December 31, 2006 was as follows:
CALL OPTIONS WRITTEN
|
|
|
Number
of |
|
Amount
of |
|
|
|
Options outstanding as of September 30, 2006 |
|
— |
|
— |
|
|
|
Positions opened |
|
— |
|
— |
|
|
|
Options expired |
|
— |
|
— |
|
|
|
Options split |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
Outstanding, December 31, 2006 |
|
— |
|
$ |
— |
|
|
Market Value, December 31, 2006 |
|
|
|
$ |
— |
|
PUT OPTIONS WRITTEN
|
|
|
Number
of |
|
Amount
of |
|
|
|
Options outstanding as of September 30, 2006 |
|
4,000 |
|
$ |
595,301 |
|
|
Positions opened |
|
— |
|
— |
|
|
|
Options expired |
|
(4,000) |
|
(595,301) |
|
|
|
Options split |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
Outstanding, December 31, 2006 |
|
— |
|
$ |
— |
|
|
Market Value, December 31, 2006 |
|
|
|
$ |
— |
|
Short Sales: The Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When the Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of the short sale.
Securities Transactions and Investment Income: Investment security transactions are accounted for as of trade date. Dividend income is recorded on the ex-dividend date. Interest income, which includes amortization of premium and accretion of discount, is accrued as earned. Realized gains and losses from securities transactions and unrealized appreciation and depreciation of securities are determined using the highest cost basis for both financial reporting and income tax purposes.
Item 2 - Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have evaluated the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures were effective, as of that date.
(b) There was no change in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) during Registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 3 – Exhibits.
Separate certifications for the Registrant’s Principal Executive Officer and Principal Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached as Ex99.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
|
|
CLOUGH GLOBAL ALLOCATION FUND |
|||
|
|
|
|
||
|
|
|
By: |
/s/ Edmund J. Burke |
|
|
|
|
Edmund J. Burke |
||
|
|
|
President (principal
executive |
||
|
|
|
|
||
|
|
|
Date: |
March 1, 2007 |
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
By: |
/s/ Edmund J. Burke |
|
|
|
|
Edmund J. Burke |
||
|
|
|
President
(principal executive |
||
|
|
|
|
||
|
|
|
Date: |
March 1, 2007 |
|
|
|
|
|||
|
|
|
|
||
|
|
|
By: |
/s/ Jeremy O. May |
|
|
|
|
Jeremy O. May |
||
|
|
|
Treasurer (principal financial |
||
|
|
|
|
||
|
|
|
Date: |
March 1, 2007 |
|