fp0002237_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) 326-3597        
 
 
Date of fiscal year end:         December 31, 2010                           
 
 
Date of reporting period:       September 30, 2010                           
 
 
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, 2010 (UNAUDITED)
  
   
Description
  
No. of Shares
    
Value
  
EQUITY SECURITIES - 96.74%
  
CLOSED-END FUNDS - 90.22%
  
CORE - 21.35%
        
Adams Express Company (The) (a)
     141,606     $ 1,410,396  
Blue Chip Value Fund
     23,020       75,966  
Cohen & Steers Dividend Majors Fund, Inc.
     3,400       38,488  
Gabelli Equity Trust, Inc.
     318,000       1,599,540  
General American Investors Company, Inc.
     46,200       1,125,432  
Royce Micro-Cap Trust, Inc.
     146,356       1,207,437  
Royce Value Trust, Inc.
     351,402       4,266,020  
Tri-Continental Corporation
     138,534       1,708,124  
              11,431,403  
CORPORATE DEBT FUNDS BBB-RATED - 4.60%
          
AllianceBernstein Income Fund
     281,700       2,360,646  
Western Asset Inflation Management Fund, Inc.
     6,000       102,660  
              2,463,306  
DEVELOPED MARKET - 1.53%
          
Ibero-America Fund, Inc.
     24,000       157,440  
Japan Equity Fund
     12,100       65,461  
Morgan Stanley Asia Pacific Fund, Inc.
     16,584       260,866  
New Ireland Fund, Inc. (The)
     23,300       146,790  
Swill Helvetia Fund, Inc.
     15,100       189,656  
              820,213  
EMERGING MARKETS - 7.66%
          
Aberdeen Emerging Markets Telecommunications Fund, Inc.
     13,400       248,838  
DWS Global High Income Fund, Inc.
     3,000       23,490  
First Israel Fund, Inc.
     2,200       35,420  
Morgan Stanley Eastern Europe Fund, Inc.
     9,000       152,010  
Morgan Stanley Emerging Markets Fund, Inc.
     3,605       55,949  
Morgan Stanley India Investment Fund, Inc.
     47,400       1,291,650  
Templeton Dragon Fund, Inc.
     58,000       1,676,780  
Templeton Russia & East European Fund, Inc.
     31,800       620,418  
              4,104,555  
GLOBAL - 3.82%
          
Alpine Global Dynamic Dividend Fund
     7,288       47,518  
Alpine Total Dynamic Dividend Fund
     340,600       1,852,864  
Calamos Global Dynamic Income Fund
     15,904       128,663  
Dca Total Return Fund
     5,479       16,712  
              2,045,757  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2010 (UNAUDITED) (Continued)
  
   
CLOSED-END FUNDS (Continued)
  
GLOBAL INCOME - 0.04%
            
Aberdeen Global Income Fund, Inc.
     1,500     $ 18,555  
                 
HIGH CURRENT YIELD (LEVERAGED) - 1.34%
          
BlackRock High Yield Trust
     2,159       14,357  
First Trust Strategic High Income Fund
     71,216       244,983  
First Trust Strategic High Income Fund II
     51,700       245,058  
First Trust Strategic High Income Fund III
     48,500       210,975  
              715,373  
INCOME & PREFERRED STOCK - 7.06%
          
BlackRock Preferred Opportunity Trust
     33,074       372,413  
Calamos Strategic Total Return Fund
     279,538       2,465,525  
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund
     18,863       249,935  
Preferred Income Strategies Fund
     65,678       686,992  
              3,774,865  
LOAN PARTICIPATION - 0.36%
          
Invesco Van Kampen Dynamic Credit Opportunities Fund
     16,082       192,341  
                 
OPTION ARBITRAGE/OPTIONS STRATEGIES - 8.75%
          
Dow 30 Enhanced Premium & Income Fund, Inc.
     164,900       1,683,629  
Dow 30 Premium & Dividend Income Fund, Inc.
     23,680       336,493  
Eaton Vance Risk-Managed Diversified Equity Income Fund
     104,650       1,456,728  
ING Global Equity Dividend And Premium Opportunity Fund
     28,700       332,633  
ING International High Dividend Equity Income Fund
     2,700       31,158  
Nasdaq Premium Income & Growth Fund, Inc.
     39,072       521,611  
NFJ Dividend, Interest & Premium Strategy Fund
     20,700       326,232  
              4,688,484  
PACIFIC EX JAPAN - 4.76%
          
Asia Pacific Fund, Inc. (The)
     18,100       199,462  
Greater China Fund, Inc. (The)
     116,947       1,494,583  
JF China Region Fund, Inc.
     12,300       182,163  
Taiwan Fund, Inc.
     40,325       674,637  
              2,550,845  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2010 (UNAUDITED) (Continued)
  
   
CLOSED-END FUNDS (Continued)
  
REAL ESTATE - 10.64%
            
Alpine Global Premier Properties Fund
     266,200     $ 1,759,582  
Cohen & Steers Quality Income Realty Fund, Inc.
     322,100       2,531,706  
Cohen & Steers REIT & Preferred Income Fund, Inc.
     64,548       846,224  
ING Clarion Global Real Estate Income Fund
     10,100       76,255  
LMP Real Estate Income Fund, Inc.
     29,100       271,794  
Neuberger Berman Real Estate Securities Income Fund, Inc.
     22,900       83,814  
RMR Asia Pacific Real Estate Fund
     6,901       125,390  
              5,694,765  
SECTOR EQUITY - 13.90%
          
Cohen & Steers Infrastructure Fund, Inc.
     171,500       2,730,280  
Evergreen Utilities and High Income Fund
     63,000       740,880  
Gabelli Healthcare & Wellness Rx Trust (The)
     14,159       90,618  
H&Q Healthcare Investors
     114,789       1,386,651  
H&Q Life Sciences Investors
     70,180       673,026  
Macquarie Global Infrastructure Total Return Fund, Inc.
     55,934       924,030  
Petroleum & Resources Corporation (a)
     38,875       899,179  
              7,444,664  
U.S. MORTGAGE - 1.44%
          
BlackRock Income Trust, Inc.
     110,467       771,060  
                 
VALUE - 2.97%
          
Claymore Dividend & Income Fund
     30,200       428,538  
Gabelli Dividend & Income Trust
     59,300       826,049  
Royce Focus Trust, Inc.
     53,014       337,699  
              1,592,286  
                 
TOTAL CLOSED-END FUNDS
       48,308,472  
                 
CONSUMER DISCRETIONARY - 0.53%
  
Comcast Corporation - Class A
     3,358       60,713  
Home Depot, Inc. (The)
     2,000       63,360  
Time Warner, Inc.
     2,000       61,300  
Walt Disney Company (The)
     3,000       99,330  
              284,703  
CONSUMER STAPLES - 1.25%
  
Coca-Cola Company (The)
     3,000       175,560  
CVS Caremark Corporation
     2,746       86,417  
H.J. Heinz Company
     2,000       94,740  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2010 (UNAUDITED) (Continued)
  
   
CONSUMER STAPLES (Continued)
  
Procter & Gamble Company (The)
     5,233     $ 313,823  
              670,540  
ENERGY - 0.29%
  
Exxon Mobil Corporation
     2,475       152,930  
                 
FINANCIALS - 0.25%
  
American Express Company
     3,252       136,682  
                 
HEALTH CARE - 1.07%
  
Becton, Dickinson and Company
     3,000       222,300  
Johnson & Johnson
     4,000       247,840  
Medtronic, Inc.
     3,000       100,740  
              570,880  
INDUSTRIALS - 1.03%
  
3M Company
     1,567       135,874  
Danaher Corporation
     4,000       162,440  
Emerson Electric Company
     2,000       105,320  
United Technologies Corporation
     2,108       150,153  
              553,787  
INFORMATION TECHNOLOGY - 1.92%
  
AOL, Inc. *
     182       4,500  
Automatic Data Processing, Inc.
     5,000       210,150  
Cisco Systems, Inc. *
     18,470       404,493  
Google, Inc. - Class A *
     532       279,720  
Intel Corporation
     6,599       126,899  
              1,025,762  
MATERIALS - 0.18%
  
Freeport-McMoRan Copper & Gold, Inc.
     1,119       95,551  
                 
TOTAL EQUITY SECURITIES (cost - $47,189,639)
       51,799,307  
                 
SHORT-TERM INVESTMENT - 3.38%
                
MONEY MARKET FUND - 3.38%
                
JPMorgan U.S. Government Money Market Fund (cost - $1,809,118)
     1,809,118       1,809,118  
                 
TOTAL INVESTMENTS - 100.12% (cost - $48,998,757)
       53,608,425  
                 
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.12)%
       (64,455 )
           
NET ASSETS - 100.00%
   $ 53,543,970  
 
(a) Affiliated investment.  Of its net assets the Fund holds 2.63% and 1.68% of Adams Express Company and Petroleum & Resources Corporation, respectively.  A trustee of the Fund also serves as a director to such companies.  During the nine months ended September 30, 2010 there were additional purchases of 34,875 shares of Petroleum & Resources Corporation with a cost of $800,707.  There were no purchases of Adams Express Company and there were no sales for either of these securities.
 
* Non-income producing security.

See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND, INC.
NOTES TO SCHEDULES OF INVESTMENTS
September 30, 2010 (UNAUDITED)
 
Federal Income Tax Cost: At September 30, 2010 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 $48,998,757, $5,383,402, $(773,734) and $4,609,668 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, 2010 in valuing the Fund’s investments carried at value:
 
Valuation Inputs
  
INVESTMENTS
IN
SECURITIES
    
OTHER
FINANCIAL
INSTRUMENTS*
  
             
Level 1 - Quoted Prices
        
 
  
  Equity Investments
   $ 51,799,307     $ -  
Short-Term Investments
     1,809,118       -  
Level 2 - Other Significant Observable Inputs
     -       -  
Level 3 – Significant Unobservable Inputs
     -       -  
Total
   $ 53,608,425     $ -  
 
* Other financial instruments include futures, forwards and swap contracts.
 
During the period ended September 30, 2010, 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, 2010.
 
Recent Accounting Pronouncement: In January 2010, the FASB Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about Fair Value Measurements”. ASU 2010-06 amends FASB Accounting Standards Codification Topic, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measure­ments. Certain disclosures required by ASU No. 2010-06 are
 
 
 
 
 
effective for interim and annual reporting periods beginning after December 15, 2009 and have been reflected herein while other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management has evaluated the impact ASU No. 2010-06 and has determined that it is not expected to have a significant impact on its financial statement disclosures.
 
The Fund is exposed to financial market risks, including the valuations of its investment portfolio.  For the nine months ended September 30, 2010, the Fund did not engage in derivative instruments and other hedging activities.
 
Management has evaluated the impact of all subsequent events on the Fund through the date the Schedule of Investments were issued, and has determined that there were no subsequent events requiring adjustment or disclosure in the 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, 2010 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, 2010, 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 12, 2010
    
 
 
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 12, 2010
    
     
By (Signature and Title)*
/s/ Frank J. Maresca
  
 
Frank J. Maresca, Treasurer
(Principal Financial Officer)
  
     
     
Date
November 12, 2010
    
 
 
* Print the name and title of each signing officer under his or her signature.