fp0002900_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:       March 31, 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 - MARCH 31, 2011 (UNAUDITED)
  
   
Description
  
No. of Shares
    
Value
  
EQUITY SECURITIES - 98.59%
  
CLOSED-END FUNDS - 91.44%
  
CORE - 5.71%
        
Adams Express Company (The) (a)
     20,606     $ 234,084  
General American Investors Company, Inc.
     41,700       1,181,778  
Royce Micro-Cap Trust, Inc.
     45,930       470,323  
SunAmerica Focused Alpha Growth Fund, Inc.
     24,000       480,240  
SunAmerica Focused Alpha Large-Cap Fund, Inc.
     40,002       726,436  
              3,092,861  
CORPORATE DEBT FUNDS INVESTMENT GRADE-RATED - 12.55%
  
AllianceBernstein Income Fund
     375,700       2,889,133  
BlackRock Core Bond Trust
     21,651       261,544  
BlackRock Enhanced Government Fund, Inc.
     21,067       326,749  
BlackRock Income Opportunity Trust, Inc.
     23,100       215,292  
Federated Enhanced Treasury Income Fund
     59,977       917,648  
Invesco Van Kampen Bond Fund
     25,000       454,000  
John Hancock Income Securities Trust
     2,500       35,050  
MFS Government Markets Income Trust
     79,377       508,013  
MFS Intermediate Income Trust
     80,840       494,741  
Morgan Stanley Income Securities Inc.
     2,500       40,725  
Rivus Bond Fund
     291       5,253  
Transamerica Income Shares, Inc.
     3,821       80,547  
Western Asset Income Fund
     18,100       236,024  
Western Asset Investment Grade Defined Opportunity Trust Inc.
     16,501       327,545  
              6,792,264  
DEVELOPED MARKET - 0.61%
          
Ibero-America Fund, Inc.
     21,500       150,500  
New Ireland Fund, Inc. (The)
     23,300       178,245  
              328,745  
EMERGING MARKETS - 0.31%
          
First Israel Fund, Inc.
     9,633       169,348  
                 
FLEXIBLE INCOME - 2.71%
          
MFS Charter Income Trust
     30,000       274,200  
Putnam Master Intermediate Income Trust
     20,163       119,163  
Wells Fargo Advantage Multi-Sector Income Fund
     11,664       176,476  
Zweig Total Return Fund, Inc. (The)
     257,933       895,028  
              1,464,867  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2011 (UNAUDITED) (Continued)
  
   
CLOSED-END FUNDS (Continued)
  
GENERAL & INSURED UNLEVERAGED - 1.19%
        
Nuveen Select Maturities Municipal Fund
     17,700     $ 173,283  
Nuveen Select Tax-Free Income Portfolio 3
     36,155       471,100  
              644,383  
GENERAL BOND - 0.92%
          
Duff & Phelps Utility & Corporate Bond Trust Inc.
     45,092       495,561  
                 
GENERAL MUNICIPAL LEVERAGED - 0.26%
          
Nuveen Enhanced Municipal Value Fund
     7,000       88,550  
Nuveen Municipal Income Fund
     5,720       56,914  
              145,464  
GLOBAL - 7.48%
          
Alpine Global Dynamic Dividend Fund
     71,050       539,270  
Alpine Total Dynamic Dividend Fund
     469,770       2,889,086  
Calamos Global Dynamic Income Fund
     15,904       138,047  
Clough Global Allocation Fund
     29,600       480,704  
              4,047,107  
GLOBAL INCOME - 2.33%
          
Aberdeen Asia-Pacific Income Fund, Inc.
     22,000       152,460  
Nuveen Global Government Enhanced Income Fund
     2,500       36,675  
Nuveen Multi-Currency Short-Term Government Income Fund
     76,905       1,072,825  
              1,261,960  
HIGH CURRENT YIELD (LEVERAGED) - 3.29%
          
BlackRock Corporate High Yield Fund III, Inc.
     9,176       65,608  
BlackRock Corporate High Yield Fund V, Inc.
     8,101       96,240  
BlackRock Corporate High Yield Fund, Inc.
     28,028       200,961  
BlackRock Debt Strategies Fund, Inc.
     137,313       547,879  
BlackRock High Yield Trust
     576       3,877  
BlackRock Strategic Bond Trust
     9,000       116,550  
First Trust Strategic High Income Fund
     68,716       242,567  
First Trust Strategic High Income Fund II
     51,700       254,364  
First Trust Strategic High Income Fund III
     48,500       208,065  
Helios Strategic Income Fund, Inc.
     8,562       45,464  
              1,781,575  
HIGH YIELD MUNICIPAL DEBT - 0.90%
          
BlackRock Muni Assets Fund, Inc.
     22,900       258,541  
Invesco Municipal Income Opportunities Trust II
     7,000       46,130  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2011 (UNAUDITED) (Continued)
  
   
CLOSED-END FUNDS (Continued)
  
Invesco Municipal Income Opportunities Trust III
     3,500     $ 25,270  
Western Asset Municipal High Income Fund, Inc.
     20,707       149,712  
              479,653  
INCOME & PREFERRED STOCK - 7.39%
          
BlackRock Preferred Opportunity Trust
     34,759       366,012  
Calamos Strategic Total Return Fund
     279,538       2,719,905  
Nuveen Tax-Advantaged Floating Rate Fund
     11,641       27,356  
Preferred Income Strategies Fund
     90,564       890,244  
              4,003,517  
INSURED MUNICIPAL LEVERAGED - 1.22%
          
Invesco Van Kampen Trust For Insured Municipals
     10,900       129,819  
Nuveen Insured Quality Municipal Fund, Inc.
     18,065       226,716  
Nuveen Insured Tax-Free Advantage Municipal Fund
     23,000       303,370  
              659,905  
OPTION ARBITRAGE/OPTIONS STRATEGIES - 36.35%
          
Agic International & Premium Strategy Fund
     3,500       49,000  
BlackRock International Growth & Income Trust
     36,893       377,046  
Columbia Seligman Premium Technology Growth Fund, Inc.
     16,838       326,320  
Dow 30 Enhanced Premium & Income Fund, Inc.
     112,600       1,294,900  
Eaton Vance Enhanced Equity Income Fund
     103,738       1,280,127  
Eaton Vance Enhanced Equity Income Fund II
     126,245       1,596,999  
Eaton Vance Risk-Managed Diversified Equity Income Fund
     218,150       2,796,683  
Eaton Vance Tax-Managed Buy-Write Income Fund
     77,249       1,069,126  
Eaton Vance Tax-Managed Buy-Write Opportunities Fund
     178,257       2,295,950  
Eaton Vance Tax-Managed Diversified Equity Income Fund
     256,000       2,816,000  
Eaton Vance Tax-Managed Global Buy-Write Opportunities Fund
     222,241       2,722,452  
Eaton Vance Tax-Managed Global Diversified Equity Income Fund
     261,443       2,766,067  
Nuveen Equity Premium Income Fund
     1,336       16,874  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2011 (UNAUDITED) (Continued)
  
   
CLOSED-END FUNDS (Continued)
  
Nuveen Equity Premium Opportunity Fund
     21,000     $ 267,120  
              19,674,664  
REAL ESTATE - 3.37%
          
Alpine Global Premier Properties Fund
     243,089       1,704,054  
RMR Asia Pacific Real Estate Fund *
     6,901       120,697  
              1,824,751  
SECTOR EQUITY - 2.82%
          
Evergreen Utilities and High Income Fund
     63,000       746,550  
Gabelli Healthcare & WellnessRx Trust (The)*
     9,159       70,433  
Macquarie Global Infrastructure Total Return Fund, Inc.
     19,532       355,873  
Reaves Utility Income Fund
     15,436       354,411  
              1,527,267  
U.S. MORTGAGE - 1.37%
          
BlackRock Income Trust, Inc.
     110,467       742,338  
                 
VALUE - 0.66%
          
Nuveen Tax-Advantaged Total Return Strategy Fund
     4,000       45,960  
Royce Focus Trust, Inc.
     37,514       313,242  
              359,202  
                 
TOTAL CLOSED-END FUNDS
       49,495,432  
                 
CONSUMER DISCRETIONARY - 0.77%
  
Comcast Corporation - Class A
     3,358       83,010  
DIRECTV Group, Inc. (The) - Class A *
     4,000       187,200  
Ford Motor Company *
     5,000       74,550  
Time Warner, Inc.
     2,000       71,400  
              416,160  
CONSUMER STAPLES - 0.97%
  
H.J. Heinz Company
     2,000       97,640  
Procter & Gamble Company (The)
     5,233       322,353  
Wal-Mart Stores, Inc.
     2,000       104,100  
              524,093  
ENERGY - 0.97%
  
ConocoPhillips
     4,000       319,440  
Exxon Mobil Corporation
     2,475       208,222  
              527,662  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2011 (UNAUDITED) (Continued)
  
   
FINANCIALS - 0.45%
  
AFLAC, Inc.
     2,000     $ 105,560  
JPMorgan Chase & Co.
     3,000       138,300  
              243,860  
HEALTH CARE - 1.03%
  
Becton, Dickinson and Company
     3,000       238,860  
Cardinal Health, Inc.
     2,000       82,260  
Johnson & Johnson
     4,000       237,000  
              558,120  
INDUSTRIALS - 1.18%
  
3M Company
     1,567       146,514  
Emerson Electric Company
     2,000       116,860  
Union Pacific Corporation
     2,000       196,660  
United Technologies Corporation
     2,108       178,442  
              638,476  
INFORMATION TECHNOLOGY - 1.45%
  
AOL, Inc. *
     181       3,535  
Google, Inc. - Class A *
     532       311,863  
Intel Corporation
     6,599       133,102  
Oracle Corporation
     10,000       333,700  
              782,200  
MATERIALS - 0.23%
  
Freeport-McMoRan Copper & Gold, Inc.
     2,238       124,321  
                 
UTILITIES - 0.10%
  
Duke Energy Corporation
     3,000       54,450  
                 
TOTAL EQUITY SECURITIES (cost - $51,501,152)
       53,364,774  
                 
RIGHTS - 0.01%
                
Gabelli Healthcare & WellnessRx Trust (The) * (cost - $2,974)
     9,159       3,297  
                 
SHORT-TERM INVESTMENT - 1.86%
                
MONEY MARKET FUND - 1.86%
                
Fidelity Institutional Money Market Government Portfolio - Class I (cost - $1,004,900)
     1,004,900       1,004,900  

See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2011 (UNAUDITED) (Continued)
  
                 
TOTAL INVESTMENTS - 100.46% (cost - $52,509,026)
       54,372,971  
                 
                 
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.46)%
       (246,805 )
                 
NET ASSETS - 100.00%
     $ 54,126,166  
 
(a) Affiliated investment.  The Fund holds 0.43% (based on net assets) of The Adams Express Company.  A trustee of the Fund also serves as a director to such company.  There were no additional purchases and additional sales of 121,000 shares with a cost of $1,032,754 of this security during the three months ended March 31, 2011.
 
* Non-income producing security.

See accompanying notes to schedule of investments.
 
 
 
 

CORNERSTONE PROGRESSIVE RETURN FUND
NOTES TO SCHEDULES OF INVESTMENTS
March 31, 2011 (UNAUDITED)
 
Federal Income Tax Cost: At March 31, 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 $52,509,026, $2,846,191, $(982,246) and $1,863,945, 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 traded on a national exchange 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 March 31, 2011 in valuing the Fund’s investments carried at value:
 
Valuation Inputs
  
INVESTMENTS
IN
SECURITIES
    
OTHER
FINANCIAL
INSTRUMENTS*
  
             
Level 1 - Quoted Prices
            
  Equity Investments
  
$
53,368,071
    
$
-
  
  Short-Term Investments
    
1,004,900
      
-
  
Level 2 - Other Significant Observable Inputs
    
-
      
-
  
Level 3 – Significant Unobservable Inputs
    
-
      
-
  
Total
  
$
54,372,971
    
$
-
  
 
* 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 three months ended March 31, 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 March 31, 2011.
 
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 fiscal year beginning after December 15, 2010, and for interim periods within that fiscal year.

The disclosures for the Fund’s fiscal year beginning January 1, 2011 relate to presenting separately any Level 3 purchases, sales, issuances and settlements on a gross basis instead of one net amount.  Management will continue to evaluate the impact of ASU No. 2010-6 for the required disclosures.
 
The Fund is exposed to financial market risks, including the valuations of its investment portfolio.  For the three months ended March 31, 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 annual report previously filed with the Securities and Exchange Commission on the Form N-CSR on March 8, 2011 with a file number 811-22066.
 
Other information regarding the Fund is available in the Fund’s most recent annual report filed with the Securities and Exchange Commission on the Form N-CSR on March 8, 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
May 23, 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
May 23, 2011
    
     
By (Signature and Title)*
/s/ Frank J. Maresca
  
 
Frank J. Maresca, Treasurer
  
 
(Principal Financial Officer)
  
     
Date
May 23, 2011
    
 
* Print the name and title of each signing officer under his or her signature.