fp0005841_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)
 
225 Pictoria Drive, Suite 450         Cincinnati, Ohio
45246
(Address of principal executive offices)
(Zip code)
 
Theresa M. Bridge
 
Ultimus Fund Solutions, LLC     225 Pictoria Drive, Suite 450  Cincinnati, OH 45246
(Name and address of agent for service)
 
Registrant's telephone number, including area code:  (513) 587-3400         
 
Date of fiscal year end:      December 31, 2012            
 
Date of reporting period:    September 30, 2012         
 
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, 2012 (Unaudited)
   
Description
  
No. of Shares
    
Value
  
EQUITY SECURITIES - 99.02%
            
CLOSED-END FUNDS - 89.66%
            
CONVERTIBLE SECURITIES - 1.28%
            
Advent Claymore Global Convertible Securities and Income Fund II
     117,935     $ 793,703  
AGIC Equity & Convertible Income Fund
     45,551       796,231  
              1,589,934  
CORE - 6.02%
                
Adams Express Company (The)
     125,907       1,427,785  
Advent/Claymore Enhanced Growth & Income Fund
     54,967       529,882  
General American Investors Company, Inc.
     53,442       1,554,093  
Liberty All-Star Equity Fund
     17,733       85,650  
Royce Micro-Cap Trust, Inc.
     31,485       297,533  
Royce Value Trust, Inc.
     142,608       1,863,887  
Tri-Continental Corporation
     54,067       876,967  
Zweig Fund, Inc. (The)
     67,970       860,500  
              7,496,297  
CORPORATE DEBT FUNDS INVESTMENT GRADE-RATED - 4.49%
                
AllianceBernstein Income Fund, Inc.
     90,733       783,933  
Cutwater Select Income Fund
     1       28  
Federated Enhanced Treasury Income Fund
     55,339       791,348  
Montgomery Street Income Securities, Inc.
     7,699       130,652  
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
     179,526       2,414,625  
Western Asset/Claymore Inflation-Linked Securities & Income Fund
     110,291       1,463,562  
              5,584,148  
DEVELOPED MARKET - 2.51%
                
European Equity Fund, Inc. (The)
     700       4,690  
Japan Equity Fund, Inc. (The)
     15,727       80,050  
Japan Smaller Capitalization Fund, Inc.
     163,824       1,177,895  
Morgan Stanley Asia-Pacific Fund, Inc.
     20,591       287,656  
New Germany Fund, Inc. (The)
     17,607       255,478  
New Ireland Fund, Inc. (The)
     8,179       69,521  
Singapore Fund, Inc. (The)
     39,367       544,052  
Swiss Helvetia Fund, Inc. (The)
     65,263       703,535  
              3,122,877  
 
See accompanying notes to schedule of investments.
 
 
 
 

CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2012 (Unaudited) (Continued)
   
Description
  
No. of Shares
    
Value
  
EMERGING MARKETS - 11.74%
            
Aberdeen Emerging Markets Telecommunications and Infrastructure Fund, Inc.
     13,153     $ 272,004  
Aberdeen Latin America Equity Fund, Inc.
     5,765       198,835  
Central Europe and Russia Fund, Inc. (The)
     14,576       486,693  
DWS Global High Income Fund, Inc.
     6,211       54,595  
First Israel Fund, Inc.
     6,594       85,326  
India Fund, Inc. (The)
     263,937       6,133,896  
Latin American Discovery Fund, Inc. (The)
     15,566       228,976  
Morgan Stanley Emerging Markets Fund, Inc. *
     7,251       106,372  
Morgan Stanley India Investment Fund, Inc. *
     152,436       2,663,057  
Templeton Dragon Fund, Inc.
     94,819       2,430,211  
Templeton Emerging Markets Fund
     61,753       1,137,490  
Templeton Russia and East European Fund, Inc. *
     32,805       503,229  
Turkish Investment Fund, Inc. (The)
     20,663       307,879  
              14,608,563  
FLEXIBLE INCOME - 0.51%
                
Putnam Master Intermediate Income Trust
     91,309       472,981  
Putnam Premier Income Trust
     28,011       160,503  
              633,484  
GENERAL & INSURED LEVERAGED - 1.46%
                
Invesco Value Municipal Bond Trust
     18,786       299,637  
Invesco Value Municipal Income Trust
     36,641       611,538  
Nuveen Dividend Advantage Municipal Income Fund
     30,226       481,500  
Nuveen Municipal Opportunity Fund, Inc.
     3,934       61,449  
Nuveen Municipal Advantage Fund, Inc.
     4,900       76,783  
Nuveen Premier Municipal Income Fund, Inc.
     6,475       100,168  
Nuveen Premium Income Municipal Fund 2, Inc.
     7,633       119,380  
Nuveen Select Quality Municipal Fund, Inc.
     4,095       66,134  
              1,816,589  
GENERAL & INSURED UNLEVERAGED - 0.18%
                
Delaware Investments National Municipal Income Fund
     16,170       229,129  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2012 (Unaudited) (Continued)
   
Description
  
No. of Shares
    
Value
  
GENERAL BOND - 0.95%
            
Nuveen Build America Bond Fund
     6,900     $ 147,660  
Nuveen Build America Bond Opportunity Fund
     46,761       1,031,080  
              1,178,740  
GENERAL MUNICIPAL LEVERAGED - 1.58%
                
Invesco Value Municipal Trust
     27,098       429,503  
Nuveen Dividend Advantage Municipal Fund 3
     44,657       703,348  
Nuveen Municipal Market Opportunity Fund, Inc.
     55,639       834,029  
              1,966,880  
GLOBAL - 7.69%
                
AGIC Global Equity & Convertible Income Fund
     35,021       469,982  
Alpine Total Dynamic Dividend Fund
     40,000       177,200  
Calamos Global Total Return Fund
     2,200       30,074  
Clough Global Allocation Fund
     34,800       470,844  
Clough Global Equity Fund
     76,169       984,103  
Clough Global Opportunities Fund
     156,540       1,831,518  
Delaware Enhanced Global Dividend and Income Fund
     59,267       667,939  
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund
     75,498       1,493,350  
First Trust Active Dividend Income Fund
     40,606       343,933  
GDL Fund (The)
     27,065       319,908  
Lazard Global Total Return & Income Fund, Inc.
     14,522       217,975  
Lazard World Dividend & Income Fund, Inc.
     48,018       583,899  
Nuveen Global Value Opportunities Fund
     121,389       1,820,835  
Virtus Total Return Fund
     42,090       164,993  
              9,576,553  
GLOBAL INCOME - 2.68%
                
Global Income & Currency Fund Inc.
     35,190       479,640  
Nuveen Global Government Enhanced Income Fund
     3,800       55,518  
Nuveen Multi-Currency Short-Term Government Income Fund
     194,615       2,568,918  
Templeton Global Income Fund
     24,600       235,422  
              3,339,498  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2012 (Unaudited) (Continued)
   
Description
  
No. of Shares
    
Value
  
HIGH YIELD (LEVERAGED) - 0.05%
            
Invesco Van Kampen High Income Trust II
     3,758     $ 64,525  
                 
INCOME & PREFERRED STOCK - 2.19%
                
Zweig Total Return Fund, Inc. (The)
     215,335       2,726,141  
                 
INSURED MUNICIPAL LEVERAGED - 0.38%
                
Nuveen Premier Municipal Opportunity Fund, Inc.
     23,035       367,408  
Nuveen Quality Municipal Fund, Inc.
     7,046       108,579  
              475,987  
OPTION ARBITRAGE/OPTIONS STRATEGIES - 37.14%
                
AGIC International & Premium Strategy Fund
     15,800       156,420  
BlackRock Enhanced Capital & Income Fund, Inc.
     27,857       364,091  
BlackRock Enhanced Equity Dividend Trust
     668,001       5,050,088  
BlackRock Global Opportunities Equity Trust
     341,877       4,659,783  
BlackRock International Growth and Income Trust
     575,475       4,195,213  
Eaton Vance Enhanced Equity Income Fund
     220,336       2,441,323  
Eaton Vance Enhanced Equity Income Fund II
     268,953       2,979,999  
Eaton Vance Risk-Managed Diversified Equity Income Fund
     361,450       3,806,068  
Eaton Vance Tax-Managed Buy-Write Opportunities Fund
     208,578       2,713,600  
Eaton Vance Tax-Managed Diversified Equity Income Fund
     641,039       6,096,281  
Eaton Vance Tax-Managed Global Buy-Write Opportunities Fund
     546,689       6,068,248  
Eaton Vance Tax-Managed Global Diversified Equity Income Fund
     692,321       6,099,348  
First Trust Enhanced Equity Income Fund
     31,166       380,537  
ING Global Advantage and Premium Opportunity Fund
     48,439       573,518  
Madison Strategic Sector Premium Fund
     13,900       166,244  
Madison/Claymore Covered Call & Equity Strategy Fund
     8,168       64,691  
Nuveen Equity Premium Advantage Fund
     33,471       423,743  
              46,239,195  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2012 (Unaudited) (Continued)
   
Description
  
No. of Shares
    
Value
  
PACIFIC EX JAPAN - 3.96%
            
Aberdeen Indonesia Fund, Inc.
     29,048     $ 389,824  
Asia Pacific Fund, Inc. (The) *
     18,668       191,907  
Asia Tigers Fund, Inc. (The) *
     3,607       49,957  
China Fund, Inc. (The)
     3,770       84,033  
Greater China Fund, Inc. (The)
     6,100       69,540  
JF China Region Fund, Inc.
     2,416       30,442  
Korea Equity Fund, Inc. *
     18,528       183,798  
Korea Fund, Inc. (The)
     6,800       268,600  
Morgan Stanley China A Share Fund, Inc.
     115,053       2,149,190  
Taiwan Fund, Inc.
     48,560       801,240  
Thai Fund, Inc. (The)
     40,712       715,310  
              4,933,841  
REAL ESTATE - 0.14%
                
Neuberger Berman Real Estate Securities Income Fund Inc.
     35,711       168,556  
RMR Asia Pacific Real Estate Fund
     1       16  
              168,572  
SECTOR EQUITY - 4.58%
                
Gabelli Healthcare & WellnessRx Trust (The)
     6,444       58,705  
ING Risk Managed Natural Resources Fund
     32,810       398,641  
Macquarie Global Infrastructure Total Return Fund Inc.
     5,275       101,016  
Petroleum & Resources Corporation
     77,539       2,034,623  
Reaves Utility Income Fund
     123,207       3,114,673  
              5,707,658  
VALUE - 0.13%
                
Royce Focus Trust, Inc.
     24,352       163,645  
                 
TOTAL CLOSED-END FUNDS
       111,622,256  
                 
      EXCHANGE-TRADED FUNDS - 2.32%
                
iShares S&P 500 Index Fund
     10,000       1,444,000  
SPDR S&P 500 ETF Trust
     10,000       1,439,300  
      TOTAL EXCHANGE-TRADED FUNDS
             2,883,300  
                 
CONSUMER DISCRETIONARY - 0.73%
                
Comcast Corporation - Class A
     3,358       120,116  
DIRECTV *
     4,000       209,840  
Macy's, Inc.
     2,000       75,240  
Time Warner Cable, Inc.
     2,000       190,120  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2012 (Unaudited) (Continued)
   
Description
  
No. of Shares
    
Value
  
CONSUMER DISCRETIONARY (Continued)
                
Walt Disney Company (The)
     6,000     $ 313,680  
              908,996  
CONSUMER STAPLES - 0.59%
                
CVS Caremark Corporation
     3,000       145,260  
Wal-Mart Stores, Inc.
     8,000       590,400  
              735,660  
ENERGY - 0.73%
                
Chevron Corporation
     5,000       582,800  
ConocoPhillips
     4,000       228,720  
Phillips 66
     2,000       92,740  
              904,260  
FINANCIALS - 0.78%
                
Allstate Corporation (The)
     3,000       118,830  
Discover Financial Services
     2,000       79,460  
JPMorgan Chase & Co.
     8,000       323,840  
Marsh & McLennan Companies, Inc.
     2,000       67,860  
MetLife, Inc.
     3,000       103,380  
Wells Fargo & Company
     8,000       276,240  
              969,610  
HEALTH CARE - 0.54%
                
Abbott Laboratories
     3,000       205,680  
Amgen Inc.
     4,000       337,280  
Merck & Company, Inc.
     3,000       135,300  
              678,260  
INDUSTRIALS - 0.43%
                
Caterpillar Inc.
     3,000       258,120  
CSX Corporation
     2,000       41,500  
Union Pacific Corporation
     2,000       237,400  
              537,020  
INFORMATION TECHNOLOGY - 2.74%
                
Apple Inc.
     3,000       2,001,780  
International Business Machines Corporation
     3,000       622,350  
Oracle Corporation
     25,000       787,250  
              3,411,380  
TELECOMMUNICATION SERVICES - 0.33%
                
AT&T, Inc.
     6,000       226,200  
Verizon Communications, Inc.
     4,000       182,280  
              408,480  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2012 (Unaudited) (Concluded)
   
Description
  
No. of Shares
    
Value
  
UTILITIES - 0.17%
                
NextEra Energy, Inc.
     3,000     $ 210,990  
                 
TOTAL EQUITY SECURITIES (cost - $120,366,701)
       123,270,212  
                 
SHORT-TERM INVESTMENTS - 1.07%
                
MONEY MARKET FUNDS - 1.07%
                
Fidelity Institutional Money Market Government Portfolio - Class I, 0.01%^ (cost - $1,333,639)
     1,333,639       1,333,639  
                 
TOTAL INVESTMENTS - 100.09% (cost - $121,700,340)
       124,603,851  
                 
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.09)%
       (117,359 )
                 
NET ASSETS - 100.00%
     $ 124,486,492  

*   Non-income producing security.
^   Variable rate security.  The rate shown is the 7-day effective yield as of September 30, 2012.
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
NOTES TO SCHEDULE OF INVESTMENTS
September 30, 2012 (UNAUDITED)
 
Federal Income Tax Cost: The following information is computed on a tax basis for each item as of September 30, 2012:
 
Cost of portfolio investments
   $ 121,977,011  
Gross unrealized appreciation
   $ 5,165,553  
Gross unrealized depreciation
     (2,538,713 )
Net unrealized appreciation
   $ 2,626,840  
 
The difference between the federal income tax cost of portfolio investments and the Schedule of Investments cost for the Fund is due to certain timing differences in the recognition of capital gains or losses under income tax regulations and generally accepted accounting principles.  These “book/tax” differences are temporary in nature and are due to the tax deferral of losses on wash sales.
 
As required by the Fair Value Measurement and Disclosures Topic of the Financial Accounting Standards Board (“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, 2012 in valuing the Fund’s investments carried at value:
 
VALUATION INPUTS
  
INVESTMENTS
IN
SECURITIES
    
OTHER
FINANCIAL
INSTRUMENTS*
  
             
Level 1 - Quoted Prices
            
  Equity Investments
  
$
      123,270,212
    
$
                      -
  
  Short-Term Investments
    
          1,333,639
      
                      -
  
Level 2 - Other Significant Observable Inputs
    
                     -
      
                      -
  
Level 3 – Significant Unobservable Inputs
    
                     -
      
                      -
  
Total
  
$
        124,603,851
    
$
                      -
  
 
* Other financial instruments include futures, forwards and swap contracts, if any.

The breakdown of the Fund’s investments into major categories is disclosed in its Schedule of Investments.
 
As of September 30, 2012, the Fund did not have any transfers in and out of any Level.
 
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, 2012.
 
The disclosures for the Fund’s fiscal year beginning January 1, 2012 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.  During the nine months ended September 30, 2012, the Fund did not engage in derivative instruments and other hedging activities.
 
The Fund has evaluated the need for additional 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 hereby 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 4, 2012 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 4, 2012, 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 26, 2012
    
       
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 26, 2012
    
       
By (Signature and Title)*
/s/ Theresa M. Bridge
  
   
Theresa M. Bridge, Treasurer (Principal Financial Officer)
       
Date
November 26, 2012
    
 
* Print the name and title of each signing officer under his or her signature.