fp0004843_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)
 
Theresa M. Bridge
 
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, 2012                
 
Date of reporting period:       March 31, 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 - MARCH 31, 2012 (Unaudited)
   
Description
  
No. of Shares
    
Value
  
EQUITY SECURITIES - 98.27%
            
CLOSED-END FUNDS - 92.69%
            
CONVERTIBLE SECURITIES - 2.26%
            
Advent Claymore Global Convertible Securities and Income Fund II
     126,327     $ 869,130  
AGIC Equity & Convertible Income Fund
     56,110       996,514  
              1,865,644  
CORE - 2.55%
                
Adams Express Company (The)
     1,109       12,177  
General American Investors Company, Inc.
     12,800       371,456  
Guggenheim Enhanced Equity Strategy Fund
     1,500       25,800  
Liberty All-Star Equity Fund
     120,426       593,700  
Liberty All-Star Growth Fund, Inc.
     6,800       29,580  
Royce Value Trust, Inc.
     14,400       199,872  
Source Capital, Inc.
     9,000       477,000  
Zweig Fund, Inc. (The)
     122,548       393,379  
              2,102,964  
CORPORATE DEBT FUNDS INVESTMENT GRADE-RATED - 4.09%
                
Cutwater Select Income Fund
     1       27  
Federated Enhanced Treasury Income Fund
     59,077       871,977  
Western Asset Inflation Management Fund Inc.
     4,269       75,903  
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
     134,498       1,720,229  
Western Asset/Claymore Inflation-Linked Securities & Income Fund
     55,046       701,286  
              3,369,422  
DEVELOPED MARKET - 1.74%
                
European Equity Fund, Inc. (The)
     1,500       10,170  
Japan Equity Fund, Inc. (The)
     7,200       40,824  
Japan Smaller Capitalization Fund, Inc.
     162,524       1,274,188  
Morgan Stanley Asia Pacific Fund, Inc.
     1,800       26,748  
New Germany Fund, Inc. (The)
     2,100       31,668  
New Ireland Fund, Inc. (The)
     6,600       53,592  
Swiss Helvetia Fund, Inc. (The)
     100       1,121  
              1,438,311  
EMERGING MARKETS - 2.45%
                
DWS Global High Income Fund, Inc.
     711       5,752  
First Israel Fund, Inc.
     4,794       66,397  
India Fund, Inc. (The)
     53,519       1,193,474  
Morgan Stanley Frontier Emerging Markets Fund, Inc.
     10,373       118,148  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
SCHEDULE OF INVESTMENTS - MARCH 31, 2012 (Unaudited) (Continued)
   
Description
  
No. of Shares
    
Value
  
CLOSED-END FUNDS (Continued)
            
EMERGING MARKETS (Continued)
            
Morgan Stanley India Investment Fund, Inc.
     35,000     $ 579,600  
Templeton Russia and East European Fund, Inc.
     3,500       57,540  
              2,020,911  
EMERGING MARKETS DEBT - 0.41%
                
Morgan Stanley Emerging Markets Debt Fund, Inc.
     6,208       67,357  
Templeton Emerging Markets Income Fund
     17,200       269,696  
              337,053  
FLEXIBLE INCOME - 5.50%
                
Putnam Master Intermediate Income Trust
     123,505       636,051  
Putnam Premier Income Trust
     331,000       1,823,810  
Zweig Total Return Fund, Inc. (The)
     648,533       2,075,306  
              4,535,167  
GENERAL & INSURED LEVERAGED - 0.30%
                
BlackRock MuniHoldings Quality Fund II, Inc.
     15,600       217,932  
Invesco Value Municipal Bond Trust
     2,200       32,956  
              250,888  
GENERAL & INSURED UNLEVERAGED - 0.04%
                
Nuveen Municipal Value Fund 2
     2,000       33,340  
                 
GENERAL BOND - 0.49%
                
Nuveen Build America Bond Fund
     14,544       293,498  
Nuveen Build America Bond Opportunity Fund
     5,295       111,036  
              404,534  
GENERAL MUNICIPAL LEVERAGED - 1.62%
                
Eaton Vance Municipal Bond Fund
     85,634       1,113,242  
Eaton Vance Tax-Advantaged Bond and Option Strategies Fund
     10,265       173,479  
Nuveen Municipal Market Opportunity Fund, Inc.
     3,393       47,807  
              1,334,528  
GLOBAL - 6.76%
                
Alpine Total Dynamic Dividend Fund
     21,300       100,962  
Clough Global Allocation Fund
     33,200       462,808  
Clough Global Equity Fund
     48,769       639,362  
Clough Global Opportunities Fund
     181,064       2,131,123  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
SCHEDULE OF INVESTMENTS - MARCH 31, 2012 (Unaudited) (Continued)
   
Description
  
No. of Shares
    
Value
  
CLOSED-END FUNDS (Continued)
            
GLOBAL (Continued)
            
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund
     59,200     $ 1,159,136  
First Trust Active Dividend Income Fund (The)
     32,295       280,967  
Gabelli Global Multimedia Trust Inc.
     3,293       23,874  
GDL Fund (The)
     34,679       425,511  
Lazard Global Total Return & Income Fund, Inc.
     4,600       68,724  
Lazard World Dividend & Income Fund, Inc.
     16,147       196,993  
Nuveen Global Value Opportunities Fund
     5,300       86,443  
              5,575,903  
GLOBAL INCOME - 1.49%
                
Nuveen Global Government Enhanced Income Fund
     22,058       316,091  
Nuveen Multi-Currency Short-Term Government Income Fund
     69,286       915,961  
              1,232,052  
HIGH CURRENT YIELD (LEVERAGED) - 0.11%
                
Helios Strategic Income Fund, Inc.
     14,915       88,595  
                 
INCOME & PREFERRED STOCK - 0.17%
                
Dividend and Income Fund, Inc.
     22,036       79,770  
Nuveen Tax-Advantaged Floating Rate Fund
     25,003       60,507  
              140,277  
LOAN PARTICIPATION - 3.73%
                
BlackRock Defined Opportunity Credit Trust
     2,700       36,180  
BlackRock Diversified Income Strategies Fund, Inc.
     30,547       314,023  
BlackRock Floating Rate Income Strategies Fund II, Inc.
     2,949       41,139  
BlackRock Floating Rate Income Trust
     3,949       56,352  
Eaton Vance Senior Floating-Rate Trust
     84,833       1,292,855  
Eaton Vance Senior Income Trust
     49,411       356,253  
Invesco Van Kampen Dynamic Credit Opportunities Fund
     70,986       829,117  
Invesco Van Kampen Senior Income Trust
     30,796       151,208  
              3,077,127  
OPTION ARBITRAGE/OPTIONS STRATEGIES - 51.36%
                
AGIC International & Premium Strategy Fund
     8,400       92,148  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
SCHEDULE OF INVESTMENTS - MARCH 31, 2012 (Unaudited) (Continued)
   
Description
  
No. of Shares
    
Value
  
CLOSED-END FUNDS (Continued)
            
OPTION ARBITRAGE/OPTIONS STRATEGIES (Continued)
            
BlackRock Enhanced Capital & Income Fund, Inc.
     202,852     $ 2,736,473  
BlackRock Enhanced Equity Dividend Trust
     450,387       3,377,903  
BlackRock Global Opportunities Equity Trust
     59,478       912,987  
BlackRock International Growth and Income Trust
     331,347       2,601,074  
Cohen & Steers Global Income Builder, Inc.
     66,097       707,238  
Dow 30 Enhanced Premium & Income Fund Inc.
     16,000       180,000  
Eaton Vance Enhanced Equity Income Fund
     208,336       2,304,196  
Eaton Vance Enhanced Equity Income Fund II
     243,653       2,650,945  
Eaton Vance Risk-Managed Diversified Equity Income Fund
     361,450       3,827,756  
Eaton Vance Tax-Managed Buy-Write Income Fund
     137,818       1,888,107  
Eaton Vance Tax-Managed Buy-Write Opportunities Fund
     208,578       2,698,999  
Eaton Vance Tax-Managed Diversified Equity Income Fund
     407,200       3,880,616  
Eaton Vance Tax-Managed Global Buy-Write Opportunities Fund
     367,136       4,053,181  
Eaton Vance Tax-Managed Global Diversified Equity Income Fund
     467,796       4,168,062  
First Trust Enhanced Equity Income Fund
     29,580       357,326  
ING Global Advantage and Premium Opportunity Fund
     47,439       572,114  
Madison Strategic Sector Premium Fund
     18,900       223,209  
Madison/Claymore Covered Call & Equity Strategy Fund
     56,456       466,891  
Nuveen Equity Premium Advantage Fund
     76,057       921,811  
Nuveen Equity Premium and Growth Fund
     22,193       295,833  
Nuveen Equity Premium Income Fund
     118,860       1,422,754  
Nuveen Equity Premium Opportunity Fund
     166,495       2,027,909  
              42,367,532  
PACIFIC EX JAPAN - 3.09%
                
Asia Tigers Fund, Inc. (The)
     1,207       16,343  
JF China Region Fund, Inc.
     100       1,273  
Morgan Stanley China A Share Fund, Inc.
     129,333       2,533,633  
              2,551,249  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
SCHEDULE OF INVESTMENTS - MARCH 31, 2012 (Unaudited) (Continued)
   
Description
  
No. of Shares
    
Value
  
CLOSED-END FUNDS (Continued)
            
REAL ESTATE - 3.06%
            
Alpine Global Premier Properties Fund
     32,900     $ 213,850  
CBRE Clarion Global Real Estate Income Fund
     105,448       847,802  
Cohen & Steers Quality Income Realty Fund, Inc.
     20,200       198,364  
LMP Real Estate Income Fund, Inc.
     32,652       335,010  
Neuberger Berman Real Estate Securities Income Fund Inc.
     216,652       927,271  
RMR Asia Pacific Real Estate Fund
     1       15  
              2,522,312  
SECTOR EQUITY - 1.40%
                
Gabelli Healthcare & WellnessRx Trust (The)
    22,831       190,182  
ING Risk Managed Natural Resources Fund
     72,416       888,544  
Nuveen MLP & Strategic Equity Fund, Inc.
     4,496       80,029  
              1,158,755  
VALUE - 0.07%
                
Royce Focus Trust, Inc.
     8,000       55,680  
                 
                 
TOTAL CLOSED-END FUNDS
       76,462,244  
                 
CONSUMER DISCRETIONARY - 0.45%
                
Comcast Corporation - Class A
     3,358       100,774  
DIRECTV - Class A *
     4,000       197,360  
Time Warner, Inc.
     2,000       75,500  
              373,634  
CONSUMER STAPLES - 0.52%
                
Wal-Mart Stores, Inc.
     7,000       428,400  
                 
ENERGY - 1.02%
                
Chevron Corporation
     5,000       536,200  
ConocoPhillips
     4,000       304,040  
              840,240  
FINANCIALS - 0.77%
                
AFLAC, Inc.
     2,000       91,980  
American Express Company
     3,000       173,580  
JPMorgan Chase & Co.
     8,000       367,840  
              633,400  
HEALTH CARE - 0.75%
                
Abbott Laboratories
     3,000       183,870  
Becton, Dickinson and Company
     3,000       232,950  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
SCHEDULE OF INVESTMENTS - MARCH 31, 2012 (Unaudited) (Continued)
   
Description
  
No. of Shares
    
Value
  
HEALTH CARE (Continued)
            
Cardinal Health, Inc.
     2,000     $ 86,220  
Merck & Company, Inc.
     3,000       115,200  
              618,240  
INDUSTRIALS - 0.60%
                
Emerson Electric Company
     2,000       104,360  
Union Pacific Corporation
     2,000       214,960  
United Technologies Corporation
     2,108       174,837  
              494,157  
INFORMATION TECHNOLOGY - 1.29%
                
International Business Machines Corporation
     3,000       625,950  
Oracle Corporation
     15,000       437,400  
              1,063,350  
MATERIALS - 0.10%
                
Freeport-McMoRan Copper & Gold, Inc.
     2,238       85,134  
                 
UTILITIES - 0.08%
                
Duke Energy Corporation
     3,000       63,030  
                 
                 
TOTAL EQUITY SECURITIES (cost - $80,942,410)
       81,061,829  
                 
SHORT-TERM INVESTMENT - 2.64%
                
MONEY MARKET FUND - 2.64%
                
Fidelity Institutional Money Market Government Portfolio - Class I (cost - $2,175,724)
     2,175,724       2,175,724  
                 
TOTAL INVESTMENTS - 100.91% (cost - $83,118,134)
       83,237,553  
                 
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.91)%
       (746,921 )
                 
NET ASSETS - 100.00%
     $ 82,490,632  

* Non-income producing security
 
See accompanying notes to schedule of investments.
 
 
 
 

CORNERSTONE PROGRESSIVE RETURN FUND
NOTES TO SCHEDULE OF INVESTMENTS
March 31, 2012 (UNAUDITED)
 
Federal Income Tax Cost: At March 31, 2012 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 $83,141,865, $2,685,279, $(2,589,591) and $95,688, respectively.
 
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 March 31, 2012 in valuing the Fund’s investments carried at value:
 
VALUATION INPUTS
  
INVESTMENTS
IN
SECURITIES
    
OTHER
FINANCIAL
INSTRUMENTS*
  
             
Level 1 - Quoted Prices
            
  Equity Investments
  
$
81,061,829
    
$
-
  
  Short-Term Investments
    
2,175,724
      
-
  
Level 2 - Other Significant Observable Inputs
    
-
      
-
  
Level 3 – Significant Unobservable Inputs
    
-
      
-
  
Total
  
$
83,237,553
    
$
-
  
 
*
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.
 
During the three months ended March 31, 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 March 31, 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.
 
In May 2011, FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs”. ASU No. 2011-04 establishes common requirements for measuring fair value and for disclosing information in accordance with U.S. generally accepted accounting principles (“GAAP”) and International Financial Reporting Standards (“IFRSs”).  ASU No. 2011-04 is effective for interim and annual periods beginning after December 15, 2011 and is applied prospectively.  Management is currently evaluating ASU No. 2011-04 and does not believe that it will have a material impact on the Fund’s financial statements and disclosures. 

The Fund is exposed to financial market risks, including the valuations of its investment portfolio.  For the three months ended March 31, 2012, 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 hereby incorporated by reference to the Fund’s annual report previously filed with the Securities and Exchange Commission on the Form N-CSR on March 2, 2012 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 2, 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
May 24, 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
May 24, 2012
    
       
By (Signature and Title)*
/s/ Theresa M. Bridge
  
   
Theresa M. Bridge, Treasurer
  
   
(Principal Financial Officer)
  
       
Date
May 8, 2012
    
 
* Print the name and title of each signing officer under his or her signature.