UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21681
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Old Mutual/Claymore Long-Short Fund
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(Exact name of registrant as specified in charter)
2455 Corporate West Drive Lisle, IL 60532
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(Address of principal executive offices) (Zip code)
J. Thomas Futrell
2455 Corporate West Drive
Lisle, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
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Date of fiscal year end: December 31
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Date of reporting period: March 31, 2008
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 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 the
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. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
Attached hereto.
OLD MUTUAL/CLAYMORE LONG-SHORT FUND
PORTFOLIO OF INVESTMENTS
MARCH 31, 2008 (UNAUDITED)
NUMBER
OF SHARES VALUE
------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 118.3%
COMMON STOCKS - 118.0%
CONSUMER DISCRETIONARY - 13.3%
16,142 Amazon.Com, Inc. (a) (b) $ 1,150,924
64,319 Best Buy Co., Inc. (b) 2,666,666
146,821 Big Lots, Inc. (a)(b) 3,274,108
121,122 DIRECTV Group, Inc. (a)(b) 3,002,614
28,082 Expedia, Inc. (a)(b) 614,715
543,329 Ford Motor Co. (a)(b) 3,107,842
29,053 Gap, Inc. (b) 571,763
35,253 Hasbro, Inc. (b) 983,559
285,201 Interpublic Group of Companies, Inc. (a)(b) 2,398,540
100,410 Newell Rubbermaid, Inc. (b) 2,296,377
11,527 Office Depot, Inc. (a)(b) 127,373
22,708 OfficeMax, Inc. (b) 434,631
95,538 Snap-On, Inc. (b) 4,858,107
353,584 Time Warner, Inc. (b) 4,957,248
46,827 VF Corp. (b) 3,629,561
140,149 Walt Disney Co. (The) (b) 4,397,876
4,064 Wendy's International, Inc. (b) 93,716
54,001 Wyndham Worldwide Corp. 1,116,741
--------------
39,682,361
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CONSUMER STAPLES - 12.8%
63,119 Altria Group, Inc. (b) 1,401,242
86,806 Archer-Daniels-Midland Co. (b) 3,572,935
136,416 Coca-Cola Enterprises, Inc. (b) 3,301,267
76,588 Constellation Brands, Inc. - Class A (a)(b) 1,353,310
54,140 Costco Wholesale Corp. (b) 3,517,476
97,014 Dean Foods Co. (a)(b) 1,949,011
188,358 Kroger Co. (b) 4,784,293
16,097 Molson Coors Brewing Co. - Class B (b) 846,220
63,119 Philip Morris International, Inc. (a) 3,192,559
44,398 Procter & Gamble Co. (b) 3,110,968
212,808 SYSCO Corp. (b) 6,175,688
172,799 Tyson Foods, Inc. - Class A (b) 2,756,144
40,150 Wal-Mart Stores, Inc. 2,115,102
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38,076,215
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ENERGY - 13.3%
5,747 Baker Hughes, Inc. (b) 393,669
109,787 Chevron Corp. (b) 9,371,418
7,786 ConocoPhillips (b) 593,371
4,806 Devon Energy Corp. (b) 501,410
187,232 Exxon Mobil Corp. 15,836,083
108,276 Halliburton Co. (b) 4,258,495
53,855 Marathon Oil Corp. (b) 2,455,788
7,941 Murphy Oil Corp. (b) 652,274
2,183 National Oilwell Varco, Inc. (a)(b) 127,443
12,723 Occidental Petroleum Corp. (b) 930,942
9,228 Schlumberger Ltd. (Netherlands Antilles) (b) 802,836
2,725 Transocean, Inc. (Cayman Islands) (a)(b) 368,420
9,866 Weatherford International Ltd. (Bermuda) (a)(b) 714,989
79,820 Williams Cos., Inc. 2,632,464
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39,639,602
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FINANCIALS - 17.1%
78,109 ACE Ltd. (Cayman Islands) (b) 4,300,682
31,812 American Express Co. (b) 1,390,821
20,654 American International Group, Inc. (b) 893,285
11,450 Ameriprise Financial, Inc. (b) 593,682
21,682 AvalonBay Communities, Inc., REIT (b) 2,092,747
116,332 Bank of New York Mellon Corp. (b) 4,854,534
46 Boston Properties, Inc., REIT (b) 4,235
42,877 Capital One Financial Corp. (b) 2,110,406
57,205 CB Richard Ellis Group, Inc. - Class A (a)(b) 1,237,916
227,305 Charles Schwab Corp. (b) 4,280,153
32,474 Cincinnati Financial Corp. (b) 1,235,311
246 CME Group, Inc. (b) 115,399
20,752 Franklin Resources, Inc. (b) 2,012,736
106,148 Host Hotels & Resorts, Inc., REIT (b) 1,689,876
48,584 Janus Capital Group, Inc. (b) 1,130,550
146,704 JPMorgan Chase & Co. (b) 6,300,937
37,881 Loews Corp. (b) 1,523,574
64,560 MetLife, Inc. (b) 3,890,386
57,919 Northern Trust Corp. (b) 3,849,876
14,147 NYSE Euronext (b) 873,011
11,914 State Street Corp. (b) 941,206
29,998 T Rowe Price Group, Inc. (b) 1,499,900
89,112 Travelers Co., Inc. (b) 4,264,009
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51,085,232
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HEALTH CARE - 14.4%
105,782 AmerisourceBergen Corp. (b) 4,334,946
73,938 Amgen, Inc. (a)(b) 3,089,130
85,616 Baxter International, Inc. (b) 4,950,317
17,698 Bristol-Myers Squibb Co. (b) 376,968
106,289 Cardinal Health, Inc. (b) 5,581,235
44,597 Cigna Corp. (b) 1,809,300
20,884 Genzyme Corp. (a)(b) 1,556,693
26,649 Humana, Inc. (a)(b) 1,195,474
11,076 Johnson & Johnson (b) 718,500
97,090 McKesson Corp. (b) 5,084,603
105,563 Medco Health Solutions, Inc. (a)(b) 4,622,604
63,266 PerkinElmer, Inc. (b) 1,534,201
163,489 Pfizer, Inc. (b) 3,421,825
57,177 Stryker Corp. (b) 3,719,364
151,404 Tenet Healthcare Corp. (a)(b) 856,947
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42,852,107
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INDUSTRIALS - 16.0%
88,491 Boeing Co. (b) 6,581,076
3,805 C.H. Robinson Worldwide, Inc. (b) 206,992
22,090 CSX Corp. (b) 1,238,586
28,010 FedEx Corp. (b) 2,595,687
16,002 Fluor Corp. (b) 2,258,842
393,624 General Electric Co. (b) 14,568,024
12,262 Honeywell International, Inc. (b) 691,822
44,560 Jacobs Engineering Group, Inc. (a)(b) 3,279,170
20,204 Lockheed Martin Corp. (b) 2,006,257
576 Masco Corp. (b) 11,422
28,792 Parker Hannifin Corp. (b) 1,994,422
70,051 Raytheon Co. (b) 4,525,995
51,485 RR Donnelley & Sons Co. (b) 1,560,510
2,568 Ryder System, Inc. (b) 156,417
60,372 Southwest Airlines Co. (b) 748,613
28,460 Union Pacific Corp. (b) 3,568,315
20,661 WW Grainger, Inc. (b) 1,578,294
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47,570,444
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INFORMATION TECHNOLOGY - 16.1%
19,864 Agilent Technologies, Inc. (a)(b) 592,543
14,772 BMC Software, Inc. (a)(b) 480,385
110,451 Computer Sciences Corp. (a)(b) 4,505,296
63,594 Convergys Corp. (a)(b) 957,726
60,290 Corning, Inc. (b) 1,449,372
36,282 eBay, Inc. (a)(b) 1,082,655
175,553 Electronic Data Systems Corp. (b) 2,922,957
249 Google, Inc. - Class A (a)(b) 109,677
173,952 Hewlett-Packard Co. (b) 7,942,648
108,301 Jabil Circuit, Inc. (b) 1,024,528
8,987 Micron Technology, Inc. (a)(b) 53,652
266,695 Microsoft Corp. (b) 7,568,804
28,529 Molex, Inc. (b) 660,732
252,725 Motorola, Inc. (b) 2,350,343
108,082 Novell, Inc. (a)(b) 679,836
45,123 NVIDIA Corp. (a)(b) 892,984
280,165 Sun Microsystems, Inc. (a)(b) 4,350,963
177,983 Texas Instruments, Inc. (b) 5,031,579
297,211 Unisys Corp. (a)(b) 1,316,645
68,021 Western Union Co. 1,446,807
147,785 Xerox Corp. 2,212,341
12,868 Yahoo!, Inc. (a) 372,271
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48,004,744
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MATERIALS - 6.1%
12,533 Alcoa, Inc. (b) 451,940
108,152 Ashland, Inc. (b) 5,115,590
57,562 Du Pont (E.I.) de Nemours and Co. (b) 2,691,599
28,029 Ecolab, Inc. (b) 1,217,299
13,764 Hercules, Inc. (b) 251,744
54,509 International Paper Co. (b) 1,482,645
30,227 Newmont Mining Corp. (b) 1,369,283
19,011 Nucor Corp. (b) 1,287,805
42,320 Pactiv Corp. (a)(b) 1,109,207
28,258 PPG Industries, Inc. (b) 1,709,892
31,856 Sealed Air Corp. (b) 804,364
13,387 Titanium Metals Corp. (b) 201,474
6,597 Vulcan Materials Co. (b) 438,041
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18,130,883
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TELECOMMUNICATIONS - 6.1%
72,308 American Tower Corp. - Class A (a)(b) 2,835,197
301,974 AT&T, Inc. (b) 11,565,604
105,025 Verizon Communications, Inc. (b) 3,828,161
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18,228,962
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UTILITIES - 2.8%
58,010 AES Corp. (a)(b) 967,027
15,290 Dominion Resources, Inc. (b) 624,444
357,070 Dynegy, Inc. - Class A (a)(b) 2,817,282
108,998 PG&E Corp. (b) 4,013,306
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8,422,059
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TOTAL COMMON STOCKS - 118.0%
(Cost $398,278,755) 351,692,609
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TRACKING STOCKS - 0.3%
HEALTH CARE - 0.3%
22,255 Applera Corp - Applied Biosystems Group (b)
(Cost $748,008) 731,299
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TOTAL LONG-TERM INVESTMENTS - 118.3%
(Cost $399,026,763) 352,423,908
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PRINCIPAL AMOUNT VALUE
------------------- --------------
SHORT-TERM INVESTMENTS - 9.1%
U.S. GOVERNMENT SECURITIES - 9.1%
$ 27,250,000 U.S. Treasury Bill
yielding 2.89%, 6/05/08 maturity (b)
(Cost $27,109,894) 27,187,271
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TOTAL INVESTMENTS - 127.4%
(Cost $426,136,657) 379,611,179
Securities Sold Short - (26.8%)
(Proceeds $85,258,417) (79,935,103)
Total Value of Options Written
(Premiums received $5,683,266) - (1.5%) (4,469,375)
Other Assets less Liabilities - 0.9% 2,839,836
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NET ASSETS - 100.0% $ 298,046,537
==============
NUMBER
OF SHARES VALUE
------------------------------------------------------------------------------------
SECURITIES SOLD SHORT - 26.8%
COMMON STOCKS - 26.8%
CONSUMER DISCRETIONARY - 7.7%
15,360 Abercrombie & Fitch Co. - Class A $ 1,123,430
3,012 Apollo Group, Inc. - Class A 130,118
10,054 Black & Decker Corp. 664,569
7,090 Carnival Corp. (Panama) 287,003
78,920 CBS Corp. - Class B 1,742,554
27,318 Centex Corp. 661,369
302,067 Circuit City Stores, Inc. 1,202,227
39,756 Clear Channel Communications, Inc. 1,161,670
50,808 DR Horton, Inc. 800,226
22,819 EW Scripps Co. - Class A 958,626
29,520 Fortune Brands, Inc. 2,051,640
21,692 GameStop Corp. - Class A 1,121,693
53,977 Gannett Co., Inc. 1,568,032
52,700 Harley-Davidson, Inc. 1,976,250
15,222 Home Depot, Inc. 425,759
65,595 JC Penney Co., Inc. 2,473,588
52,939 KB Home 1,309,182
20,315 Lennar Corp. - Class A 382,125
23,124 Lowe's Cos., Inc. 530,465
27,192 Pulte Homes, Inc. 395,644
45,931 Tiffany & Co. 1,921,753
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22,887,923
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CONSUMER STAPLES - 2.6%
12,036 Clorox Co. 681,719
88,908 Hershey Co. 3,349,164
3,509 Kimberly-Clark Corp. 226,506
1,587 Whole Foods Market, Inc. 52,324
55,969 Wrigley (Wm) Jr. Co. 3,517,092
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7,826,805
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ENERGY - 1.4%
15,131 Consol Energy, Inc. 1,046,914
18,770 Peabody Energy Corp. 957,270
20,566 Range Resources Corp. 1,304,913
14,041 XTO Energy, Inc. 868,576
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4,177,673
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FINANCIALS - 2.9%
22,589 Fannie Mae 594,542
32,729 Freddie Mac 828,698
6,622 Goldman Sachs Group, Inc. 1,095,213
27,786 Huntington Bancshares, Inc. 298,700
88,850 Leucadia National Corp. 4,017,797
18,372 Merrill Lynch & Co., Inc. 748,475
7,854 Toronto-Dominion Bank (Canada) 481,872
22,413 XL Capital Ltd. (Cayman Islands) 662,304
--------------
8,727,601
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HEALTH CARE - 3.0%
26,232 Boston Scientific Corp. 337,606
14,882 Celgene Corp. 912,118
35,190 King Pharmaceuticals, Inc. 306,153
24,191 Millipore Corp. 1,630,715
281,643 Mylan, Inc. 3,267,059
16,738 Quest Diagnostics, Inc. 757,729
42,985 Schering-Plough Corp. 619,414
19,347 Waters Corp. 1,077,628
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8,908,422
--------------
INDUSTRIALS - 1.1%
17,468 Allied Waste Industries, Inc. 188,829
6,491 L-3 Communications Holdings, Inc. 709,726
18,966 PACCAR, Inc. 853,470
43,007 Pitney Bowes, Inc. 1,506,105
337 Precision Castparts Corp. 34,401
--------------
3,292,531
--------------
INFORMATION TECHNOLOGY - 4.3%
19,176 Altera Corp. 353,414
70,287 Fidelity National Information Services, Inc. 2,680,746
15,979 Fiserv, Inc. 768,430
37,582 Linear Technology Corp. 1,153,392
53,992 Microchip Technology, Inc. 1,767,158
129,050 Paychex, Inc. 4,421,253
48,292 SanDisk Corp. 1,089,950
126,968 Tellabs, Inc. 691,976
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12,926,319
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MATERIALS - 1.1%
127,500 Bemis Co., Inc. 3,242,325
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TELECOMMUNICATIONS - 2.2%
18,438 CenturyTel, Inc. 612,879
277,728 Citizens Communications Co. 2,913,367
252,018 Windstream Corp. 3,011,615
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6,537,861
--------------
UTILITIES - 0.5%
3,743 Entergy Corp. 408,286
21,763 PPL Corp. 999,357
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1,407,643
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TOTAL SECURITIES SOLD SHORT - 26.8 %
(Proceeds $85,258,417) $ 79,935,103
==============
CONTRACTS
(100 SHARES EXPIRATION EXERCISE
PER CONTRACT) CALL OPTIONS WRITTEN (A) DATE PRICE VALUE
-------------------------------------------------------------------------------------------------
100 AMEX Oil Index April 2008 $ 1,380.00 $ 199,500
825 AMEX Securities Broker/Dealer Index April 2008 175.00 101,063
675 CBOE Gold Index April 2008 200.00 190,687
175 CBOE Oil Index April 2008 810.00 393,750
150 MS Commodity Related Equity April 2008 850.00 360,000
725 Philadelphia Gold & Silver Index April 2008 185.00 264,625
175 S&P 400 Midcap Index April 2008 780.00 299,250
425 S&P 500 Index April 2008 1,315.00 1,377,000
850 S&P 500 Index April 2008 1,350.00 1,283,500
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$ 4,469,375
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TOTAL CALL OPTIONS WRITTEN
(Premiums received $5,683,266)
REIT - Real Estate Investment Trust
(a) Non-income producing security.
(b) All or a portion of these securities are held as collateral for Securities
Sold Short and futures.
Securities are classified by sectors that represent broad groupings of related
industries.
See previously submitted notes to financial statements for the period ended
December 31, 2007.
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Country Allocation*
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United States 98.4%
Cayman Islands 1.2%
Netherlands Antilles 0.2%
Bermuda 0.2%
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* Subject to change daily. Based on total investments.
At March 31, 2008, the following futures contracts were outstanding:
UNREALIZED
NUMBER OF APPRECIATION
LONG CONTRACTS CONTRACTS (DEPRECIATION)
----------------------------------------------------------------------------------------------------------- ----------------
Amsterdam Exchanges Index - April 2008 (Current notional value of 88,370 Euro per contract) 460 $ 3,102,305
CAC 40 10 Year Euro Index - April 2008 (Current notional value of 47,130 Euro per contract) 240 785,819
CBOE Volatility Index - May 2008 (Current notional value of $26,300 per contract) 267 153,525
Dow Jones Euro STOXX 50 - June 2008 (Current notional value of 35,490 Euro per contract) 110 274,890
FTSE 100 Index - June 2008 (Current notional value of 57,085 Pound Sterling per contract) 150 612,493
Hang Seng Stock Index - April 2008 (Current notional value of 1,131,500 Hong Kong dollars
per contract) 50 284,392
S&P/MIB Index - June 2008 (Current notional value of 153,210 Euro per contract) 170 619,790
TOPIX Index - June 2008 (Current notional value of 12,155,000 Japanese Yen per contract) 100 157,423
----------- ----------------
1,547 5,990,637
----------- ----------------
SHORT CONTRACTS
------------------------------------------------------------------------------------------------
IBEX 35 Index - April 2008 (Current notional value of 132,350 Euro per contract) 40 (260,380)
OMXS 30 Index - April 2008 (Current notional value of 93,025 Swedish Krona per contract) 780 (300,702)
S&P 500 - June 2008 (Current notional value of $66,200 per contract) 220 20,350
S&P/TSE 60 Index - June 2008 (Current notional value of 157,160 Canadian dollars per contract) 230 350,596
SPI 200 Index - June 2008 (Current notional value of 134,900 Australian dollars per contract) 500 (2,662,716)
----------- ----------------
1,770 (2,852,852)
----------- ----------------
3,317 $ 3,137,785
=========== ================
All notional values are denominated in local currencies.
At March 31, 2008, the following forward exchange currency contracts were
outstanding:
LOCAL UNREALIZED
CURRENCY APPRECIATION
LONG CONTRACTS VALUE (DEPRECIATION)
------------------------------------------------------- ------------------ ---------------------
Australian Dollar, 70,000,000 expiring 6/18/08 63,226,026 $ (592,974)
Japanese Yen, 2,500,000,000 expiring 6/18/08 25,226,598 730,963
Norwegian Krone, 400,000,000 expiring 6/18/08 78,159,353 1,206,679
Pound Sterling, 25,000,000 expiring 6/18/08 49,383,614 (688,886)
---------------------
655,782
---------------------
SHORT CONTRACTS
-------------------------------------------------------
Canadian Dollar, 34,000,000 expiring 6/18/08 33,083,952 1,176,427
Euro, 45,000,000 expiring 6/18/08 71,054,560 (2,290,510)
Swiss Franc, 55,000,000 expiring 6/18/08 55,607,457 (1,786,143)
---------------------
(2,900,226)
---------------------
$ (2,244,444)
---------------------
In September, 2006, the FASB issued Statement of Financial Accounting Standards
No. 157, "Fair Valuation Measurements" ("FAS 157"). This standard clarifies the
definition of fair value for financial reporting, establishes a framework for
measuring fair value and requires additional disclosures about the use of fair
value measurements. FAS 157 establishes three different categories for
valuations. Level 1 valuations are those based upon quoted prices in active
markets. Level 2 valuations are those based upon quoted prices in inactive
markets or based upon significant observable inputs (i.e. yield curves;
benchmark interest rates; indices). Level 3 valuations are those based upon
unobservable inputs (i.e. discounted cash flow analysis; non-market based
methods used to determine fair valuation).
Valuations at March 31, 2008
Description Securities Derivatives Total
---------------- --------------- -----------------
(value in $000s)
Assets:
Level 1 $ 379,611 $ - $ 379,611
Level 2 - 9,475 9,475
Level 3 - - -
---------------- --------------- -----------------
Total $ 379,611 $ 9,475 $ 389,086
================ =============== =================
Liabilities:
Level 1 $ 79,935 $ 4,469 $ 84,404
Level 2 - 8,582 8,582
Level 3 - - -
---------------- --------------- -----------------
Total $ 79,935 $ 13,051 $ 92,986
================ =============== =================
Level 3 holdings Securities Derivatives Total
-------------- --------------- -----------------
Beginning Balance at 12/31/07 - - -
Total Realized Gain/Loss - - -
Change in Unrealized Gain/Loss - - -
Net Purchases and Sales - - -
Net Transfers In/Out - - -
-------------- --------------- -----------------
Ending Balance at 3/31/08 $ - $ - $ -
============== =============== =================
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, as amended) as of a date within 90 days of the filing date
of this report and have concluded, based on such evaluation, that the
registrant's disclosure controls and procedures were effective, as of
that date, in ensuring that information required to be disclosed by the
registrant in this Form N-Q was recorded, processed, summarized and
reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(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, as amended) that occurred during the registrant's last fiscal
quarter that materially affected or is reasonably likely to materially
affect the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act, as amended (17 CFR 270.30a-2(a)), is 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.
Old Mutual/Claymore Long-Short Fund
By: /s/ J. Thomas Futrell
---------------------------------------
J. Thomas Futrell
Chief Executive Officer
Date: May 30, 2008
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/ J. Thomas Futrell
---------------------------------------
J. Thomas Futrell
Chief Executive Officer
Date: May 30, 2008
By: /s/ Steven M. Hill
---------------------------------------
Steven M. Hill
Treasurer and Chief Financial Officer
Date: May 30, 2008