UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
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: December 31, 2009
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
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. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The registrant's annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940, as amended (the "Investment
Company Act") is as follows:
ANNUAL
REPORT
December 31, 2009 OLD MUTUAL/CLAYMORE LONG-SHORT FUND | OLA
picture: boats on ocean
OLD MUTUAL | ASSET MANAGEMENT
LOGO: Claymore(R)
WWW.CLAYMORE.COM/OLA
... YOUR COURSE TO THE LATEST,
MOST UP-TO-DATE INFORMATION ABOUT THE
OLD MUTUAL/CLAYMORE LONG-SHORT FUND
OLA | Old Mutual/
LISTED | Claymore
NYSE | Long-Short Fund
Logo: OLD MUTUAL | Asset Management
Logo: CLAYMORE(R)
There can be no assurance the Fund will achieve its investment objective.
The value of the Fund will fluctuate with the value of the underlying
securities. Historically, closed-end funds often trade at a discount to
their net asset value.
NOT FDIC INSURED o NOT BANK-GUARANTEED o MAY LOSE VALUE
The shareholder report you are reading right now is just the beginning of the
story. Online at WWW.CLAYMORE.COM/OLA, you will find:
o Daily, weekly and monthly data on share prices, distributions and more
o Portfolio overviews and performance analyses
o Announcements, press releases and special notices
o Fund and adviser contact information
Analytic Investors, LLC and Claymore are continually updating and expanding
shareholder information services on the Fund's website, in an ongoing effort to
provide you with the most current information about how your Fund's assets are
managed, and the results of our efforts. It is just one more way we are working
to keep you better informed about your investment in the Fund.
2 Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund
Dear SHAREHOLDER |
We thank you for your investment in the Old Mutual/Claymore Long-Short Fund
(the "Fund"). This report covers the Fund's performance for the fiscal year
ended December 31, 2009.
The Fund's investment objective is to provide a high level of current income
and gains with a secondary objective of long-term capital appreciation. The
Fund seeks to achieve these objectives by investing in a diversified portfolio
of common stocks and other equity securities utilizing a long/short strategy
and opportunistically employing a strategy of writing (selling) calls on equity
indices and, to a lesser extent, on individual securities held in the Fund's
portfolio.
During part of the period covered by this report, Analytic Investors, Inc.
("Analytic"), the Fund's investment sub-adviser, also pursued a global asset
allocation strategy which sought to generate incremental investment returns
with a low correlation to the rest of the Fund's portfolio by taking long and
short positions in global equity and fixed income markets. Given the high
degree of volatility in the market, and essentially flat performance of the
global asset allocation, the Fund announced on July 20, 2009 that it is
suspending indefinitely its use of this component of the overall investment
strategy. The other elements of the strategy continue in place.
Claymore Advisors, LLC is the investment adviser (the "Adviser") to the Fund.
Claymore entities provided supervision, management or servicing on
approximately $15.2 billion in assets as of December 31, 2009.
The Fund is designed to provide shareholders with the potential to outperform
the S&P 500 Index over full market cycles through its multi-strategy approach
to investing. The Fund's sub-advisor has employed this strategy in other
investment products for both institutional and retail investors. We believe
that this multi-strategy approach has the potential to provide opportunities
unavailable in a more traditional covered call fund.
All Fund returns cited--whether based on net asset value ("NAV") or market
price--assume the reinvestment of all distributions. For the 12 months ended
December 31, 2009, the Fund provided a total return based on market price of
22.85% and a total return based on NAV of 3.51% . As of December 31, 2009, the
Fund's market price of $8.52 per share represented a discount of 9.36% to its
NAV of $9.40 per share. Past performance is not a guarantee of future results.
The market value of the Fund's shares fluctuates from time to time, and it may
be higher or lower than the Fund's NAV. The current discount to NAV may provide
an opportunity for suitable investors to purchase shares of the Fund below the
market value of the securities in the underlying portfolio. We believe that,
over the long term, the progress of the NAV will be reflected in the market
price return to shareholders.
The Fund paid quarterly dividends of $0.40 on March 31, 2009, and $0.24 on June
30, September 30 and December 31, 2009. The most recent dividend represents an
annualized distribution rate of 11.27% based on the Fund's closing market price
of $8.52 on December 31, 2009. Each of the distributions was accompanied by a
letter detailing the expected characterization of the distribution for tax
purposes. These letters are also posted on the Fund's website. There is no
guarantee that the current level of income will be maintained.
On July 17, 2009, Claymore Group Inc., the parent of Claymore Advisors, LLC,
entered into an Agreement and Plan of Merger between and among Claymore Group
Inc., Claymore Holdings, LLC and GuggClay Acquisition, Inc. (with the latter
two entities being wholly-owned, indirect
Annual Report | December 31, 2009 | 3
OLA | Old Mutual/Claymore Long-Short Fund | DEAR SHAREHOLDER continued
subsidiaries of Guggenheim Partners, LLC ("Guggenheim")), whereby GuggClay
Acquisition, Inc. would merge into Claymore Group Inc., which would be the
surviving entity. This transaction was completed on October 14, 2009 (the
"Effective Date") and resulted in a change-of-control whereby Claymore Group
Inc. and its subsidiaries, including the Adviser, became indirect, wholly-owned
subsidiaries of Guggenheim. The transaction has not affected the daily
operations of the Fund or the investment management activities of the Adviser.
Under the Investment Company Act of 1940, as amended, (the "1940 Act"), the
consummation of this transaction resulted in the automatic termination of the
Advisory & Sub-Advisory Agreements. Accordingly, on September 28, 2009, the
Board of Trustees approved an interim investment advisory agreement between the
Fund and the Adviser (the "Interim Advisory Agreement") and an interim
sub-advisory agreement among the Fund, the Adviser and Analytic Investors, LLC
(the "Interim Sub-Advisory Agreement" and together with the Interim Advisory
Agreement, the "Interim Agreements").
On September 28, 2009, the Board of Trustees approved a new investment advisory
agreement between the Fund and the Adviser (the "New Advisory Agreement") and a
new sub-advisory agreement among the Fund, the Adviser and Analytic (the "New
Sub-Advisory Agreement" and together with the New Advisory Agreement, the "New
Agreements") and recommended that the New Agreements be submitted to the
shareholders of the Fund for their approval. The New Agreements, which were
approved by shareholders on February 18, 2010, have an initial term of one
year. Thereafter, the New Agreements will continue in effect only if their
continuance is approved annually by the Board of Trustees. Other than effective
dates, there are no material differences between the terms of the New
Agreements and those of the original Advisory Agreement and Sub-Advisory
Agreement.
Analytic Investors, Inc. is the Fund's investment sub-adviser, responsible for
day-to-day management of the Fund's investments. The firm, established in 1970,
is an affiliate of Old Mutual (US) Holdings Inc., more commonly known as Old
Mutual Asset Management. Analytic specializes in the creation and continuous
management of optioned-equity and optioned-debt portfolios for mutual funds,
foundations, insurance companies, endowments, profit-sharing plans, funds of
hedge funds, and individual investors. As of December 31, 2009, Analytic
managed or supervised approximately $9.3 billion in assets.
We encourage shareholders to consider the opportunity to reinvest their
distributions from the Fund through the Dividend Reinvestment Plan ("DRIP"),
which is described in detail on page 28 of the Fund's annual report. When
shares trade at a discount to NAV, the DRIP takes advantage of the discount by
reinvesting the quarterly dividend distribution in common shares of the Fund
purchased in the market at a price less than NAV. Conversely, when the market
price of the Fund's common shares is at a premium above NAV, the DRIP reinvests
participants' dividends in newly-issued common shares at NAV, subject to an IRS
limitation that the purchase price cannot be more than 5% below the market
price per share. The DRIP provides a cost-effective means to accumulate
additional shares and enjoy the benefits of compounding returns over time.
Since the Fund endeavors to maintain a steady quarterly distribution rate, the
DRIP plan effectively provides an income averaging technique, which causes
shareholders to accumulate a larger number of Fund shares when the market price
is depressed than when the price is higher.
4 Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund | DEAR SHAREHOLDER continued
To learn more about the Fund's performance and investment strategy, we
encourage you to read the Questions & Answers section of the report, which
begins on page 6. You will find information about Analytic's investment
philosophy and discipline, its views on the market environment and how it
structured the Fund's portfolio based on its views.
We appreciate your investment and look forward to serving your investment needs
in the future. For the most up-to-date information on your investment, please
visit the Fund's website at www.claymore.com/ola.
Sincerely,
/s/ J. Thomas Futrell
J. Thomas Futrell
Chief Executive Officer
Old Mutual/Claymore Long-Short Fund
Annual Report | December 31, 2009 | 5
OLA | Old Mutual/Claymore Long-Short Fund
QUESTIONS & ANSWERS |
DENNIS M. BEIN, CFA
CHIEF INVESTMENT OFFICER, PORTFOLIO MANAGER
ANALYTIC INVESTORS, LLC ("ANALYTIC")
As Chief Investment Officer, Dennis Bein oversees the implementation of
Analytic's investment strategies. He is a major contributor to Analytic's
ongoing research efforts as well as to the new product development efforts and
strategy applications. As Portfolio Manager, Bein directs the Old
Mutual/Claymore Long-Short Fund's (the "Fund's") management team on day-to-day
portfolio management and research related to the Fund's equity-based investment
strategies. Bein joined Analytic in 1995 and has worked as an investment
professional since 1990. He is a CFA charter-holder and earned an M.B.A. from
the Anderson Graduate School of Management at the University of California,
Riverside.
The Fund is managed by Analytic Investors, LLC. In the following interview,
Chief Investment Officer and Portfolio Manager Dennis Bein, CFA, explains the
factors that impacted the Fund's performance for the fiscal year ended December
31, 2009.
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BEFORE DISCUSSING PERFORMANCE, PLEASE DESCRIBE THE FUND'S INVESTMENT OBJECTIVE
AND EXPLAIN HOW ANALYTIC'S INVESTMENT STRATEGY SEEKS TO ACHIEVE IT.
The Fund's primary investment objective is to provide a high level of current
income and gains, with a secondary objective of long-term capital appreciation.
The Fund seeks to achieve these objectives by investing in a diversified
portfolio of common stocks and other equity securities.
Analytic utilizes quantitative models to develop an equity portfolio believed
to offer the potential for capital appreciation over time. The portfolio is
constructed with a level of diversification and risk similar to that of the S&P
500 Index, but is designed with the objective of outperforming the index over a
full market cycle by having its long positions invested in the stocks that are
expected to outperform, while selling short the stocks expected to underperform
the long positions. Alternatively, Analytic may underweight securities that are
expected to underperform relative to the weights of these securities in the S&P
500 Index.
The Fund intends to pursue a 130/30 strategy, meaning that it intends to take
long equity positions equal to approximately 130% of the Fund's net assets and
short equity positions of approximately 30% of net assets, although the Fund's
long/short exposure is expected to vary over time based on Analytic's
assessment of market conditions and other factors.
The Fund also opportunistically employs a strategy of writing (selling) call
options on equity indices and, to a lesser extent, on individual securities
held in the Fund's portfolio. The Fund intends to write call options
representing approximately 80% to 90% of its net assets, although the extent of
the Fund's use of written call options is expected to vary over time based on
Analytic's assessment of market conditions and other factors (such that it may
range from 0% to 100% of net assets). The option strategy is designed to
generate gains from option premiums in an attempt to enhance distributions
payable to the Fund's shareholders and to reduce overall portfolio risk.
During part of the period covered by this report, Analytic also pursued a
global asset allocation ("GAA") strategy which sought to generate incremental
investment returns with a low correlation to the rest of the Fund's portfolio
by taking long and short positions in global equity volatility and currency
markets. Given the high degree of volatility in the market and essentially flat
performance of the global asset allocation, the Fund announced on July 20, 2009
that it is suspending indefinitely its use of this component in the overall
investment strategy. The other elements of the strategy continue in place.
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PLEASE EXPAND ON THE SPECIFICS OF YOUR PROCESS.
There are two major components of the strategy that Analytic believes make the
Fund unique among covered call funds.
STOCK SELECTION. Analytic begins by analyzing stock characteristics rather than
focusing on individual stocks as many investment managers do. A quantitative
review is based on sophisticated mathematical models focused on variables that
cover multiple dimensions of a stock's value, such as its valuation, growth
potential, historical return patterns, liquidity and risk. The models identify
characteristics that investors are currently rewarding or punishing by
examining a universe of approximately 3,000 stocks to determine which financial
characteristics are shared by the market's largest gaining or losing stocks.
Stocks possessing favorable characteristics are ranked and become candidates
for the long portfolio. Stocks that possess unfavorable characteristics are
ranked and become candidates for the short portfolio. Ultimately, a portfolio
of at least 75 highly-ranked stocks is combined with short positions of at
least 20 low-ranked stocks. Analytic monitors the portfolio on a real-time
basis utilizing a proprietary management system, which identifies media events
or changes in fundamental factors that are potentially significant for the
portfolio holdings. However, securities are traded only when Analytic believes
the incremental return potential will exceed the associated transaction costs.
OPTIONS OVERLAY. The process used in managing the Fund's option overlay
strategy is unique because Analytic typically does not write (sell) call
options on individual securities held in the Fund's portfolio as a traditional
covered call fund might. The manager's preference is to sell call options on
indices based on strong convictions about the stocks held in the Fund's
portfolio. This strategy helps preserve the upside potential of the Fund's
individual equity holdings, which is considered to be more important
6 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund | QUESTIONS & ANSWERS continued
than giving away the upside potential of the market sectors on which calls have
been written. Analytic believes that giving away market or sector upside
potential in exchange for lower overall volatility and a higher yield, provided
by the call option premiums, benefits the Fund.
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WHAT IS A SHORT SALE?
A short sale is three-step trading strategy that seeks to capitalize on an
anticipated decline in the price of a security. First, arrangements are made to
borrow shares of the security, typically from a broker. Next, the investor will
sell the borrowed shares immediately in the open market with the intention of
buying them back at some point in the future. Finally, to complete the cycle,
at a later date the investor will repurchase the shares (hopefully at a lower
price) and will return them to the lender. In the end, the investor will
receive the difference if the share price falls, but will of course incur a
loss if it rises.
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WHAT IS AN INDEX OPTION?
An index option is a contract which gives the buyer the right to participate in
market gains over and above (in the case of a call) or below (in the case of a
put) a specified price (the strike price) on or before a predetermined date
(the expiration date). After this pre-determined date, the option and its
corresponding rights expire. For example, the seller of an index call option is
obligated, until the expiration date, to pay the holder of the option the
difference between the index price and the option's strike price, upon the
holder's request. The price of the option is determined from trading activity
in the options market and generally reflects the relationship between the
current price for the index and the strike price, as well as the time remaining
until the expiration date.
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PLEASE PROVIDE AN OVERVIEW OF THE MARKET ENVIRONMENT DURING 2009.
The extreme weakness of the equity market at the end of 2008 continued in
January and February. Stocks began to rally in early March, as investors
responded to positive earnings surprises, Federal Reserve ("Fed") stimulus
efforts, and the U.S. Treasury's plan to unload toxic debt. Equities moved up
fairly steadily for the next few months, dropped a bit in October, then rose in
the last two months of the year. Generally positive economic news as the end of
the year approached, along with the Fed's promise to keep interest rates low,
reassured investors that the recession was ending and that the economy would
continue to recover. For the 12 months ended December 31, 2009, the broad
equity market, as measured by the Standard & Poor's 500 Index ("S&P 500"),
returned 26.47% . By the end of the year the S&P 500 was up more than 60% from
the low point reached in March.
In the closing months of a recession, it is typical for stocks with higher risk
or beta (a measure of sensitivity to broad market trends), and lower quality
(as measured by return on equity) to perform better than lower risk, higher
quality issues, and this was the case during the period from the market's low
point in March through September. Beginning in October, a more normal pattern
returned, with better performance by lower risk, higher quality stocks.
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HOW DID THE FUND PERFORM DURING 2009?
All Fund returns cited--whether based on net asset value ("NAV") or market
price--assume the reinvestment of all distributions. For the 12 months ended
December 31, 2009, the Fund provided a total return based on market price of
22.85% and a total return based on NAV of 3.51% . For comparison, the S&P 500
Index returned 26.47% for the calendar year 2009. As of December 31, 2009, the
Fund's market price of $8.52 per share represented a discount of 9.36% to its
NAV of $9.40 per share. Past performance is not a guarantee of future results.
The market value and NAV of the Fund's shares fluctuate from time to time, and
the Fund's market value may be higher or lower than its NAV. The current
discount to NAV may provide an opportunity for suitable investors to purchase
shares of the Fund below the market value of the securities in the underlying
portfolio. The Adviser believes that, over the long term, the progress of the
NAV will be reflected in the market price return to shareholders.
The Fund paid quarterly dividends of $0.40 on March 31, 2009, and $0.24 on June
30, September 30 and December 31, 2009. The most recent dividend represents an
annualized distribution rate of 11.27% based on the Fund's closing market price
of $8.52 on December 31, 2009. Each of the distributions was accompanied by a
letter detailing the expected characterization of the distribution for tax
purposes. (These letters are also posted on the Fund's website.)
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PLEASE EXPLAIN THE CHARACTERISTICS FAVORED BY ANALYTIC'S QUANTITATIVE MODEL
DURING 2009.
Analytic's process is based on the fundamental belief that there is persistency
in the types of stock characteristics investors prefer and it believes that
portfolios that reflect these biases will add value in the long run. During
2009, Analytic's investment process favored quality and efficiency
characteristics and certain valuation metrics. While the process was generally
able to add value in the beginning and end of the year, the process struggled
in the middle of the year as characteristic payoffs rapidly reversed during the
junk rally which favored stocks with high betas and lower quality. (Beta is a
measure of sensitivity to overall market trends.) With
Annual Report | December 31, 2009 | 7
OLA | Old Mutual/Claymore Long-Short Fund | QUESTIONS & ANSWERS continued
riskier assets being rewarded, higher quality companies dramatically lagged the
market and their lower quality peers.
Specifically, interest coverage, return on equity and profit margin were a few
of the quality and efficiency characteristics favored by Analytic's investment
process. In addition, the process underweighted certain risk characteristics,
such as companies with above average leverage (ratio of debt to equity), which
negatively impacted performance during the junk rally. Leverage, a long time
negative exposure in the model, delivered three straight months of positive
returns in the third quarter and as a result negatively impacted performance.
Although this positioning negatively impacted the Fund for 2009, it proved
beneficial in the fourth quarter as investors' appetite for risk diminished and
quality oriented factors had positive payoffs. This reinforces Analytic's
belief that investors will slowly migrate away from the riskier characteristics
that drove the rally during much of 2009 and towards efficiency and valuation
measures.
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WHICH DECISIONS REGARDING THE COMMON EQUITY PORTFOLIO HAD THE GREATEST POSITIVE
IMPACT ON PERFORMANCE?
Among the best performing stocks for this portion of the Fund was a long
position in Corning Incorporated (2.0% of total common stocks and securities
sold short), as the specialty glass and ceramics maker, whose largest business
is liquid crystal display sales, announced that it expected to turn a profit
due to an increase in glass orders early in the period. A long position in
AmerisourceBergen Corp. (1.6% of total common stocks and securities sold short)
also contributed to performance as the drug distributor announced a
near-double-digit rise in sales in the fourth quarter of 2009, which is
expected to result in a sharp increase in income for the quarter. Another
notable long position that added value was Texas Instruments Inc. (1.9% of
total common stocks and securities sold short), a Dallas-based
developer/manufacturer of semiconductor and computer technology. Its shares
rallied several times during the year, both following the announcement that it
will expand its microcontroller unit (MCU) portfolio with the acquisition of
Luminary Micro, Inc. (not held in the portfolio at period end), the supplier of
a distinctive type of MCUs, and also after updating its guidance on revenue and
earnings several times during the year.
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WHICH DECISIONS REGARDING THE EQUITY PORTFOLIO HURT PERFORMANCE?
A major detractor from performance was a short position in Apple Inc. (not held
in the portfolio at period end). During the year the computer and consumer
electronic manufacturer and designer reported strong results and, along with
Vodafone Group Plc, confirmed that an agreement had been reached to bring the
iPhone 3G and iPhone 3GS to the United Kingdom and Ireland in early 2010. A
short position in Freeport-McMoRan Copper & Gold Inc. (not held in the
portfolio at period end) detracted from Fund performance during the period.
During the period the international mining company reported a cash dividend,
$1.6875 per share, on the company's 6.75% mandatory convertible preferred
stock. In addition the company announced a cash dividend of $13.75 per share on
its 5.5% convertible perpetual preferred stock. A short position in Google Inc.
(not held in the portfolio at period end) also detracted from performance.
Despite announcing layoffs early in year, during the period the internet search
specialist announced that it had partnered with T-Mobile USA, Inc., a
subsidiary of Deutsche Telekom (not held in the portfolio at period end) to
create the T-Mobile myTouch 3G, which includes one-touch access to Google
mobile services. Google also announced that it was in the process of developing
a new operating system for laptop computers ("netbooks"), which it intends to
run through its web browser, Google Chrome.
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WHAT WAS THE IMPACT ON PERFORMANCE OF THE OPTIONS AND GLOBAL ASSET ALLOCATION
PROGRAMS?
Options detracted from performance during 2009, as equity markets continued to
move higher. Options written on the S&P 500 Index posted positive returns. In
addition, options sold on certain sectors, such as water and oil and gas,
contributed to performance, as these sectors underperformed during the period.
Options written on the S&P 100 Index detracted significantly from performance.
Also, certain sector options underperformed, such as call options written on
cyclical and banking sectors, as these sectors moved higher during the period.
In July 2009, the Board approved the Adviser's recommendation to suspend
indefinitely the GAA component of the Fund's strategy. From January through
July 2009, GAA posted essentially flat returns, as positive returns in the
equity and currency components were offset by negative returns in the tactical
asset allocation and tactical volatility ("VIX") components. In the equity
component, long positions in the Spanish and UK markets outperformed short
positions in the Canadian and French markets. In the currency component, long
positions in the Australian dollar and Japanese yen outperformed short
positions in the Canadian dollar and the euro. Finally, a long position in VIX
(a popular measure of the implied volatility of S&P 500 index options)
detracted from performance as equity markets posted strong gains and volatility
decreased.
8 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund | QUESTIONS & ANSWERS continued
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WHAT IS THE OUTLOOK FOR THE MONTHS AHEAD, AND HOW IS THE FUND POSITIONED FOR
THAT OUTLOOK?
In anticipation of moderate economic growth and a likely market trend toward
higher quality issues, Analytic intends to emphasize stocks with attractive
historical earnings to price and cash flow to price ratios. Analytic also
intends to focus on select companies with above average profit margins, while
de-emphasizing companies with higher than average financial leverage. Analytic
further anticipates continuing to seek to emphasize companies with above
average predicted earnings to price ratios, while moving away from companies
with above average analyst dispersion.
Analytic believes that the Fund's structure and strategy have the potential to
provide attractive returns in a wide variety of market conditions.
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INDEX DEFINITIONS
Indices are unmanaged, reflect no expenses and it is not possible to invest
directly in an index.
The S&P 500 is an unmanaged, capitalization-weighted index of 500 stocks. The
index is designed to measure performance of the broad domestic economy through
changes in the aggregate market value of 500 stocks representing all major
industries.
The S&P 100, a subset of the S&P 500, is comprised of 100 leading U.S. stocks
with exchange-listed options. Constituents of the S&P 100 are selected for
sector balance and represent about 57% of the market capitalization of the S&P
500 and almost 45% of the market capitalization of the U.S. equity markets. The
stocks in the S&P 100 tend to be the largest and most established companies in
the S&P 500.
The VIX-CBOE Volatility Index is widely known as the VIX Index. VIX is the
ticker symbol for the Chicago Board Options Exchange (CBOE) Volatility Index,
which shows the market's expectation of 30-day volatility. It is constructed
using the implied volatilities of a wide range of S&P 500 index options. This
volatility is meant to be forward looking and is calculated from both calls and
puts. The VIX is a widely used measure of market risk and is often referred to
as the "investor fear gauge."
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OLA RISKS AND OTHER CONSIDERATIONS
The views expressed in this report reflect those of the portfolio manager only
through the report period as stated on the cover. These views are subject to
change at any time, based on market and other conditions and should not be
construed as a recommendation of any kind. The material may also include
forward looking statements that involve risk and uncertainty, and there is no
guarantee that any predictions will come to pass. There can be no assurance
that the Fund will achieve its investment objectives. The value of the Fund
will fluctuate with the value of the underlying securities. Historically,
closed-end funds often trade at a discount to their net asset value.
As with any stock, the price of the Fund's common shares will fluctuate with
market conditions and other factors. Shares of closed-end management investment
companies frequently trade at a discount from their net asset value. If you sell
your common shares, you may receive more or less than your original investment.
The common shares are designed for long-term investors and should not be treated
as a vehicle for trading.
The Fund will ordinarily have substantial exposure (both long and short) to
common stocks and other equity securities in pursuing its investment objectives
and policies. The market price of common stocks and other equity securities in
which the Fund invests may go up or down, sometimes rapidly or unpredictably.
Equity securities may decline in value due to factors affecting equity
securities markets generally, particular industries represented in those
markets or the issuer itself.
The Fund makes substantial use of short sales for investment and risk
management purposes, including when Analytic anticipates that the market price
of securities will decline or will under-perform relative to other securities
held in the Fund's portfolio. The Fund intends to take short equity positions
in an amount equal to approximately 30% of the Fund's net assets at the time of
sale, but reserves the flexibility to hold short positions of up 70% of net
assets. Short sales are transactions in which the Fund sells a security or
other instrument (such as an option, forward, futures or other derivative
contract) that it does not own. When the Fund engages in a short sale on a
security, it must borrow the security sold short and deliver it to the
counterparty. The Fund will ordinarily have to pay a fee or premium to borrow
particular securities and be obligated to repay the lender of the security any
dividends or interest that accrue on the security during the period of the
loan. The amount of any gain from a short sale will be decreased, and the
amount of any loss increased, by the amount of the premium, dividends, interest
or expenses the Fund pays in connection with the short sale. Short sales expose
the Fund to the risk that it will be required to cover its short position at a
time when the securities have appreciated in value, thus resulting in a
potentially unlimited loss to the Fund.
Under normal conditions, the distributions shareholders receive from the Fund
are based primarily on the dividends it earns from its equity investments as
well as the gains the Fund receives from writing options and using other
derivative instruments, closing out short sales and selling portfolio
securities, each of which can vary widely over the short and long term. In
2009, 100% of the Fund's distributions were reported as nontaxable (i.e. return
of capital).The dividend income from the Fund's investments in equity
securities will be influenced by both general economic activity and
issuer-specific factors. In the event of a recession or adverse events
affecting a specific industry or issuer, an issuer of equity securities held by
the Fund may reduce the dividends paid on such securities. If prevailing market
interest rates decline, interest rates on any debt instruments held by the
Fund, and shareholders' income from the Fund, would likely decline as well.
There are various risks associated with the Option Strategy. The purchaser of
an index option written by the Fund has the right to any appreciation in the
cash value of the index over the strike price on the expiration date.
Therefore, as the writer of an index call option; the Fund forgoes the
opportunity to profit from increases in the index over the strike price of the
option. However, the Fund has retained the risk of loss (net of premiums
received) should the price of the Fund's portfolio securities decline.
Similarly, as the writer of a call option on an individual security held in the
Fund's portfolio, the Fund forgoes, during the option's life, the opportunity
to profit from increases in the market value of the security covering the call
option above the sum of the premium and the strike price of the call but has
retained the risk of loss (net of premiums received) should the price of the
underlying security decline. The value of options written by the Fund, which
will be priced daily, will be affected by, among other factors, changes in the
value
Annual Report | December 31, 2009 | 9
OLA | Old Mutual/Claymore Long-Short Fund | QUESTIONS & ANSWERS continued
of underlying securities (including those comprising an index), changes in the
dividend rates of underlying securities, changes in interest rates, changes in
the actual or perceived volatility of the stock market and underlying
securities and the remaining time to an option's expiration. The value of an
option also may be adversely affected if the market for the option is reduced
or becomes less liquid.
An investment in the Fund is subject to certain risks and other considerations,
including, but not limited to: Equity Risk; Short Sale Risk; Options Risk,
Management Risk; Tax Treatment of Distributions; Derivatives Risk; Counterparty
Risk; Credit Risk; Income Risk; Medium- and Smaller-Company Risk; Focused
Investment Risk; Interest Rate Risk; Liquidity Risk; Market Disruption and
Geopolitical Risk; Leverage Risk; Foreign Investment Risk; Other Investment
Companies Risk; and Inflation/Deflation Risk.
10 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund
Fund SUMMARY | AS OF DECEMBER 31, 2009 (unaudited)
FUND STATISTICS
--------------------------------------------------------------------------------
Share Price $8.52
Common Share Net Asset Value $9.40
Premium/(Discount) to NAV -9.36%
Net Assets ($000) $178,680
--------------------------------------------------------------------------------
TOTAL RETURNS
--------------------------------------------------------------------------------
(INCEPTION 8/25/05) MARKET NAV
--------------------------------------------------------------------------------
One Year 22.85% 3.51%
Three Year - average annual -12.23% -11.68%
Since Inception - average annual -8.09% -6.19%
--------------------------------------------------------------------------------
SECTOR BREAKDOWN %*
--------------------------------------------------------------------------------
Information Technology 18.9%
Health Care 18.1%
Financials 17.1%
Energy 15.6%
Consumer Discretionary 9.5%
Industrials 8.0%
Consumer Staples 6.0%
Telecommunications 2.9%
Utilities 2.1%
Materials 1.8%
--------------------------------------------------------------------------------
* % of long-term investments and securities sold short
Securities are classified by sectors that represent broad groupings of
related industries.
TOP TEN % OF NET
LONG-TERM COMMON STOCKS ASSETS
--------------------------------------------------------------------------------
Microsoft Corp. 5.3%
International Business Machines Corp. 4.7%
Chevron Corp. 4.4%
Comcast Corp. - Class A 3.3%
American Express Co. 3.3%
Corning, Inc. 3.2%
Amgen, Inc. 3.2%
T Rowe Price Group, Inc. 3.1%
Biogen Idec, Inc. 3.1%
Texas Instruments, Inc. 3.0%
--------------------------------------------------------------------------------
% OF NET
TOP FIVE SECURITIES SOLD SHORT ASSETS
--------------------------------------------------------------------------------
King Pharmaceuticals, Inc. 1.9%
Vertex Pharmaceuticals, Inc. 1.8%
Range Resources Corp. 1.6%
Hologic, Inc. 1.4%
Cypress Semiconductor Corp. 1.1%
--------------------------------------------------------------------------------
Past performance does not guarantee future results. All portfolio data is
subject to change daily. For more current information, please visit
www.claymore.com/ola. The above summaries are provided for informational
purposes only and should not be viewed as recommendations.
Line Chart:
SHARE PRICE & NAV PERFORMANCE
Share Price NAV
12/31/2008 7.98 10.24
8.36 10.34
8.45 10.3
8.68 10.46
8.55 10.35
8.62 10.43
8.67 10.39
8.6 10.21
8.61 10.21
8.27 9.94
8.08 10.02
8.28 10.12
7.95 9.7
8.16 9.97
8.17 9.91
8.2 9.89
8.24 9.98
8.37 10.07
8.52 10.29
8.35 10.03
8.32 9.97
8.41 9.98
8.65 10.14
8.5 10.11
8.52 10.14
8.69 10.25
8.59 10.37
8.36 10.07
8.36 10.03
8.27 10.07
8.2 10.03
7.85 9.65
7.75 9.68
7.69 9.63
7.49 9.49
7.14 9.26
7.5 9.43
7.57 9.3
7.41 9.23
7.27 9.13
6.66 8.8
6.68 8.84
6.96 9.04
6.54 8.65
6.45 8.64
6.35 8.6
6.71 8.95
6.5 8.53
6.82 8.71
6.86 8.75
6.91 8.79
7.1 8.85
7.14 8.7
7.03 8.9
7.01 8.76
7.42 9.02
7.18 9.01
7.3 8.98
7.4 9.07
7.31 9.04
7.08 8.93
7.33 9.03
7.45 9.08
7.6 9.22
7.59 9.17
7.47 9.26
7.5 9.22
7.54 9.32
7.71 9.23
7.66 9.09
7.41 9.18
7.43 9.12
7.54 9.13
7.54 9.08
7.26 9.11
7.43 9.18
7.49 9.17
7.69 9.22
7.65 9.17
7.45 9.23
7.57 9.22
7.7 9.29
7.72 9.28
7.75 9.29
7.93 9.18
7.76 9.24
7.82 9.2
7.69 9.24
7.82 9.12
7.51 9.13
7.6 9.3
7.53 9.25
7.5 9.31
7.44 9.25
7.63 9.42
7.79 9.41
7.77 9.44
7.6 9.36
7.69 9.39
7.8 9.46
7.75 9.41
7.76 9.44
7.92 9.47
8.12 9.59
8.11 9.51
7.93 9.45
7.95 9.45
7.93 9.49
7.81 9.49
7.89 9.56
7.91 9.56
7.79 9.37
7.73 9.41
7.68 9.29
7.56 9.25
7.54 9.29
7.55 9.32
7.53 9.35
7.43 9.13
7.42 9.18
7.54 9.23
7.73 9.31
7.68 9.33
7.73 9.37
7.66 9.35
7.73 9.36
7.63 9.15
7.54 9.24
7.53 9.12
7.48 9.14
7.53 9.16
7.48 9.09
7.61 9.23
7.66 9.24
7.82 9.31
7.8 9.3
7.78 9.32
7.85 9.34
7.78 9.36
7.78 9.39
7.93 9.43
7.86 9.39
7.81 9.39
7.7 9.41
7.66 9.38
7.82 9.39
7.87 9.35
7.88 9.34
7.91 9.28
7.82 9.21
7.8 9.25
7.88 9.18
7.85 9.18
7.69 9.14
7.68 9.16
7.72 9.13
7.7 9.12
7.64 9.03
7.72 9.08
7.67 9.11
7.7 9.16
7.83 9.25
7.81 9.19
7.9 9.21
7.86 9.21
7.84 9.22
7.83 9.22
7.74 9.18
7.67 9.12
7.7 9.13
7.74 9.18
7.78 9.26
8.01 9.3
8.11 9.32
8.11 9.33
7.88 9.09
7.84 9.1
7.84 9.08
7.94 9.05
7.8 9.01
7.88 9.06
7.86 9.04
7.86 9.06
7.83 9.04
7.73 8.98
7.73 8.95
7.82 9.04
7.77 9.04
7.77 9.03
7.79 8.88
7.68 8.82
7.75 8.91
7.78 9
7.79 9
7.83 9.02
7.87 9.09
7.91 9.1
7.89 9.09
7.99 9.14
7.97 9.16
7.95 9.15
7.94 9.23
8.04 9.21
8.02 9.19
7.97 9.24
7.95 9.23
7.97 9.18
8 9.18
7.94 9.07
7.95 9.17
7.64 9
7.77 9.07
7.79 9.06
7.87 9.06
7.95 9.19
7.94 9.19
7.99 9.29
8.05 9.28
8.12 9.3
8.09 9.28
8.14 9.33
8.15 9.4
8.19 9.41
8.14 9.41
8.15 9.33
8.1 9.34
8.22 9.43
8.23 9.42
8.28 9.44
8.2 9.35
8.13 9.39
8.32 9.44
8.36 9.46
8.28 9.43
8.31 9.45
8.35 9.51
8.3 9.47
8.35 9.49
8.41 9.54
8.19 9.33
8.24 9.34
8.17 9.34
8.23 9.35
8.23 9.27
8.19 9.32
8.34 9.38
8.38 9.4
8.36 9.42
8.65 9.44
8.48 9.46
8.46 9.47
8.53 9.47
12/31/2009 8.52 9.4
Bar Chart:
DISTRIBUTIONS TO SHAREHOLDERS
Mar 09 0.4
Jun 09 0.24
Sep 09 0.24
Dec 09 0.24
% OF NET
FUND BREAKDOWN ASSETS
--------------------------------------------------------------------------------
Long-Term Investments 129.5%
Short-Term Investments 4.4%
--------------------------------------------------------------------------------
Total Investments 133.9%
Securities Sold Short -30.2%
Total Value of Options Written -2.0%
Liabilities in excess of Other Assets -1.7%
--------------------------------------------------------------------------------
Total Net Assets 100.0%
--------------------------------------------------------------------------------
Annual Report | December 31, 2009 | 11
OLA | Old Mutual/Claymore Long-Short Fund
Portfolio of INVESTMENTS | DECEMBER 31, 2009
NUMBER
OF SHARES VALUE
------------------------------------------------------------------------------
LONG-TERM INVESTMENTS -- 129.5%
CONSUMER DISCRETIONARY -- 12.6%
21,563 Aaron's, Inc. (a) $ 597,942
2,755 Aeropostale, Inc. (b) 93,808
10,251 Amazon.com, Inc. (a) (b) 1,378,965
17,648 Autoliv, Inc. (Sweden) 765,217
19,881 Barnes & Noble, Inc. 379,131
39,839 Big Lots, Inc. (b) 1,154,534
1,099 Black & Decker Corp. 71,248
1,639 Brinker International, Inc. 24,454
22,375 Career Education Corp. (a) (b) 521,561
19,566 CBS Corp. -- Class B 274,902
349,757 Comcast Corp. -- Class A (c) 5,896,903
94,532 DISH Network Corp. -- Class A (a) 1,963,430
483,302 Ford Motor Co. (b) (c) 4,833,020
13,970 Genuine Parts Co. (c) 530,301
84,775 Las Vegas Sands Corp. (b) 1,266,538
42,905 New York Times Co. -- Class A (b) 530,306
2,307 RadioShack Corp. 44,986
63,759 Starbucks Corp. (b) (c) 1,470,283
5,168 Whirlpool Corp. 416,851
17,371 Williams-Sonoma, Inc. 360,969
------------------------------------------------------------------------------
22,575,349
------------------------------------------------------------------------------
CONSUMER STAPLES -- 9.7%
6,218 Dean Foods Co. (b) 112,173
13,405 Estee Lauder Cos., Inc. -- Class A (a) 648,266
2,876 Pepsi Bottling Group, Inc. 107,850
107,694 Philip Morris International, Inc. (c) 5,189,774
240,442 Sara Lee Corp. (c) 2,928,583
181,437 SYSCO Corp. (c) 5,069,350
131,632 Tyson Foods, Inc. -- Class A (c) 1,615,125
42,506 Walgreen Co. (c) 1,560,820
------------------------------------------------------------------------------
17,231,941
------------------------------------------------------------------------------
ENERGY -- 18.4%
5,554 BJ Services Co. 103,305
103,193 Chevron Corp. (c) 7,944,829
13,655 Concho Resources, Inc. (b) 613,110
88,039 ConocoPhillips (a) 4,496,152
55,065 Exxon Mobil Corp. (c) 3,754,882
9,991 Helmerich & Payne, Inc. 398,441
83,714 Hess Corp. (a) 5,064,697
1,620 Marathon Oil Corp. (c) 50,576
NUMBER
OF SHARES VALUE
------------------------------------------------------------------------------
ENERGY (CONTINUED)
62,780 Murphy Oil Corp. (c) $ 3,402,676
38,952 Occidental Petroleum Corp. (c) 3,168,745
11,645 Patterson-UTI Energy, Inc. 178,751
44,173 Whiting Petroleum Corp. (a) (b) 3,156,161
10,708 XTO Energy, Inc. 498,243
------------------------------------------------------------------------------
32,830,568
------------------------------------------------------------------------------
FINANCIALS -- 21.1%
144,497 American Express Co. (c) 5,855,018
62,544 Bank of America Corp. (c) 941,913
23,720 Bank of Hawaii Corp. (c) 1,116,263
15,286 BB&T Corp. 387,806
18,672 BlackRock, Inc. (a) 4,335,638
12,509 BOK Financial Corp. 594,428
276,382 Chimera Investment Corp. (a) 1,072,362
10,448 Cullen/Frost Bankers, Inc. (c) 522,400
218,707 Discover Financial Services (c) 3,217,180
1,300 Eaton Vance Corp. 39,533
10,086 Endurance Specialty Holdings Ltd. (Bermuda) 375,502
98,880 Hudson City Bancorp, Inc. (c) 1,357,622
25,145 Invesco Ltd. (Bermuda) 590,656
17,322 JPMorgan Chase & Co. 721,808
20,825 M&T Bank Corp. (a) 1,392,984
65,816 Moody's Corp. (a) 1,763,869
168,261 New York Community Bancorp, Inc. 2,441,467
7,323 PartnerRe Ltd. (Bermuda) 546,735
1,421 PNC Financial Services Group, Inc. 75,015
105,416 T Rowe Price Group, Inc. (a) 5,613,402
24,547 Torchmark Corp. (c) 1,078,841
164,779 US Bancorp. (c) 3,709,175
------------------------------------------------------------------------------
37,749,617
------------------------------------------------------------------------------
HEALTH CARE -- 21.4%
172,387 AmerisourceBergen Corp. (c) 4,494,129
101,409 Amgen, Inc. (b) (c) 5,736,707
712 Beckman Coulter, Inc. 46,593
103,580 Biogen Idec, Inc. (a) (b) 5,541,530
166,668 Cardinal Health, Inc. (c) 5,373,376
8,339 Cephalon, Inc. (b) 520,437
3,396 Community Health Systems, Inc. (b) 120,898
6,761 Cooper Cos., Inc. 257,729
23,630 Coventry Health Care, Inc. (b) (c) 573,973
37,385 Gilead Sciences, Inc. (b) (c) 1,618,023
See notes to financial statements.
12 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund | PORTFOLIO OF INVESTMENTS continued
NUMBER
OF SHARES VALUE
------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
15,855 Hill-Rom Holdings, Inc. $ 380,362
3,330 IMS Health, Inc. 70,130
37,957 Johnson & Johnson (a) 2,444,810
86,820 McKesson Corp. (a) 5,426,250
1,400 Millipore Corp. (b) 101,290
7,238 OSI Pharmaceuticals, Inc. (b) 224,595
145,404 Pfizer, Inc. (c) 2,644,899
15,549 Stryker Corp. 783,203
180,649 Tenet Healthcare Corp. (b) 973,698
14,631 Zimmer Holdings, Inc. (a) (b) 864,838
------------------------------------------------------------------------------
38,197,470
------------------------------------------------------------------------------
INDUSTRIALS -- 10.1%
11,251 AGCO Corp. (a) (b) 363,857
12,821 Avery Dennison Corp. (a) 467,838
4,778 Burlington Northern Santa Fe Corp. 471,207
7,632 Crane Co. 233,692
4,765 FedEx Corp. 397,639
64,485 Fluor Corp. (a) 2,904,405
37,054 General Dynamics Corp. (c) 2,525,971
53,986 Illinois Tool Works, Inc. (c) 2,590,788
4,027 Joy Global, Inc. 207,753
64,890 KBR, Inc. (a) 1,232,910
25,520 Lockheed Martin Corp. (a) 1,922,932
13,665 Navistar International Corp. (b) 528,152
208,145 Southwest Airlines Co. 2,379,097
3,716 Thomas & Betts Corp. (b) 132,996
24,485 United Technologies Corp. 1,699,504
------------------------------------------------------------------------------
18,058,741
------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 25.8%
1,765 Affiliated Computer Services, Inc. -- Class A (b) 105,353
19,020 Analog Devices, Inc. 600,652
283 Apple, Inc. (b) 59,673
1,242 Cognizant Technology Solutions Corp. -- Class A (b) 56,263
913 Computer Sciences Corp. (b) 52,525
299,717 Corning, Inc. (c) 5,787,535
119,009 Dell, Inc. (b) 1,708,969
46,719 eBay, Inc. (a) (b) 1,099,765
15,182 Harris Corp. 721,904
25,905 IAC/InterActiveCorp. (b) 530,534
107,848 Ingram Micro, Inc. -- Class A (a) (b) 1,881,948
NUMBER
OF SHARES VALUE
------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
167,760 Intel Corp. (c) $ 3,422,304
64,203 International Business Machines Corp. (c) 8,404,173
45,650 Jabil Circuit, Inc. 792,940
5,608 Lexmark International, Inc. -- Class A (b) 145,696
33,717 Microchip Technology, Inc. 979,816
313,306 Microsoft Corp. (a) 9,552,700
30,789 Molex, Inc. 663,503
286,901 Motorola, Inc. (b) (c) 2,226,352
13,587 Sun Microsystems, Inc. (b) 127,310
28,373 Tech Data Corp. (a) (b) 1,323,884
208,516 Texas Instruments, Inc. (c) 5,433,927
15,859 Xerox Corp. 134,167
13,647 Xilinx, Inc. 341,994
------------------------------------------------------------------------------
46,153,887
------------------------------------------------------------------------------
MATERIALS -- 2.7%
9,014 Cabot Corp. (c) 236,437
1,019 CF Industries Holdings, Inc. 92,505
36,199 Cliffs Natural Resources, Inc. (a) 1,668,412
9,701 Eastman Chemical Co. 584,388
173,990 Huntsman Corp. (a) 1,964,347
1,403 Newmont Mining Corp. 66,376
800 Reliance Steel & Aluminum Co. 34,576
7,094 Sealed Air Corp. 155,075
------------------------------------------------------------------------------
4,802,116
------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 4.4%
140,822 AT&T, Inc. (c) 3,947,241
41,164 NII Holdings, Inc. (a) (b) 1,382,287
609,738 Sprint Nextel Corp. (b) 2,231,641
6,956 United States Cellular Corp. (b) 295,004
------------------------------------------------------------------------------
7,856,173
------------------------------------------------------------------------------
UTILITIES -- 3.3%
7,241 DTE Energy Co. 315,635
32,793 Energen Corp. (a) 1,534,712
57,544 FirstEnergy Corp. (a) 2,672,919
4,668 Mirant Corp. (b) 71,280
40,147 PPL Corp. (a) 1,297,150
------------------------------------------------------------------------------
5,891,696
------------------------------------------------------------------------------
TOTAL LONG-TERM INVESTMENTS -- 129.5%
(Cost $226,655,044) 231,347,558
------------------------------------------------------------------------------
See notes to financial statements.
Annual Report | December 31, 2009 | 13
OLA | Old Mutual/Claymore Long-Short Fund | PORTFOLIO OF INVESTMENTS continued
NUMBER
OF SHARES VALUE
------------------------------------------------------------------------------
MONEY MARKET FUNDS -- 4.4%
7,840,108 Dreyfus Institutional Reserve Money Market Fund
(Cost $7,840,108) $ 7,840,108
------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 133.9%
(Cost $234,495,152) 239,187,666
Securities Sold Short -- (30.2%)
(Proceeds $44,670,095) (53,886,677)
Total Value of Options Written
(Premiums received $4,083,226) -- (2.0%) (3,545,738)
Liabilities in excess of Other Assets -- (1.7%) (3,074,891)
------------------------------------------------------------------------------
NET ASSETS -- 100.0% $178,680,360
------------------------------------------------------------------------------
SECURITIES SOLD SHORT -- 30.2%
COMMON STOCKS -- 29.5%
CONSUMER DISCRETIONARY -- 1.8%
2,700 Brink's Home Security Holdings, Inc. 88,128
5,884 Burger King Holdings, Inc. 110,737
31,768 Central European Media Enterprises Ltd. --
Class A (Bermuda) 750,042
12,136 Clear Channel Outdoor Holdings, Inc. -- Class A 126,093
84,287 Goodyear Tire & Rubber Co. 1,188,447
6,590 Penn National Gaming, Inc. 179,116
27,292 Weight Watchers International, Inc. 795,835
------------------------------------------------------------------------------
3,238,398
------------------------------------------------------------------------------
ENERGY -- 6.5%
5,398 Chesapeake Energy Corp. 139,700
40,963 Comstock Resources, Inc. 1,661,869
175,952 El Paso Corp. 1,729,608
12,995 EXCO Resources, Inc. 275,884
40,343 Exterran Holdings, Inc. 865,357
41,811 Forest Oil Corp. 930,295
13,187 Newfield Exploration Co. 636,009
52,742 Plains Exploration & Production Co. 1,458,844
57,552 Range Resources Corp. 2,868,967
29,070 SandRidge Energy, Inc. 274,130
19,458 Teekay Corp. (Marshall Islands) 451,620
18,957 Valero Energy Corp. 317,530
------------------------------------------------------------------------------
11,609,813
------------------------------------------------------------------------------
FINANCIALS -- 6.2%
1,676 AMB Property Corp. -- REIT 42,822
3,120 American National Insurance Co. 372,653
3,667 AON Corp. 140,593
3,939 Apartment Investment & Management Co. --
Class A -- REIT 62,709
6,927 Camden Property Trust -- REIT 293,497
3,141 Capitol Federal Financial 98,816
15,370 Comerica, Inc. 454,491
NUMBER
OF SHARES VALUE
------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
59,349 Fifth Third Bancorp $ 578,653
67,681 First Horizon National Corp. 906,925
116,751 Genworth Financial, Inc. -- Class A 1,325,124
68,679 GLG Partners, Inc. 221,146
19,497 Hartford Financial Services Group, Inc. 453,500
21,805 Interactive Brokers Group, Inc. -- Class A 386,385
14,719 Jefferies Group, Inc. 349,282
11,351 Legg Mason, Inc. 342,346
15,185 Leucadia National Corp. 361,251
10,654 Loews Corp. 387,273
3,086 Markel Corp. 1,049,240
64,265 Old Republic International Corp. 645,221
2,122 OneBeacon Insurance Group Ltd. -- Class A (Bermuda) 29,241
111,625 ProLogis -- REIT 1,528,146
55,961 SLM Corp. 630,680
36,742 Synovus Financial Corp. 75,321
32,063 TFS Financial Corp. 389,245
------------------------------------------------------------------------------
11,124,560
------------------------------------------------------------------------------
HEALTH CARE -- 7.5%
21,991 BioMarin Pharmaceutical, Inc. 413,651
65,875 Dendreon Corp. 1,731,195
170,177 Hologic, Inc. 2,467,566
281,193 King Pharmaceuticals, Inc. 3,450,238
14,294 Perrigo Co. 569,473
28,968 United Therapeutics Corp. 1,525,165
76,027 Vertex Pharmaceuticals, Inc. 3,257,757
------------------------------------------------------------------------------
13,415,045
------------------------------------------------------------------------------
INDUSTRIALS -- 2.6%
62,474 AMR Corp. 482,924
42,559 BE Aerospace, Inc. 1,000,136
73,395 Manitowoc Co., Inc. 731,748
31,485 PACCAR, Inc. 1,141,961
26,671 TransDigm Group, Inc. 1,266,606
------------------------------------------------------------------------------
4,623,375
------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 4.4%
3,992 AOL, Inc. 92,934
124,881 Ciena Corp. 1,353,710
185,389 Cypress Semiconductor Corp. 1,957,708
3,795 EchoStar Corp. -- Class A 76,431
12,263 Itron, Inc. 828,611
17,695 MEMC Electronic Materials, Inc. 241,006
44,530 Nuance Communications, Inc. 691,996
See notes to financial statements.
14 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund | PORTFOLIO OF INVESTMENTS continued
NUMBER
OF SHARES VALUE
------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
57,514 Rambus, Inc. $ 1,403,342
37,611 SanDisk Corp. 1,090,343
------------------------------------------------------------------------------
7,736,081
------------------------------------------------------------------------------
MATERIALS -- 0.2%
6,822 Eagle Materials, Inc. 177,713
7,933 Titanium Metals Corp. 99,321
------------------------------------------------------------------------------
277,034
------------------------------------------------------------------------------
TELECOMMUNICATIONS -- 0.2%
10,996 SBA Communications Corp. -- Class A 375,623
------------------------------------------------------------------------------
UTILITIES -- 0.1%
4,678 Oneok, Inc. 208,499
------------------------------------------------------------------------------
TOTAL COMMON STOCKS SOLD SHORT -- 29.5 %
(Proceeds $43,834,115) 52,608,428
------------------------------------------------------------------------------
TRACKING STOCKS -- 0.7%
CONSUMER DISCRETIONARY -- 0.7%
53,528 Liberty Media Corp. -- Capital Series A 1,278,249
(Proceeds $835,980)
------------------------------------------------------------------------------
TOTAL SECURITIES SOLD SHORT -- 30.2 %
(Proceeds $44,670,095) $ 53,886,677
==============================================================================
CONTRACTS
(100 SHARES EXPIRATION EXERCISE
PER CONTRACT) OPTIONS WRITTEN(b) DATE PRICE VALUE
-------------------------------------------------------------------------------------
CALL OPTIONS WRITTEN (b)
825 KBW Bank Index January 2010 $ 45.00 $ 16,500
20 Morgan Stanley Cyclical Index January 2010 830.00 37,600
165 Philadelphia Semiconductor Index January 2010 345.00 311,025
250 S&P 500 Index January 2010 1,110.00 486,250
225 S&P 500 Index January 2010 1,185.00 9,563
760 S&P 500 Index February 2010 1,110.00 2,584,000
120 S&P 600 Small Cap Index January 2010 330.00 100,800
-------------------------------------------------------------------------------------
TOTAL OPTIONS WRITTEN
(Premiums received $4,083,226) $ 3,545,738
=====================================================================================
KBW -- Keefe, Bruyette & Woods, Inc.
REIT -- Real Estate Investment Trust
S&P -- Standard and Poor's
(a) All or a portion of these securities are held as collateral for options.
(b) Non-income producing security.
(c) All or a portion of these securities are held as collateral for securities
sold short.
Securities are classified by sectors that represent broad groupings of related
industries.
See notes to financial statements.
Annual Report | December 31, 2009 | 15
OLA | Old Mutual/Claymore Long-Short Fund
Statement of ASSETS AND LIABILITIES | DECEMBER 31, 2009
ASSETS
Investments, at value (cost $234,495,152) $ 239,187,666
Dividends receivable 345,112
Other assets 5,411
---------------------------------------------------------------------------------------------------------------
Total assets 239,538,189
---------------------------------------------------------------------------------------------------------------
LIABILITIES
Securities sold short, at value (proceeds $44,670,095) 53,886,677
Options written, at value (premiums received of $4,083,226) 3,545,738
Custodian bank 3,129,845
Advisory fee payable 151,998
Administration fee payable 4,180
Accrued expenses 139,391
---------------------------------------------------------------------------------------------------------------
Total liabilities 60,857,829
---------------------------------------------------------------------------------------------------------------
NET ASSETS $ 178,680,360
===============================================================================================================
COMPOSITION OF NET ASSETS
Common stock, $.01 par value per share; unlimited number of shares authorized,
19,005,240 shares issued and outstanding $ 190,052
Additional paid-in capital 297,515,981
Net unrealized depreciation on investments, futures, options,
securities sold short and forwards (3,986,580)
Accumulated net realized loss on investments, futures, options, securities sold short, forwards
and currency transactions (115,039,093)
---------------------------------------------------------------------------------------------------------------
NET ASSETS $ 178,680,360
===============================================================================================================
NET ASSET VALUE (BASED ON 19,005,240 COMMON SHARES OUTSTANDING) $ 9.40
===============================================================================================================
See notes to financial statements.
16 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund
Statement of OPERATIONS | FOR THE YEAR ENDED DECEMBER 31, 2009
INVESTMENT INCOME
Dividends $ 4,902,943
Interest 63,081
------------------------------------------------------------------------------------------
Total income $ 4,966,024
------------------------------------------------------------------------------------------
EXPENSES
Advisory fee 1,775,699
Dividends on securities sold short 1,159,721
Custodian fee 744,922
Professional fees 192,364
Trustees'fees and expenses 144,569
Fund accounting 84,407
Printing expense 78,391
Administration fee 48,832
NYSE listing fee 21,170
Insurance 19,843
Transfer agent fee 19,259
Miscellaneous 10,280
------------------------------------------------------------------------------------------
Total expenses 4,299,457
------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 666,567
------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments $ (53,427,473)
Futures 1,183,641
Options (22,331,235)
Securities sold short 1,766,595
Foreign currency forwards and currency transactions 773,281
Net change in unrealized appreciation (depreciation) on:
Investments 103,848,699
Futures (1,921,324)
Options (1,195,713)
Securities sold short (22,838,304)
Foreign currency forwards and currency translation (1,224,673)
------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN 4,633,494
------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 5,300,061
==========================================================================================
See notes to financial statements.
Annual Report | December 31, 2009 | 17
OLA | Old Mutual/Claymore Long-Short Fund
Statement of CHANGES IN NET ASSETS |
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 2009 DECEMBER 31, 2008
----------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income $ 666,567 $ 969,018
Net realized loss on investments, futures, options, securities sold short,
forwards and currency transactions (72,035,191) (54,535,752)
Net unrealized appreciation (depreciation) on investments, futures, options,
securities sold short, forwards and currency translation 76,668,685 (59,430,917)
----------------------------------------------------------------------------------------------------------------------
Net increase/(decrease) in net assets resulting from operations 5,300,061 (112,997,651)
----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From and in excess of net investment income -- (2,755,313)
Return of capital (21,285,869) (27,653,071)
----------------------------------------------------------------------------------------------------------------------
Total distributions to common shareholders (21,285,869) (30,408,384)
----------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (15,985,808) (143,406,035)
NET ASSETS
Beginning of period 194,666,168 338,072,203
----------------------------------------------------------------------------------------------------------------------
End of period (including accumulated net investment loss of
$-- and $2,841,083, respectively) $178,680,360 $ 194,666,168
======================================================================================================================
See notes to financial statements.
18 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund
Financial HIGHLIGHTS |
FOR THE PERIOD
PER SHARE OPERATING PERFORMANCE FOR THE FOR THE FOR THE FOR THE AUGUST 25, 2005*
FOR A COMMON SHARE OUTSTANDING YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH
THROUGHOUT THE PERIOD DECEMBER 31, 2009 DECEMBER 31, 2008 DECEMBER 31, 2007 DECEMBER 31, 2006 DECEMBER 31, 2005
------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.24 $ 17.79 $ 18.89 $ 18.80 $ 19.10(a)
------------------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss)(b) 0.04 0.05 (0.10) 0.07 0.04
Net realized and unrealized gain (loss)
on investments, futures, options,
securities sold short, forwards and
foreign currency 0.24 (6.00) 0.60 1.62 0.10
------------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 0.28 (5.95) 0.50 1.69 0.14
------------------------------------------------------------------------------------------------------------------------------------
COMMON SHARES' OFFERING EXPENSES CHARGED
TO PAID-IN CAPITAL -- -- -- -- (0.04)
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From and in excess of net investment income -- (0.14) (1.60) (1.60) (0.40)
Return of capital (1.12) (1.46) -- -- --
------------------------------------------------------------------------------------------------------------------------------------
Total distributions to
common shareholders (1.12) (1.60) (1.60) (1.60) (0.40)
------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.40 $ 10.24 $ 17.79 $ 18.89 $ 18.80
====================================================================================================================================
MARKET VALUE, END OF PERIOD $ 8.52 $ 7.98 $ 15.33 $ 18.33 $ 16.47
====================================================================================================================================
TOTAL INVESTMENT RETURN (c)
Net asset value 3.51% -35.09% 2.54% 9.36% 0.52%
Market value 22.85% -39.88% -8.45% 21.70% -15.76%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (thousands) $178,680 $194,666 $338,072 $359,036 $357,292
RATIOS TO AVERAGE NET ASSETS, INCLUDING
DIVIDEND EXPENSE ON SECURITIES SOLD SHORT:
Total expense ratio 2.42% 2.26% 2.81% 2.00% 1.58%(d)(e)
Operating expense ratio 1.77% 1.41% 1.50% 1.52% 1.34%(d)
Dividends paid on securities sold short 0.65% 0.85% 1.31% 0.48% 0.24%(d)(e)
Net investment income (loss) ratio 0.38% 0.36% -0.55% 0.39% 0.75%(d)(e)
Portfolio turnover 256% 223% 323% 248% 60%
* Commencement of investment operations.
(a) Before deduction of offering expenses charged to capital.
(b) Based on average shares outstanding during the period.
(c) Total investment return is calculated assuming a purchase of a common share
at the beginning of the period and a sale on the last day of the period
reported either at net asset value ("NAV") or market price per share.
Dividends and distributions are assumed to be reinvested at NAV for NAV
returns or the prices obtained under the Fund's Dividend Reinvestment Plan
for market value returns. Total investment return does not reflect
brokerage commissions. A return calculated for a period of less than one
year is not annualized.
(d) Annualized.
(e) The expense ratio includes dividend payments made on securities sold short.
During the approximate four month period from August 25, 2005 through
December 31, 2005, nine securities sold short made two quarterly payments.
The annualized ratios noted above have been adjusted such that these
securities would only reflect the equivalent of four quarterly dividends
per security. Had this adjustment not been made, the expense ratio would
have been 1.65% and the net investment income ratio would have been 0.68%.
See notes to financial statements.
Annual Report | December 31, 2009 | 19
OLA | Old Mutual/Claymore Long-Short Fund |
Notes to FINANCIAL STATEMENTS | DECEMBER 31, 2009
Note | -- ORGANIZATION:
Old Mutual/Claymore Long-Short Fund (the "Fund") was organized as a
Massachusetts business trust on December 3, 2004. The Fund is registered as a
diversified, closed-end management investment company under the Investment
Company Act of 1940, as amended (the"1940 Act").
The Fund's primary investment objective is to provide a high level of current
income and current gains. The Fund's secondary investment objective is to
provide long-term capital appreciation. The Fund seeks to achieve its
investment objective by investing in a diversified portfolio of equity
securities and by selling securities short in the S&P 500 Index that it
believes will underperform relative to the average stock in the S&P 500. The
Fund will also write (sell) call options on equity indices and, to a lesser
extent, on individual securities held in the Fund's portfolio. The Fund may
also employ a variety of other strategies involving futures and forward
contracts and other derivative instruments in an attempt to enhance the Fund's
investment returns. There can be no assurance that the Fund's investment
objective will be achieved.
Note 2 -- ACCOUNTING POLICIES:
The preparation of the financial statements in accordance with U.S. generally
accepted accounting principles ("GAAP") requires management to make estimates
and assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from these estimates.
In June 2009, the Financial Accounting Standards Board ("FASB") established the
FASB Accounting Standards CodificationTM ("ASC") as the single source of
authoritative accounting principles reorganized by the FASB in preparation of
financial statements in conformity with GAAP. The ASC superseded existing
non-grandfathered, non-U.S. Securities and Exchange Commission ("SEC")
accounting and reporting standards. The ASC did not change GAAP but rather
organized it into a hierarchy where all guidance with the ASC carried an equal
level of authority. The implementation of ASC did not have a material effect of
the Fund's financial statements.
The following is a summary of significant accounting policies followed by the
Fund.
(a) VALUATION OF INVESTMENTS AND DERIVATIVES
Equity securities listed on an exchange are valued at the last reported sale
price on the primary exchange on which they are traded. Equity securities for
which there are no transactions on a given day are valued at the mean of the
closing bid and asked prices. Securities traded on NASDAQ are valued at the
NASDAQ Official Closing Price. Readily marketable securities listed on an
exchange are valued at the last reported sale price on the primary exchange or
in the principal over the counter ("OTC") market on which they are traded. Debt
securities are valued by independent pricing services or dealers using the mean
of the closing bid and asked prices for such securities or, if such prices are
not available, at prices for securities of comparable maturity, quality and
type. Equity index options are valued at the closing price on the primary
exchange on which they are traded. Futures and options on futures contracts are
valued at the settlement price determined by the exchange on which they are
traded. Forward exchange currency contracts are valued daily at current
exchange rates. All other types of securities, including restricted securities,
and securities for which market quotations are not readily available, are
valued as determined in accordance with procedures established in good faith by
the Board of Trustees. Short-term securities having a remaining maturity of
sixty days or less at the time of purchase are valued at amortized cost, which
approximates market value.
For those securities whose quotations or prices are not readily available, the
valuations are determined in accordance with procedures established in good
faith by the Board of Trustees. Valuations in accordance with these procedures
are intended to reflect each security's (or asset's) "fair value". Such fair
value is the amount that the Fund might reasonably expect to receive for the
security (or asset) upon its current sale. Each such determination should be
based on a consideration of all relevant factors, which are likely to vary from
one pricing context to another. Examples of such factors may include, but are
not limited to: (i) the type of security, (ii) the initial cost of the
security, (iii) the existence of any contractual restrictions on the security's
disposition, (iv) the price and extent of public trading in similar securities
of the issuer or of comparable companies, (v) quotations or evaluated prices
from broker-dealers and/or pricing services, (vi) information obtained from the
issuer, analysts, and/or the appropriate stock exchange (for exchange traded
securities), (vii) an analysis of the company's financial statements, and
(viii) an evaluation of the forces that influence the issuer and the market(s)
in which the security is purchased and sold (e.g. the existence of pending
merger activity, public offerings or tender offers that might affect the value
of the security).
The Fund adopted ASC 820, Fair Value Measurements and Disclosures ("ASC 820")
(formerly known as the Statement of Financial Accounting Standard ("FAS") No.
157). In accordance with ASC 820, fair value is defined as the price that the
Fund would receive to sell an investment or pay to transfer a liability in an
orderly transaction with an independent buyer in the principal market, or in
the absence of a principal market the most advantageous market for the
investment or liability. ASC 820 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 (e.g. yield curves;
benchmark interest rates; indices). Level 3 valuations are those based upon
unobservable inputs (e.g. discounted cash flow analysis; non-market based
methods used to determine fair valuation). The following table represents the
Fund's investments carried on the Statement of Assets and Liabilities by
caption and by level within the fair value hierarchy as of December 31, 2009:
VALUATIONS (IN $000S)
DESCRIPTION LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------------------------------------------------------------------------
Assets:
Common stocks $ 231,348 $ -- $ -- $ 231,348
Money market funds 7,840 -- -- 7,840
--------------------------------------------------------------------------------
Total $ 239,188 $ -- $ -- $ 239,188
================================================================================
Liabilities:
Common stocks $ 52,608 $ -- $ -- $ 52,608
Tracking stocks 1,278 -- -- 1,278
Derivatives 3,546 -- -- 3,546
--------------------------------------------------------------------------------
Total $ 57,432 $ -- $ -- $ 57,432
================================================================================
(b) INVESTMENT TRANSACTIONS AND INVESTMENT INCOME
Investment transactions are accounted for on the trade date. Realized gains and
losses on investments are determined on the identified cost basis. Dividend
income is recorded net of applicable withholding taxes on the ex-dividend date
and interest income is recorded on an accrual basis. Discounts or premiums on
debt securities purchased are accreted or amortized to interest income over the
lives of the respective securities using the effective interest method.
(c) SECURITIES SOLD SHORT
The Fund may sell securities short. A short sale is a transaction in which the
Fund sells securities it does not own, but rather has borrowed, in anticipation
of a decline in the market price of the securities. The Fund is obligated to
replace the borrowed securities at their market price at the time of
replacement. The Fund's obligation to replace the securities borrowed in
20 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund | NOTES TO FINANCIAL STATEMENTS
continued
connection with a short sale will be fully secured by collateral held in a
segregated account at the custodian. Short sales by the Fund involve certain
risks and special considerations. Possible losses from short sales differ from
losses that could be incurred from a purchase of a security because losses from
a short sale may be unlimited, whereas losses from purchases cannot exceed the
total amount invested.
Short equity securities listed on an exchange are valued at the last reported
sale price on the primary exchange on which they are traded. Short equity
securities for which there are no transactions on a given day are valued at the
mean of the closing bid and asked prices. Short equity securities traded on
NASDAQ are valued at the NASDAQ Official Closing Price. Readily marketable
short equity securities listed on an exchange are valued at the last reported
sale price on the primary exchange or in the principal over the counter ("OTC")
market on which they are traded.
(d) CURRENCY TRANSLATION
Assets and liabilities denominated in foreign currencies are translated into
U.S. dollars at the mean of the bid and asked price of respective exchange
rates on the last day of the period. Purchases and sales of investments
denominated in foreign currencies are translated at the exchange rate on the
date of the transaction.
Foreign exchange gain or loss resulting from holding of a foreign currency,
expiration of a currency exchange contract, difference in exchange rates
between the trade date and settlement date of an investment purchased or sold,
and the difference between dividends actually received compared to the amount
shown in a Fund's accounting records on the date of receipt are included as net
realized gains or losses on foreign currency forwards and currency transactions
in the Fund's Statement of Operations.
Foreign exchange gain or loss on assets and liabilities, other than
investments, are included in unrealized appreciation (depreciation) on foreign
currency translations.
(e) DISTRIBUTIONS TO SHAREHOLDERS
The Fund declares and pays quarterly dividends to common shareholders.
Distributions to shareholders are recorded on the ex-dividend date. The amount
and timing of distributions are determined in accordance with federal income
tax regulations, which may differ from U.S. generally accepted accounting
principles. These dividends consist of investment company taxable income, which
generally includes qualified dividend income, ordinary income, short-term
capital gains and premiums received on certain written options. Realized
short-term capital gains and premiums received on certain options are
considered ordinary income for tax purposes and will be reclassified at the
Fund's fiscal year end on the Fund's Statement of Assets and Liabilities from
accumulated net realized loss to accumulated net investment loss. Any net
realized long-term capital gains will be distributed annually to common
shareholders. It is likely that a substantial portion of the distributions paid
during the calendar year will ultimately be classified as return of capital for
income tax purposes.
(f) SUBSEQUENT EVENTS
The Fund has adopted ASC 855, Subsequent Events ("ASC 855") (formerly known as
FAS No.165). ASC 855 requires an entity to recognize in the financial
statements the effects of all subsequent events that provide additional
evidence about conditions that existed at the date of the statement of assets
and liabilities. ASC 855 is intended to establish general standards of
accounting and for disclosure of events that occur after the statement of
assets and liabilities date but before the financial statements are issued or
are available to be issued. The Fund has performed an evaluation of subsequent
events through February 24, 2010, which is the date the financial statements
were issued.
Note 3 -- INVESTMENT ADVISORY AGREEMENT, SUB-ADVISORY AGREEMENT AND OTHER
AGREEMENTS:
Pursuant to an Investment Advisory Agreement (the "Agreement") between the Fund
and Claymore Advisors, LLC (the "Adviser"), the Adviser will furnish offices,
necessary facilities and equipment, oversee the activities of Analytic
Investors, LLC. ("Analytic" or the "Sub-Adviser"), provide personnel including
certain officers required for its administrative management and pay the
compensation of all officers and trustees of the Fund who are its affiliates.
As compensation for these services, the Fund will pay the Adviser an annual
fee, payable monthly, in an amount equal to 1.00% of the Fund's average daily
total net assets.
Pursuant to a Sub-Advisory Agreement (the "Sub-Advisory Agreement") between the
Fund, the Adviser and the Sub-Adviser, the Sub-Adviser under the supervision of
the Fund's Board of Trustees and the Adviser, provides a continuous investment
program for the Fund's portfolio; provides investment research, makes and
executes recommendations for the purchase and sale of securities; and provides
certain facilities and personnel, including certain officers required for its
administrative management and pays the compensation of all officers and
trustees of the Fund who are its affiliates. As compensation for its services,
the Adviser pays the Sub-Adviser a fee, payable monthly, in an annual amount
equal to 0.50% of the Fund's average daily total net assets. Analytic is an
affiliate of Old Mutual (US) Holdings, Inc.
On July 17, 2009, Claymore Group Inc., the parent of the Adviser, entered into
an Agreement and Plan of Merger between and among Claymore Group Inc., Claymore
Holdings, LLC and GuggClay Acquisition, Inc., (with the latter two entities
being wholly-owned, indirect subsidiaries of Guggenheim Partners, LLC
("Guggenheim")) whereby GuggClay Acquisition, Inc. merged into Claymore Group
Inc. which is the surviving entity (the "Transaction"). This Transaction was
completed on October 14, 2009 (the "Effective Date") and resulted in a
change-of-control whereby Claymore Group Inc. and its subsidiaries, including
the Adviser, became indirect, wholly-owned subsidiaries of Guggenheim. The
transaction has not affected the daily operations of the Fund or the investment
management activities of the Adviser.
Under the Investment Company Act of 1940, as amended, (the "1940 Act"), the
consummation of this transaction resulted in the automatic termination of the
Advisory & Sub-Advisory Agreements. Accordingly, on September 28, 2009, the
Board of Trustees approved an interim investment advisory agreement between the
Fund and the Adviser (the "Interim Advisory Agreement") and an interim
investment sub-advisory agreement among the Fund, the Adviser and Analytic (the
"Interim Sub-Advisory Agreement" and together with the Interim Advisory
Agreement, the "Interim Agreements").
On September 28, 2009, the Board of Trustees approved a new investment advisory
agreement between the Fund and the Adviser (the "New Advisory Agreement") and a
new investment sub-advisory agreement among the Fund, the Adviser and Analytic
(the "New Sub-Advisory Agreement" and together with the New Advisory Agreement,
the "New Agreements") and recommended that the New Agreements be submitted to
the shareholders of the Fund for their approval. The New Agreements, which were
approved by shareholders on February 18, 2010, will have an initial term of one
year. Thereafter, the New Agreements will continue in effect only if their
continuance is approved annually by the Board of Trustees. Other than effective
dates, there are no material differences between the terms of the New
Agreements and those of the original Advisory Agreement and Sub-Advisory
Agreement.
Annual Report | December 31, 2009 | 21
OLA | Old Mutual/Claymore Long-Short Fund | NOTES TO FINANCIAL STATEMENTS
continued
The Adviser provides Fund Administration services to the Fund. For its
services, the Adviser receives a fund administration fee payable monthly at the
annual rate set forth below as a percentage of the average daily total net
assets of the Fund:
NET ASSETS RATE
--------------------------------------------------------------------------------
First $200,000,000 0.0275%
Next $300,000,000 0.0200%
Next $500,000,000 0.0150%
Over $1,000,000,000 0.0100%
The Bank of New York Mellon ("BNY") acts as the Fund's custodian, accounting
agent, and transfer agent. As custodian, BNY is responsible for the custody of
the Fund's assets. As accounting agent, BNY is responsible for maintaining the
books and records of the Fund's securities and cash. As transfer agent, BNY is
responsible for performing transfer agency services for the Fund.
Certain officers and trustees of the Fund are also officers and directors of
the Adviser or the Sub-Adviser. The Fund does not compensate its officers or
trustees who are officers of the aforementioned firms.
Note 4 -- FEDERAL INCOME TAXES:
The Fund intends to comply with the requirements of Subchapter M of the
Internal Revenue Code of 1986, as amended, applicable to regulated investment
companies. Accordingly, no provision for U.S. federal income taxes is required.
In addition, by distributing substantially all of its ordinary income and
long-term capital gains, if any, during each calendar year, the Fund intends
not to be subject to U.S. federal excise tax.
At December 31, 2009, the following reclassifications were made to the capital
accounts of the Fund to reflect permanent book/tax differences, which are
primarily due to the differences between book and tax treatment of foreign
currency transactions, capital gain and return of capital distributions
received from real estate investment trusts and net operating losses. Net
assets were not affected by these changes.
UNDISTRIBUTED NET ACCUMULATED
INVESTMENT LOSS NET REALIZED LOSS PAID IN CAPITAL
--------------------------------------------------------------------------------
$2,174,516 ($732,008) ($1,442,508)
Capital losses and foreign currency transactions incurred after October 31
("post-October" losses) within the taxable year are deemed to arise on the
first business day of the Fund's next taxable year. The Fund incurred and
elected to defer capital losses from 2009 in the amount of $2,237,604.
Information on the tax components of investments, excluding short sales
transactions and excluding written options, and net assets as of December 31,
2009 is as follows:
COST OF NET TAX NET TAX
INVESTMENTS GROSS TAX GROSS TAX UNREALIZED UNREALIZED
FOR TAX UNREALIZED UNREALIZED APPRECIATION ON APPRECIATION ON
PURPOSES APPRECIATION DEPRECIATION INVESTMENTS DERIVATIVES
--------------------------------------------------------------------------------
$236,274,641 $16,013,154 ($13,100,129) $2,913,025 $537,488
Information on the tax components of securities sold short as of December 31,
2009 is as follows:
NET TAX
PROCEEDS FROM UNREALIZED
SECURITIES GROSS TAX GROSS TAX DEPRECIATION
SOLD SHORT FOR UNREALIZED UNREALIZED ON SECURITIES
TAX PURPOSES APPRECIATION DEPRECIATION SOLD SHORT
--------------------------------------------------------------------------------
$44,262,831 $348,976 ($9,972,822) ($9,623,846)
Tax components of the following balances as of December 31, 2009 and 2008 are
as follows:
DECEMBER 31, 2009 DECEMBER 31, 2008
--------------------------------------------------------------------------------
Accumulated Net Investment Loss $ -- ($1,619,801)
Accumulated Capital and Other Losses ($112,852,340) ($37,913,175)
For the year ended December 31, 2009 and 2008, the tax character of
distributions paid to shareholders as reflected in the Statement of Changes in
Net Assets, was as follows:
DISTRIBUTIONS PAID FROM: 2009 2008
--------------------------------------------------------------------------------
Ordinary Income $ -- $ 2,749,600
Capital Gain -- 5,713
Return of Capital 21,285,869 27,653,071
--------------------------------------------------------------------------------
$ 21,285,869 $ 30,408,384
--------------------------------------------------------------------------------
At December 31, 2009, for federal income tax purposes, the Fund had a capital
loss carryforward of $110,614,736 available to offset possible future capital
gains. Of this amount, $27,523,465 is set to expire December 31, 2016 and the
remaining $83,091,271 is set to expire December 31, 2017.
For all open tax years and all major jurisdictions, management of the Fund has
concluded that there are no significant uncertain tax positions that would
require recognition in the financial statements. Open tax years are those that
are open for examination by taxing authorities (i.e. generally the last four
tax year ends and the interim tax period since then). Furthermore, management
of the Fund is also not aware of any tax positions for which it is reasonably
possible that the total amounts of unrecognized tax benefits will significantly
change in the next twelve months.
Note 5 -- INVESTMENT TRANSACTIONS:
For the year ended December 31, 2009, purchases and sales of investments,
excluding written options with maturities of less than one year and short-term
securities, were $584,240,237 and $604,615,885, respectively.
Note 6 -- DERIVATIVES:
The Fund adopted ASC 815, Derivatives and Hedging ("ASC 815") (formerly known
as FAS No. 161), effective January 1, 2009. ASC 815 is intended to improve
financial reporting about derivative instruments by requiring enhanced
disclosures to enable investors to better understand: a) how and why a fund
uses derivative instruments, b) how derivatives instruments and related hedge
fund items are accounted for, and c) how derivative instruments and related
hedge items affect a fund's financial position, results of operations and cash
flows.
The Fund may engage in asset allocation strategies by purchasing or selling
futures contracts on U.S. and foreign securities, indices and other assets. A
futures contract provides for the future sale by one party and purchase by
another party of a specified quantity of the security or other financial
instrument at a specified price and time. A futures contract on an index is an
agreement in which two parties agree to take or make delivery of an amount of
cash equal to the difference between the value of the index at the close of the
last trading day of the contract and the price at which the index contract was
originally written. Upon entering into futures contracts, the Fund maintains an
amount of cash or liquid securities with a value equal to a percentage of the
contract amount with either a futures commission merchant pursuant to rules and
regulations promulgated under the 1940 Act, as amended, or with its custodian
in an account in the broker's name. This amount is known as initial margin.
During the period the futures contract is open, payments are received from or
made to the broker based upon changes in the value of the contract (the
variation margin). The risk of loss associated with a futures contract is in
excess of the variation margin reflected on the Statement
22 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund | NOTES TO FINANCIAL STATEMENTS
continued
of Assets and Liabilities. The Fund may use futures contracts in an attempt to
enhance the Fund's investment returns, as an efficient way to gain broad market
exposure with reduced transaction costs and/or to hedge against market and
other risks in the Fund's portfolio. There are a number of risks associated
with the use of futures contracts. A purchase or sale of a futures contract may
result in losses in excess of the amount invested in the futures contract. If
futures are used for hedging, there can be no guarantee that there will be a
correlation between price movements in the hedging vehicle and in the Fund's
portfolio securities being hedged. During the period covered by this report,
Analytic also pursued a global asset allocation strategy which sought to
generate incremental investment returns with a low correlation to the rest of
the Fund's portfolio by taking long and short positions in global equity and
fixed-income markets. Given the unprecedented volatility in the market and
performance of the global asset allocation, the Fund announced on July 20, 2009
that it was suspending its use of this component of its overall investment
strategy. The other elements of the strategy remain unchanged.
The Fund will opportunistically employ an option strategy in an attempt to
generate gains from option premiums, enhance distributions payable to the
Fund's shareholders and reduce overall portfolio risk. The Fund intends to
pursue its options strategy primarily by writing call options on equity
indices. As the writer (seller) of an equity index call option, the Fund would
receive cash (the premium) from the purchaser of the option, and the purchaser
would have the right to receive from the Fund any appreciation in the cash
value of the index over the strike price upon exercise. If the purchaser
exercises the index option sold by the Fund, the Fund would pay the purchaser
the difference between the cash value of the index and the strike price. In
effect, the Fund sells the potential appreciation in the value of the index
above the strike price in exchange for the premium.
The Fund may enter into forward exchange currency contracts in order to hedge
its exposure to changes in foreign currency exchange rates on its foreign
portfolio holdings, to hedge certain firm purchases and sales commitments
denominated in foreign currencies and for investment purposes. A forward
exchange currency contract is a commitment to purchase or sell a foreign
currency on a future date at a negotiated forward rate. The gain or loss
arising from the difference between the original contracts and the closing of
such contracts are included in net realized gain or loss on foreign currency
forwards and currency transactions on the Statement of Operations. Fluctuations
in the value of open forward exchange currency contracts are recorded for
financial reporting purposes as unrealized appreciation and depreciation on
foreign currency forwards and currency translation on the Statement of
Operations. The Fund's custodian will place and maintain cash not available for
investment or other liquid assets in a separate account of the Fund having a
value at least equal to the aggregate amount of the Fund's commitments under
forward exchange currency contracts entered into with respect to position
hedges. Risks may arise from the potential inability of a counterparty to meet
the terms of a contract and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar. The face or contract amount, in
U.S. dollars, reflects the total exposure the Fund has in that particular
currency contract.
The following table presents the types of derivatives in the Fund by location
as presented on the Statement of Assets and Liabilities as of December 31,
2009.
STATEMENT OF ASSETS AND LIABILITIES PRESENTATION OF FAIR VALUES OF DERIVATIVE
INSTRUMENTS:
--------------------------------------------------------------------------------
ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------------------------------------------------------------------------
STATEMENT OF STATEMENT OF
ASSETS AND ASSETS AND
LIABILITIES FAIR LIABILITIES FAIR
(AMOUNT IN THOUSANDS) LOCATION VALUE LOCATION VALUE
--------------------------------------------------------------------------------
Options written,
Equity risk N/A $-- at value $3,546
--------------------------------------------------------------------------------
Total $-- $3,546
--------------------------------------------------------------------------------
The following table presents the effect of derivatives on the Statement of
Operations for the year ended December 31, 2009.
EFFECT OF DERIVATIVES ON THE STATEMENT OF OPERATIONS FOR THE YEAR ENDED
DECEMBER 31, 2009:
--------------------------------------------------------------------------------
AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVES
--------------------------------------------------------------------------------
FOREIGN CURRENCY
(AMOUNT IN THOUSANDS) FUTURES OPTIONS FORWARDS TOTAL
--------------------------------------------------------------------------------
Foreign exchange risk $ 1,056 $ -- $ 1,238 $ 2,294
Equity risk (1,792) (22,331) -- (24,123)
Interest rate risk 1,920 -- -- 1,920
--------------------------------------------------------------------------------
Total $ 1,184 $ (22,331) $ 1,238 $ (19,909)
--------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES
--------------------------------------------------------------------------------
FOREIGN CURRENCY
FUTURES OPTIONS FORWARDS TOTAL
--------------------------------------------------------------------------------
Foreign exchange risk $ -- $ -- $ (1,221) $ (1,221)
Equity risk 695 (1,196) -- (501)
Interest rate risk (2,616) -- -- (2,616)
--------------------------------------------------------------------------------
Total $ (1,921) $ (1,196) $ (1,221) $ (4,338)
--------------------------------------------------------------------------------
Transactions in written call option contracts during the year ended December
31, 2009 were as follows:
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
--------------------------------------------------------------------------------
Options outstanding, beginning of year 4,737 $ 5,563,001
--------------------------------------------------------------------------------
Options written, during the year 223,338 146,922,285
Options expired, during the year (31,123) (12,947,274)
Options closed, during the year (194,587) (135,454,786)
--------------------------------------------------------------------------------
Options outstanding, end of period 2,365 $ 4,083,226
--------------------------------------------------------------------------------
Transactions in futures contracts during the year ended December 31, 2009 were
as follows:
NUMBER OF
CONTRACTS
--------------------------------------------------------------------------------
Futures outstanding, beginning of year 3,787
--------------------------------------------------------------------------------
Futures opened 28,970
Futures closed (32,757)
--------------------------------------------------------------------------------
Futures outstanding, end of period --
--------------------------------------------------------------------------------
Annual Report | December 31, 2009 | 23
OLA | Old Mutual/Claymore Long-Short Fund | NOTES TO FINANCIAL STATEMENTS
continued
Note 7 -- CAPITAL:
COMMON SHARES
The Fund has an unlimited amount of common shares, $0.01 par value, authorized
and 19,005,240 issued and outstanding.
There were no transactions in common shares during the years ended December 31,
2009 and December 31, 2008.
Note 8 -- INDEMNIFICATIONS:
In the normal course of business, the Fund enters into contracts that contain a
variety of representations, which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would require
future claims that may be made against the Fund that have not yet occurred.
However, the Fund expects the risk of loss to be remote.
Note 9 -- RECENT ACCOUNTING PRONOUNCEMENT:
On January 21, 2010, the FASB issued an ASU, Fair Value Measurements and
Disclosures (Topic 820): Improving Disclosures about Fair Value Measurements
which provides guidance on how investment assets and liabilities are to be
valued and disclosed. Specifically, the amendment requires reporting entities
to disclose i) the input and valuation techniques used to measure fair value
for both recurring and nonrecurring fair value measurements, for Level 2 or
Level 3 positions ii) transfers between all levels (including Level 1 and Level
2) will be required to be disclosed on a gross basis (i.e. transfers out must
be disclosed separately from transfers in) as well as the reason(s) for the
transfer and iii) purchases, sales, issuances and settlements must be shown on
a gross basis in the Level 3 rollforward rather than as one net number. The
effective date of the amendment is for interim and annual periods beginning
after December 15, 2009 however, the requirement to provide the Level 3
activity for purchases, sales, issuances and settlements on a gross basis will
be effective for interim and annual periods beginning after December 15, 2010.
At this time the Fund is evaluating the implications of the amendment to ASC
820 and the impact to the financial statements.
24 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund
Report of INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF OLD MUTUAL/CLAYMORE LONG-SHORT
FUND
We have audited the accompanying statement of assets and liabilities of Old
Mutual/Claymore Long-Short Fund (the "Fund"), including the portfolio of
investments, as of December 31, 2009, and the related statement of operations
for the year then ended, the statements of changes in net assets for each of
the two years in the period then ended, and the financial highlights for each
of the four years in the period then ended and for the period from August 25,
2005 (commencement of investment operations) through December 31, 2005. These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we
plan and perform the audits to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. We were not engaged to perform an audit of the Fund's internal
control over financial reporting. Our audits included consideration of internal
control over financial reporting as a basis for designing audit procedures that
are appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Fund's internal control over financial
reporting. Accordingly, we express no such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights, assessing the accounting
principles used and significant estimates made by management, and evaluating
the overall financial statement presentation. Our procedures included
confirmation of securities owned as of December 31, 2009, by correspondence
with the custodian and brokers or by other appropriate auditing procedures
where replies from brokers were not received. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Old
Mutual/Claymore Long-Short Fund at December 31, 2009, and the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended, and the financial highlights for each
of the four years in the period then ended and for the period from August 25,
2005 (commencement of investment operations) through December 31, 2005, in
conformity with U.S. generally accepted accounting principles.
/s/ Ernst & Young LLP
Chicago, Illinois
February 24, 2010
Annual Report | December 31, 2009 | 25
OLA | Old Mutual/Claymore Long-Short Fund
Supplemental INFORMATION | (unaudited)
FEDERAL INCOME TAX INFORMATION
In January 2010, you will be advised on IRS Form 1099 DIV or substitute 1099
DIV as to the federal tax status of the distributions received by you in the
calendar year 2009.
TRUSTEES
The Trustees of the Old Mutual/Claymore Long-Short Fund and their principal
occupations during the past five years:
NUMBER OF
NAME, ADDRESS,* YEAR OF TERM OF OFFICE** PRINCIPAL OCCUPATIONS DURING PORTFOLIOS IN THE
BIRTH AND POSITION(S) AND LENGTH OF THE PAST FIVE YEARS AND FUND COMPLEX*** OTHER DIRECTORSHIPS
HELD WITH REGISTRANT TIME SERVED OTHER AFFILIATIONS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES:
------------------------------------------------------------------------------------------------------------------------------------
Randall C. Barnes Since 2005 Private Investor (2001-present). Formerly, 41 None.
Year of Birth: 1951 Senior Vice President & Treasurer, PepsiCo.
Trustee Inc. (1993-1997), President, Pizza Hut
International (1991-1993) and Senior Vice
President, Strategic Planning and New
Business Development (1987-1990) of PepsiCo,
Inc. (1987-1997).
------------------------------------------------------------------------------------------------------------------------------------
Steven D. Cosler Since 2005 Retired. Formerly, President, Chief 2 Director, SXC
Year of Birth: 1955 Executive Officer and Director of Priority Health Solutions,
Trustee Healthcare Corp. (2002-2005). Formerly, Corp.
President and Chief Operating Officer of
Priority Healthcare Corp. (2001-2002).
Formerly, Executive Vice President and Chief
Operating Officer of Priority Healthcare
Corp. (2000-2001).
------------------------------------------------------------------------------------------------------------------------------------
Robert M. Hamje Since 2005 Retired. Formerly, President and Chief 2 Trustee, Old Mutual
Year of Birth: 1942 Investment Officer of TRW Investment Advisor Mutual
Trustee Management Co. (1990-2003). Funds.
------------------------------------------------------------------------------------------------------------------------------------
L. Kent Moore Since 2005 Owner, Eagle River Ventures, LLC 2 Trustee, Old Mutual
Year of Birth: 1955 (1999-present) and Chairman, Foothills Advisor Mutual
Trustee Energy Ventures, LLC (2006-present). Funds.
Previously, Partner at WilSource Enterprise
(2005-2006), Managing Director High Sierra
Energy L.P., (2004-2005), Portfolio Manager
and Vice President of Janus Capital Corp.
(2000-2002) and Senior Analyst/Portfolio
Manager of Marsico Capital Management
(1997-1999).
------------------------------------------------------------------------------------------------------------------------------------
Ronald A. Nyberg Since 2005 Partner of Nyberg & Cassioppi, LLC, a law 44 None.
Year of Birth: 1953 firm specializing in corporate law, estate
Trustee planning and business transactions
(2000-present). Formerly, Executive Vice
President, General Counsel and Corporate
Secretary of Van Kampen Investments
(1982-1999).
------------------------------------------------------------------------------------------------------------------------------------
Ronald E. Toupin, Jr. Since 2005 Retired. Formerly, Vice President, Manager 41 None.
Year of Birth: 1958 and Portfolio Manager of Nuveen Asset
Trustee Management (1998-1999), Vice President of
Nuveen Investment Advisory Corp.
(1992-1999), Vice President and Manager of
Nuveen Unit Investment Trusts (1991-1999),
and Assistant Vice President and Portfolio
Manager of Nuveen Unit Investment Trusts
(1988-1999), each of John Nuveen & Co., Inc.
(1982-1999).
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES:
------------------------------------------------------------------------------------------------------------------------------------
Matthew J. Appelstein+ Since 2005 Senior Vice President of Product Strategy 2 None.
Year of Birth: 1961 and Retirement Solutions Planning, Director
Trustee of Investment Services, Old Mutual Asset
Management (2003-present). Formerly, Senior
Vice President of Consulting Relationships,
Fidelity Management Trust Co. (1998-2003).
------------------------------------------------------------------------------------------------------------------------------------
* Address for all Trustees: 2455 Corporate West Drive, Lisle, IL 60532
** After a Trustee's initial term, each Trustee is expected to serve a
three-year term concurrent with the class of Trustees for which he serves:
-Messrs. Appelstein and Barnes, as Class I Trustees, are expected to stand
for re-election at the Fund's 2012 annual meeting of shareholders.
-Messrs. Cosler and Hamje, as Class II Trustees, are expected to stand for
re-election at the Fund's 2010 annual meeting of shareholders.
-Messrs. Moore, Nyberg and Toupin, as Class III Trustees, are expected to
stand for re-election at the Fund's 2011 annual meeting of shareholders.
*** The Claymore Fund Complex consists of U. S. registered investment companies
advised or serviced by Claymore Advisors, LLC or Claymore Securities, Inc.
The Claymore Fund Complex is overseen by multiple Boards of Trustees.
+ Mr. Appelstein is an "interested person" (as defined in Section 2(a)(19) of
the 1940 Act) of the Fund because of his position as an officer of Old
Mutual Asset Management, the parent company of the Fund's Sub-Adviser.
As of October 14, 2009, Nicholas Dalmaso resigned his position as Trustee for
the Fund.
26 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund | SUPPLEMENTAL INFORMATION
(unaudited) continued
OFFICERS
The Officers of the Old Mutual/Claymore Long-Short Fund and their principal
occupations during the past five years:
NAME, ADDRESS*, YEAR OF BIRTH AND TERM OF OFFICE** AND PRINCIPAL OCCUPATIONS DURING THE PAST FIVE YEARS
POSITION(S) HELD WITH REGISTRANT LENGTH OF TIME SERVED AND OTHER AFFILIATIONS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS:
------------------------------------------------------------------------------------------------------------------------------------
J. Thomas Futrell Since 2008 Senior Managing Director and Chief Investment Officer of Claymore
Year of birth: 1955 Advisors, LLC and Claymore Securities, Inc. (2008-present). Chief
Chief Executive Officer Executive Officer of certain other funds in the Fund Complex.
Formerly, Managing Director of Research, Nuveen Asset Management
(2000-2007).
------------------------------------------------------------------------------------------------------------------------------------
Kevin M. Robinson Since 2008 Senior Managing Director and General Counsel of Claymore Advisors,
Year of birth: 1959 LLC, Claymore Securities, Inc. and Claymore Group Inc. (2007-present).
Chief Legal Officer Chief Legal Officer of certain other funds in the Fund Complex.
Formerly, Associate General Counsel and Assistant Corporate Secretary
of NYSE Euronext, Inc. (2000-2007).
------------------------------------------------------------------------------------------------------------------------------------
Steven M. Hill Since 2005 Senior Managing Director of Claymore Advisors, LLC and Claymore
Year of Birth: 1964 Securities, Inc. (2005- present). Previously, Chief Financial Officer
Chief Accounting Officer, of Claymore Group Inc. (2005-2006). Managing Director of Claymore
Chief Financial Officer Advisors, LLC and Claymore Securities, Inc. (2003-2005). Formerly,
and Treasurer Treasurer of Henderson Global Funds and Operations Manager for
Henderson Global Investors (North America) Inc. (2002-2003); Managing
Director, FrontPoint Partners LLC (2001-2002); Vice President, Nuveen
Investments (1999-2001); Chief Financial Officer, Skyline Asset
Management LP (1999); Vice President, Van Kampen Investments and
Assistant Treasurer, Van Kampen mutual funds (1989-1999).
------------------------------------------------------------------------------------------------------------------------------------
Mark E. Mathiasen Since 2009 Vice President, Assistant General Counsel of Claymore Group Inc. (2007
Year of Birth: 1978 to present). Secretary of certain funds in the Fund Complex.
Secretary Previously, Law Clerk for the Idaho State Courts (2003-2007).
------------------------------------------------------------------------------------------------------------------------------------
Elizabeth H. Hudson Since 2009 Assistant General Counsel of Claymore Group Inc. (2009-present).
Year of Birth: 1980 Assistant Secretary of certain funds in the Fund Complex. Previously,
Assistant Secretary associate at Bell, Boyd & Lloyd LLP (nka K&L Gates LLP) (2007-2008).
------------------------------------------------------------------------------------------------------------------------------------
Bruce Saxon Since 2006 Vice President-Fund Compliance Officer of Claymore Group Inc. (Feb
Year of Birth: 1957 2006-present). Previously, Chief Compliance Officer/Assistant
Chief Compliance Officer Secretary of Harris Investment Management, Inc. (2003-2006).
Director-Compliance of Harrisdirect LLC (1999-2003).
------------------------------------------------------------------------------------------------------------------------------------
* Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532
** Officers serve at the pleasure of the Board of Trustees and until his or
her successor is appointed and qualified or until his or her earlier
resignation or removal.
Annual Report | December 31, 2009 | 27
OLA | Old Mutual/Claymore Long-Short Fund
Dividend Reinvestment PLAN | (unaudited)
Unless the registered owner of common shares elects to receive cash by
contacting the Bank of New York Mellon (the "Plan Administrator"), all
dividends declared on common shares of the Fund will be automatically
reinvested by the Plan Administrator for shareholders in the Fund's Dividend
Reinvestment Plan (the "Plan"), in additional common shares of the Fund.
Participation in the Plan is completely voluntary and may be terminated or
resumed at any time without penalty by notice if received and processed by the
Plan Administrator prior to the dividend record date; otherwise such
termination or resumption will be effective with respect to any subsequently
declared dividend or other distribution. Some brokers may automatically elect
to receive cash on your behalf and may re-invest that cash in additional common
shares of the Fund for you. If you wish for all dividends declared on your
common shares of the Fund to be automatically reinvested pursuant to the Plan,
please contact your broker.
The Plan Administrator will open an account for each common shareholder under
the Plan in the same name in which such common shareholder's common shares are
registered. Whenever the Fund declares a dividend or other distribution
(together, a "Dividend") payable in cash, non-participants in the Plan will
receive cash and participants in the Plan will receive the equivalent in common
shares. The common shares will be acquired by the Plan Administrator for the
participants' accounts, depending upon the circumstances described below,
either (i) through receipt of additional unissued but authorized common shares
from the Fund ("Newly Issued Common Shares") or (ii) by purchase of outstanding
common shares on the open market ("Open-Market Purchases") on the New York
Stock Exchange or elsewhere. If, on the payment date for any Dividend, the
closing market price plus estimated brokerage commission per common share is
equal to or greater than the net asset value per common share, the Plan
Administrator will invest the Dividend amount in Newly Issued Common Shares on
behalf of the participants. The number of Newly Issued Common Shares to be
credited to each participant's account will be determined by dividing the
dollar amount of the Dividend by the net asset value per common share on the
payment date; provided that, if the net asset value is less than or equal to
95% of the closing market value on the payment date, the dollar amount of the
Dividend will be divided by 95% of the closing market price per common share on
the payment date. If, on the payment date for any Dividend, the net asset value
per common share is greater than the closing market value plus estimated
brokerage commission, the Plan Administrator will invest the Dividend amount in
common shares acquired on behalf of the participants in Open-Market Purchases.
If, before the Plan Administrator has completed its Open-Market Purchases, the
market price per common share exceeds the net asset value per common share, the
average per common share purchase price paid by the Plan Administrator may
exceed the net asset value of the common shares, resulting in the acquisition
of fewer common shares than if the Dividend had been paid in Newly Issued
Common Shares on the Dividend payment date. Because of the foregoing difficulty
with respect to Open-Market Purchases, the Plan provides that if the Plan
Administrator is unable to invest the full Dividend amount in Open-Market
Purchases during the purchase period or if the market discount shifts to a
market premium during the purchase period, the Plan Administrator may cease
making Open-Market Purchases and may invest the uninvested portion of the
Dividend amount in Newly Issued Common Shares at net asset value per common
share at the close of business on the Last Purchase Date provided that, if the
net asset value is less than or equal to 95% of the then current market price
per common share; the dollar amount of the Dividend will be divided by 95% of
the market price on the payment date.
The Plan Administrator maintains all shareholders' accounts in the Plan and
furnishes written confirmation of all transactions in the accounts, including
information needed by shareholders for tax records. Common shares in the
account of each Plan participant will be held by the Plan Administrator on
behalf of the Plan participant, and each shareholder proxy will include those
shares purchased or received pursuant to the Plan. The Plan Administrator will
forward all proxy solicitation materials to participants and vote proxies for
shares held under the Plan in accordance with the instruction of the
participants.
There will be no brokerage charges with respect to common shares issued
directly by the Fund. However, each participant will pay a pro rata share of
brokerage commission incurred in connection with Open-Market Purchases. The
automatic reinvestment of Dividends will not relieve participants of any
Federal, state or local income tax that may be payable (or required to be
withheld) on such Dividends.
The Fund reserves the right to amend or terminate the Plan. There is no direct
service charge to participants with regard to purchases in the Plan; however,
the Fund reserves the right to amend the Plan to include a service charge
payable by the participants.
All correspondence or questions concerning the Plan should be directed to the
Plan Administrator, BNY Mellon Shareowner Services, PO Box 358015, Pittsburgh,
PA 15252-8015, Phone Number: (866) 488-3559.
28 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund
Board Considerations Regarding Contract Approvals of the Interim and New
Investment Advisory Agreements and Interim and NEW INVESTMENT SUB-ADVISORY
AGREEMENTS
On September 28, 2009, the Board of Trustees (the "Board") of the Old
Mutual/Claymore Long-Short Fund (the "Fund"), including those trustees who are
not "interested persons" as defined by the Investment Company Act of 1940 (the
"Independent Trustees"), on the recommendation of the Nominating & Governance
Committee (referred to as the "Committee" and consisting solely of the
Independent Trustees) of the Board of the Fund, approved: (1) an interim
("Interim Advisory Agreement") and new ("New Advisory Agreement") advisory
agreement (together, the "Investment Advisory Agreements") between the Fund and
Claymore Advisors, LLC ("Adviser") and (2) an interim ("Interim Sub-Advisory
Agreement") and new ("New Sub-Advisory Agreement") investment sub-advisory
agreement (together the "Investment Sub-Advisory Agreements") among the
Adviser, the Fund and Analytic Investors, LLC ("Sub-Adviser"). (The Investment
Advisory Agreements and the Investment Sub-Advisory Agreements are together
referred to as the "Advisory Agreements.") As part of its review process, the
Committee was represented by independent legal counsel.
Based upon its review, the Board and the Committee concluded that it was in the
best interest of the Fund to approve each of the Advisory Agreements. In
reaching this conclusion for the Fund, no single factor was determinative in
the Board's analysis, but rather the Board considered a variety of factors.
INTERIM ADVISORY AGREEMENT AND NEW ADVISORY AGREEMENT
The Board reviewed materials received from the Adviser, Guggenheim Partners,
LLC ("Guggenheim") and independent legal counsel. The Board also had previously
received, throughout the year, Board meeting information regarding performance
and operating results of the Fund. Earlier this year, the Adviser informed the
Board that it was in discussions with Guggenheim concerning a strategic
transaction, including a potential sale of a controlling interest in the
Adviser (the "Transaction"). The Adviser provided periodic reports to
representatives of the Board as to the status and nature of such discussions
with Guggenheim and the Adviser's operating and financial results. In the
spring of 2009, the Adviser informed the Board that Guggenheim had arranged up
to $20 million of subordinated loans to Claymore Group as interim financing for
working capital and for inventory purchases in connection with its business of
creating, distributing and supervising unit investment trusts and other
investment products.
Following the execution of a merger agreement between Claymore and Guggenheim
(the "Merger Agreement"), a telephonic meeting was held on July 28, 2009, and
attended by certain members of the Board, the chief executive officer of
Claymore Group and the chief executive officer of Guggenheim. Such executive
officers summarized the principal terms of the Merger Agreement, and described
the Transaction, the business plans for the Adviser following the consummation
of the Transaction and answered such questions as were raised at the meeting.
Representatives of the Board requested additional information regarding the
Transaction, Guggenheim and the impact of the Transaction on the Shareholders
of the Fund.
During the third quarter of 2009, the Committee received reports on the
progress of the Transaction, including the debt financing and additional equity
financing arranged by Guggenheim. As part of its review process, the Committee
was represented by independent legal counsel. The Committee reviewed materials
received from the Adviser, Guggenheim and independent legal counsel. The
Adviser and Guggenheim provided, among other information, information regarding
the terms of the Transaction and potential benefits to the Adviser from the
Transaction. The information provided regarding Guggenheim included (i)
financial information, (ii) information regarding senior executives of the
firm, (iii) information regarding other Guggenheim affiliated investment
managers, (iv) information regarding litigation and regulatory matters and (v)
potential conflicts of interest. The Adviser and Guggenheim also provided
information regarding Guggenheim's and the Adviser's intentions for the
business, operations and personnel of the Adviser following the closing of the
Transaction. The Committee met and discussed the Transaction and the Interim
Advisory Agreement and the New Advisory Agreement in September 2009. Additional
supplemental information regarding the Transaction and Guggenheim was provided
by the Adviser and Guggenheim and reviewed by the Committee.
Subsequent to these meetings, the Board met in person to consider the Interim
Advisory Agreement and the New Advisory Agreement at a meeting held on
September 28, 2009. The Board met with representatives of the Adviser and
Guggenheim to discuss the Transaction. Representatives from the Adviser and
Guggenheim discussed the Transaction with, and answered questions from, the
Board. The Committee met in executive session to discuss the Transaction and
the information provided at the Board meeting. The Committee concluded that it
was in the best interest of the Fund to approve the Interim Advisory Agreement
and New Advisory Agreement and, accordingly, recommended to the Board the
approval of the Interim Advisory Agreement and New Advisory Agreement. The
Board subsequently approved the Interim Advisory Agreement and approved the New
Advisory Agreement for a one-year term. The Board also determined to consider
the continuation of the agreement during the course of the one-year term by
conducting a thorough review of the various information that is part of the
Board's regular annual consideration of the continuation of the Fund's advisory
agreement. In reaching the conclusion to approve the Interim Advisory Agreement
and New Advisory Agreement, no single factor was determinative in the Board's
analysis, but rather the Board considered a variety of factors. Provided below
is an overview of the primary factors the Board considered in connection with
the review of the Interim Advisory Agreement and the New Advisory Agreement.
In connection with the Board's consideration of the Interim Advisory Agreement
and the New Advisory Agreement, the Trustees considered, among other
information, the following factors:
o within the last year, the Board had engaged in a thorough review of
the various factors, including fees and performance, that are part of
the decision whether to continue an advisory agreement;
o Board approval of the Fund's Investment Advisory Agreements was a
condition to the closing of the Transaction;
o Claymore's statement to the Board that the manner in which the Fund's
assets are managed will not change as a result of the Transaction;
o the aggregate advisory fee rate payable by the Fund will not change
under the Interim Advisory Agreement or New Advisory Agreement;
o there are no material differences between the terms of the Interim
Advisory Agreement and New Advisory Agreement and the terms of the
Fund's prior advisory agreement, except for those provisions in the
Interim Advisory Agreement which are necessary to comply with Rule
15a-4 under the 1940 Act;
o the capabilities of the Adviser's personnel who will provide advisory
(if applicable), management, shareholder servicing and
administrative services to the Fund are not expected to change, and
the key personnel who currently provide
Annual Report | December 31, 2009 | 29
OLA | Old Mutual/Claymore Long-Short Fund | BOARD CONSIDERATIONS continued
advisory (if applicable), management, shareholder servicing and
administrative services to the Fund are expected to continue to do so
after the Transaction;
o the assurance from the Adviser and Guggenheim that following the
Transaction there will not be any diminution in the nature, quality
and extent of services provided to the Fund;
o the Adviser's current financial condition;
o the impact of the Transaction on the Adviser's day-to-day operations;
o the reputation, capabilities, experience, organizational structure and
financial resources of Guggenheim;
o the long-term business goals of Guggenheim and the Adviser with regard
to the business and operations of the Adviser;
o that Shareholders of the Fund will not bear any costs in connection
with the Transaction, inasmuch as the Adviser will bear the costs,
fees and expenses incurred by the Fund in connection with the Fund's
Proxy Statement and any other costs of the Fund associated with the
Transaction; and
o that the Adviser and relevant acquisition subsidiaries have agreed to
refrain from imposing or seeking to impose, for a period of two years
after the Closing, any "unfair burden" (within the meaning of Section
15(f) of 1940 Act) on the Fund.
Nature, Extent and Quality of Services Provided by the Adviser. The Board noted
that key management personnel servicing the Fund are expected to remain with
the Adviser following the Transaction and that the services provided to the
Fund by the Adviser are not expected to change. The Board also considered the
Adviser's and Guggenheim's representations to the Board that Guggenheim intends
for the Adviser to continue to operate following the closing of the Transaction
in much the same manner as it operates today, and that the impact of the
Transaction on the day-to-day operations of the Adviser would be neutral or
positive. The Board also considered Guggenheim's statement that the Adviser's
compliance policies and procedures, disaster recovery plans, information
security controls and insurance program would not change materially following
consummation of the Transaction. Based on this review, the Board concluded that
the range and quality of services provided by the Adviser to the Fund were
expected to continue under the Interim Advisory Agreement and the New Advisory
Agreement at the same or improved levels.
Advisory Fees. The Board also considered the fact that the advisory fee rates
payable to the Adviser would be the same under the Interim Advisory Agreement
and New Advisory Agreement as they are under the Fund's prior advisory
agreement, which had within the last year been determined to be reasonable. The
Board concluded that these factors supported approval of the Interim Advisory
Agreement and New Advisory Agreement.
Performance. With respect to the performance of the Fund, the Board considered
that, the Sub-Adviser would continue to manage the Fund's portfolio following
the closing of the Transaction, subject to Shareholder approval of the New
Sub-Advisory Agreement. The Board concluded that these factors supported
approval of the Interim Advisory Agreement and New Advisory Agreement.
Profitability. The Board noted that it was too early to predict how the
Transaction may affect the Adviser's future profitability from its relationship
with the Fund, but concluded that this matter would be given further
consideration on an annual basis going forward. The Board also noted
that the Adviser's fee rates under the Interim Advisory Agreement and New
Advisory Agreement are the same as those assessed under the Fund's prior
advisory agreement.
Economies of Scale. The Board considered any potential economies of scale that
may result from the Transaction. The Board further noted Guggenheim's statement
that such economies of scale could not be predicted in advance of the closing
of the Transaction.
Other Benefits. The Board noted its prior determination that the advisory fees
were reasonable, taking into consideration other benefits to the Adviser
(including the receipt by Claymore of an administrative fee). The Board also
considered other benefits to the Adviser, Guggenheim and their affiliates
expected to be derived from their relationships with the Fund as a result of
the Transaction and noted that no additional benefits were reported by the
Adviser or Guggenheim as a result of the Transaction. Therefore, the Board
concluded that the advisory fees continued to be reasonable, taking into
consideration other benefits.
NEW SUB-ADVISORY AGREEMENT AND INTERIM SUB-ADVISORY AGREEMENT
In conjunction with the consideration of the Transaction and the approval of a
New Advisory Agreement and Interim Advisory Agreement, the Board, including the
Independent Trustees, also considered the Fund's New Sub-Advisory Agreement and
Interim Sub-Advisory Agreement. The Board noted that while the closing of the
Transaction would result in the termination of the prior sub-advisory agreement
pursuant to its terms, the Sub-Adviser was not a party to the Transaction and
the operations of the Sub-Adviser and the services to be provided by the
Sub-Adviser would be unaffected by the Transaction.
The Board determined that there were no material differences between the terms
of the Interim Sub-Advisory Agreement and the corresponding prior sub-advisory
agreement, except with respect to those provisions required to comply with Rule
15a-4 under the 1940 Act, and that there were no material differences between
the terms of the New Sub-Advisory Agreement and the prior sub-advisory
agreement. The Board noted that the compensation to be received by the
Sub-Adviser under the Interim Sub-Advisory Agreement and New Sub-Advisory
Agreement is not greater than the compensation the Sub-Adviser would have
received under the prior sub-advisory agreement. The Board noted that the scope
and quality of services to be provided to the Fund under the Interim
Sub-Advisory Agreement and New Sub-Advisory Agreement would be at least
equivalent to the scope and quality of services provided under the prior
sub-advisory agreement. The Board noted that, within the last year, it had
engaged in a thorough review of the various factors, including fees and
performance, which are part of the evaluation of the renewal or approval of a
sub-advisory agreement.
The Board noted that the factors previously considered with respect to approval
of the prior sub-advisory agreement continued to support the approval of the
New Sub-Advisory Agreement and Interim Sub-Advisory Agreement. The Board also
determined to consider such factors again within one year of the execution of
the New Sub-Advisory Agreement. Based upon its review, the Board concluded that
it was in the best interest of the Fund to approve the New Sub-Advisory
Agreement and Interim Sub-Advisory Agreement.
OVERALL CONCLUSIONS
Based upon all of the information considered and the conclusions reached, the
Board determined that the terms of the Advisory Agreements are fair and
reasonable and that approval of the Advisory Agreements is in the best
interests of the Fund.
30 | Annual Report | December 31, 2009
OLA | Old Mutual/Claymore Long-Short Fund
Fund INFORMATION |
BOARD OF TRUSTEES OFFICERS INVESTMENT ADVISER
Matthew J.Appelstein* J. Thomas Futrell Claymore Advisors, LLC
Chief Executive Officer Lisle, Illinois
Randall C. Barnes
Kevin Robinson INVESTMENT SUB-ADVISER
Steven D. Cosler Chief Legal Officer Analytic Investors, LLC
Los Angeles, California
Robert M. Hamje Steven M. Hill
Chief Accounting Officer, Chief ADMINISTRATOR
L. Kent Moore Financial Officer and Treasurer Claymore Advisors, LLC
Lisle, Illinois
Mark Mathiasen
Ronald A. Nyberg Secretary ACCOUNTING AGENT, CUSTODIAN
AND TRANSFER AGENT
Ronald E.Toupin, Jr. Elizabeth H. Hudson The Bank of New York Mellon
Assistant Secretary New York, New York
* Trustee is an "interested person" Bruce Saxon LEGAL COUNSEL
of the Fund as defined in the Chief Compliance Officer Skadden, Arps, Slate,
Investment Company Act of 1940, as Meagher & Flom LLP
amended, as a result of his Chicago, Illinois
position as an officer of Old
Mutual Asset Management, the parent INDEPENDENT REGISTERED PUBLIC
company of the Fund's Sub-Adviser. ACCOUNTING FIRM
Ernst &Young LLP
Chicago, Illinois
PRIVACY PRINCIPLES OF OLD MUTUAL/CLAYMORE LONG-SHORT FUND FOR SHAREHOLDERS
The Fund is committed to maintaining the privacy of its shareholders and to
safeguarding its non-public personal information. The following information is
provided to help you understand what personal information the Fund collects,
how we protect that information and why, in certain cases, we may share
information with select other parties.
Generally, the Fund does not receive any non-public personal information
relating to its shareholders, although certain non-public personal information
of its shareholders may become available to the Fund. The Fund does not
disclose any non-public personal information about its shareholders or former
shareholders to anyone, except as permitted by law or as is necessary in order
to service shareholder accounts (for example, to a transfer agent or third
party administrator).
The Fund restricts access to non-public personal information about the
shareholders to Claymore Advisors, LLC employees with a legitimate business
need for the information. The Fund maintains physical, electronic and
procedural safeguards designed to protect the non-public personal information
of its shareholders.
QUESTIONS CONCERNING YOUR SHARES OF OLD MUTUAL/CLAYMORE LONG-SHORT FUND?
o If your shares are held in a Brokerage Account, contact your Broker.
o If you have physical possession of your shares in certificate form, contact
the Fund's Custodian and Transfer Agent:
The Bank of New York Mellon, 101 Barclay 11E, New York, New York 12086
(866) 488-3559
This report is sent to shareholders of Old Mutual/Claymore Long-Short Fund for
their information. It is not a Prospectus, circular or representation intended
for use in the purchase or sale of shares of the Fund or of any securities
mentioned in this report.
A description of the Fund's proxy voting policies and procedures related to
portfolio securities is available without charge, upon request, by calling the
Fund at (866) 882-0688.
Information regarding how the Fund voted proxies for portfolio securities, if
applicable, during the most recent 12-month period ended June 30, is also
available, without charge and upon request by calling (866) 882-0688, by
visiting Claymore's website at www.claymore/ola or by accessing the Fund's Form
N-PX on the U.S. Securities and Exchange Commission's ("SEC") website at
www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q
is available on the SEC website at www.sec.gov or by visiting Claymore's
website at www.claymore/ola. The Fund's Form N-Q may also be viewed and copied
at the SEC's Public Reference Room in Washington, DC; information on the
operation of the Public Reference Room may be obtained by calling (800)
SEC-0330.
Notice is hereby given in accordance with Section 23(c) of the Investment
Company Act of 1940 that the Fund may from time to time purchase its shares of
common stock in the open market.
Annual Report | December 31, 2009 | 31
OLA | Old Mutual/Claymore Long-Short Fund
About the FUND MANAGER |
ANALYTIC INVESTORS, LLC
Analytic Investors specializes in the application of systematic investment
processes to evaluate and exploit opportunities in the global equity, fixed
income and derivative securities markets. Based in Los Angeles and wholly owned
by Old Mutual plc, Analytic employs 35 professionals and manages more than $9
billion. The firm manages a range of traditional, long-only equity products as
well as a number of absolute return strategies. The firm was founded in 1970
and, since that time, has focused on delivering valued-added, risk-controlled
investment strategies to its range of institutional, fund-of-fund, and high net
worth clients.
INVESTMENT PHILOSOPHY
Analytic's philosophy is anchored in the conviction that the systematic
application of quantitative techniques to assess opportunity has the potential
to deliver quality, risk-adjusted performance, regardless of market cycle.
Analytic's quantitative methods bring together the best attributes of
individual security selection and unbiased portfolio modeling, yielding a
management style that is both disciplined and responsive.
INVESTMENT PROCESS
Analytic's innovative research seeks to uncover the factors that are driving
performance and are likely to be important going forward. Two core beliefs
underlie the firm's investment process:
o The attractiveness of every security is determined by a multitude of
factors that can be measured.
o The desirability of a security's characteristics change with economic
conditions.
Sophisticated quantitative techniques enable Analytic to simultaneously analyze
a variety of unique characteristics -- such as relative valuation, growth
potential, historical returns, liquidity and risk -- in an effort to identify
and exploit opportunities. Analytic uses thorough statistical analysis in an
attempt to identify the merits of each security as well as the relationships
between each security's measurable characteristics that may be driving its
performance.
Analytic's proprietary multi-factor return models are applied in a
risk-controlled environment. The firm's highly evolved and successful approach,
supported by the research efforts of its investment team, capitalizes on
opportunity while neutralizing systematic market exposure and overall risk.
CLAYMORE SECURITIES, INC.
2455 Corporate West Drive
Lisle, IL 60532
Member FINRA/SIPC
(02/10) NOT FDIC-INSURED | NOT BANK- GUARANTEED | MAY LOSE VALUE
OLA
LISTED
NYSE (R)
OLA-AR-1209
ITEM 2. CODE OF ETHICS.
(a) The registrant has adopted a code of ethics (the "Code of Ethics") that
applies to its principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing similar
functions.
(b) No information need be disclosed pursuant to this paragraph.
(c) The registrant has not amended its Code of Ethics during the period covered
by the shareholder report presented in Item 1 hereto.
(d) The registrant has not granted a waiver or an implicit waiver to its
principal executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions from a provision
of its Code of Ethics during the period covered by this report.
(e) Not applicable.
(f) (1) The registrant's Code of Ethics is attached hereto as an exhibit.
(2) Not applicable.
(3) Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Trustees has determined that it has at least one audit
committee financial expert serving on its audit committee (the "Audit
Committee"), Randall C. Barnes. Mr. Barnes is an "independent" Trustee. Mr.
Barnes qualifies as an audit committee financial expert by virtue of his
experience obtained as a former Senior Vice President, Treasurer of PepsiCo,
Inc.
(Under applicable securities laws, a person who is determined to be an audit
committee financial expert will not be deemed an "expert" for any purpose,
including without limitation for the purposes of Section 11 of the Securities
Act of 1933, as amended, as a result of being designated or identified as an
audit committee financial expert. The designation or identification of a person
as an audit committee financial expert does not impose on such person any
duties, obligations, or liabilities that are greater than the duties,
obligations, and liabilities imposed on such person as a member of the Audit
Committee and Board of Trustees in the absence of such designation or
identification. The designation of identification of a person as an audit
committee financial expert does not affect the duties, obligations or liability
of any other member of the Audit Committee or Board of Trustees.)
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees: the aggregate fees billed for professional services rendered by
the principal accountant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements
were $41,500 and $41,500 for the fiscal years ending December 31, 2009, and
December 31, 2008, respectively.
(b) Audit-Related Fees: the aggregate fees billed for assurance and related
services by the principal accountant that are reasonably related to the
performance of the audit of the registrant's financial statements and are not
reported under paragraph (a) of this Item were $0 and $0 for the fiscal years
ending December 31, 2009, and December 31, 2008, respectively.
The registrant's principal accountant did not bill fees for non-audit services
that required approval by the Audit Committee pursuant to paragraph (c)(7)(ii)
of Rule 2-01 of Regulation S-X during the Registrant's last two fiscal years.
(c) Tax Fees: the aggregate fees billed for professional services rendered by
the principal accountant for tax compliance, tax advice, and tax planning
including federal, state and local income tax return preparation and related
advice and determination of taxable income and miscellaneous tax advice were
$6,000 and $6,000 for the fiscal years ending December 31, 2009 and December 31,
2008, respectively.
The registrant's principal accountant did not bill fees for non-audit services
that required approval by the Audit Committee pursuant to paragraph (c)(7)(ii)
of Rule 2-01 of Regulation S-X during the Registrant's last two fiscal years.
(d) All Other Fees: the aggregate fees billed for products and services provided
by the principal accountant, other than the services reported in paragraphs 4(a)
thru 4(c) of this Item were $0 and $0 for the fiscal years ending December 31,
2009, and December 31, 2008, respectively.
The registrant's principal accountant did not bill fees for non-audit services
that required approval by the Audit Committee pursuant to paragraph (c)(7)(ii)
of Rule 2-01 of Regulation S-X during the Registrant's last two fiscal years.
(e). Audit Committee Pre-Approval Policies and Procedures.
(i) The Registrant's audit committee reviews, and in its sole
discretion, pre-approves, pursuant to written pre-approval procedures (A) all
engagements for audit and non-audit services to be provided by the principal
accountant to the registrant and (B) all engagements for non-audit services to
be provided by the principal accountant (1) to the registrant's investment
adviser (not including a sub-adviser whose role is primarily portfolio
management and is sub-contracted or overseen by another investment adviser) and
(2) to any entity controlling, controlled by or under common control with the
registrant's investment adviser that provides ongoing services to the
registrant; but in the case of the services described in subsection (B)(1) or
(2), only if the engagement relates directly to the operations and financial
reporting of the registrant; provided that such pre-approval need not be
obtained in circumstances in which the pre-approval requirement is waived under
rules promulgated by the Securities and Exchange Commission or New York Stock
Exchange listing standards. Sections IV.C.2 and IV.C.3 of the Audit Committee's
revised Audit Committee Charter contain the Audit Committee's Pre-Approval
Policies and Procedures and such sections are included below.
IV.C.2 Pre-approve any engagement of the independent auditors to provide any
non-prohibited services to the I Fund, including the fees and other
compensation to be paid to the independent auditors (unless an
exception is available under Rule 2-01 of Regulation S-
X).
(a) The Chairman or any member of the Audit Committee may grant the
pre-approval of services to the Fund for non-prohibited services up to
$10,000. All such delegated pre-approvals shall be presented to the
Audit Committee no later than the next Audit Committee meeting.
IV.C.3 Pre-approve any engagement of the independent auditors, including the
fees and other compensation to be paid to the independent auditors, to
provide any non-audit services to the Adviser (or any "control I
affiliate" of the Adviser providing ongoing services to the Fund), if
the engagement relates directly to the operations and financial
reporting of the Fund (unless an exception is available under Rule 2-01
of Regulation S-X).
(a) The Chairman or any member of the Audit Committee may grant
the pre-approval for non-audit services to the Adviser up to
$10,000. All such delegated pre-approvals shall be presented
to the Audit Committee no later than the next Audit Committee
meeting.
(ii) None of the services described in each of Items 4(b) through (d) were
approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01
of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, the registrant's investment adviser (not
including a sub-adviser whose role is primarily portfolio management and is
sub-contracted with or overseen by another investment adviser) and or any entity
controlling, controlled by, or under common control with the adviser that
provides ongoing services to the registrant that directly related to the
operations and financial reporting of the registrant was $6,000 and $6,000 for
the fiscal years ending December 31, 2009, and December 31, 2008, respectively.
(h) Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a)The registrant has a separately designated standing audit committee was
established in accordance with Section 3(a)(58)(A) of the Securities Exchange
Act of 1934, as amended. The audit committee of the registrant is composed of:
Randall C. Barnes, Steven D. Cosler, Robert M. Hamje, L. Kent Moore, Ronald A.
Nyberg and Ronald E. Toupin, Jr.
(b) Not Applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
The Schedule of Investments is included as part of Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
The registrant has delegated the voting of proxies relating to its voting
securities to its investment sub-adviser, Analytic Investors, LLC (the
"Sub-Adviser" or "Analytic"). The Sub-Adviser's proxy voting policies and
procedures are included as an exhibit hereto.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A team of investment professionals at Analytic shares primary responsibility for
the day-to-day portfolio management of the Fund. Mr. McMurran and Mr. Bein
oversee the team regarding the management of the Fund. The following provides
information regarding the members of the team.
NAME SINCE PROFESSIONAL EXPERIENCE
---- ----- -----------------------
Gregory M. McMurran 2005 Mr. McMurran (Chief Investment Officer and Portfolio Manager) is responsible
(Inception) for the management of implementation of Analytic's investment strategies,
including those used for the Fund. He joined Analytic in 1976. He is a major
contributor to the firm's ongoing research efforts as well as new product
development and strategy applications. Mr. McMurran has an extensive
background in the implementation of the firm's quantitative investment
strategies. He received a B.S. in Economics from the University of California,
Irvine. He also received an M.A. in Economics at California State University,
Fullerton. He has 33 years of industry experience.
Harindra de Silva, 2005 Dr. de Silva (President and Portfolio Manager) is responsible for Analytic's
Ph.D., CFA (Inception) strategic direction and the ongoing development of its investment processes.
He focuses on the ongoing research and portfolio management efforts for the
firm's U.S. equity strategies and Tactical Asset Allocation strategies. Before
joining Analytic in 1995, he was a principal at Analysis Group, Inc., where he
was responsible for providing economic research services to institutional
investors including investment managers, large pension funds and endowments.
He received a Ph.D. in Finance from the University of California, Irvine. He
holds a B.S. in Mechanical Engineering from the University of Manchester
Institute of Science and Technology and an M.B.A. in Finance and an M.S. in
Economic Forecasting from the University of Rochester. Dr. de Silva is a
member of the Association for Investment Management and Research, the American
Finance Association and the International Association of Financial Analysts.
He has 24 years of industry experience.
Dennis Bein, CFA 2005 Mr. Bein (Chief Investment Officer and Portfolio Manager) is responsible for
(Inception) the ongoing research for Analytic's U.S. equity strategies as well as the
day-to-day portfolio management and trading of those accounts. Before joining
Analytic in 1995, Mr. Bein was a Senior Consultant for AG Risk Management,
Analysis Group, Inc.'s investment consulting subsidiary. He received an M.B.A.
from the Anderson Graduate School of Management at the
University of California, Riverside. Mr. Bein completed his undergraduate
studies in Business Administration at the University of California, Riverside.
He is a Chartered Financial Analyst and a member of the Association for
Investment Management and Research, the Institute of Chartered Financial
Analysts and the Los Angeles Society of Financial Analysts. He has 20 years of
industry experience.
Yigal Newman, Ph.D 2009 Dr. Newman (Portfolio Manager) is responsible for ongoing research and
development of options and other volatility based-investment strategies as
well as the day-to-day portfolio management and trading of such accounts.
Before joining Analytic in 2005, he was previously employed at Dimensional
Fund Advisors (DFA) where he worked on various alpha generation and
quantitative analysis projects. Dr. Newman received a Ph.D in Finance from the
Graduate School of Business at Stanford University and a B.S. in Industrial
Engineering and Management from the Israel Institute of Technology.
Ram Willner, D.B.A 2009 Mr. Willner (Portfolio Manager) is responsible for the ongoing research and
development of fixed income and currency based strategies as well as the
day-to-day portfolio management and trading of such accounts. Before joining
Analytic in 2008, Mr. Willner led global analytics at PIMCO and Banc of
America Capital Management (BACAP) Fixed Income Department. For the past 10
years, Ram extended his quantitative background to serve as a domestic and
international fixed income portfolio manager, managing real money and levered
investments at Morgan Stanley Asset Management (in London), at BACAP, and at
Global Fixed Income Partners. Ram has lectured and published extensively on
fixed income topics, particularly with an emphasis on quantitative approaches.
Mr. Willner received a D.B.A. in Financial Mathematics from Harvard
University; an MBA from Carnegie Mellon University; and a B.A. in Mathematics
with Honors from Brandeis University. He has 23 years of industry experience.
Steven Sapra, CFA 2005 Mr. Sapra (Portfolio Manager) is responsible for the ongoing research for
(Inception) Analytic's U.S. equity strategies as well as day-to-day portfolio management
and trading. Before joining Analytic in 1999, Mr. Sapra was a Senior
Consultant for BARRA, Inc. He received an M.A. in Economics from the
University of Southern California and a B.S. in Economics from California
State Polytechnic University, Pomona. He is a Chartered Financial Analyst and
a member of the CFA Institute and the Los Angeles Society of Financial
Analysts. He has 13 years of industry experience.
David Krider, CFA 2005 Mr. Krider (Portfolio Manager) is responsible for the ongoing research and
(Inception) development of global equity based investment strategies as well as the
day-to-day trading of global portfolios. Before joining Analytic in 2005, Mr.
Krider was founder and Chief
Technology Officer of Visualize, Inc., a firm that specializes in financial
visualization and analytic software. He was also a research associate at First
Quadrant before leaving to start his own firm. He received a B.S. in Economics
and Computer Science from California Institute of Technology.
Gregory McMurran and Dennis Bein, as Analytic Chief Investment Officers,
generally oversee all aspects of the day-to-day management of the Fund. Mr.
McMurran has primary responsibility for the oversight of the firm's derivatives
based investment strategies and Mr. Bein has primary responsibility for the
oversight of the firm's equity based investment strategies. Under Mr. McMurran's
direction, Ram Willner and David Krider serve as portfolio managers for global
asset allocation strategies and Yigal Newman serves as lead portfolio manager
for options and other volatility based strategies. Under Mr. Bein's direction,
Steven Sapra serves as lead portfolio manager for U.S. equity based strategies,
and Harindra de Silva heads the firm's research efforts on behalf of the Fund.
The following summarizes the structure of and methods used to determine the
compensation of each individual, each of whom is employed by the Sub-Adviser,
that shares primary responsibility for the day-to-day portfolio management of
the Fund (the "Analytic Portfolio Managers"):
Compensation. Analytic's compensation structure for professional employees
consists of an industry median base salary (based on independent industry
information) and an annual discretionary bonus. Bonus amounts are determined
using the following factors: the overall success of the firm in terms of
profitability; the overall success of the department or team; and an
individual's contribution to the team based on goals established during the
performance period. In October 2007, the Analytic board adopted an equity plan
that allows key employees of the firm to hold up to 24.9% direct or indirect
nonvoting equity interests in the firm. Old Mutual will maintain its majority
ownership in the firm. Participants in the Analytic Investors LLC Equity Plan
include our executive management team and senior investment team members.
The base salaries of the Analytic Portfolio Managers are typically reviewed on
an annual basis, determined by each portfolio manager's date of employment.
Discretionary bonuses are determined annually, based upon an analysis of
information from the prior calendar year. Profit sharing allocations are made on
an annual basis.
Conflicts of Interest. Analytic and its officers, employees and beneficial
owners shall be free from time to time to acquire, possess, manage, and dispose
of securities or other investment assets for their own accounts, for the
accounts of their families, for the account of any entity in which they have a
beneficial interest or for the accounts of others for whom they may provide
investment advisory, brokerage or other services (collectively, "Managed
Accounts"), in transactions which may or may not correspond with transactions
effected or positions held in the Fund. It is understood that when Analytic
determines that it would be appropriate for the Fund and one or more Managed
Accounts to participate in an investment opportunity, Analytic will seek to
execute orders for the Fund and for such Managed Accounts on a basis which it
considers equitable, but that equality of treatment of the Fund and other
Managed Accounts is not assured. In such situations, Analytic may (but is not be
required to) place orders for the Fund and each other Managed Account
simultaneously and if all such orders are not filled at the same price, Analytic
may cause the Fund and each Managed Account to pay or receive the average of the
prices at which the orders were filled. If all such orders cannot be fully
executed under prevailing market conditions, Analytic may allocate the
securities traded among the Fund and other Managed Accounts in a manner which it
considers equitable, taking into account the size of the order placed for the
Fund and each other Managed Account as well as any other factors which it deems
relevant.
Certain of the Managed Accounts Analytic advises may sell securities short,
including securities with respect to which other Managed Accounts hold long
positions. The portfolio managers and traders for these Managed Accounts are not
separated from the rest of Analytic's investment personnel and therefore have
access to full information about Analytic's investment research and the
investment decisions and strategies being employed for the Managed Accounts.
These Managed Accounts pay Analytic management fees at rates comparable to and
in some cases lower than those paid by the Fund and other Managed Accounts.
Analytic also receives a significant share of any profits earned by certain of
the Managed Accounts as incentive compensation. As a result, Analytic may have a
conflict between its own interests and the interests of other Analytic
investment advisory clients in managing the portfolios of certain of these
Managed Accounts.
In order to minimize these potential conflicts of interest, Analytic has adopted
various procedures and safeguards. For example, except for short sales done to
take advantage of short-term volatility, Analytic will not sell a security short
that another Managed Account owns until (1) it discloses to the relevant
portfolio managers its intention to sell short and the reasons for selling short
and (2) allows the portfolio managers a reasonable time to make an investment
decision to hold or sell that security.
Other accounts managed. The following summarizes information regarding each of
the other accounts managed by the Analytic Portfolio Managers as of December 31,
2009:
REGISTERED INVESTMENT OTHER POOLED INVESTMENT
COMPANIES VEHICLES OTHER ACCOUNTS
----------------------- --------------------------- -----------------------
# OF TOTAL ASSETS # OF TOTAL ASSETS # OF TOTAL ASSETS
NAME ACCOUNTS ($MILLION) ACCOUNTS ($MILLION) ACCOUNTS ($MILLION)
------------- -------- ------------ -------- ------------ -------- ------------
Dennis Bein 12 (0) $3,431.7 18 (8) $2,300.6 34 (13) $2,736.7
($0) ($1,355.3) ($1,019.5)
Harindra de Silva 14 (0) $3,634.4 18 (8) $2,376.0 31 (13) $2,831.8
($0) ($1,355.3) ($1,019.5)
David Krider 5 (0) $438.8 ($0) 3 (0) $154.7 ($0) 3 (2) $409.1
($243.1)
Greg McMurran 5 (0) $464.4 ($0) 1 (0) $104.3 ($8.4) 2 (0) $176.7 ($0)
Yigal Newman 4 (0) $322.5 ($0) 0 (0) $0 ($0) 1 (0) $165.9 ($0)
Steven Sapra 10 (0) $3,255.9 11 (5) $1,777.6 29 (8) $2,420.0
($0) ($1,072.7) ($702.9)
Ram Willner 3 (0) $292.6 ($0) 1 (0) $104.3 ($0) 2 (0) $176.7 ($0)
( ) represents the number and value of accounts within the total accounts that
are subject to a performance based advisory fee.
Securities ownership. The following table discloses the dollar range of equity
securities of the Fund beneficially owned by the each of the Analytic Portfolio
Managers as of December 31, 2009:
DOLLAR
RANGE OF
EQUITY
SECURITIES IN
NAME OF PORTFOLIO MANAGER FUND
------------------------- -------------
Dennis Bein None
Harindra de Silva None
David Krider None
Greg McMurran None
Yigal Newman None
Steven Sapra None
Ram Willner None
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
None.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant has not made any material changes to the procedures by which
shareholders may recommend nominees to the registrant's Board of Trustees.
ITEM 11. 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 30a3(c) under the Investment Company Act) as of a date within 90 days of
this filing and have concluded based on such evaluation as required by Rule
30a-3(b) under the Investment Company Act of 1940, 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-CSR
was recorded, processed, summarized, and reported within the time periods
specified in the Securities and Exchange Commission's rules and forms.
(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) that
occurred during the registrant's second fiscal quarter of the period covered by
this report that have materially affected, or are reasonably likely to
materially affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics for Chief Executive and Senior Officers.
(a)(2) Certifications of principal executive officer and principal financial
officer pursuant to Rule 30a-2(a) of the Investment Company Act.
(a)(3) Not Applicable.
(b) Certifications of principal executive officer and principal financial
officer pursuant to Rule 30a-2(b) of the Investment Company Act and Section 906
of the Sarbanes-Oxley Act of 2002.
(c) Proxy Voting Policies and Procedures.
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) Old Mutual/Claymore Long-Short Fund
-----------------------------------
By: /s/ J. Thomas Futrell
---------------------------------------
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: March 4, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
By: /s/ J. Thomas Futrell
---------------------------------------
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: March 4, 2010
By: /s/ Steven M. Hill
Name: Steven M. Hill
---------------------------------------
Title: Chief Financial Officer, Chief Accounting Officer and Treasurer
Date: March 4, 2010