UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-22066
---------
Cornerstone Progressive Return Fund
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
383 Madison Avenue, New York, NY 10179
--------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Kayadti A. Madison
Cornerstone Progressive Return Fund, 383 Madison Avenue, New York, NY 10179
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (212) 272-3550
--------------
Date of fiscal year end: December 31, 2008
-----------------
Date of reporting period: March 31, 2008
------------------
ITEM 1: SCHEDULE OF INVESTMENTS
================================================================================
CORNERSTONE PROGRESSIVE RETURN FUND
SCHEDULE OF INVESTMENTS -- MARCH 31, 2008 (UNAUDITED)
================================================================================
NO. OF
DESCRIPTION SHARES VALUE
------------------------------------------------ --------- --------
EQUITY SECURITIES - 99.45%
CLOSED-END FUNDS - 2.41%
Boulder Growth & Income Fund Inc. ^ 6,000 $ 49,620
Dreman/Claymore Dividend & Income Fund 63,050 906,028
Liberty All-Star Equity Fund 217,000 1,386,630
Royce Value Trust, Inc. 24,000 376,320
-----------
2,718,598
-----------
CONSUMER DISCRETIONARY - 9.08%
Amazon.com, Inc. * 5,500 392,150
Best Buy Co., Inc. 8,000 331,680
Carnival Corporation 5,000 202,400
Coach, Inc. * 4,000 120,600
Comcast Corporation, Class A 36,000 696,240
DIRECTV Group, Inc. (The) * 15,000 371,850
Ford Motor Company * 30,000 171,600
GameStop Corporation, Class A * 2,500 129,275
Gap, Inc. (The) 11,000 216,480
Home Depot, Inc. (The) 20,000 559,400
Johnson Controls, Inc. 10,000 338,000
Kohl's Corporation * 3,500 150,115
Lowe's Companies, Inc. 14,000 321,160
Marriott International, Inc., Class A 6,500 223,340
McDonald's Corporation 15,000 836,550
News Corporation, Class A 31,000 581,250
NIKE, Inc., Class B 8,000 544,000
Nordstrom, Inc. 5,500 179,300
Omnicom Group Inc. 4,000 176,720
Philip Morris International Inc. * 21,000 1,062,180
Staples, Inc. 10,000 221,100
Starbucks Corporation * 8,000 140,000
Target Corporation 8,000 405,440
Tata Motors Limited ADR 10,000 156,200
Time Warner Inc. 35,000 490,700
TJX Companies, Inc. (The) 5,000 165,350
Walt Disney Company (The) 25,000 784,500
Yum! Brands, Inc. 8,000 297,680
-----------
10,265,260
-----------
CONSUMER STAPLES - 10.25%
Altria Group, Inc. 21,000 466,200
Anheuser-Busch Companies, Inc. 7,000 332,150
Archer-Daniels-Midland Company 6,000 246,960
Coca-Cola Company (The) 25,000 1,521,750
Colgate-Palmolive Company 5,000 389,550
ConAgra Foods, Inc. 9,000 215,550
CVS Corporation 14,000 567,140
General Mills, Inc. 5,000 299,400
Kimberly-Clark Corporation 4,500 290,475
Kraft Foods Inc, Class A 18,000 558,180
Kroger Co. (The) 7,000 177,800
PepsiCo, Inc. 15,000 1,083,000
Procter & Gamble Company (The) 31,000 2,172,170
Sysco Corporation 7,000 203,140
Walgreen Co. 11,000 418,990
Wal-Mart Stores, Inc. 50,000 2,634,000
-----------
11,576,455
-----------
ENERGY - 12.94%
Apache Corporation 3,500 422,870
Chevron Corporation 25,000 2,134,000
ConocoPhillips 17,000 1,295,570
Devon Energy Corporation 8,000 834,640
Exxon Mobil Corporation 60,000 5,074,800
Halliburton Company 15,000 589,950
National-Oilwell Varco, Inc. * 5,000 291,900
Noble Corporation 5,000 248,350
Occidental Petroleum Corporation 10,000 731,700
Peabody Energy Corporation 5,000 255,000
Schlumberger Limited 15,500 1,348,500
Spectra Energy Corporation 11,000 250,250
Transocean Inc. * 2,098 283,650
Weatherford International Ltd. * 6,000 434,820
Williams Companies, Inc. (The) 13,000 428,740
-----------
14,624,740
-----------
FINANCIALS - 15.17%
AFLAC Incorporated 8,000 519,600
American Express Company 12,500 546,500
American International Group, Inc. 33,000 1,427,250
Ameriprise Financial, Inc. 5,000 259,250
Aon Corporation 6,000 241,200
Bank of America Corporation 44,000 1,668,040
Bank of New York Mellon Corporation 14,000 584,220
BB&T Corporation 10,000 320,600
Capital One Financial Corporation 4,500 221,490
Charles Schwab Corporation (The) 18,000 338,940
Chubb Corporation (The) 7,000 346,360
Citigroup Inc. 46,000 985,320
CME Group Inc. 500 234,550
Fannie Mae 19,000 500,080
Franklin Resources, Inc. 5,000 484,950
Goldman Sachs Group, Inc. (The) 5,000 826,950
JPMorgan Chase & Co. 39,000 1,675,050
KeyCorp ^ 7,000 153,650
Lehman Brothers Holdings Inc. 6,000 225,840
Loews Corporation 5,000 201,100
Manulife Financial Corporation 10,000 379,800
Marsh & McLennan Companies, Inc. 5,500 133,925
Metlife, Inc. 11,000 662,860
Morgan Stanley 10,000 457,000
PNC Financial Services Group, Inc. 4,000 262,280
ProLogis 5,000 294,300
State Street Corporation 5,000 395,000
SunTrust Banks, Inc. 7,000 385,980
Travelers Companies, Inc. (The) 10,000 478,500
Wachovia Corporation 25,000 675,000
Wells Fargo & Company 38,000 1,105,800
XL Capital Ltd. - Class A 5,000 147,750
-----------
17,139,135
-----------
HEALTHCARE - 11.36%
Abbott Laboratories 17,000 937,550
Aetna Inc. 9,000 378,810
Amgen Inc. * 12,000 501,360
Baxter International Inc. 11,000 636,020
Biogen Idec Inc. * 3,500 215,915
Bristol-Myers Squibb Company 20,000 426,000
Celgene Corporation * 4,000 245,160
Eli Lilly and Company 15,000 773,850
Express Scripts, Inc * 4,000 257,280
Gilead Sciences, Inc. * 13,000 669,890
Johnson & Johnson 33,000 2,140,710
Medco Health Solutions, Inc. * 12,000 525,480
Medtronic, Inc. 16,000 773,920
Merck & Co. Inc. 40,000 1,518,000
Schering-Plough Corporation 20,000 288,200
St. Jude Medical, Inc. * 7,000 302,330
Stryker Corporation 8,000 520,400
UnitedHealth Group Incorporated 18,000 618,480
WellPoint Inc. * 6,500 286,845
Wyeth 14,000 584,640
Zimmer Holdings, Inc. * 3,000 233,580
-----------
12,834,420
-----------
INDUSTRIALS - 11.73%
3M Co. 5,000 395,750
Boeing Company (The) 5,000 371,850
Burlington Northern Santa Fe Corporation 4,000 368,880
Caterpillar Inc. 7,000 548,030
CSX Corporation 8,000 448,560
Danaher Corporation 8,000 608,240
Deere & Company 10,000 804,400
Emerson Electric Co. 11,000 566,060
General Dynamics Corporation 4,000 333,480
General Electric Company 111,000 4,108,110
Honeywell International Inc. 12,000 677,040
Illinois Tool Works Inc. 9,000 434,070
Lockheed Martin Corporation 4,000 397,200
Norfolk Southern Corporation 3,500 190,120
Raytheon Company 7,000 452,270
Textron Inc. 3,000 166,260
United Parcel Service, Inc., Class B 17,000 1,241,340
United Technologies Corporation 13,000 894,660
Waste Management, Inc. 7,500 251,700
-----------
13,258,020
-----------
INFORMATION TECHNOLOGY - 15.72%
Agilent Technologies Inc. * 7,000 208,810
Apple Computer, Inc. * 9,000 1,291,500
Applied Materials, Inc. 15,000 292,650
Automatic Data Processing, Inc. 9,000 381,510
Cisco Systems, Inc. * 66,000 1,589,940
Corning Incorporated 20,000 480,800
Dell Inc. * 16,000 318,720
eBay Inc. * 16,000 477,440
EMC Corporation * 26,000 372,840
Google Inc. * 4,500 1,982,115
Hewlett-Packard Company 28,000 1,278,480
Intel Corporation 61,000 1,291,980
International Business Machines Corporation 15,000 1,727,100
Microsoft Corporation 105,000 2,979,900
NVIDIA Corporation * 9,000 178,110
Oracle Corporation * 60,000 1,173,600
Paychex, Inc. 5,000 171,300
QUALCOMM Inc. 17,000 697,000
Sun Microsystems, Inc. * 8,750 135,888
Texas Instruments Incorporated 18,000 508,860
Xerox Corporation 10,000 149,700
Xilinx, Inc. 3,000 71,250
-----------
17,759,493
-----------
MATERIALS - 3.57%
Air Products & Chemicals, Inc. 2,500 230,000
Alcoa Inc. 12,000 432,720
Dow Chemical Company (The) 7,000 257,950
E. I. du Pont de Nemours and Company 12,500 584,500
Freeport-McMoRan Copper & Gold, Inc. 8,000 769,760
International Paper Company 5,000 136,000
Monsanto Company 10,000 1,115,000
Praxair, Inc. 6,000 505,380
-----------
4,031,310
-----------
REAL ESTATE INVESTMENT TRUSTS - 0.61%
Public Storage 2,500 221,550
Simon Property Group, Inc. 5,000 464,550
-----------
686,100
-----------
TELECOMMUNICATION SERVICES - 3.62%
AT&T Inc. 72,000 2,757,600
Nokia ADR 5,000 159,150
Qwest Communications International Inc. 9,000 40,770
Verizon Communications Inc. 31,000 1,129,950
-----------
4,087,470
-----------
UTILITIES - 2.99%
American Electric Power Company, Inc. 7,000 291,410
Dominion Resources, Inc. 14,000 571,760
Duke Energy Corporation 20,000 357,000
Entergy Corporation 5,000 545,400
Exelon Corporation 6,000 487,620
FPL Group, Inc. 7,000 439,180
PPL Corporation 4,000 183,680
Southern Company (The) 14,000 498,540
-----------
3,374,590
-----------
TOTAL EQUITY SECURITIES
(cost - $127,720,827) 112,355,591
-----------
PRINCIPAL
AMOUNT
(000'S)
----------
SHORT-TERM INVESTMENTS - 0.71%
MONEY MARKET SECURITY - 0.68%
JPMorgan U.S. Government Money Market Fund $ 770 770,233
-------------
REPURCHASE AGREEMENTS - 0.03%
Bear, Stearns & Co. Inc. + ++
(Agreements dated 3/31/2008 to
be repurchased at $24,752, 3.00%,
4/1/2008, collateralized by $25,913
in United States Treasury Bonds) 25 24,750
Bear, Stearns & Co. Inc. + ++
(Agreements dated 3/31/2008 to
be repurchased at $1,772, 1.50%,
4/1/2008, collateralized by $2,356
in United States Treasury Bonds) 2 1,772
-------------
26,522
-------------
TOTAL SHORT-TERM INVESTMENTS
(cost - $796,755) 796,755
-------------
TOTAL INVESTMENTS - 100.16%
(cost - $128,517,582) 113,152,346
-------------
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.16)% (175,739)
-------------
NET ASSETS - 100.00% $ 112,976,607
=============
---------------
^ Security or a portion thereof is out on loan.
* Non-income producing security.
ADR American Depositary Receipt
+ Stated interest rate, before rebate earned by borrower of securities on loan.
++ Represents investment purchased with collateral received for securities on
loan.
Federal Income Tax Cost: At March 31, 2008 the identified cost for federal
income tax purposes, as well as the gross unrealized appreciation from
investments for those securities having an excess of value over cost, gross
unrealized depreciation from investments for those securities having an excess
of cost over value and the net unrealized depreciation from investments were
$128,517,582, $1,639,215, $(17,004,451), and $(15,365,236), respectively.
The Fund adopted Financial Accounting Standards Board Statement of Financial
Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), effective
January 1, 2008. In accordance with FAS 157, fair value is defined as the price
that the Fund would receive upon selling an investment in a timely transaction
to an independent buyer in the principal or most advantageous market of the
investment. FAS 157 established a three-tier hierarchy to maximize the use of
observable market data and minimize the use of unobservable inputs and to
establish classification of fair value measurements for disclosure purposes.
Inputs refer broadly to the assumptions that market participants would use in
pricing the asset or liability, including assumptions about risk, for example,
the risk inherent in a particular valuation technique used to measure fair value
including such a pricing model and/or the risk inherent in the inputs to the
valuation technique. Inputs may be observable or unobservable. Observable inputs
are inputs that reflect the assumptions market participants would use in pricing
the asset or liability developed based on market data obtained from sources
independent of the reporting entity. Unobservable inputs are inputs that reflect
the reporting entity's own assumptions about the assumptions market participants
would use in pricing the asset or liability developed based on the best
information available in the circumstances. The three-tier hierarchy of inputs
is summarized in the three broad Levels listed below.
o Level 1 - quoted prices in active markets for identical investments
o Level 2 - other significant observable inputs (including quoted prices
for similar investments, interest rates, prepayment speeds, credit
risk, etc.)
o Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of March 31, 2008 in valuing
the Fund's investments carried at value:
INVESTMENTS IN OTHER FINANCIAL
VALUATION INPUTS SECURITIES INSTRUMENTS*
--------------------------------------------------------------------------------
Level 1 - Quoted Prices $112,355,591 $ --
Level 2 - Other Significant Observable Inputs 796,755 --
Level 3 - Significant Unobservable Inputs -- --
-------------------------------
TOTAL $113,152,346 $ --
===============================
*Other financial instruments include futures, forwards and swap contracts.
The Fund did not have any assets or liabilities that were measured at fair value
on a recurring basis using significant unobservable inputs (Level 3) at March
31, 2008.
Securities valuation policies and other investment related disclosures are
hereby incorporated by reference to the Fund's annual report previously filed
with the Securities and Exchange Commission on the Form N-CSR on March 10, 2008
with a file number 811-22066.
Other information regarding the Fund is available in the Fund's most recent
annual report filed with the Securities and Exchange Commission on Form N-CSR on
March 10, 2008, file number 811-22066. This information is also available to
registered shareholders by calling (800) 937-5449. For general inquiries, please
call (212) 272-3550. This information is also available on the website of the
Securities and Exchange Commission - http://www.sec.gov.
ITEM 2: CONTROLS AND PROCEDURES
(a) As of a date within 90 days from the filing date of this report,
the principal executive officer and principal financial officer concluded that
the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940 (the "Act")), were effective based on
their evaluation of the disclosure controls and procedures required by Rule
30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and
Exchange Act of 1934.
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred
during the registrant's last fiscal quarter that have materially affected, or
are reasonably likely to materially affect, the registrant's internal control
over financial reporting.
ITEM 3: EXHIBITS
1. The certifications of the registrant as required by Rule 30a-2(a) under the
Act are exhibits to this report.
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.
Cornerstone Progressive Return Fund
/s/ Ralph W. Bradshaw
---------------------
Name: Ralph W. Bradshaw
Title: Principal Executive Officer
Date: May 23, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
/s/ Ralph W. Bradshaw
---------------------
Name: Ralph W. Bradshaw
Title: Principal Executive Officer
Date: May 23, 2008
/s/ Kayadti A. Madison
-----------------------
Name: Kayadti A. Madison
Title: Principal Financial Officer
Date: May 23, 2008