fp0007105_nq.htm
 
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)
 
200A Executive Drive         Edgewood, New York
11717
(Address of principal executive offices)
(Zip code)
 
Frank J. Maresca
 
AST Fund Solutions, LLC         200A Executive Drive
Edgewood, NY 11717
(Name and address of agent for service)
 
Registrant's telephone number, including area code:  (866) 668-6558               
 
Date of fiscal year end:      December 31                 
 
Date of reporting period:    March 31, 2013              
 
 
 
 
 
Item 1.  Schedule of Investments.
 
CORNERSTONE PROGRESSIVE RETURN FUND
SCHEDULE OF INVESTMENTS - MARCH 31, 2013 (Unaudited)
   
Description  
No. of
Shares
    
Value
  
EQUITY SECURITIES - 98.57%            
 
CLOSED-END FUNDS - 88.44%
            
 
CONVERTIBLE SECURITIES - 1.81%
            
 
Advent Claymore Global Convertible Securities and Income Fund II
     74,202     $ 534,254  
 
AllianzGI Equity & Convertible Income Fund
     58,635       1,056,016  
 
Putnam High Income Securities Fund
     70,826       580,773  
                2,171,043  
 
CORE - 4.43%
                
 
Adams Express Company (The)
     131,007       1,538,022  
 
Advent/Claymore Enhanced Growth & Income Fund
     49,337       480,049  
 
General American Investors Company, Inc.
     47,342       1,478,491  
 
Guggenheim Equal Weight Enhanced Equity Income Fund
     21,224       397,526  
 
Royce Micro-Cap Trust, Inc.
     15,476       165,593  
 
Royce Value Trust, Inc.
     24,061       362,359  
 
Tri-Continental Corporation
     47,167       827,781  
 
Zweig Fund, Inc. (The)
     4,200       54,600  
                5,304,421  
                   
 
CORPORATE DEBT INVESTMENT GRADE-LEVERAGED - 3.00%
  
 
BlackRock Income Opportunity Trust, Inc.
     8,331       93,724  
 
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
     179,886       2,383,489  
 
Western Asset/Claymore Inflation-Linked Securities & Income Fund
     82,874       1,122,943  
                3,600,156  
                   
 
CORPORATE DEBT INVESTMENT GRADE-RATED - 2.63%
          
 
AllianceBernstein Income Fund, Inc.
     59,491       486,041  
 
BlackRock Credit Allocation Income Trust
     28,513       399,182  
 
Cutwater Select Income Fund
     26,105       523,673  
 
Federated Enhanced Treasury Income Fund
     46,193       632,382  
 
Invesco Van Kampen Bond Fund
     3,321       66,088  
 
Morgan Stanley Income Securities Inc.
     29,646       536,296  
 
Transamerica Income Shares, Inc.
     15,889       342,567  
 
Western Asset Income Fund
     11,200       159,824  
                3,146,053  
 
DEVELOPED MARKET - 1.47%
                
 
Aberdeen Israel Fund, Inc.
     8,293       119,751  
 
Morgan Stanley Asia-Pacific Fund, Inc.
     4,453       71,916  
 
New Germany Fund, Inc. (The)
     15,700       264,388  
 
Singapore Fund, Inc. (The)
     31,596       448,663  
 
Swiss Helvetia Fund, Inc. (The)
     69,463       851,616  
                1,756,334  
 
EMERGING MARKETS - 6.02%
                
 
Aberdeen Emerging Markets Smaller Company Opportunities Fund, Inc.
     3,664       77,054  
 
Central Europe and Russia Fund, Inc. (The)
     5,180       169,749  
 
India Fund, Inc. (The)
     160,710       3,413,480  
 
Latin American Discovery Fund, Inc. (The)
     4,192       66,737  
 
Morgan Stanley India Investment Fund, Inc. *
     138,657       2,461,162  
 
Templeton Russia and East European Fund, Inc.
     31,065       459,451  
 
Turkish Investment Fund, Inc. (The)
     30,709       562,589  
                7,210,222  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
SCHEDULE OF INVESTMENTS - MARCH 31, 2013 (Unaudited) (Continued) 
   
Description  
No. of
Shares
  
Value
  
 
EMERGING MARKETS DEBT - 2.55%
                
 
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
     183,857     $ 3,061,219  
                   
 
FLEXIBLE INCOME - 1.62%
                
 
Putnam Master Intermediate Income Trust
     144,927       755,070  
 
Putnam Premier Income Trust
     215,136       1,191,853  
                1,946,923  
 
GENERAL & INSURED LEVERAGED - 12.87%
                
 
Eaton Vance Municipal Bond Fund II
     6,229       82,160  
 
Eaton Vance National Municipal Opportunities Trust
     20,775       462,244  
 
Invesco Municipal Opportunity Trust
     8,700       123,192  
 
Invesco Quality Municipal Income Trust
     105,051       1,399,279  
 
Invesco Value Municipal Income Trust
     127,531       2,059,633  
 
MFS Investment Grade Municipal Trust
     34,606       350,213  
 
Nuveen Dividend Advantage Municipal Fund 2
     105,851       1,605,760  
 
Nuveen Dividend Advantage Municipal Fund 3
     150,153       2,244,787  
 
Nuveen Dividend Advantage Municipal Income Fund
     44,915       669,683  
 
Nuveen Municipal Advantage Fund, Inc.
     48,992       729,001  
 
Nuveen Municipal Market Opportunity Fund, Inc.
     56,299       809,017  
 
Nuveen Performance Plus Municipal Fund, Inc.
     10,400       165,880  
 
Nuveen Premier Municipal Opportunity Fund, Inc.
     52,668       793,707  
 
Nuveen Quality Income Municipal Fund, Inc.
     103,428       1,576,243  
 
Nuveen Select Quality Municipal Fund, Inc.
     116,202       1,746,516  
 
Putnam Municipal Opportunities Trust
     30,393       382,344  
 
Invesco Municipal Trust
     16,200       227,934  
                15,427,593  
 
GENERAL BOND - 1.30%
                
 
Nuveen Build America Bond Fund
     25,094       526,221  
 
Nuveen Build America Bond Opportunity Fund
     46,761       1,034,353  
                1,560,574  
 
GLOBAL - 9.11%
                
 
Alpine Global Dynamic Dividend Fund
     369,911       1,775,573  
 
Alpine Total Dynamic Dividend Fund
     1,395,487       5,707,542  
 
BlackRock S&P Quality Rankings Global Equity Managed Trust
     5,009       64,466  
 
Clough Global Allocation Fund
     36,100       544,027  
 
Delaware Enhanced Global Dividend and Income Fund
     134,013       1,633,618  
 
GDL Fund (The)
     12,764       150,360  
 
Lazard Global Total Return & Income Fund, Inc.
     4,622       75,893  
 
Nuveen Global Value Opportunities Fund
     49,662       703,214  
 
Virtus Total Return Fund
     65,274       269,582  
                10,924,275  
 
GLOBAL INCOME - 2.54%
                
 
Nuveen Multi-Currency Short-Term Government Income Fund
     235,276       3,049,177  
                   
 
HIGH CURRENT YIELD (LEVERAGED) - 3.72%
                
 
BlackRock Corporate High Yield Fund III, Inc.
     15,631       124,423  
 
BlackRock Corporate High Yield Fund V, Inc.
     141,344       1,871,395  
 
DWS High Income Opportunities Fund, Inc.
     69,416       1,076,642  
 
First Trust Strategic High Income Fund II
     18,632       321,588  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
SCHEDULE OF INVESTMENTS - MARCH 31, 2013 (Unaudited) (Continued) 
   
Description  
No. of
Shares
  
Value
  
 
Franklin Universal Trust
     4,570     $ 34,595  
 
Neuberger Berman High Yield Strategies Fund Inc.
     72,279       1,026,362  
                4,455,005  
 
HIGH YIELD - 1.59%
                
 
First Trust High Income Long/Short Fund
     100,515       1,907,775  
                   
 
HIGH YIELD MUNICIPAL DEBT - 0.07%
                
 
Invesco Municipal Income Opportunities Trust
     7,100       52,185  
 
Western Asset Municipal High Income Fund Inc.
     3,900       30,849  
                83,034  
 
INCOME & PREFERRED STOCK - 4.58%
                
 
John Hancock Premium Dividend Fund
     98,487       1,395,561  
 
Nuveen Quality Preferred Income Fund 2
     66,011       622,484  
 
Nuveen Quality Preferred Income Fund 3
     75,646       685,353  
 
Zweig Total Return Fund, Inc. (The)
     213,738       2,782,869  
                5,486,267  
 
OPTION ARBITRAGE/OPTIONS STRATEGIES - 16.03%
                
 
AllianzGI International & Premium Strategy Fund
     79,946       803,457  
 
AllianzGI NFJ Dividend, Interest & Premium Strategy Fund
     158,941       2,673,388  
 
BlackRock Enhanced Capital & Income Fund, Inc.
     62,875       818,004  
 
BlackRock Enhanced Equity Dividend Trust
     85,216       666,389  
 
BlackRock Global Opportunities Equity Trust
     445,571       6,184,525  
 
BlackRock International Growth and Income Trust
     685,007       5,226,603  
 
Eaton Vance Enhanced Equity Income Fund
     81,164       947,996  
 
ING Global Equity Dividend and Premium Opportunity Fund
     204,407       1,892,809  
                19,213,171  
 
PACIFIC EX JAPAN - 1.71%
                
 
Asia Pacific Fund, Inc. (The) *
     22,580       242,961  
 
China Fund, Inc. (The)
     5,500       115,555  
 
Taiwan Fund, Inc. *
     30,850       505,323  
 
Thai Fund, Inc. (The)
     49,784       1,190,335  
                2,054,174  
 
REAL ESTATE - 0.71%
                
 
Cohen & Steers Quality Income Realty Fund, Inc.
     71,109       824,153  
 
Neuberger Berman Real Estate Securities Income Fund Inc.
     4,900       25,333  
 
RMR Asia Pacific Real Estate Fund
     1       19  
                849,505  
 
SECTOR EQUITY - 8.94%
                
 
BlackRock EcoSolutions Investment Trust
     11,956       108,919  
 
BlackRock Energy and Resources Trust
     67,507       1,745,056  
 
BlackRock Real Asset Equity Trust
     261,155       2,611,550  
 
BlackRock Utility and Infrastructure Trust
     28,513       557,429  
 
Petroleum & Resources Corporation
     46,539       1,209,083  
 
Reaves Utility Income Fund
     168,865       4,471,545  
 
Wells Fargo Utilities and High Income Fund
     1,158       13,676  
                10,717,258  
 
U.S. MORTGAGE - 1.74%
                
 
BlackRock Income Trust, Inc.
     220,211       1,587,721  
 
First Trust Mortgage Income Fund
     30,120       494,872  
                2,082,593  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
SCHEDULE OF INVESTMENTS - MARCH 31, 2013 (Unaudited) (Continued) 
   
Description  
No. of
Shares
  
Value
  
 
TOTAL CLOSED-END FUNDS
           $ 106,006,772  
                   
 
EXCHANGE-TRADED FUNDS - 3.27%
                
 
iShares Core S&P 500 ETF
     10,000       1,573,300  
 
SPDR S&P 500 ETF Trust
     15,000       2,348,250  
 
TOTAL EXCHANGE-TRADED FUNDS
             3,921,550  
                   
 
CONSUMER DISCRETIONARY - 0.91%
                
 
Comcast Corporation - Class A
     3,358       141,070  
 
DIRECTV *
     4,000       226,440  
 
Harley-Davidson, Inc.
     2,000       106,600  
 
Macy's, Inc.
     2,000       83,680  
 
Time Warner Cable, Inc.
     2,000       192,120  
 
Walt Disney Company (The)
     6,000       340,800  
                1,090,710  
 
CONSUMER STAPLES - 0.64%
                
 
CVS Caremark Corporation
     3,000       164,970  
 
Wal-Mart Stores, Inc.
     8,000       598,640  
                763,610  
 
ENERGY - 0.32%
                
 
ConocoPhillips
     4,000       240,400  
 
Phillips 66
     2,000       139,940  
                380,340  
 
FINANCIALS - 1.01%
                
 
Allstate Corporation (The)
     3,000       147,210  
 
Discover Financial Services
     2,000       89,680  
 
JPMorgan Chase & Co.
     8,000       379,680  
 
Marsh & McLennan Companies, Inc.
     2,000       75,940  
 
MetLife, Inc.
     3,000       114,060  
 
Morgan Stanley
     5,000       109,900  
 
Wells Fargo & Company
     8,000       295,920  
                1,212,390  
 
HEALTH CARE - 0.53%
                
 
Abbott Laboratories
     3,000       105,960  
 
AbbVie Inc.
     3,000       122,340  
 
Amgen Inc.
     4,000       410,040  
                638,340  
 
INDUSTRIALS - 0.41%
                
 
3M Company
     2,000       212,620  
 
Union Pacific Corporation
     2,000       284,820  
                497,440  
 
INFORMATION TECHNOLOGY - 2.32%
                
 
Apple Inc.
     3,000       1,327,890  
 
International Business Machines Corporation
     3,000       639,900  
 
Oracle Corporation
     25,000       808,500  
                2,776,290  
 
MATERIALS - 0.18%
                
 
Monsanto Company
     2,000       211,260  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
SCHEDULE OF INVESTMENTS - MARCH 31, 2013 (Unaudited) (Concluded)
   
Description  
No. of
Shares
  
Value
  
 
TELECOMMUNICATION SERVICES - 0.35%
                
 
AT&T, Inc.
     6,000     $ 220,140   
 
Verizon Communications, Inc.
     4,000       196,600  
                416,740  
 
UTILITIES - 0.19%
                
 
NextEra Energy, Inc.
     3,000       233,040  
                   
 
TOTAL EQUITY SECURITIES (cost - $113,546,780)
             118,148,482  
                   
 
SHORT-TERM INVESTMENTS - 0.69%
                
 
MONEY MARKET FUNDS - 0.69%
                
 
Fidelity Institutional Money Market Government Portfolio - Class I, 0.01%^ (cost - $823,533)
     823,533       823,533  
                   
 
TOTAL INVESTMENTS - 99.26% (cost - $114,370,313)
             118,972,015  
                   
 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.74%
             887,187  
                   
 
NET ASSETS - 100.00%
           $ 119,859,202  
 
*
Non-income producing security.
^
The rate shown is the 7-day effective yield as of March 31, 2013.
 
See accompanying notes to schedule of investments.

 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
NOTES TO SCHEDULE OF INVESTMENTS
MARCH 31, 2013 (UNUAUDITED)
 
Federal Income Tax Cost: The following information is computed on a tax basis for each item as of March 31, 2013:

Cost of portfolio investments
   $ 114,462,365  
Gross unrealized appreciation
   $ 5,785,863  
Gross unrealized depreciation
     (1,276,213 )
Net unrealized appreciation
   $ 4,515,650  

The difference between the federal income tax cost of portfolio investments and the Schedule of Investments cost for the Fund is due to certain timing differences in the recognition of capital gains or losses under income tax regulations and generally accepted accounting principles. These "book/tax" differences are temporary in nature and are due to the tax deferral of losses on wash sales.

As required by the Fair Value Measurement and Disclosures Topic of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification, the Fund has performed an analysis of all assets and liabilities measured at fair value to determine the significance and character of all inputs to their fair value determination.

The fair value hierarchy prioritizes the inputs to valuation techniques used to measure fair value into the following three broad categories.

·       Level 1 - quoted unadjusted prices for identical instruments in active markets to which the Fund has access at the date of measurement.

·       Level 2 - quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Level 2 inputs are those in markets for which there are few transactions, the prices are not current, little public information exists or instances where prices vary substantially over time or among brokered market makers.

·       Level 3 - model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Fund's own assumptions that market participants would use to price the asset or liability based on the best available information.

 
 
 
 
The following is a summary of the inputs used as of March 31, 2013 in valuing the Fund's investments carried at value:

VALUATION INPUTS
  
INVESTMENTS
IN
SECURITIES
    
OTHER FINANCIAL INSTRUMENTS*
  
             
Level 1 – Quoted Prices
            
  Equity Investments
   $ 118,148,482     $ -  
  Short-Term Investments
     823,533       -  
Level 2 – Other Significant Observable Inputs
     -       -  
Level 3 – Significant Unobservable Inputs
     -       -  
Total
   $ 118,972,015     $ -  

* Other financial instruments include futures, forwards and swap contracts, if any.

The breakdown of the Fund's investments into major categories is disclosed in its Schedule of Investments.

As of March 31, 2013, the Fund did not have any transfers in and out of any Level.

The Fund did not have any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at March 31, 2013.

The disclosures for the Fund's fiscal year beginning January 1, 2013 relate to presenting separately any Level 3 purchases, sales, issuances and settlements on a gross basis instead of one net amount. Management has evaluated the impact of ASU No. 2010-6 for the required disclosures.

The Fund is exposed to financial market risks, including the valuations of its investment portfolio. During the three months ended March 31, 2013, the Fund did not engage in derivative instruments and other hedging activities.

The Fund has evaluated the need for additional disclosures and/or adjustments resulting through the date its financial statements were issued.  Based on this evaluation, no additional disclosures or adjustments were required to such Schedule of Investments.

Securities valuation policies and other investment related disclosures are hereby incorporated by reference to the Fund's annual report previously filed with the Securities and Exchange Commission on the Form N-CSR on March 4, 2013 with a file number 811-22066.

Other information regarding the Fund is available in the Fund’s most recent annual report. This information is also available on the Fund’s website at www.cornerstoneprogressivereturnfund.com; or on the website of the Securities and Exchange Commission at www.sec.gov.
 
 
 
 
 
Item 2.  Controls and Procedures.
 
(a)   Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing date of this report, the registrant’s principal executive officer and principal financial officer have concluded that such disclosure controls and procedures are reasonably designed and are operating effectively to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared, and that such information is recorded, processed, summarized, and reported on a timely basis.
 
(b)   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
 
Item 3.  Exhibits.
 
File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)):  Attached hereto
 
 
 
 
 
SIGNATURES
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
(Registrant) Cornerstone Progressive Return Fund               
 
By (Signature and Title)*
/s/ Ralph W. Bradshaw
  
   
Ralph W. Bradshaw, President and Chairman
   
(Principal Executive Officer)
  
       
Date
May 20, 2013
    
       
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
       
By (Signature and Title)*
/s/ Ralph W. Bradshaw
  
   
Ralph W. Bradshaw, President and Chairman
   
(Principal Executive Officer)
  
       
Date
May 20, 2013
    
       
By (Signature and Title)*
/s/ Frank J. Maresca
  
   
Frank J. Maresca, Treasurer (Principal Financial Officer)
       
Date
May 20, 2013
    
 
* Print the name and title of each signing officer under his or her signature.