UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21681
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Old Mutual/Claymore Long-Short Fund
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(Exact name of registrant as specified in charter)
2455 Corporate West Drive Lisle, IL 60532
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(Address of principal executive offices) (Zip code)
J. Thomas Futrell
2455 Corporate West Drive
Lisle, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
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Date of fiscal year end: December 31
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Date of reporting period: March 31, 2010
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington,
DC 20549-0609. The OMB has reviewed this collection of information under the
clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
Attached hereto.
OLD MUTUAL/CLAYMORE LONG-SHORT FUND
PORTFOLIO OF INVESTMENTS
MARCH 31, 2010 (UNAUDITED)
NUMBER
OF SHARES VALUE
----------------------------------------------------------------------------------------------------------------
Long-Term Investments - 131.9%
CONSUMER DISCRETIONARY - 13.9%
19,820 Aaron's, Inc. (a) $ 660,799
17,100 Aeropostale, Inc. (a) (b) 492,993
2,845 Amazon.com, Inc. (a) (b) 386,152
9,587 Autoliv, Inc. (Sweden) (a) (b) 494,018
39,839 Big Lots, Inc. (a) (b) 1,450,936
22,375 Career Education Corp. (a) (b) 707,945
198,554 Comcast Corp. - Class A (c) 3,736,786
94,532 DISH Network Corp. - Class A (a) 1,968,156
218,744 Eastman Kodak Co. (b) 1,266,528
12,536 Federal Mogul Corp. (b) 230,161
381,121 Ford Motor Co. (b) (c) 4,790,691
22,806 Marriott International ,Inc. - Class A (a) 718,845
53,557 New York Times Co. - Class A (b) 596,090
1,401 Stanley Black & Decker, Inc. (a) 80,431
32,277 Starbucks Corp. (b) (c) 783,363
54,398 Time Warner Cable, Inc. (a) 2,899,957
105,214 Time Warner, Inc. (a) 3,290,042
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24,553,893
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CONSUMER STAPLES - 11.9%
35,089 Dean Foods Co. (a) (b) 550,546
13,070 Hershey Co. 559,527
107,036 Philip Morris International, Inc. (c) 5,582,998
240,442 Sara Lee Corp. (c) 3,349,357
113,863 SUPERVALU, Inc. (a) 1,899,235
177,980 SYSCO Corp. (c) 5,250,410
109,023 Tyson Foods, Inc. - Class A (c) 2,087,790
46,502 Walgreen Co. (a) 1,724,759
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21,004,622
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ENERGY - 15.5%
5,554 BJ Services Co. (a) 118,856
101,007 Chevron Corp. (c) 7,659,361
126,043 ConocoPhillips (c) 6,449,620
28,237 Exxon Mobil Corp. (c) 1,891,314
11,117 Helix Energy Solutions Group, Inc. (b) 144,855
65,261 Hess Corp. (c) 4,082,076
1,620 Marathon Oil Corp. (c) 51,257
93,668 Murphy Oil Corp. (c) 5,263,205
4,211 Smith International, Inc. (a) 180,315
13,466 Whiting Petroleum Corp. (a) (b) 1,088,591
9,913 XTO Energy, Inc. 467,695
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27,397,145
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FINANCIALS - 23.0%
124,550 American Express Co. (c) 5,138,933
23,001 Annaly Capital Management, Inc. - REIT (a) 395,157
15,841 Aspen Insurance Holdings Ltd. (Bermuda) 456,854
44,147 Bank of America Corp. (c) 788,024
11,600 BlackRock, Inc. (a) 2,526,016
427 BOK Financial Corp. (a) 22,392
340,108 Chimera Investment Corp. - REIT (a) 1,323,020
343,541 Citigroup, Inc. (b) 1,391,341
160,593 Discover Financial Services (c) 2,392,836
21,046 Endurance Specialty Holdings Ltd. (Bermuda) (a) 781,859
167 First Citizens BancShares, Inc. - Class A (a) 33,193
98,880 Hudson City Bancorp, Inc. (c) 1,400,141
39,578 M&T Bank Corp. (a) 3,141,702
67,202 Moody's Corp. (a) 1,999,260
168,261 New York Community Bancorp, Inc. (a) 2,783,037
64,584 NYSE Euronext (a) 1,912,332
26,092 Plum Creek Timber Co., Inc. - REIT (a) 1,015,240
3,622 PNC Financial Services Group, Inc. (a) 216,233
47,464 T Rowe Price Group, Inc. (c) 2,607,198
15,293 Torchmark Corp. (c) 818,328
167,746 US Bancorp. (c) 4,341,266
168,414 Wells Fargo & Co. (a) 5,241,044
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40,725,406
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HEALTH CARE - 19.9%
2,284 Abbott Laboratories (a) 120,321
164,276 AmerisourceBergen Corp. (c) 4,750,862
105,108 Amgen, Inc. (b) (c) 6,281,254
62,069 Biogen Idec, Inc. (a) (b) 3,560,278
152,898 Cardinal Health, Inc. (c) 5,508,915
22,612 Cephalon, Inc. (a) (b) 1,532,641
3,396 Community Health Systems, Inc. (a) (b) 125,414
2,544 Cooper Cos., Inc. (a) 98,911
2,803 Hill-Rom Holdings, Inc. (a) 76,270
50,205 Johnson & Johnson (a) 3,273,366
80,947 McKesson Corp. (c) 5,319,837
949 Millipore Corp. (a) (b) 100,214
15,233 Stryker Corp. (a) 871,632
155,531 Tenet Healthcare Corp. (b) 889,637
26,630 WellPoint, Inc. (a) (b) 1,714,440
15,094 Zimmer Holdings, Inc. (a) (b) 893,565
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35,117,557
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INDUSTRIALS - 12.5%
7,632 Crane Co. (a) 270,936
62,826 Delta Air Lines, Inc. (b) 916,631
79,142 Fluor Corp. (a) 3,680,894
37,054 General Dynamics Corp. (c) 2,860,569
1,687 General Electric Co. (a) 30,703
6,923 Hubbell, Inc. - Class B (a) 349,127
47,361 Illinois Tool Works, Inc. (c) 2,243,017
4,949 ITT Corp. (a) 265,316
8,505 Joy Global, Inc. (a) 481,383
25,748 KBR, Inc. (a) 570,576
4,208 L-3 Communications Holdings, Inc. (a) 385,579
39,666 Lockheed Martin Corp. (a) 3,301,004
13,723 Navistar International Corp. (a) (b) 613,830
26,898 Northrop Grumman Corp. (a) 1,763,702
28,307 United Parcel Service, Inc. - Class B (a) 1,823,254
35,342 United Technologies Corp. (a) 2,601,525
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22,158,046
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INFORMATION TECHNOLOGY - 23.7%
1,425 AVX Corp. 20,235
913 Computer Sciences Corp. (a) (b) 49,749
238,654 Corning, Inc. (c) 4,823,197
177,082 Dell, Inc. (a) (b) 2,658,001
10,415 Harris Corp. 494,608
107,848 Ingram Micro, Inc. - Class A (a) (b) 1,892,732
97,999 Intel Corp. (c) 2,181,458
63,341 International Business Machines Corp. (c) 8,123,483
183,263 Jabil Circuit, Inc. (a) 2,967,028
11,390 Lender Processing Services, Inc. (a) 429,973
256,315 Micron Technology, Inc. (b) 2,663,113
303,811 Microsoft Corp. (c) 8,892,548
20,832 Molex, Inc. (a) 434,556
15,244 Symantec Corp. (a) (b) 257,928
28,373 Tech Data Corp. (a) (b) 1,188,829
182,570 Texas Instruments, Inc. (c) 4,467,488
13,647 Xilinx, Inc. (a) 347,999
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41,892,925
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MATERIALS - 4.5%
1,420 Airgas, Inc. (a) 90,340
3,266 Cabot Corp. (c) 99,287
841 CF Industries Holdings, Inc. (a) 76,682
23,244 Eastman Chemical Co. (a) 1,480,178
27,434 EI du Pont de Nemours & Co. (a) 1,021,642
15,264 Freeport-McMoRan Copper & Gold, Inc. (a) 1,275,155
287,207 Huntsman Corp. (a) 3,460,844
16,106 International Paper Co. (a) 396,369
1,946 Schnitzer Steel Industries, Inc. - Class A (a) 102,223
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8,002,720
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TELECOMMUNICATIONS - 3.8%
118,694 AT&T, Inc. (c) 3,067,053
31,777 NII Holdings, Inc. (a) (b) 1,323,830
631,625 Sprint Nextel Corp. (b) 2,400,175
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6,791,058
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UTILITIES - 3.2%
224,234 AES Corp. (b) 2,466,574
2,899 Allegheny Energy, Inc. (a) 66,677
32,793 Energen Corp. (a) 1,525,858
4,707 Exelon Corp. (a) 206,214
5,225 FirstEnergy Corp. (a) 204,245
37,734 PPL Corp. (a) 1,045,609
2,674 UGI Corp. (a) 70,968
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5,586,145
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TOTAL LONG-TERM INVESTMENTS - 131.9%
(Cost $225,600,441) 233,229,517
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NUMBER
OF SHARES VALUE
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MONEY MARKET FUNDS - 0.3%
479,667 Dreyfus Institutional Reserve Money Market Fund
(Cost $479,667) 479,667
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TOTAL INVESTMENTS - 132.2%
(Cost $226,080,108) 233,709,184
Securities Sold Short - (30.4%)
(Proceeds $44,331,782) (53,685,804)
Total Value of Options Written
(Premiums received $4,390,104) - (2.8%) (5,043,219)
Other Assets in excess of Liabilities - 1.0% 1,847,278
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NET ASSETS - 100.0% $ 176,827,439
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Number
of Shares VALUE
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SECURITIES SOLD SHORT - 30.4%
COMMON STOCKS - 29.0%
CONSUMER DISCRETIONARY - 1.8%
48,152 Central European Media Enterprises Ltd. - Class A (Bermuda) 1,411,335
23,270 Clear Channel Outdoor Holdings, Inc. - Class A 246,895
1,358 Interactive Data Corp. 43,456
2,627 International Speedway Corp. - Class A 67,698
22,317 LKQ Corp. 453,035
1,472 Morningstar, Inc. 70,788
6,590 Penn National Gaming, Inc. 183,202
27,292 Weight Watchers International, Inc. 696,765
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3,173,174
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ENERGY - 4.7%
5,398 Chesapeake Energy Corp. 127,609
40,963 Comstock Resources, Inc. 1,302,623
14,850 Denbury Resources, Inc. 250,520
12,995 EXCO Resources, Inc. 238,848
15,725 Exterran Holdings, Inc. 380,073
10,965 Forest Oil Corp. 283,116
11,992 Holly Corp. 334,697
3,800 National Oilwell Varco, Inc. 154,204
13,187 Newfield Exploration Co. 686,383
19,886 Petrohawk Energy Corp. 403,288
46,663 Range Resources Corp. 2,187,095
159,617 SandRidge Energy, Inc. 1,229,051
12,399 Seahawk Drilling, Inc. 233,721
692 Southwestern Energy Co. 28,178
20,375 Teekay Corp. (Marshall Islands) 463,328
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8,302,734
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FINANCIALS - 7.4%
1,676 AMB Property Corp. - REIT 45,654
2,932 American National Insurance Co. 332,899
78,822 First Horizon National Corp. 1,107,443
98,488 Genworth Financial, Inc. - Class A 1,806,270
68,679 GLG Partners, Inc. 210,845
70,283 Interactive Brokers Group, Inc. - Class A 1,135,071
38,938 Leucadia National Corp. 966,052
4,067 Loews Corp. 151,618
1,396 Markel Corp. 523,025
182,456 Marshall & Ilsley Corp. 1,468,771
64,265 Old Republic International Corp. 814,880
286,065 ProLogis - REIT 3,776,058
31,402 Regions Financial Corp. 246,506
13,208 SunTrust Banks, Inc. 353,842
36,742 Synovus Financial Corp. 120,881
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13,059,815
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HEALTH CARE - 5.9%
5,542 Abraxis Bioscience, Inc. 286,799
10,524 Amylin Pharmaceuticals, Inc. 236,685
5,321 Brookdale Senior Living, Inc. 110,836
894 Covance, Inc. 54,883
27,739 Dendreon Corp. 1,011,641
138,360 Hologic, Inc. 2,565,194
245,829 King Pharmaceuticals, Inc. 2,890,949
2,277 Myriad Genetics, Inc. 54,762
4,176 United Therapeutics Corp. 231,058
75,920 Vertex Pharmaceuticals, Inc. 3,102,850
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10,545,657
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INDUSTRIALS - 1.9%
33,790 AMR Corp. 307,827
42,559 BE Aerospace, Inc. 1,295,922
13,872 Corrections Corp. of America 275,498
623 Kirby Corp. 23,767
26,671 TransDigm Group, Inc. 1,414,630
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3,317,644
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INFORMATION TECHNOLOGY - 6.2%
78,651 Brocade Communications Systems, Inc. 449,097
187,704 Ciena Corp. 2,860,609
77,032 Cypress Semiconductor Corp. 885,868
12,263 Itron, Inc. 889,926
115,089 MEMC Electronic Materials, Inc. 1,764,314
31,899 Monster Worldwide, Inc. 529,843
73,165 Nuance Communications, Inc. 1,217,466
97,252 Rambus, Inc. 2,124,956
7,801 Rovi Corp. 289,651
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11,011,730
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MATERIALS - 1.1%
37,650 Intrepid Potash, Inc. 1,141,925
5,986 Mosaic Co. 363,769
9,045 Weyerhaeuser Co. 409,467
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1,915,161
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TOTAL COMMON STOCKS SOLD SHORT - 29.0 %
(Proceeds $43,153,066) 51,325,915
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TRACKING STOCKS - 1.3%
CONSUMER DISCRETIONARY - 1.3%
53,528 Liberty Media Corp. - Capital Series A 1,946,813
20,025 Liberty Media Corp. - Interactive Series A 306,583
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(Proceeds $1,058,346) 2,253,396
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MASTER LIMITED PARTNERSHIPS - 0.1%
FINANCIALS- 0.1%
2,983 Lazard Ltd. - Class A (Bermuda)
(Proceeds $120,370) 106,493
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TOTAL SECURITIES SOLD SHORT - 30.4 %
(Proceeds $44,331,782) $ 53,685,804
===============
Contracts
(100 shares Expiration Exercise
per contract) Options Written (b) Date Price Value
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CALL OPTIONS WRITTEN (b)
475 Dow Jones Industrial Average April 2010 $103.00 $ 279,062
333 Dow Jones Industrial Average April 2010 113.00 1,832
780 ISE SINdex April 2010 107.50 292,500
30 NASDAQ 100 Stock Index April 2010 2,050.00 3,975
130 NYSE Arca Natural Gas Index April 2010 580.00 32,500
35 NYSE Arca Natural Gas Index April 2010 520.00 77,350
230 Philadelphia Housing Index April 2010 103.00 213,900
45 Philadelphia Utility Index April 2010 400.00 17,550
155 Russell 2000 Index April 2010 720.00 8,137
115 S&P 400 Midcap Index April 2010 770.00 281,175
1,375 S&P 100 Index April 2010 510.00 3,774,375
460 S&P 100 Index April 2010 560.00 11,500
95 S&P 500 Index April 2010 1,225.00 4,513
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(Premiums received $4,284,349) 4,998,369
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PUT OPTIONS WRITTEN (b)
65 S&P 500 Index April 2010 1,150.00
(Premiums received $105,755) 44,850
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TOTAL OPTIONS WRITTEN
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(Premiums received $4,390,104) $ 5,043,219
===============
ISE - International Securities Exchange, LLC
NYSE Arca - NYSE Arca, 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.
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Country Allocation*
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United States 99.3%
Bermuda 0.5%
Sweden 0.2%
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* Subject to change daily. Based on total investments.
Securities Sold Short Country Allocation**
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United States 96.3%
Bermuda 2.8%
Marshall Islands 0.9%
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** Subject to change daily. Based on securities sold short.
See previously submitted notes to financial statements for the period ended
December 31, 2009.
On April 21, 2010, the Fund's Board of Trustees approved the termination of the
investment sub-advisory agreement with Analytic Investors, Inc. ("Analytic").
Notice of termination as investment sub-adviser has been provided to Analytic.
On April 21, 2010, the Fund's Board of Trustees approved the appointment of a
new investment sub-adviser to the Fund, Guggenheim Partners Asset Management
("GPAM") effective June 22, 2010. At such time GPAM will enter into an an
interim investment sub-advisory agreement (the "Interim Sub-Advisory Agreement")
with Claymore Advisors, LLC, the Fund's investment adviser ("Claymore") and the
Fund, which will be in effect for an interim period of up to 150 days. The Board
also approved a new sub-advisory agreement among the Fund, Claymore and GPAM
(the "New Sub-Advisory Agreement") and intends to submit the New Sub-Advisory
Agreement to shareholders for approval at the annual meeting of shareholders of
the Fund currently scheduled for July 19, 2010. The New Sub-Advisory Agreement
will become effective upon approval by shareholders.
Effective on or about June 22, 2010, the Fund will change its name to the
Guggenheim Enhanced Equity Income Fund, and its NYSE ticker symbol will change
to GPM.
The Fund will continue to seek its primary investment objective of seeking a
high level of current income and gains with a secondary objective of long-term
capital appreciation. While the Fund currently seeks to achieve its investment
objective through a long-short strategy and an opportunistic covered call
writing strategy, GPAM will manage the Fund utilizing a covered call strategy
developed by GPAM to seek to utilize efficiencies from the tax characteristics
of the Fund's portfolio. As of June 22, 2010, selling securities short will no
longer be a principal investment strategy of the Fund.
The Fund previously paid to Claymore an investment advisory fee at an annual
rate equal to 1.00% of the average daily value of the Fund's total managed
assets. Claymore currently pays to Analytic a sub-advisory fee equal to 0.50% of
the Fund's total managed assets. Effective April 20, 2010, Claymore and the Fund
contractually agreed to a permanent ten basis point reduction in the advisory
fee, such that the Fund pays to Claymore an investment advisory fee at an annual
rate equal to 0.90% of the average daily value of the Fund's total managed
assets.
Commencing as of the date of the Interim Sub-Advisory Agreement and pending Fund
shareholder approval, continuing during the term of the New Sub-Advisory
Agreement, Claymore has agreed to waive an additional ten basis points of the
advisory fee, such that the Fund will pay to Claymore an investment advisory fee
at an annual rate equal to 0.80% of the average daily value of the Fund's total
managed assets.
At March 31, 2010, the cost and related gross unrealized appreciation and
depreciation on investments excluding short sales transactions and excluding
written options for tax purposes are as follows:
Net Tax
Gross Tax Gross Tax Unrealized
Cost of Investments for Unrealized Unrealized Appreciation on
Tax Purposes Appreciation Depreciation Investments
--------------------------- ----------------- --------------- ----------------
$ 227,859,596 $ 16,471,622 $ (10,622,034) $ 5,849,588
--------------------------- ----------------- --------------- ----------------
At March 31, 2010, the cost and related gross unrealized appreciation and
depreciation on securities sold short for tax purposes are as follows:
Net Tax
Gross Tax Gross Tax Unrealized
Proceeds of Investments for Unrealized Unrealized Depreciation on
Tax Purposes Appreciation Depreciation Investments
--------------------------- ----------------- --------------- ----------------
$ 43,924,517 $ 584,238 $ (10,345,525) $ (9,761,287)
--------------------------- ----------------- --------------- ----------------
In accordance with ASC 820, Fair Value Measurements and Disclosures (formerly
known as the Statement of Financial Accounting Standard ("FAS") No. 157), 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 March 31, 2010.
DESCRIPTION LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------------------------------- ---------------------- ------------------ ------------------ -------------------
(VALUE IN $000S)
Assets:
Common stocks $ 233,229 $ - $ - $ 233,229
Money Market Funds 480 - - 480
---------------------- ------------------ ------------------ -------------------
Total $ 233,709 $ - $ - $ 233,709
====================== ================== ================== ===================
Liabilities:
Common stocks $ 51,326 $ - $ - $ 51,326
Tracking stocks 2,253 - - 2,253
Master Limited Partnerships 107 - - 107
Derivatives 5,043 - - 5,043
---------------------- ------------------ ------------------ -------------------
Total $ 58,729 $ - $ - $ 58,729
====================== ================== ================== ===================
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial
officer have evaluated the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company
Act of 1940, as amended) as of a date within 90 days of the filing
date of this report and have concluded, based on such evaluation, that
the registrant's disclosure controls and procedures were effective, as
of that date, in ensuring that information required to be disclosed by
the registrant in this Form N-Q was recorded, processed, summarized
and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There was no change in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the registrant's
last fiscal quarter that materially affected or is reasonably likely
to materially affect the registrant's internal control over financial
reporting.
ITEM 3. EXHIBITS.
A separate certification for each principal executive officer and principal
financial officer of the registrant as required by Rule 30a-2(a) under the
Investment Company Act, as amended (17 CFR 270.30a-2(a)), is attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Old Mutual/Claymore Long-Short Fund
-----------------------------------
By: /s/ J. Thomas Futrell
-----------------------------------------------
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: May 20, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ J. Thomas Futrell
-----------------------------------------------
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: May 20, 2010
By: /s/ Steven M. Hill
-----------------------------------------------
Name: Steven M. Hill
Title: Chief Financial Officer, Chief Accounting Officer and Treasurer
Date: May 20, 2010