Clough Global Allocation Fund

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: 811-21583

 

CLOUGH GLOBAL ALLOCATION FUND

(Exact name of registrant as specified in charter)

1290 Broadway, Suite 1100, Denver, Colorado 80203

(Address of principal executive offices) (Zip code)

Erin Douglas

Clough Global Allocation Fund

1290 Broadway, Suite 1100

Denver, Colorado 80203

(Name and address of agent for service)

Registrant’s telephone number, including area code: (303) 623-2577

Date of fiscal year end:  March 31

Date of reporting period:  June 30, 2012

Item 1 – Schedule of Investments.

Clough Global Allocation Fund

STATEMENT OF INVESTMENTS

June 30, 2012 (Unaudited)

 

      Shares      Value  

COMMON STOCKS 109.05%

      

Consumer Discretionary 20.81%

      

Allison Transmission Holdings, Inc.(a)(b)(c)

      52,500         $921,900   

Arezzo Industria e Comercio S.A.

      21,638         317,594   

AutoZone, Inc.(d)

      2,659         976,305   

Bosideng International Holdings, Ltd.

      5,330,000         1,367,204   

CBS Corp. - Class B(a)

      62,990         2,064,812   

China Lilang, Ltd.

      545,000         371,625   

Cia Hering

      20,499         389,364   

Cinemark Holdings, Inc.(a)(b)

      78,263         1,788,310   

The Goodyear Tire & Rubber Co.(a)(b)(d)

      136,151         1,607,943   

H&R Block, Inc.(a)(b)

      209,063         3,340,827   

Lamar Advertising Co. - Class A(a)(b)(d)

      44,714         1,278,820   

Liberty Global, Inc. - Class A(a)(b)(d)

      27,234         1,351,623   

Liberty Interactive Corp. - Class A(a)(b)(d)

      78,912         1,403,844   

Liberty Media Corp. - Liberty Capital(a)(b)(d)

      20,170         1,773,145   

Man Wah Holdings, Ltd.

      1,498,600         616,211   

Monro Muffler Brake, Inc.(a)

      9,200         305,808   

News Corp.- Class A(a)(b)

      103,683         2,311,094   

Orient-Express Hotels, Ltd.(a)(d)

      69,764         583,925   

priceline.com, Inc.(a)(d)

      2,836         1,884,579   

Sally Beauty Holdings, Inc.(a)(b)(d)

      23,300         599,742   

Time Warner, Inc.(a)(b)

      52,555         2,023,368   

UNICASA Industria de Moveis SA(c)(d)

      64,300         508,381   

Viacom, Inc. - Class B(a)(b)

      54,200         2,548,484   

The Walt Disney Co.(a)(b)

      43,102         2,090,447   
     

 

 

  
            32,425,355   
     

 

 

  

Consumer Staples 2.40%

      

Brazil Pharma S.A.(c)

      133,117         714,464   

China Mengniu Dairy Co., Ltd.

      183,000         480,030   

Molson Coors Brewing Co.

      8,741         363,713   

Raia Drogasil S.A.

      13,488         134,981   

Reynolds American, Inc.(a)(b)

      29,000         1,301,230   

                                             
      Shares      Value  

Consumer Staples (continued)

  

Vinda International Holdings, Ltd.

      500,960         $740,015   
     

 

 

  
        3,734,433   
     

 

 

  

Energy 12.63%

      

Commodities 0.22%

      

Southwestern Energy Co.(d)

      10,773         343,982   
     

 

 

  

Natural Gas Leveraged Exploration & Production 0.65%

      

Cabot Oil & Gas Corp.

      10,196         401,722   

Range Resources Corp.

      4,875         301,616   

The Williams Cos., Inc.

      10,852         312,755   
     

 

 

  
        1,016,093   
     

 

 

  

Non-North American Producers 0.88%

      

BP PLC - Sponsored ADR(a)

      14,250         577,695   

InterOil Corp.(a)(b)(d)

      9,359         652,322   

OGX Petroleo e Gas Participacoes S.A.(d)

      52,378         143,430   
     

 

 

  
            1,373,447   
     

 

 

  

Oil Leveraged Exploration & Production 3.40%

      

Anadarko Petroleum Corp.(a)(b)

      13,287         879,600   

Continental Resources, Inc.(a)(d)

      4,689         312,381   

Energy XXI Bermuda, Ltd.(a)

      16,549         517,818   

EOG Resources, Inc.(a)(b)

      11,400         1,027,254   

Kodiak Oil & Gas Corp.(a)(b)(d)

      82,164         674,567   

Noble Energy, Inc.(a)(b)

      11,400         966,948   

Pioneer Natural Resources Co.(a)(b)

      10,454         922,147   
     

 

 

  
        5,300,715   
     

 

 

  

Oil Services & Drillers 4.71%

      

Ensco PLC - Sponsored ADR(a)(b)

      29,272         1,374,906   

National Oilwell Varco, Inc.(a)(b)

      28,850         1,859,094   

Noble Corp.(a)(b)(d)

      34,600         1,125,538   

Oil States International, Inc.(a)(b)(d)

      21,392         1,416,150   

Seadrill, Ltd.(a)(b)

      26,200         930,624   

Transocean, Ltd.(a)

      13,900         621,747   
     

 

 

  
        7,328,059   
     

 

 

  

Tankers 2.77%

      

Golar LNG Partners LP(a)(b)

      25,343         821,114   

      Shares      Value  

Energy (continued)

  

Golar LNG, Ltd.(a)(b)

      92,606         $3,491,246   
     

 

 

  
        4,312,360   
     

 

 

  

TOTAL ENERGY

  

      19,674,656   
     

 

 

  

Financials 26.31%

      

Capital Markets 7.53%

      

Ares Capital Corp.(a)

      194,992         3,112,072   

CITIC Securities Co., Ltd. - Class H

      235,184         492,926   

The Goldman Sachs Group, Inc.(a)

      7,600         728,536   

Golub Capital BDC, Inc.

      53,100         801,279   

Indochina Capital Vietnam Holdings, Ltd.(c)(d)(e)

      7,331         9,604   

Medley Capital Corp.

      34,088         410,420   

Morgan Stanley(a)

      51,100         745,549   

PennantPark Floating Rate Capital, Ltd.

      21,800         257,240   

PennantPark Investment Corp.(a)

      187,117         1,936,661   

Solar Capital, Ltd.

      115,394         2,568,670   

Solar Senior Capital, Ltd.

      39,147         661,584   

THL Credit, Inc.

      669         9,011   
     

 

 

  
            11,733,552   
     

 

 

  

Commercial Banks 1.22%

      

Fifth Third Bancorp(a)(b)

      45,000         603,000   

Wells Fargo & Co.

      38,602         1,290,851   
     

 

 

  
        1,893,851   
     

 

 

  

Consumer Finance 3.18%

      

American Express Co.

      2,312         134,581   

Discover Financial Services(a)

      12,800         442,624   

Mastercard, Inc. - Class A(a)

      7,742         3,329,912   

Visa, Inc. - Class A(a)(b)

      8,444         1,043,932   
     

 

 

  
        4,951,049   
     

 

 

  

Diversified Financials 6.19%

     

Bank of America Corp.(a)(b)

      672,290         5,499,332   

Citigroup, Inc.(a)(b)

      151,219         4,144,913   
     

 

 

  
        9,644,245   
     

 

 

  

Mortgage-Backed Securities Real Estate Investment Trusts 5.48%

      

American Capital Agency Corp.

      73,909         2,484,081   

American Capital Mortgage Investment Corp.

      33,610         802,607   

Capstead Mortgage Corp.(a)

      174,019         2,420,604   

CYS Investments, Inc.

      67,610         930,990   

Dynex Capital, Inc.

      94,894         985,000   

      Shares      Value  

Financials (continued)

  

Hatteras Financial Corp.(a)

      31,866         $911,368   
     

 

 

  
        8,534,650   
     

 

 

  

Real Estate Investment Trusts 1.86%

      

American Residential Properties, Inc.(a)(c)(d)(e)

      34,000         688,500   

Ascendas Real Estate Investment Trust

      838,000         1,422,301   

Ascott Residence Trust

      416,874         357,062   

Select Income REIT(c)

      18,300         434,808   
     

 

 

  
        2,902,671   
     

 

 

  

Real Estate Management & Development 0.85%

  

BHG S.A. - Brazil Hospitality Group(d)

      26,103         249,008   

BR Malls Participacoes S.A.

      53,957         611,163   

Sonae Sierra Brasil S.A.

      32,181         464,490   
     

 

 

  
        1,324,661   
     

 

 

  

TOTAL FINANCIALS

  

      40,984,679   
     

 

 

  

Health Care 1.88%

      

Sanofi - ADR(a)(b)

      61,247         2,313,912   

UnitedHealth Group, Inc.(a)

      10,400         608,400   
     

 

 

  
            2,922,312   
     

 

 

  

Industrials 5.86%

      

Brenntag AG

      6,410         707,193   

Cia de Locacao das Americas(c)(d)

      207,700         800,397   

Covanta Holding Corp.(a)

      38,100         653,415   

Delta Air Lines, Inc.(a)(b)(d)

      99,240         1,086,678   

Sensata Technologies Holding NV(a)(b)(d)

      45,212         1,210,777   

TE Connectivity, Ltd.(a)

      11,800         376,538   

TransDigm Group, Inc.(a)(b)(d)

      14,999         2,014,366   

United Continental Holdings, Inc.(a)(d)

      45,200         1,099,716   

US Airways Group, Inc.(a)(b)(d)

      27,394         365,162   

Verisk Analytics, Inc. - Class A(a)(d)

      9,121         449,301   

WABCO Holdings, Inc.(a)(d)

      6,900         365,217   
     

 

 

  
        9,128,760   
     

 

 

  

Information Technology 23.91%

      

Apple, Inc.(a)(b)(d)

      7,237         4,226,408   

Arrow Electronics, Inc.(a)(b)(d)

      47,290         1,551,585   

Avnet, Inc.(a)(b)(d)

      36,881         1,138,148   

BMC Software, Inc.(a)(d)

      3,142         134,101   

Broadcom Corp. - Class A(a)(d)

      18,900         638,820   

Check Point Software Technologies, Ltd.(a)(d)

      27,500         1,363,725   

      Shares      Value  

Information Technology (continued)

  

Cisco Systems, Inc.(a)

      33,300         $571,761   

eBay, Inc.(a)(b)(d)

      43,090         1,810,211   

EMC Corp.(a)(b)(d)

      143,214         3,670,575   

Equinix, Inc.(a)(d)

      3,560         625,314   

Facebook, Inc.(a)(b)(d)

      4,700         146,264   

Fortinet, Inc.(a)(d)

      33,600         780,192   

Google, Inc. - Class A(a)(b)(d)

      7,325         4,249,013   

JDS Uniphase Corp.(a)(d)

      75,800         833,800   

Lenovo Group, Ltd.

      745,819         628,730   

Micron Technology, Inc.(a)(b)(d)

      279,633         1,764,484   

Microsoft Corp.(a)(b)

      206,301         6,310,748   

Qihoo 360 Technology Co., Ltd. - ADR(a)(b)(d)

      27,825         481,094   

QUALCOMM, Inc.(a)(b)

      27,768         1,546,122   

SanDisk Corp.(a)(d)

      23,500         857,280   

Seagate Technology(a)(b)

      49,161         1,215,751   

VeriFone Systems, Inc.(a)(b)(d)

      21,807         721,594   

ViaSat, Inc.(a)(b)(d)

      29,720         1,122,524   

VMware, Inc.(d)

      1,800         163,872   

Western Digital Corp.(a)(b)(d)

      22,596         688,726   
     

 

 

  
        37,240,842   
     

 

 

  

Materials 3.22%

      

Crown Holdings, Inc.(a)(b)(d)

      34,353         1,184,835   

Georgia Gulf Corp.(a)(b)

      45,800         1,175,686   

Westlake Chemical Corp.(a)(b)

      18,300         956,358   

WR Grace & Co.(a)(b)(d)

      33,700         1,700,165   
     

 

 

  
        5,017,044   
     

 

 

  

Telecommunication Services 3.84%

      

AT&T, Inc.(a)(b)

      34,800         1,240,968   

DiGi.Com Bhd

      338,000         452,370   

KT Corp.

      10,372         274,842   

Maxis Bhd

      771,900         1,553,280   

Philippine Long Distance Telephone Co.

      12,415         780,817   

Telekom Malaysia Bhd

      240,900         428,621   

Verizon Communications,
Inc.(a)(b)

      28,300         1,257,652   
     

 

 

  
        5,988,550   
     

 

 

  

Utilities 8.19%

      

AES Corp.(a)(d)

      84,103         1,079,041   

Ameren Corp.(a)(b)

      29,400         986,076   

American Electric Power Co.,
Inc.(a)(b)

      30,100         1,200,990   

CMS Energy Corp.(a)

      23,900         561,650   

Edison International(a)(b)

      25,328         1,170,154   

National Grid PLC - Sponsored ADR(a)(b)

      68,028         3,604,804   

NiSource, Inc.(a)(b)

      56,112         1,388,772   

Northeast Utilities(a)(b)

      17,398         675,216   

OGE Energy Corp.(a)(b)

      25,177         1,303,917   

      Shares      Value  

Utilities (continued)

  

Westar Energy, Inc.(a)

      26,357         $789,392   
     

 

 

  
        12,760,012   
     

 

 

  

TOTAL COMMON STOCKS

(Cost $164,583,388)

         169,876,643   
     

 

 

  

EXCHANGE TRADED FUNDS 0.36%

      

iShares® FTSE China 25 Index Fund

      16,942         570,437   
     

 

 

  

TOTAL EXCHANGE TRADED FUNDS

(Cost $573,478)

  

  

      570,437   
     

 

 

  

PREFERRED STOCKS 0.44%

      

The Goodyear Tire & Rubber Co., 5.875%(a)

      15,900         686,880   
     

 

 

  

TOTAL PREFERRED STOCKS

      

(Cost $795,994)

         686,880   
     

 

 

  

Description and

Maturity Date

    Principal
Amount		      Value  

 

  

CORPORATE BONDS 2.80%

      

Ford Motor Credit Co. LLC
01/15/2015, 3.875% (a)(b)

      $1,600,000         1,648,890   

Hanesbrands, Inc.
12/15/2020, 6.375% (a)

      360,000         380,700   

Manufacturers & Traders Trust Co.
12/01/2021, 5.629% (a)(f)

      885,000         885,083   

TAM Capital 2, Inc.
01/29/2020, 9.500% (a)(g)

      520,000         564,876   

Visteon Corp.
04/15/2019, 6.750% (a)

      895,000         874,863   
     

 

 

  

TOTAL CORPORATE BONDS (Cost $4,269,164)

         4,354,412   
     

 

 

  

ASSET/MORTGAGE BACKED SECURITIES 0.34%

  

Government National Mortgage Association (GNMA)

      

Series 2007-37, Class SA, 03/20/2037, 21.271%(a)(f)

      31,499         32,458   

Series 2007-37, Class SB, 03/20/2037, 21.271%(a)(f)

      23,838         24,746   

Small Business Administration Participation Certificates

Series 2008-20L, Class 1, 12/01/2028, 6.220%(a)

      409,435         474,817   
     

 

 

  

TOTAL ASSET/MORTGAGE BACKED SECURITIES

  

(Cost $460,406)

         532,021   
     

 

 

  

Description and

Maturity Date

    Principal
Amount		      Value  

GOVERNMENT & AGENCY OBLIGATIONS 19.25%

  

U.S. Treasury Bonds

      

05/15/2020, 3.500%

    $ 1,590,000       $ 1,859,058   

08/15/2020, 2.625% (a)

      7,700,000         8,481,434   

11/15/2020, 2.625% (a)

      7,075,000         7,783,604   

02/15/2021, 3.625% (a)

      5,710,000         6,746,279   

05/15/2021, 3.125% (a)

      2,900,000         3,304,640   

08/15/2027, 6.375%

      1,175,000         1,811,337   
     

 

 

  

TOTAL GOVERNMENT & AGENCY OBLIGATIONS

(Cost $29,338,264)

             29,986,352   
     

 

 

  
      Number of
Contracts		      Value  

 

  

PURCHASED OPTIONS 0.34%

      

CALL OPTIONS PURCHASED 0.07%

      

Market Vectors Oil Service ETF, Expires January, 2013, Exercise Price $53.33

      624         4,680   

Time Warner Inc., Expires

      

October, 2012, Exercise Price $37.00

      400         108,200   
     

 

 

  

TOTAL CALL OPTIONS PURCHASED

(Cost $169,311)

         112,880   
     

 

 

  

PUT OPTIONS PURCHASED 0.27%

      

S&P 500®  Index, Expires July, 2012, Exercise Price $1,310.00

      300         172,500   

United States Natural Gas Fund LP, Expires October, 2012, Exercise Price $17.00

      1,809         245,119   
     

 

 

  

TOTAL PUT OPTIONS PURCHASED

(Cost $1,226,525)

         417,619   
     

 

 

  

TOTAL PURCHASED OPTIONS

(Cost $1,395,836)

         530,499   
     

 

 

  

  

    Shares/Principal
Amount		      Value  

SHORT-TERM INVESTMENTS 28.81%

      

Money Market Fund

      

Dreyfus Treasury Prime Money Market Fund (0.000% 7-day yield)(h)

    $ 21,199,754         21,199,754   
     

 

 

  

U.S. Treasury Bills

      

U.S. Treasury Bill Discount Notes

      

08/09/2012, 0.113%(a)(i)

      4,600,000         4,599,432   

11/15/2012, 0.139%(a)(i)

      5,100,000         5,097,286   

      Shares/Principal
Amount		      Value  

 

  

SHORT-TERM INVESTMENTS (continued)

  

02/07/2013, 0.170%(a)(i)

      $4,000,000         $3,996,152   

04/04/2013, 0.181%(a)(i)

      5,000,000         4,993,395   

05/02/2013, 0.181%(a)(i)

      5,000,000         4,992,200   
     

 

 

  
        23,678,465   
     

 

 

  

TOTAL SHORT-TERM INVESTMENTS

(Cost $44,877,566)

         44,878,219   
     

 

 

  
            Value  

Total Investments - 161.39%

(Cost $246,294,096)

         251,415,463   

Liabilities in Excess of Other Assets - (61.39%)

  

      (95,631,557)   
     

 

 

  

NET ASSETS - 100.00%

         $155,783,906   
     

 

 

  
SCHEDULE OF WRITTEN OPTIONS    Number of
Contracts		      Value  

CALL OPTIONS WRITTEN

      

Time Warner Inc., Expires October, 2012, Exercise Price $41.00

      400         $(28,200)   
     

 

 

  

TOTAL CALL OPTIONS WRITTEN

(Premiums received $12,389)

         (28,200)   
     

 

 

  

PUT OPTIONS WRITTEN

      

S&P 500® Index, Expires July, 2012, Exercise Price $1,230.00

      300         (30,750)   
     

 

 

  

TOTAL PUT OPTIONS WRITTEN

(Premiums received $329,393)

         (30,750)   
     

 

 

  

TOTAL WRITTEN OPTIONS

(Premiums received $341,782)

         $(58,950)   
     

 

 

  

SCHEDULE OF SECURITIES SOLD

SHORT (d)

    Shares      Value  

COMMON STOCK

      

Banco Santander S.A.

      (108,936)         $(719,761)   

BHP Billiton, Ltd. - ADR

      (18,284)         (1,193,945)   

BNP Paribas S.A.

      (9,204)         (353,332)   

C&J Energy Services, Inc.

      (19,733)         (365,061)   

Chipotle Mexican Grill, Inc.

      (900)         (341,955)   

Ciena Corp.

      (52,221)         (854,858)   

Credit Agricole S.A.

      (52,344)         (229,924)   

Credit Suisse Group AG

      (9,387)         (172,064)   

CurrencyShares Euro Trust

      (9,700)         (1,221,036)   

Deutsche Bank AG

      (26,589)         (961,724)   

Fiat SpA

      (135,487)         (680,350)   

SCHEDULE OF SECURITIES SOLD

SHORT (d) (continued)

    Shares      Value  

 

  

Fortescue Metals Group, Ltd.

      (203,825)         $(1,022,213)   

Gannett Co., Inc.

      (45,000)         (662,850)   

Intesa Sanpaolo SpA

      (231,070)         (326,925)   

Nabors Industries, Ltd.

      (85,970)         (1,237,968)   

Patterson-UTI Energy, Inc.

      (78,037)         (1,136,219)   

Petroleo Brasileiro S.A. - ADR

      (128,572)         (2,413,296)   

Powershares QQQ Trust Series 1

      (73,101)         (4,690,160)   

Rio Tinto PLC - ADR

      (35,527)         (1,698,546)   

RR Donnelley & Sons Co.

      (38,517)         (453,345)   

Schneider Electric S.A.

      (6,819)         (377,366)   

Societe Generale S.A.

      (10,213)         (237,941)   

Under Armour, Inc.

      (5,400)         (510,192)   

Vale SA - ADR

      (93,649)         (1,858,933)   

Waters Corp.

      (7,600)         (603,972)   
     

 

 

  
        (24,323,936)   
     

 

 

  

EXCHANGE TRADED FUNDS

      

iShares® Russell 2000® Index Fund

      (97,335)         (7,752,733)   

United States Natural Gas Fund LP

      (45,171)         (871,348)   

United States Oil Fund LP

      (22,968)         (730,842)   
     

 

 

  
        (9,354,923)   
     

 

 

  

TOTAL SECURITIES SOLD SHORT

(Proceeds $36,146,667)

         $(33,678,859)   
     

 

 

  

SCHEDULE OF TOTAL RETURN SWAP CONTRACTS

 

Counter

Party

    Reference
Entry/Obligation		    Shares      Notional
Amount		      Floating Rate Paid
by the Fund		      Floating Rate
Index		      Termination
Date		      Net Unrealized
Depreciation		  

 

  

Morgan

Stanley

    GD Power Development /GDLINK/ Bullet TRS      1,135,700         492,780         95 Bps + 1D FEDEF         1D FEDEF         06/16/2014       $ (10,196 ) 

Abbreviations:

ADR - American Depositary Receipt

AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders

Bhd - Berhad (in Malaysia, a form of a public company)

ETF - Exchange Traded Fund

LLC - Limited Liability Corporation

LP - Limited Partnership

Ltd. - Limited

NV - Naamloze Vennootschap (Dutch: Limited Liability Company)

PLC - Public Limited Liability

REIT - Real Estate Investment Trust

REMICS - Real Estate Mortgage Investment Conduits

S.A. - Generally designates corporations in various countries, mostly those employing the civil law

SpA - Societa’ Per Azioni is an Italian shared company

 

(a)

Pledged security; a portion or all of the security is pledged as collateral for securities sold short or borrowings as of June 30, 2012. (See Note 1)

(b)

Loaned security; a portion or all of the security is on loan at June 30, 2012.

(c)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of June 30, 2012, these securities had a total value of $4,078,055 or 2.62% of net assets.

(d)

Non-income producing security.

(e)

Fair valued security; valued by management in accordance with procedures approved by the Fund’s Board of Trustees. As of June 30, 2012, these securities had a total value of $698,104 or 0.45% of total net assets.

(f)

Floating or variable rate security - rate disclosed as of June 30, 2012.

(g)

Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under guidelines approved by the Fund’s Board of Trustees. As of June 30, 2012, the aggregate market value of those securities was $564,876, representing 0.36% of net assets.

(h)

Less than 0.0005%.

(i)

Rate shown represents the bond equivalent yield to maturity at date of purchase.

 

Income Tax Information:  

Net unrealized appreciation/depreciation of investments based on federal tax costs were as follows:

   
     As of June 30, 2012    

Gross appreciation (excess of value over tax cost)

    $ 10,643,055    

Gross depreciation (excess of tax cost over value)

      (8,808,030)    

Net unrealized appreciation

    $ 1,835,025    
  

 

 

  

Cost of investments for income tax purposes

    $ 249,580,438    
  

 

 

  

See Notes to Quarterly Statement of Investments.

CLOUGH GLOBAL ALLOCATION FUND

NOTES TO QUARTERLY STATEMENT OF INVESTMENTS

JUNE 30, 2012 (UNAUDITED)

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING AND OPERATING POLICIES

 

Clough Global Allocation Fund (the “Fund”) is a closed-end management investment company that was organized under the laws of the state of Delaware by an Amended Agreement and Declaration of Trust dated April 27, 2004. The Fund is a non-diversified series with an investment objective to provide a high level of total return. Each Declaration of Trust provides that the Trustees may authorize separate classes of shares of beneficial interest.

The net asset value per share of the Fund is determined no less frequently than daily, on each day that the New York Stock Exchange (the “Exchange”) is open for trading, as of the close of regular trading on the Exchange (normally 4:00 p.m. New York time). Trading may take place in foreign issues held by the Fund at times when the Fund is not open for business. As a result, the Fund’s net asset value may change at times when it is not possible to purchase or sell shares of the Fund.

Investment Valuation: Securities held by the Fund for which exchange quotations are readily available are valued at the last sale price, or if no sale price or if traded on the over-the-counter market, at the mean of the bid and asked prices on such day. Most securities listed on a foreign exchange are valued at the last sale price at the close of the exchange on which the security is primarily traded. In certain countries market maker prices are used since they are the most representative of the daily trading activity. Market maker prices are usually the mean between the bid and ask prices. Certain markets are not closed at the time that the Fund prices its portfolio securities. In these situations, snapshot prices are provided by the individual pricing services or other alternate sources at the close of the NYSE as appropriate. Securities not traded on a particular day are valued at the mean between the last reported bid and the asked quotes, or the last sale price when appropriate; otherwise fair value will be determined by the board-appointed fair valuation committee. Debt securities for which the over-the-counter market is the primary market are normally valued on the basis of prices furnished by one or more pricing services or dealers at the mean between the latest available bid and asked prices. As authorized by the Trustees, debt securities (other than short-term obligations) may be valued on the basis of valuations furnished by a pricing service which determines valuations based upon market transactions for normal, institutional-size trading units of securities or a matrix method which considers yield or price of comparable bonds provided by a pricing service. Short-term obligations maturing within 60 days are valued at amortized cost, which approximates value, unless the Trustees determine that under particular circumstances such method does not result in fair value. Over-the-counter options are valued at the mean between bid and asked prices provided by dealers. Financial futures contracts listed on commodity exchanges and exchange-traded options are valued at closing settlement prices.

If the price of a security is unavailable in accordance with the aforementioned pricing procedures, or the price of a security is unreliable, e.g., due to the occurrence of a significant event, the security may be valued at its fair value determined by management pursuant to procedures adopted by the Board of Trustees. For this purpose, fair value is the price that the Fund reasonably expects to receive on a current sale of the security. Due to the number of variables affecting the price of a security, however; it is possible that the fair value of a security may not accurately reflect the price that a Fund could actually receive on a sale of the security. As of June 30, 2012, securities which have been fair valued represented 0.45% of net assets of the Fund.

A three-tier hierarchy has been established to classify 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. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability that are 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 that are developed based on the best information available.

Various inputs are used in determining the value of the Fund’s investments as of the reporting period end. These inputs are categorized in the following hierarchy under applicable financial accounting standards:

 

Level 1

  

–

   

Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to
access at the measurement date;

Level 2

  

–

   

Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

Level 3 – Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date.

The following is a summary of the inputs used as of June 30, 2012 in valuing the Fund’s investments carried at value. The Fund recognizes transfers between the levels as of the beginning of the annual period in which the transfer occurred. There were no significant transfers between Levels 1 and 2 during the period ended June 30, 2012:

Clough Global Allocation Fund

 

Investments in Securities at Value*    Level 1      Level 2      Level 3      Total  

 

  

Assets

            

Common Stocks

            

Consumer Discretionary

      $ 32,425,355         $ –         $ –         $ 32,425,355   

Consumer Staples

      3,734,433         –         –         3,734,433   

Energy

      19,674,656         –         –         19,674,656   

Financials

      40,286,575         688,500         9,604         40,984,679   

Health Care

      2,922,312         –         –         2,922,312   

Industrials

      9,128,760         –         –         9,128,760   

Information Technology

      37,240,842         –         –         37,240,842   

Materials

      5,017,044         –         –         5,017,044   

Telecommunication Services

      5,988,550         –         –         5,988,550   

Utilities

      12,760,012         –         –         12,760,012   

Exchange Traded Funds

      570,437         –         –         570,437   

Preferred Stocks

      686,880         –         –         686,880   

Corporate Bonds

      –         4,354,412         –         4,354,412   

Asset/Mortgage Backed Securities

      –         532,021         –         532,021   

Government & Agency Obligations

      29,986,352         –         –         29,986,352   

Purchased Options

      530,499         –         –         530,499   

Short-Term Investments

      44,878,219         –         –         44,878,219   

 

  

TOTAL

      $ 245,830,926         $ 5,574,933         $9,604         $ 251,415,463   

 

  
Other Financial Instruments                            

 

  

Liabilities

            

Written Options

      $(58,950)         $ –         $ –         $ (58,950)   

Securities Sold Short

      (33,678,859)         –         –         (33,678,859)   

Total Return Swap Contracts**

      –         (10,196)         –         (10,196)   
  

 

 

     

 

 

     

 

 

     

 

 

  

TOTAL

      $ (33,737,809)         $ (10,196)         $–         $ (33,748,005)   
  

 

 

     

 

 

     

 

 

     

 

 

  

*For detailed industry descriptions, see the accompanying Statement of Investments.

**Swap contracts are reported at their unrealized appreciation/(depreciation) at measurement date, which represents the change in the contract’s value from trade date.

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

Clough Global Allocation Fund

 

Investments

in Securities

    Balance
as of
March 31,
2012		    Realized
gain/(loss)		   Change in
unrealized
appreciation/
(depreciation)		    Purchases    Sales  

Transfers in
and/or

(out) of
Level 3

   

Balance

as of
June 30,

2012

   

Net Change in unrealized
appreciation/(depreciation)
attributable to

Level 3 investments

still held at

June 30, 2012

 

Common Stocks

    $19,963    $(71,735)   $72,285    $ -    $(10,909)   $ -    $9,604    $72,285
  

 

   

 

  

 

   

 

   

 

  

 

   

 

   

 

TOTAL

    $19,963    $(71,735)   $72,285    $ -    $(10,909)   $ -    $9,604    $72,285
  

 

   

 

  

 

   

 

   

 

  

 

   

 

   

 

Foreign Securities: The Fund may invest a portion of its assets in foreign securities. In the event that the Fund executes a foreign security transaction, the Fund will generally enter into a forward foreign currency contract to settle the foreign security transaction. Foreign securities may carry more risk than U.S. securities, such as political, market and currency risks.

The accounting records of the Fund are maintained in U.S. dollars. Prices of securities denominated in foreign currencies are translated into U.S. dollars at the closing rates of exchange at period end. Amounts related to the purchase and sale of foreign securities and investment income are translated at the rates of exchange prevailing on the respective dates of such transactions.

A foreign currency contract is a commitment to purchase or sell a foreign currency at a future date, at a negotiated rate. The Fund may enter into foreign currency contracts to settle specific purchases or sales of securities denominated in a foreign currency and for protection from adverse exchange rate fluctuation. Risks to the Fund include the potential inability of the counterparty to meet the terms of the contract.

The net U.S. dollar value of foreign currency underlying all contractual commitments held by the Fund and the resulting unrealized appreciation or depreciation are determined using prevailing forward foreign currency exchange rates. These spot contracts are used by the broker to settle investments denominated in foreign currencies.

As of June 30, 2012, the Fund had the following open spot foreign currency contracts:

Spot Foreign Exchange Contracts

 

Contract Description    Purchase/Sale Contract    Contracted Amount    Settlement Date    Current Value    Unrealized
(Depreciation)

 

BRL

    Sale    312,497    07/02/2012    $155,587    $(3,150)

EUR

    Purchase    297,654    07/03/2012    376,681    (327)

MYR

    Sale    61,752    07/03/2012    19,446    (67)

SEK

    Purchase    953,687    07/03/2012    137,867    (141)

HKD

    Sale    44,432    07/05/2012    5,727    -
              

 

               $(3,685)
              

 

Short Sales: The Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When the Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of the short sale.

Derivatives Instruments and Hedging Activities: The following discloses the Fund’s use of derivative instruments and hedging activities.

The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivative contracts, including, but not limited to, purchased and written options, swaps, and warrants. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity securities; they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objective more quickly and efficiently than if it was to make direct purchases or sales of securities capable of effecting a similar response to market factors.

Market Risk Factors: In pursuit of its investment objective, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors:

Equity Risk: Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

Risk of Investing in Derivatives: The Fund’s use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease or hedge exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected, resulting in losses for the combined or hedged positions.

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance.

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objective, but are the additional risks from investing in derivatives.

Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.

Option Writing/Purchasing: The Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option among others, is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. The Fund is obligated to pay interest to the broker for any debit balance of the margin account relating to options.

When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is recorded as a realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option.

Written option activity for the three months ended June 30, 2012 was as follows:

CLOUGH GLOBAL ALLOCATION FUND:

 

               
  

 

 

  
     Written Call Options      Written Put Options  

 

  
     Contracts      Premiums      Contracts      Premiums  

 

  

  Outstanding, March 31, 2012

      23       $ 40,409         –       $ –           

  Positions opened

      1,420         101,753         600         759,585           

  Exercised

      (23)         (40,409)         –         –           

  Expired

      (1,020)         (89,364)         –         –           

  Closed

      –         –         (300)         (430,192)           

  Split

      –         –         –         –           

 

  

  Outstanding, June 30, 2012

      400       $ 12,389         300       $ 329,393           

 

  

  Market Value, June 30, 2012

       $ (28,200)          $ (30,750)           

 

  

Swaps: During the period the Fund engaged in total return swaps. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The Fund may utilize swap agreements as a means to gain exposure to certain assets and/or to “hedge” or protect the Fund from adverse movements in securities prices or interest rates. The Fund is subject to equity risk and interest rate risk in the normal course of pursuing its investment objective through investments in swap contracts. Swap agreements entail the risk that a party will default on its payment obligation to the Fund. If the other party to a swap defaults, the Fund would risk the loss of the net amount of the payments that it contractually is entitled to receive. If the Fund utilizes a swap at the wrong time or judges market conditions incorrectly, the swap may result in a loss to the Fund and reduce the Fund’s total return. Swap agreements traditionally were privately negotiated and entered into in the over-the-counter market. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) of 2010 now permits certain swap agreements to be cleared through a clearinghouse and traded on an exchange or swap execution facility. New regulations under the Dodd-Frank Act could, among other things, increase the cost of such transactions.

Total return swaps involve an exchange by two parties in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income it generates and any capital gains over the payment period. The Fund’s maximum risk of loss from counterparty risk or credit risk is the discounted value of the payments to be received from/paid to the counterparty over the contract’s remaining life, to the extent that the amount is positive. The risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral to the Fund to cover the Fund’s exposure to the counterparty.

Warrants: The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in options above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. The Fund held no rights or warrants at the end of the period.

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) within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures were effective, as of that date.

 

  (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) during Registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 3 – Exhibits.

Separate certifications for the Registrant’s Principal Executive Officer and Principal Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment Company Act of 1940, are attached as Ex99.CERT.

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.

 

CLOUGH GLOBAL ALLOCATION FUND

            By:

  

/s/ Edmund J. Burke

 

Edmund J. Burke

 

President (principal executive

officer)

            Date:

  

August 24, 2012

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/ Edmund J. Burke

 

Edmund J. Burke

 

President (principal executive

officer)

            Date:

  

August 24, 2012

            By:

  

/s/ Jeremy O. May

 

Jeremy O. May

 

Treasurer (principal financial

officer)

            Date:

  

August 24, 2012