Number
|
|
|||
of Shares
|
Value
|
|||
COMMON
STOCKS: 84.3% of net assets
|
||||
CONSUMER
DISCRETIONARY:
|
12.6%
|
|||
American
Eagle Outfitters, Inc.
|
30,900
|
572,268.00
|
||
Bed
Bath & Beyond Inc.*
|
400
|
17,504.00
|
||
Best
Buy Co., Inc.
|
60,000
|
2,552,400.00
|
||
Home
Depot Inc.
|
30,000
|
970,500.00
|
||
Kohls
Corp.*
|
26,500
|
1,451,670.00
|
||
Lowe's
Companies, Inc.
|
110,000
|
2,666,400.00
|
||
Target
Corp.
|
30,000
|
1,578,000.00
|
||
Williams-Sonoma,
Inc.
|
24,300
|
638,847.00
|
||
CONSUMER
SERVICES:
|
6.4%
|
|||
eBay
Inc.*
|
127,000
|
3,422,650.00
|
||
Garmin
Ltd.
|
47,900
|
1,843,192.00
|
||
ENERGY:
|
11.8%
|
|||
Apache
Corp.
|
28,000
|
2,842,000.00
|
||
Schlumberger
Ltd.
|
22,000
|
1,396,120.00
|
||
Transocean
Ltd.*
|
29,000
|
2,505,020.00
|
||
Weatherford
International Ltd.*
|
70,000
|
1,110,200.00
|
||
XTO
Energy Inc.
|
40,000
|
1,887,200.00
|
||
EXCHANGE
TRADED FUNDS
|
4.2%
|
|||
Powershares
QQQ
|
35,000
|
1,686,300.00
|
||
SPDR
Trust Series 1
|
15,000
|
1,754,850.00
|
||
FINANCIALS:
|
14.6%
|
|||
Affiliated
Managers Group, Inc.*
|
10,000
|
790,000.00
|
||
Bank
of America Corp.
|
61,867
|
1,104,325.95
|
||
Capital
One Financial Corp.
|
67,800
|
2,807,598.00
|
||
Citigroup
Inc.
|
190,000
|
769,500.00
|
||
Marshall
& Ilsley Corp.
|
95,000
|
764,750.00
|
||
Morgan
Stanley
|
68,000
|
1,991,720.00
|
||
State
Street Corp.
|
50,000
|
2,257,000.00
|
||
Wells
Fargo & Co.
|
50,000
|
1,556,000.00
|
||
HEALTH
CARE:
|
17.8%
|
|||
Biogen
Idec*
|
43,100
|
2,472,216.00
|
||
Genzyme
Corp.*
|
36,000
|
1,865,880.00
|
||
Gilead
Sciences, Inc.*
|
45,000
|
2,046,600.00
|
||
Medtronic
Inc.
|
35,000
|
1,576,050.00
|
||
Mylan,
Inc.*
|
35,500
|
806,205.00
|
||
Pfizer
Inc.
|
109,800
|
1,883,070.00
|
||
UnitedHealth
Group, Inc.
|
86,000
|
2,809,620.00
|
||
Zimmer
Holdings Inc.*
|
21,000
|
1,243,200.00
|
||
INSURANCE:
|
1.4%
|
|||
Aflac
Inc.
|
17,000
|
922,930.00
|
||
MGIC
Investment Corp.*
|
25,000
|
274,250.00
|
||
SOFTWARE:
|
0.5%
|
|||
Check
Point Software Technologies Ltd.*
|
700
|
24,542.00
|
||
Symantec
Corp.*
|
25,000
|
423,000.00
|
||
TECHNOLOGY:
|
15.0%
|
|||
Applied
Materials, Inc.
|
39,400
|
531,112.00
|
||
Cisco
Systems, Inc.*
|
170,000
|
4,425,100.00
|
||
Dell
Inc.*
|
100,000
|
1,501,000.00
|
||
EMC
Corp.*
|
100,000
|
1,804,000.00
|
||
Flextronics
International Ltd.*
|
234,900
|
1,841,616.00
|
||
Qualcomm
Inc.*
|
32,000
|
1,343,680.00
|
||
Yahoo!
Inc.*
|
60,000
|
991,800.00
|
||
TOTAL COMMON
STOCKS (Cost $90,828,739)
|
$ 69,721,886
|
Contracts
|
||||
(100
shares
|
Expiration
|
Exercise
|
|
|
per contract)
|
Date
|
Price
|
Value
|
|
CALL
OPTIONS WRITTEN:
|
||||
Aflac
Inc.
|
170
|
May
2010
|
49.00
|
98,600.00
|
American
Eagle Outfitters, Inc.
|
165
|
May
2010
|
17.50
|
25,575.00
|
American
Eagle Outfitters, Inc.
|
144
|
August
2010
|
17.50
|
30,960.00
|
Apache
Corp.
|
146
|
April
2010
|
95.00
|
100,010.00
|
Apache
Corp.
|
134
|
April
2010
|
105.00
|
10,050.00
|
Bed
Bath & Beyond Inc.
|
4
|
May
2010
|
40.00
|
1,720.00
|
Best
Buy Co., Inc.
|
300
|
September
2010
|
38.00
|
179,250.00
|
Best
Buy Co., Inc.
|
300
|
January
2011
|
17.50
|
37,800.00
|
Best
Buy Co., Inc.
|
100
|
January
2011
|
40.00
|
56,250.00
|
Biogen
Idec
|
295
|
April
2010
|
55.00
|
81,862.50
|
Biogen
Idec
|
136
|
July
2010
|
50.00
|
116,280.00
|
Capital
One Financial Corp.
|
300
|
June
2010
|
40.00
|
106,500.00
|
Capital
One Financial Corp.
|
200
|
September
2010
|
40.00
|
96,500.00
|
Check
Point Software Technologies Ltd.
|
7
|
July
2010
|
30.00
|
3,745.00
|
Cisco
Systems, Inc.
|
400
|
April
2010
|
24.00
|
83,400.00
|
Cisco
Systems, Inc.
|
500
|
July
2010
|
24.00
|
130,250.00
|
Cisco
Systems, Inc.
|
500
|
July
2010
|
25.00
|
93,750.00
|
Cisco
Systems, Inc.
|
300
|
October
2010
|
25.00
|
73,200.00
|
eBay
Inc.
|
200
|
April
2010
|
24.00
|
60,100.00
|
eBay
Inc.
|
250
|
July
2010
|
25.00
|
75,500.00
|
eBay
Inc.
|
500
|
October
2010
|
25.00
|
185,000.00
|
EMC
Corp.
|
700
|
July
2010
|
18.00
|
69,300.00
|
EMC
Corp.
|
300
|
October
2010
|
19.00
|
29,550.00
|
Garmin
Ltd.
|
315
|
July
2010
|
33.00
|
174,825.00
|
Genzyme
Corp.
|
160
|
April
2010
|
52.50
|
15,200.00
|
Genzyme
Corp.
|
200
|
July
2010
|
57.50
|
32,000.00
|
Gilead
Sciences, Inc.
|
200
|
May
2010
|
49.00
|
8,100.00
|
Gilead
Sciences, Inc.
|
250
|
August
2010
|
50.00
|
27,500.00
|
Home
Depot Inc.
|
300
|
August
2010
|
32.00
|
55,350.00
|
Kohl's
Corp.
|
150
|
April
2010
|
50.00
|
72,000.00
|
Kohl's
Corp.
|
115
|
July
2010
|
50.00
|
69,000.00
|
Lowe's
Companies, Inc.
|
700
|
July
2010
|
25.00
|
57,050.00
|
Lowe's
Companies, Inc.
|
400
|
October
2010
|
24.00
|
73,200.00
|
Marshall
& Ilsley Corp.
|
250
|
September
2010
|
7.50
|
33,125.00
|
Medtronic
Inc
|
350
|
May
2010
|
46.00
|
38,500.00
|
Morgan
Stanley
|
280
|
October
2010
|
33.00
|
39,060.00
|
Mylan,
Inc.
|
290
|
April
2010
|
17.50
|
153,700.00
|
Mylan,
Inc.
|
65
|
October
2010
|
21.00
|
18,362.50
|
Mylan,
Inc.
|
300
|
January
2011
|
17.50
|
48,150.00
|
Pfizer
Inc.
|
300
|
September
2010
|
19.00
|
9,600.00
|
Pfizer
Inc.
|
500
|
January
2011
|
7.50
|
62,000.00
|
Powershares
QQQ
|
350
|
June
2010
|
46.00
|
106,925.00
|
Qualcomm,
Inc
|
200
|
October
2010
|
40.00
|
88,000.00
|
Schlumberger
Ltd
|
220
|
May
2010
|
65.00
|
42,900.00
|
SPDR
Trust Series 1
|
150
|
May
2010
|
112.00
|
95,925.00
|
State
Street Corp.
|
200
|
May
2010
|
46.00
|
32,000.00
|
State
Street Corp.
|
300
|
August
2010
|
47.00
|
78,000.00
|
Symantec
Corp.
|
50
|
January
2011
|
17.50
|
7,500.00
|
Target
Corp.
|
300
|
April
2010
|
49.00
|
111,000.00
|
Transocean
Ltd
|
90
|
May
2010
|
85.00
|
39,375.00
|
Transocean
Ltd
|
200
|
January
2011
|
90.00
|
146,000.00
|
UnitedHealth
Group, Inc.
|
200
|
June
2010
|
33.00
|
34,100.00
|
UnitedHealth
Group, Inc.
|
200
|
September
2010
|
36.00
|
30,300.00
|
Weatherford
International Ltd
|
400
|
August
2010
|
20.00
|
14,400.00
|
Wells
Fargo & Co.
|
200
|
April
2010
|
29.00
|
44,600.00
|
Wells
Fargo & Co.
|
300
|
July
2010
|
29.00
|
95,250.00
|
Williams-Sonoma,
Inc.
|
243
|
August
2010
|
22.50
|
116,640.00
|
XTO
Energy Inc.
|
80
|
May
2010
|
47.00
|
10,560.00
|
XTO
Energy Inc.
|
320
|
August
2010
|
47.00
|
69,280.00
|
Yahoo!
Inc.
|
300
|
October
2010
|
17.00
|
32,250.00
|
Zimmer
Holdings Inc.
|
100
|
June
2010
|
60.00
|
22,250.00
|
Zimmer
Holdings Inc.
|
110
|
September
2010
|
60.00
|
39,600.00
|
TOTAL CALL OPTIONS WRITTEN
(Premiums Received $3,437,335)
|
$ 3,988,730
|
SHORT-TERM
INVESTMENTS:
|
||||
Repurchase
Agreement - 20.4%
|
||||
US
Bank issued 3/31/10 at 0.01%, due
|
||||
4/1/10,
collateralized by $17,227,711 in Fannie
|
||||
Mae
MBS # due 7/1/18. Proceeds at
|
||||
maturity
are $16,889,852 (Cost $16,889,847).
|
16,889,847
|
|||
TOTAL
INVESTMENTS: 104.7% of net assets (Cost
$107,718,587)
|
$ 86,611,733
|
|||
LIABILITIES LESS CASH AND OTHER
ASSETS: 0.1%
|
113,729
|
|||
TOTAL CALL OPTIONS
WRITTEN: (4.8%)
|
(3,988,730)
|
|||
NET
ASSETS: 100%
|
$ 82,736,732
|
Securities
Valuation: Securities traded on a national securities exchange are
valued at their closing sale price. Repurchase agreements and
other securities having maturities of 60 days or less are valued at
amortized cost, which approximates market value. Securities
having longer maturities, for which quotations are readily available, are
valued at the mean between their closing bid and ask
prices. Securities for which market quotations are not readily
available are valued at their fair value as determined in good faith under
procedures approved by the Board of Trustees.
|
|||||
The
Funds adopted Financial Accounting Standards Board (“FASB”) guidance on
fair value measurements effective January 1, 2008. Fair value
is defined as the price that the Funds 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. A three-tier hierarchy distinguishes between (1)
inputs that reflect the assumptions market participants would use in
pricing an asset or liability developed based on market data obtained from
sources independent of the reporting entity (observable inputs) and (2)
inputs that reflect the reporting entity’s own assumptions about the
assumptions market participants would use in pricing an asset or liability
developed based on the best information available in the circumstances
(unobservable inputs) and to establish classification of fair value
measurements for disclosure purposes.
|
|||||
Various
inputs as noted above are used in determining the value of the Fund's
investments and other financial instruments. These inputs are summarized
in the three broad levels listed below.
|
|||||
Level
1: Quoted prices in active markets for identical
securities
|
|||||
Level
2: Other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk,
etc.)
|
|||||
Level
3: Significant unobservable inputs (including the Funds’ 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. In
April 2009, the FASB issued guidance on how to determine the fair value of
assets and liabilities when the volume and level of activity for the
asset/liability have significantly decreased as well as guidance on
identifying circumstances that indicate a transaction is not
orderly. As of March 31, 2010, none of the Funds held
securities deemed as a Level 3.
|
|||||
The
following is a summary representing the Fund's investments carried on the
Statements of Assets and Liabilities by caption and by level within the
fair value hierarchy as of March 31, 2010:
|
|||||
Level
1
|
Level
2
|
Level
3
|
Value
at 3/31/10
|
||
Assets:
|
|||||
Common
Stocks
|
$ 69,721,886
|
$ -
|
$ -
|
$ 69,721,886
|
|
Repurchase
Agreement
|
$ 16,889,847 |
16,889,847
|
|||
Total
|
$ 69,721,886
|
$ 16,889,847
|
$ -
|
$ 86,611,733
|
|
Liabilities:
|
|||||
Written
Options
|
$ 3,988,730
|
$ -
|
$ -
|
$ 3,988,730
|
|
Total
|
$ 3,988,730
|
$ -
|
$ -
|
$ 3,988,730
|
|
|
Statement
of Asset & Liability Presentation of Fair Values of Derivative
Instruments
|
||||
Asset
Derivatives
|
Liability
Derivatives
|
|||
Derivatives
not accounted
for
as hedging instruments
|
Statement
of Assets and Liabilities Location
|
Fair
Value
|
Statement
of Assets
and
Liabilities Location
|
Fair
Value
|
Equity
contracts
|
--
|
--
|
Options
written
|
$3,988,730
|
Realized Gain on
Derivatives:
|
Change
in Unrealized Depreciation on Derivatives
|
|
Derivatives
not accounted
for
as hedging instruments
|
||
Equity
contracts – options
|
$633,610
|
$833,546
|