fp0004844_nq.htm
 
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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      811-05150                              
 
Cornerstone Strategic Value Fund, Inc.
(Exact name of registrant as specified in charter)
 
350 Jericho Turnpike, Suite 206           Jericho, New York
11753 
(Address of principal executive offices)
(Zip code)
 
Theresa M. Bridge
 
Ultimus Fund Solutions, LLC    350 Jericho Turnpike, Suite 206   Jericho, NY 11753
(Name and address of agent for service)
 
Registrant's telephone number, including area code:  (513) 326-3597                           
 
Date of fiscal year end:         December 31, 2012                           
 
Date of reporting period:       March 31, 2012                                 
 
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 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 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. § 3507.
 
 
 
 
 
Item 1.
Schedule of Investments.
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2012 (Unaudited)
  
   
Description
  
No. of Shares
    
Value
  
EQUITY SECURITIES - 98.87%
            
CLOSED-END FUNDS - 39.63%
            
CONVERTIBLE SECURITIES - 0.97%
            
Advent Claymore Global Convertible Securities and Income Fund II
     114,032     $ 784,540  
AGIC Equity & Convertible Income Fund
     6,400       113,664  
              898,204  
CORE - 0.75%
                
Adams Express Company (The)
     11,100       121,878  
Advent/Claymore Enhanced Growth & Income Fund
     3,916       39,199  
General American Investors Company, Inc.
     9,800       284,396  
Liberty All-Star Growth Fund, Inc.
     26,884       116,945  
Zweig Fund, Inc. (The)
     41,469       133,115  
              695,533  
CORPORATE DEBT FUNDS INVESTMENT GRADE-RATED - 1.96%
                
Federated Enhanced Treasury Income Fund
     47,044       694,369  
Western Asset Inflation Management Fund Inc.
     100       1,778  
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
     32,829       419,883  
Western Asset/Claymore Inflation-Linked Securities & Income Fund
     55,633       708,764  
              1,824,794  
DEVELOPED MARKET - 0.74%
                
Japan Smaller Capitalization Fund, Inc.
     88,375       692,860  
                 
EMERGING MARKETS - 0.70%
                
First Trust/Aberdeen Emerging Opportunity Fund
     3,800       78,964  
India Fund, Inc. (The)
     3,000       66,900  
Morgan Stanley India Investment Fund, Inc.
     30,387       503,209  
              649,073  
FLEXIBLE INCOME - 1.00%
                
Putnam Premier Income Trust
     64,293       354,254  
Zweig Total Return Fund, Inc. (The)
     178,951       572,643  
              926,897  
GLOBAL - 2.04%
                
AGIC Global Equity & Convertible Income Fund
     20,161       286,689  
Alpine Total Dynamic Dividend Fund
     79,800       378,252  
Clough Global Allocation Fund
     6,650       92,701  
Clough Global Equity Fund
     4,600       60,306  
Clough Global Opportunities Fund
     26,100       307,197  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2012 (Unaudited) (Continued)
  
   
Description
  
No. of Shares
    
Value
  
CLOSED-END FUNDS (Continued)
            
GLOBAL (Continued)
            
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund
     16,543     $ 323,912  
First Trust Active Dividend Income Fund
     35,818       311,617  
Lazard World Dividend & Income Fund, Inc.
     11,634       141,935  
              1,902,609  
GLOBAL INCOME - 0.88%
                
Global Income & Currency Fund Inc.
     11,324       155,479  
Nuveen Multi-Currency Short-Term Government Income Fund
     49,996       660,947  
              816,426  
LOAN PARTICIPATION - 1.46%
                
BlackRock Diversified Income Strategies Fund, Inc.
     28,726       295,303  
BlackRock Floating Rate Income Trust
     17,163       244,916  
Eaton Vance Senior Floating-Rate Trust
     9,641       146,929  
Invesco Van Kampen Dynamic Credit Opportunities Fund
     21,001       245,292  
Invesco Van Kampen Senior Income Trust
     87,527       429,758  
              1,362,198  
OPTION ARBITRAGE/OPTIONS STRATEGIES - 26.40%
                
BlackRock Enhanced Capital & Income Fund, Inc.
     69,048       931,458  
BlackRock Enhanced Equity Dividend Trust
     215,219       1,614,143  
BlackRock International Growth and Income Trust
     163,013       1,279,652  
Cohen & Steers Global Income Builder, Inc.
     21,400       228,980  
Dow 30 Enhanced Premium & Income Fund, Inc.
     900       10,125  
Dow 30 Premium & Dividend Income Fund, Inc.
     22,800       323,304  
Eaton Vance Enhanced Equity Income Fund
     102,000       1,128,120  
Eaton Vance Enhanced Equity Income Fund II
     152,300       1,657,024  
Eaton Vance Risk-Managed Diversified Equity Income Fund
     280,148       2,966,767  
Eaton Vance Tax-Managed Buy-Write Income Fund
     74,563       1,021,513  
Eaton Vance Tax-Managed Buy-Write Opportunities Fund
     95,600       1,237,064  
Eaton Vance Tax-Managed Diversified Equity Income Fund
     371,208       3,537,612  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2012 (Unaudited) (Continued)
  
   
Description
  
No. of Shares
    
Value
  
CLOSED-END FUNDS (Continued)
            
OPTION ARBITRAGE/OPTIONS STRATEGIES (Continued)
            
Eaton Vance Tax-Managed Global Buy-Write Opportunities Fund
     184,566     $ 2,037,609  
Eaton Vance Tax-Managed Global Diversified Equity Income Fund
     455,011       4,054,148  
First Trust Enhanced Equity Income Fund
     16,800       202,944  
ING Global Equity Dividend and Premium Opportunity Fund
     139,899       1,341,631  
Madison Strategic Sector Premium Fund
     11,112       131,233  
Nuveen Equity Premium Advantage Fund
     10,442       126,557  
Nuveen Equity Premium and Growth Fund
     17,538       233,782  
Nuveen Equity Premium Income Fund
     17,200       205,884  
Nuveen Equity Premium Opportunity Fund
     24,800       302,064  
              24,571,614  
PACIFIC EX JAPAN - 0.95%
                
Morgan Stanley China A Share Fund, Inc.
     45,347       888,348  
                 
REAL ESTATE - 0.07%
                
LMP Real Estate Income Fund, Inc.
     6,602       67,737  
                 
SECTOR EQUITY - 1.71%
                
BlackRock EcoSolutions Investment Trust
     63,511       631,934  
Gabelli Healthcare & WellnessRx Trust (The)
    9,221       76,811  
ING Risk Managed Natural Resources Fund
     65,307       801,317  
Petroleum & Resources Corporation
     3,043       79,118  
              1,589,180  
                 
TOTAL CLOSED-END FUNDS
       36,885,473  
                 
CONSUMER DISCRETIONARY - 6.66%
                
CBS Corporation - Class B
     5,000       169,550  
Comcast Corporation - Class A
     20,655       619,857  
DIRECTV - Class A *
     7,000       345,380  
Family Dollar Stores, Inc.
     2,000       126,560  
Home Depot, Inc. (The)
     12,600       633,906  
Kohl's Corporation
     3,000       150,090  
McDonald's Corporation
     11,400       1,118,340  
Starbucks Corporation
     2,800       156,492  
Target Corporation
     8,800       512,776  
Time Warner Cable, Inc.
     1,966       160,229  
Time Warner, Inc.
     7,900       298,225  
TJX Companies, Inc. (The)
     14,000       555,940  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2012 (Unaudited) (Continued)
  
   
Description
  
No. of Shares
    
Value
  
CONSUMER DISCRETIONARY (Continued)
            
Viacom, Inc. - Class B
     5,450     $ 258,657  
Walt Disney Company (The)
     10,200       446,556  
Yum! Brands, Inc.
     9,000       640,620  
              6,193,178  
CONSUMER STAPLES - 6.01%
                
Altria Group, Inc.
     20,800       642,096  
Coca-Cola Company (The)
     13,500       999,135  
Costco Wholesale Corporation
     2,500       227,000  
CVS Caremark Corporation
     10,430       467,264  
Estée Lauder Companies, Inc. (The) - Class A
     4,000       247,760  
Philip Morris International, Inc.
     13,400       1,187,374  
Wal-Mart Stores, Inc.
     29,700       1,817,640  
              5,588,269  
ENERGY - 7.93%
                
Apache Corporation
     3,000       301,320  
Chevron Corporation
     15,732       1,687,100  
ConocoPhillips
     14,974       1,138,174  
Exxon Mobil Corporation
     36,936       3,203,459  
Halliburton Company
     7,000       232,330  
Marathon Oil Corporation
     5,000       158,500  
Occidental Petroleum Corporation
     5,800       552,334  
Williams Companies, Inc.
     2,500       77,025  
WPX Energy, Inc. *
     1,666       30,004  
              7,380,246  
FINANCIALS - 7.17%
                
AFLAC, Inc.
     5,500       252,945  
American Express Company
     6,400       370,304  
AON Corporation
     3,500       171,710  
Bank of America Corporation
     60,000       574,200  
BB&T Corporation
     5,000       156,950  
Capital One Financial Corporation
     4,500       250,830  
Discover Financial Services
     6,000       200,040  
Fifth Third Bancorp
     9,000       126,450  
Franklin Resources, Inc.
     1,500       186,045  
JPMorgan Chase & Co.
     30,132       1,385,469  
Marsh & McLennan Companies, Inc.
     10,000       327,900  
MetLife, Inc.
     7,000       261,450  
Morgan Stanley
     12,000       235,680  
Prudential Financial, Inc.
     2,000       126,780  
U.S. Bancorp
     16,401       519,584  
Wells Fargo & Company
     44,800       1,529,472  
              6,675,809  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2012 (Unaudited) (Continued)
  
   
Description
  
No. of Shares
    
Value
  
HEALTH CARE - 6.64%
            
Abbott Laboratories
     13,200     $ 809,028  
Aetna, Inc.
     5,000       250,800  
Amgen, Inc.
     7,800       530,322  
Becton, Dickinson and Company
     3,900       302,835  
Biogen Idec, Inc. *
     4,000       503,880  
Bristol-Myers Squibb Company
     19,000       641,250  
Cardinal Health, Inc.
     7,950       342,725  
Covidien plc
     4,099       224,133  
Gilead Sciences, Inc. *
     9,500       464,075  
McKesson Corporation
     1,800       157,986  
Medco Health Solutions, Inc. *
     4,000       281,200  
Merck & Company, Inc.
     22,267       855,053  
Thermo Fisher Scientific, Inc.
     3,000       169,140  
UnitedHealth Group, Inc.
     11,000       648,340  
              6,180,767  
INDUSTRIALS - 6.24%
                
Caterpillar, Inc.
     5,300       564,556  
CSX Corporation
     10,500       225,960  
Cummins Inc.
     2,000       240,080  
Deere & Company
     6,500       525,850  
Emerson Electric Company
     6,000       313,080  
FedEx Corporation
     3,000       275,880  
General Dynamics Corporation
     3,200       234,816  
General Electric Company
     50,000       1,003,500  
Honeywell International Inc.
     5,000       305,250  
Illinois Tool Works, Inc.
     2,500       142,800  
Lockheed Martin Corporation
     3,000       269,580  
Norfolk Southern Corporation
     3,000       197,490  
Northrop Grumman Corporation
     3,000       183,240  
Raytheon Company
     3,500       184,730  
Union Pacific Corporation
     4,000       429,920  
United Parcel Service, Inc. - Class B
     4,100       330,952  
United Technologies Corporation
     3,000       248,820  
Waste Management, Inc.
     3,800       132,848  
              5,809,352  
INFORMATION TECHNOLOGY - 13.15%
                
Apple, Inc. *
     7,900       4,735,813  
Google, Inc. - Class A *
     1,500       961,860  
Intel Corporation
     39,500       1,110,345  
International Business Machines Corporation
     8,100       1,690,065  
Microsoft Corporation
     87,800       2,831,550  
Oracle Corporation
     31,272       911,891  
              12,241,524  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2012 (Unaudited) (Continued)
  
   
Description
  
No. of Shares
    
Value
  
MATERIALS - 1.85%
            
Air Products & Chemicals, Inc.
     2,000     $ 183,600  
Dow Chemical Company (The)
     5,000       173,200  
E.I. Du Pont de Nemours and Company
     9,500       502,550  
International Paper Company
     4,000       140,400  
Newmont Mining Corporation
     4,000       205,080  
Praxair, Inc.
     4,500       515,880  
              1,720,710  
REAL ESTATE INVESTMENT TRUST - 0.00%
                
Simon Property Group, Inc.
     14       2,039  
                 
TELECOMMUNICATION SERVICES - 1.83%
                
AT&T, Inc.
     30,039       938,118  
Verizon Communications, Inc.
     20,000       764,600  
              1,702,718  
UTILITIES - 1.76%
                
American Electric Power Company, Inc.
     3,500       135,030  
Duke Energy Corporation
     15,800       331,958  
Exelon Corporation
     3,000       117,630  
FirstEnergy Corporation
     3,000       136,770  
NextEra Energy, Inc.
     4,000       244,320  
Progress Energy, Inc.
     3,000       159,330  
Public Service Enterprises Group, Inc.
     4,500       137,745  
Southern Company (The)
     6,000       269,580  
Xcel Energy, Inc.
     4,000       105,880  
              1,638,243  
                 
TOTAL EQUITY SECURITIES (cost - $75,502,455)
       92,018,328  
                 
SHORT-TERM INVESTMENT - 1.00%
                
MONEY MARKET FUND - 1.00%
                
Fidelity Institutional Money Market Government Portfolio - Class I (cost - $928,338)
     928,338       928,338  
                 
TOTAL INVESTMENTS - 99.87% (cost - $76,430,793)
       92,946,666  
                 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.13%
       119,169  
                 
NET ASSETS - 100.00%
     $ 93,065,835  
 
*Non-income producing security.
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
NOTES TO SCHEDULE OF INVESTMENTS
March 31, 2012 (UNAUDITED)
 
Federal Income Tax Cost: At March 31, 2012 the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation from investments were $76,430,954, $17,404,046, $(888,334) and $16,515,712, respectively.
 
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, 2012 in valuing the Fund’s investments carried at value:
 
VALUATION INPUTS
  
INVESTMENTS
IN
SECURITIES
    
OTHER
FINANCIAL
INSTRUMENTS*
  
             
Level 1 - Quoted Prices
            
  Equity Investments
  
$
92,018,328
    
$
-
  
  Short-Term Investments
    
928,338
      
-
  
Level 2 - Other Significant Observable Inputs
    
-
      
-
  
Level 3 – Significant Unobservable Inputs
    
-
      
-
  
Total
  
$
92,946,666
    
$
-
  
 
* 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.
 
During the three months ended March 31, 2012, 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, 2012.
 
The disclosures for the Fund’s fiscal year beginning January 1, 2012 relate to presenting separately any Level 3 purchases, sales, issuances and settlements on a gross basis instead of one net amount.  Management will continue to evaluate the impact of ASU No. 2010-6 for the required disclosures.
 
In May 2011, FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs”. ASU No. 2011-04 establishes common requirements for measuring fair value and for disclosing information in accordance with U.S. generally accepted accounting principles (“GAAP”) and International Financial Reporting Standards (“IFRSs”).  ASU No. 2011-04 is effective for interim and annual periods beginning after December 15, 2011 and is applied prospectively.  Management is currently evaluating ASU No. 2011-04 and does not believe that it will have a material impact on the Fund’s financial statements and disclosures. 

The Fund is exposed to financial market risks, including the valuations of its investment portfolio.  For the three months ended March 31, 2012, the Fund did not engage in derivative instruments and other hedging activities.
 
The Fund has evaluated the need for addition 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 2, 2012 with a file number 811-05150.
 
Other information regarding the Fund is available in the Fund’s most recent annual report filed with the Securities and Exchange Commission on the Form N-CSR on March 2, 2012, file number 811-05150.  This information is also available to registered shareholders by calling (800) 937-5449.  For general inquiries, please call (513) 326-3597.  This information is also available on the website of the Securities and Exchange Commission – http://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 Strategic Value Fund, Inc.                     
 
By (Signature and Title)*
/s/ Ralph W. Bradshaw
  
   
Ralph W. Bradshaw, President and Chairman
  
   
(Principal Executive Officer)
  
       
Date
May 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 (Signature and Title)*
/s/ Ralph W. Bradshaw
  
   
Ralph W. Bradshaw, President and Chairman
  
   
(Principal Executive Officer)
  
       
Date
May 24, 2012
    
 
 
By (Signature and Title)*
/s/ Theresa M. Bridge
  
   
Theresa M. Bridge, Treasurer
  
   
(Principal Financial Officer)
  
       
Date
May 8, 2012
    
 
* Print the name and title of each signing officer under his or her signature.