N-Q 1 cr_finalnq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS Quarterly Notice of Portfolio Holdings

As filed with the Securities and Exchange Commission on March 20, 2007



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 811-07959



Advisors Series Trust
(Exact name of registrant as specified in charter)



615 E. Michigan St.
Milwaukee, WI 53202 
(Address of principal executive offices) (Zip code)



Eric M. Banhazl
Advisors Series Trust
615 E. Michigan St.
Milwaukee, WI 53202 
(Name and address of agent for service)



(414) 765-5340
(Registrant's telephone number, including area code)



Date of fiscal year end: October 31



Date of reporting period: January 31, 2007 


Item 1. Schedule of Investments.
CastleRock Fund
     
Schedule of Investments at January 31, 2007 (Unaudited)
     
       
COMMON STOCKS - 96.70%
Shares
  
Value
       
Aerospace & Defense - 3.96%
      
L-3 Communications Holdings, Inc. (a)
6,000
$
494,040
       
Air Freight & Logistics - 6.02%
      
C.H. Robinson Worldwide, Inc. (a)
5,000
  
265,250
FedEx Corp. (a)
4,400
  
485,760
     
751,010
       
Airlines - 3.76%
      
Southwest Airlines Co. (a)
31,000
  
468,100
       
Commercial Services & Supplies - 1.65%
      
Cintas Corp. (a)
5,000
  
205,750
       
Communications Equipment - 2.55%
      
Motorola, Inc. (a)
16,000
  
317,600
       
Consumer Finance - 1.84%
      
SLM Corp. (a)
5,000
  
229,800
       
Diversified Financial Services - 3.07%
      
CIT Group, Inc. (a)
6,500
  
383,240
       
Energy Equipment & Services - 9.99%
      
BJ Services Co. (a)
13,000
  
359,580
ENSCO International, Inc. (a)
2,000
  
101,740
Helmerich & Payne, Inc. (a)
10,000
  
268,300
Tidewater, Inc. (a)
10,000
  
515,700
     
1,245,320
       
Food & Staples Retailing - 2.70%
      
Costco Wholesale Corp. (a)
6,000
  
337,080
       
Health Care Equipment & Supplies - 3.11%
      
Zimmer Holdings, Inc. (a)(b)
4,600
  
387,412
       
Health Care Providers & Services - 12.19%
      
Coventry Health Care, Inc. (a)(b)
6,000
  
309,300
Express Scripts, Inc. (a)(b)
3,000
  
208,560
Medco Health Solutions, Inc. (a)(b)
9,000
  
532,890
Owens & Minor, Inc. (a)
7,000
  
234,150
UnitedHealth Group, Inc. (a)
4,500
  
235,170
     
1,520,070
       
Hotels, Restaurants & Leisure - 2.07%
      
Ruby Tuesday, Inc. (a)
9,000
  
257,490
       
Insurance - 3.23%
      
Hilb Rogal & Hobbs Co. (a)
3,000
  
126,750
Transatlantic Holdings, Inc.
4,400
  
276,276
     
403,026
       
IT Services - 5.24%
      
Affiliated Computer Services, Inc. - Class A (a)(b)
9,700
  
475,203
Computer Sciences Corp. (a)(b)
3,400
  
178,364
     
653,567
       
Metals & Mining - 2.17%
      
Newmont Mining Corp. (a)
6,000
  
270,600
       
Pharmaceuticals - 2.36%
      
Barr Pharmaceuticals, Inc. (a)(b)
5,500
  
294,360
       
Road & Rail - 5.81%
      
Arkansas Best Corp. (a)
10,000
  
382,200
Werner Enterprises, Inc. (a)
18,000
  
342,180
     
724,380
     
 
Semiconductor & Semiconductor Equipment - 2.10%
      
Texas Instruments, Inc. (a)
8,400
  
261,996
       
Software - 2.13%
      
Symantec Corp. (a)(b)
15,000
  
265,650
       
Specialty Retail - 11.39%
      
Advance Auto Parts, Inc. (a)
14,000
  
531,300
Bed Bath & Beyond, Inc. (a)(b)
3,000
  
126,570
Best Buy Co., Inc. (a)
2,500
  
126,000
Christopher & Banks Corp. (a)
6,000
  
106,680
Circuit City Stores, Inc. (a)
6,000
  
122,460
Home Depot, Inc. (a)
10,000
  
407,400
     
1,420,410
       
Thrifts & Mortgage Finance - 7.14%
      
MGIC Investment Corp. (a)
8,000
  
493,760
Radian Group, Inc. (a)
5,000
  
301,100
The PMI Group, Inc.
2,000
  
95,640
     
890,500
       
Trading Companies & Distributors - 2.22%
      
MSC Industrial Direct Co., Inc. - Class A (a)
6,400
  
276,416
       
TOTAL COMMON STOCKS (Cost $11,332,963)
    
12,057,817
       
EXCHANGE TRADED FUNDS - 2.63%
      
       
Oil Service HOLDRs Trust (a)
2,400
  
328,632
       
TOTAL EXCHANGE TRADED FUNDS (Cost $321,838)
    
328,632
       
SHORT-TERM INVESTMENTS - 5.03%
      
 
      
AIM STIT-Liquid Assets Portfolio
627,001
  
627,001
(Cost $627,001)
      
       
Total Investments in Securities (Cost $12,281,802) - 104.36%
    
13,013,450
Call Options Written - (10.74)%
    
(1,339,545)
Other Assets less Liabilities - 6.38%
    
795,628
NET ASSETS - 100.00%
  
$
12,469,533
       
       
(a) Security is subject to written call option(s).
      
(b) Non-income producing security.
      
       
       
 
 
 
CastleRock Fund
     
Schedule of Call Options Written at January 31, 2007 (Unaudited)
     
       
Underlying Security/Expiration Date/Exercise Price
Contracts
  
Value
       
Advance Auto Parts, Inc.
      
Expiration: March, 2007, Exercise Price: $35.00
35
$
(12,600)
Expiration: June, 2007, Exercise Price: $35.00
105
  
(50,400)
Affiliated Computer Services, Inc. - Class A
     
Expiration: April, 2007, Exercise Price: $50.00
20
  
(3,100)
Expiration: July, 2007, Exercise Price: $50.00
20
  
(5,500)
Arkansas Best Corp.
   
 
Expiration: March, 2007, Exercise Price: $35.00
40
  
(15,600)
Expiration: March, 2007, Exercise Price: $40.00
30
  
(3,150)
Expiration: June, 2007, Exercise Price: $40.00
30
  
(7,200)
Barr Pharmaceuticals, Inc.
   
 
Expiration: May, 2007, Exercise Price: $50.00
30
  
(16,500)
Expiration: August, 2007, Exercise Price: $50.00
25
  
(17,000)
Bed Bath & Beyond, Inc.
    
 
Expiration: February, 2007, Exercise Price: $35.00
30
  
(22,200)
Best Buy Co., Inc.
    
 
Expiration: March, 2007, Exercise Price: $47.50
25
  
(10,250)
BJ Services Co.
    
 
Expiration: April, 2007, Exercise Price: $25.00
70
  
(23,100)
Expiration: July, 2007, Exercise Price: $27.50
60
  
(17,400)
C.H. Robinson Worldwide, Inc.
    
 
Expiration: May, 2007, Exercise Price: $40.00
50
  
(70,000)
Christopher & Banks Corp.
   
 
Expiration: June, 2007, Exercise Price: $17.50
60
  
(11,400)
Cintas Corp.
   
 
Expiration: February, 2007, Exercise Price: $35.00
50
  
(31,500)
Circuit City Stores, Inc.
   
 
Expiration: April, 2007, Exercise Price: $17.50
60
  
(21,000)
CIT Group, Inc.
   
 
Expiration: April, 2007, Exercise Price: $55.00
30
  
(15,900)
Expiration: July, 2007, Exercise Price: $55.00
35
  
(22,750)
Computer Sciences Corp.
   
 
Expiration: March, 2007, Exercise Price: $47.50
34
  
(19,040)
Costco Wholesale Corp.
    
 
Expiration: April, 2007, Exercise Price: $52.50
40
  
(20,000)
Expiration: July, 2007, Exercise Price: $52.50
20
  
(12,600)
Coventry Health Care, Inc.
    
 
Expiration: April, 2007, Exercise Price: $45.00
60
  
(45,000)
ENSCO International, Inc.
     
Expiration: March, 2007, Exercise Price: $40.00
20
  
(22,600)
Express Scripts, Inc.
   
 
Expiration: May, 2007, Exercise Price: $65.00
30
  
(24,000)
FedEx Corp.
    
 
Expiration: February, 2007, Exercise Price: $110.00
10
  
(2,100)
Expiration: April, 2007, Exercise Price: $105.00
12
  
(10,080)
Expiration: April, 2007, Exercise Price: $110.00
10
  
(5,200)
Expiration: July, 2007, Exercise Price: $110.00
12
  
(9,600)
Helmerich & Payne, Inc.
   
 
Expiration: March, 2007, Exercise Price: $25.00
50
  
(13,000)
Expiration: June, 2007, Exercise Price: $25.00
50
  
(17,000)
Hilb Rogal & Hobbs Co.
     
Expiration: April, 2007, Exercise Price: $40.00
30
  
(10,800)
Home Depot, Inc.
      
Expiration: February, 2007, Exercise Price: $35.00
100
  
(58,800)
L-3 Communications Holdings, Inc.
      
Expiration: April, 2007, Exercise Price: $75.00
10
  
(8,700)
Expiration: April, 2007, Exercise Price: $80.00
25
  
(10,750)
Expiration: July, 2007, Exercise Price: $80.00
25
  
(15,000)
Medco Health Solutions, Inc.
     
Expiration: February, 2007, Exercise Price: $55.00
22
  
(10,120)
Expiration: April, 2007, Exercise Price: $55.00
22
  
(12,760)
Expiration: July, 2007, Exercise Price: $55.00
46
  
(35,420)
MGIC Investment Corp.
      
Expiration: March, 2007, Exercise Price: $55.00
20
  
(14,400)
Expiration: June, 2007, Exercise Price: $60.00
20
  
(9,400)
Expiration: September, 2007, Exercise Price: $60.00
20
  
(12,000)
Expiration: September, 2007, Exercise Price: $65.00
20
  
(6,800)
Motorola, Inc.
      
Expiration: July, 2007, Exercise Price: $20.00
160
  
(24,800)
MSC Industrial Direct Co., Inc. - Class A
      
Expiration: March, 2007, Exercise Price: $35.00
32
  
(27,840)
Expiration: June, 2007, Exercise Price: $35.00
32
  
(30,080)
Newmont Mining Corp.
     
Expiration: March, 2007, Exercise Price: $42.50
30
  
(10,500)
Expiration: June, 2007, Exercise Price: $42.50
30
  
(14,400)
Oil Service HOLDRs Trust
    
 
Expiration: March, 2007, Exercise Price: $125.00
12
  
(16,680)
Expiration: March, 2007, Exercise Price: $130.00
12
  
(11,520)
Owens & Minor, Inc.
 
  
 
Expiration: March, 2007, Exercise Price: $30.00
35
 
(13,650)
Expiration: June, 2007, Exercise Price: $30.00
35
  
(16,100)
Radian Group, Inc.
    
 
Expiration: May, 2007, Exercise Price: $55.00
25
  
(18,000)
Expiration: August, 2007, Exercise Price: $55.00
25
  
(21,250)
Ruby Tuesday, Inc.
     
Expiration: July, 2007, Exercise Price: $25.00
90
  
(44,100)
SLM Corp.
   
 
Expiration: April, 2007, Exercise Price: $45.00
50
  
(12,750)
Southwest Airlines Co.
    
 
Expiration: March, 2007, Exercise Price: $15.00
70
  
(4,200)
Expiration: June, 2007, Exercise Price: $15.00
80
  
(8,400)
Expiration: September, 2007, Exercise Price: $15.00
160
  
(24,000)
Symantec Corp.
    
 
Expiration: July, 2007, Exercise Price: $17.50
150
  
(22,500)
Texas Instruments, Inc.
    
 
Expiration: April, 2007, Exercise Price: $27.50
42
  
(17,220)
Expiration: July, 2007, Exercise Price: $27.50
42
  
(21,000)
Tidewater, Inc.
   
 
Expiration: February, 2007, Exercise Price: $45.00
25
  
(16,750)
Expiration: March, 2007, Exercise Price: $45.00
25
  
(17,750)
Expiration: April, 2007, Exercise Price: $45.00
25
  
(19,000)
Expiration: July, 2007, Exercise Price: $45.00
25
  
(22,500)
UnitedHealth Group, Inc.
    
 
Expiration: March, 2007, Exercise Price: $45.00
45
  
(34,785)
Werner Enterprises, Inc.
    
 
Expiration: March, 2007, Exercise Price: $17.50
90
  
(17,550)
Expiration: June, 2007, Exercise Price: $17.50
90
  
(22,500)
Zimmer Holdings, Inc.
    
 
Expiration: March, 2007, Exercise Price: $75.00
20
  
(19,400)
Expiration: June, 2007, Exercise Price: $75.00
26
 
(28,600)
       
Total Call Options Written (Proceeds $1,045,667)
  
$
(1,339,545)
       
       
 
 
 

The cost basis of investments for federal income tax purposes at January 31, 2007 was as follows*:

Cost of investments (long positions)
$
12,358,428
Cost of investments (short positions)
  
(1,045,667)
 
$
11,312,761
     
Gross unrealized appreciation
$
926,454
Gross unrealized depreciation
  
(565,310)
Net unrealized appreciation
$
361,144
     

*Because tax adjustments are calculated annually, the above table reflects the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Item 2. Controls and Procedures.
 
(a)  
The Registrant’s President/Chief Executive Officer and Treasurer/Chief Financial Officer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b)  
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the 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 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)). Filed herewith.
 
 
 
 
 

 

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) Advisors Series Trust                                                            

By (Signature and Title)* /s/ Eric M. Banhazl                                          
Eric M. Banhazl, President

Date   3/13/07                                                                                                 



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/ Eric M. Banhazl                                          
Eric M. Banhazl, President

Date   3/13/07                                                                                                 

By (Signature and Title)* /s/ Douglas G. Hess                                        
Douglas G. Hess, Treasurer

Date   3/19/07                                                                                                 

* Print the name and title of each signing officer under his or her signature.