N-Q 1 mcc_93009nq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS mcc_93009nq.htm
As filed with the Securities and Exchange Commission on November 24, 2009



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



Jeanine M. Bajczyk
Advisors Series Trust
615 East Michigan St.
Milwaukee, WI 53202

(Name and address of agent for service)


(414) 765-6609
Registrant's telephone number, including area code



Date of fiscal year end:  June 30, 2010



Date of reporting period:  September 30, 2009
 
Item 1. Schedules of Investments.
McCarthy Multi-Cap Stock Fund
      
Schedule of Investments
      
at September 30, 2009 (Unaudited)
      
           
Shares
      
Value
  
   
COMMON STOCKS - 80.39%
      
   
Diversified Metals/Mining - 2.65%
      
  21,400  
Compass Minerals International, Inc.
   $ 1,318,668  
               
     
Drugstore Chains - 1.44%
        
  20,000  
CVS Caremark Corp.+
     714,800  
               
     
Health Care Equipment & Supplies - 0.66%
        
  15,000  
CareFusion Corp.*
     327,000  
               
     
Health Care Providers & Services - 10.96%
        
  30,000  
Cardinal Health, Inc.
     804,000  
  30,000  
Centene Corp.*
     568,200  
  28,000  
Humana, Inc.*
     1,044,400  
  18,580  
UnitedHealth Group, Inc.
     465,243  
  85,000  
WellCare Health Plans, Inc.*
     2,095,250  
  10,000  
Wellpoint, Inc.*
     473,600  
            5,450,693  
               
     
Household & Personal Care Products - 2.91%
        
  25,000  
Procter & Gamble Co.
     1,448,000  
               
     
IT Services - 1.73%
        
  45,454  
Western Union Co.
     859,990  
               
     
Metals & Mining - 2.15%
        
  15,600  
Freeport-McMoRan Copper & Gold, Inc.+
     1,070,316  
               
     
Oil & Gas - 2.49%
        
  26,201  
Kinder Morgan Management, LLC*
     1,240,617  
               
     
Oil & Gas Drilling - 7.78%
        
  27,000  
ENSCO International, Inc.
     1,148,580  
  42,430  
Noble Corp.
     1,610,643  
  13,000  
Transocean Ltd.*
     1,111,890  
            3,871,113  
               
     
Oil & Gas Exploration & Production - 6.72%
        
  25,300  
Chesapeake Energy Corp.
     718,520  
  35,000  
ConocoPhillips
     1,580,600  
  15,516  
Devon Energy Corp.
     1,044,692  
            3,343,812  
               
     
Oil & Gas Refining & Marketing - 3.03%
        
  44,000  
Frontier Oil Corp.
     612,480  
  46,060  
Valero Energy Corp.
     893,104  
            1,505,584  
               
     
Pharmaceuticals - 15.53%
        
  23,600  
Abbott Laboratories
     1,167,492  
  41,000  
Bristol-Myers Squibb Co.
     923,320  
  30,000  
Endo Pharmaceuticals Holdings, Inc.*
     678,900  
  22,946  
Johnson & Johnson
     1,397,182  
  49,300  
Mylan, Inc.*
     789,293  
  57,000  
Wyeth
     2,769,060  
            7,725,247  
               
     
Property & Casualty Insurance - 10.44%
        
  17,000  
Allied World Assurance Company Holdings, Ltd.
     814,810  
  24,806  
Argo Group International Holdings Ltd.*
     835,466  
  31,000  
Aspen Insurance Holdings Ltd.
     820,570  
  250  
Berkshire Hathaway Inc. - Class B*
     830,750  
  25,000  
Endurance Specialty Holdings Limited
     911,750  
  14,000  
Transatlantic Holdings, Inc.
     702,380  
  15,400  
United Fire & Casualty Co.
     275,660  
            5,191,386  
               
     
Reinsurers - 6.51%
        
  11,400  
Everest Re Group, Ltd.
     999,780  
  70,500  
Flagstone Reinsurance Holdings Ltd.
     795,240  
  46,270  
Montpelier Re Holdings Ltd.
     755,126  
  12,600  
RenaissanceRe Holdings, Ltd.
     689,976  
            3,240,122  
               
     
Systems Software - 5.39%
        
  79,300  
Microsoft Corp.
     2,053,077  
  30,000  
Oracle Corp.
     625,200  
            2,678,277  
     
TOTAL COMMON STOCKS (Cost $36,490,061)
     39,985,625  
               
     
EXCHANGE-TRADED FUNDS - 3.01%
        
  33,000  
Market Vectors Gold Miners ETF* (Cost $1,250,847)
     1,494,570  
               
     
PREFERRED STOCKS - 4.01%
        
     
Pharmaceuticals - 4.01%
        
  8,225  
Schering-Plough Corp. (Cost $1,468,660)
     1,996,208  
               
     
SHORT-TERM INVESTMENTS - 13.11%
        
     
Money Market Funds - 13.11%
        
  6,521,060  
Federated Prime Obligations Fund, Institutional Class, 0.22%† (Cost $6,521,060)
     6,521,060  
     
Total Investments in Securities (Cost $45,730,628) - 100.52%
     49,997,463  
     
Liabilities in Excess of Other Assets - (0.52)%
     (259,536 )
     
NET ASSETS - 100.00%
   $ 49,737,927  
               
 
* Non-income producing security.
+ Security is subject to a written call option.
† Rate shown is the 7-day yield as of September 30, 2009.
 

Schedule of Call Options Written
      
at September 30, 2009 (Unaudited)
      
           
Contracts
      
Value
  
  200  
CVS Caremark Corp.
      
     
    Expiring February, 2010, Exercise Price: $36.00
   $ 46,000  
  150  
Freeport-McMoRan Copper & Gold, Inc.
        
     
    Expiring February, 2010, Exercise Price: $60.00
     202,500  
     
Total Call Options Written  (Premiums received $247,194)
   $ 248,500  

The cost basis of investments for federal income tax purposes at September 30, 2009 was as follows**:

Cost of investments (long positions)
   $ 45,730,628  
Cost of investments (short positions)
     (247,194 )
    $  45,483,434  
         
Gross unrealized appreciation
   $ 7,190,068  
Gross unrealized depreciation
     (2,924,539 )
Net unrealized appreciation
   $ 4,265,529  
         

**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.


FAS 157 – Summary of Fair Value Exposure at September 30, 2009

The Fund has adopted authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value.   These standards require additional disclosures about the various  inputs and valuation techniques used to develop the measurements of fair value, a discussion in changes in valuation techniques and related inputs during the period and expanded disclosure of valuation levels for major security types.  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 Fund’s own assumptions in determining the fair value of investments).
 
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.  The following is a summary of the inputs used to value the Fund’s securities as of September 30, 2009:

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Equity
                        
  Consumer Staples
   $ 2,162,800     $ —     $ —     $ 2,162,800  
  Energy
     9,961,126       —       —       9,961,126  
  Financials
     8,431,508       —       —       8,431,508  
  Healthcare
     15,499,148       —       —       15,499,148  
  Information Technology
     3,538,267       —       —       3,538,267  
  Materials
     2,388,984       —       —       2,388,984  
Total Equity
     41,981,833       —       —       41,981,833  
Exchange-Traded Funds
     1,494,570       —       —       1,494,570  
Short-Term Investments
     6,521,060       —       —       6,521,060  
Total Investments in Securities
   $ 49,997,463     $ —     $ —     $ 49,997,463  
                                 
Other Financial Investments*
   $ 1,306       —       —     $ 1,306  


*Other financial instruments are derivative instruments not reflected in the Schedule of Investments, and include written options, which are valued at the unrealized appreciation/(depreciation) on the instrument.

 
 
Item 2. Controls and Procedures.
 
(a)  
The Registrant’s President/Principal Executive Officer and Treasurer/Principal 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”)) (17 CFR 270.30a-3(c)) 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 (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).

(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) (17 CFR 270.30a-3(d))  that occurred during the Registrant's last fiscal quarter that has materially affected, or are 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 1940 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/ Douglas G. Hess          
           Douglas G. Hess, President

Date      11/13/2009                                                              



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/ Douglas G. Hess          
Douglas G. Hess, President

Date      11/13/2009                                                              

By (Signature and Title)*     /s/ Cheryl L. King              
Cheryl L. King, Treasurer

Date      11/13/2009                                                              

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