N-Q 1 ntrf_53110nq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS ntrf_53110nq.htm
As filed with the Securities and Exchange Commission on July 27, 2010



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 Street
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)



Douglas G. Hess, President
Advisors Series Trust
c/o U.S. Bancorp Fund Services, LLC
777 East Wisconsin Avenue, 5th Floor
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:  February 28, 2011



Date of reporting period:  May 31, 2010
 
 
 
 
Item 1. Schedules of Investments.
Niemann Tactical Return Fund
      
Schedule of Investments
      
at May 31, 2010 (Unaudited)
      
           
           
           
Shares
  
EXCHANGE-TRADED FUNDS - 26.2%
  
Value
  
  2,447  
First Trust S&P REIT Index Fund
   $ 32,105  
  333  
iShares MSCI Thailand Investable Market Index Fund
     14,665  
  300  
Market Vectors Gold Miners ETF
     14,958  
  135  
PowerShares DB Gold Fund *
     5,853  
  749  
PowerShares Dynamic Leisure and Entertainment Portfolio
     11,692  
  805  
PowerShares Dynamic Media Portfolio
     10,143  
  1,166  
Rydex S&P 500 Pure Value ETF
     29,535  
  285  
SPDR S&P Homebuilders ETF
     4,908  
     
TOTAL EXCHANGE-TRADED FUNDS (Cost $129,520)
     123,859  
               
               
     
MONEY MARKET FUNDS - 51.1%
        
  241,478  
AIM STIT - Liquid Assets Portfolio - Institutional Class, 0.18% +
     241,478  
     
TOTAL MONEY MARKET FUNDS (Cost $241,478)
     241,478  
     
Total Investments in Securities  (Cost $370,998) - 77.3%
     365,337  
     
Other Assets in Excess of Liabilities - 22.7%
     107,120  
     
NET ASSETS - 100.0%
   $ 472,457  
               
* Non-income producing security.
        
+ Rate shown is the 7-day yield as of May 31, 2010.
        
               
               
The cost basis of investments for federal tax purposes at May 31, 2010 was as follows**:
        
               
Cost of investments
   $ 370,998  
Gross unrealized appreciation
   $ 316  
Gross unrealized depreciation
     (5,977 )
Net unrealized depreciation
   $ (5,661 )
               
** Because tax adjustments are calculated annually, the above table does not include tax adjustments outstanding.
        
               
 
 
FAS 157 – Summary of Fair Value Exposure at May 31, 2010 (Unaudited)

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  –  Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

Level 2  –   Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted
prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3  –   Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a
market participant would use in valuing the asset or liability, and would be based on the best information available.

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 May 31, 2010:

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Exchange-Traded Funds
   $ 123,859     $ —     $ —     $ 123,859  
Money Market Funds
     241,478       —       —       241,478  
Total Investments in Securities
   $ 365,337     $ —     $ —     $ 365,337  

Transfers between levels are recognized at the end of the reporting period.  During the period ended
May 31, 2010, the Fund recognized no significant transfers to/from Level 1 or Level 2.
 

 
 
 
 
 
 
 
 
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    7/22/10                                                                      



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    7/22/10                                                                      

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

Date    7/22/10                                                                      

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