UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21681
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Old Mutual/Claymore Long-Short Fund
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(Exact name of registrant as specified in charter)
2455 Corporate West Drive, Lisle, IL 60532
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(Address of principal executive offices) (Zip code)
J. Thomas Futrell
2455 Corporate West Drive, Lisle, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
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Date of fiscal year end: December 31
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Date of reporting period: December 31, 2008
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
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. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The registrant's annual report transmitted to shareholders pursuant to Rule
30e-1 under the Investment Company Act of 1940, as amended (the "Investment
Company Act") is as follows:
ANNUAL REPORT OLD MUTUAL/CLAYMORE LONG-SHORT FUND | OLA
December 31, 2008
[PHOTO]
Logo: OLD MUTUAL | Asset Management
Logo: CLAYMORE(SM)
WWW.CLAYMORE.COM/OLA
... YOUR COURSE TO THE LATEST,
MOST UP-TO-DATE INFORMATION ABOUT THE
OLD MUTUAL/CLAYMORE LONG-SHORT FUND
OLA Old Mutual/
LISTED Claymore
NYSE(R) Long-Short Fund
Logo: OLD MUTUAL | Asset Management
Logo: CLAYMORE(SM)
There can be no assurance the Fund will achieve its investment objective.
The value of the Fund will fluctuate with the value of the Underlying
securities. Historically, closed-end funds often trade at a discount to
their net asset value.
NOT FDIC INSURED o NOT BANK-GUARANTEED o MAY LOSE VALUE
The shareholder report you are reading right now is just the beginning of the
story. Online at WWW.CLAYMORE.COM/OLA, you will find:
o Daily, weekly and monthly data on share prices, distributions and more
o Portfolio overviews and performance analyses
o Announcements, press releases and special notices
o Fund and adviser contact information
Analytic Investors, LLC and Claymore are continually updating and expanding
shareholder information services on the Fund's website, in an ongoing effort to
provide you with the most current information about how your Fund's assets are
managed, and the results of our efforts. It is just one more way we are working
to keep you better informed about your investment in the Fund.
2 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund
Dear SHAREHOLDER |
We thank you for your investment in the Old Mutual/Claymore Long-Short Fund (the
"Fund"). This report covers the Fund's performance for the fiscal year ended
December 31, 2008. This has been an extraordinarily difficult time for all
investors, and we are disappointed to report that the Fund's return was negative
for the period.
The Fund's investment objective is to provide a high level of current income and
gains with a secondary objective of long-term capital appreciation. The Fund
seeks to achieve these objectives by investing in a diversified portfolio of
common stocks and other equity securities utilizing a long/short strategy and
opportunistically employing a strategy of writing (selling) calls on equity
indices and, to a lesser extent, on individual securities held in the Fund's
port-folio. The Fund also seeks to enhance returns through an asset allocation
strategy that involves purchasing or selling futures contracts on U.S. or
foreign securities indices, foreign currencies and other assets.
Analytic Investors, LLC ("Analytic") is the Fund's investment sub-adviser. The
firm, established in 1970, is a majority-owned subsidiary of Old Mutual (US)
Holdings Inc., more commonly known as Old Mutual Asset Management. Analytic
specializes in the creation and continuous management of optioned-equity and
optioned-debt portfolios for mutual funds, foundations, insurance companies,
endowments, profit-sharing plans, funds of hedge funds, and individual
investors. As of December 31, 2008,Analytic managed or supervised approximately
$8.7 billion in assets.
We believe that the Fund provides shareholders with the potential to outperform
the S&P 500 Index over full market cycles through its unique multi-strategy
approach to investing. Analytic has employed the Fund's strategy for nearly
three decades in other investment products for institutional and retail
investors. While the Fund's options overlay has similarities to a covered call
fund, the Fund's long/short equity security selection and its asset allocation
makes it different. We believe that this multi-strategy approach provides
opportunities unavailable in a traditional covered call fund.
All Fund returns cited--whether based on net asset value ("NAV") or market
price--assume the reinvestment of all distributions. For the 12 months ended
December 31, 2008, the Fund provided a total return based on market price of
- -39.88% and a total return based on NAV of -35.09%. As of December 31, 2008, the
Fund's market price of $7.98 per share represented a discount of 22.07% to its
NAV of $10.24 per share. Past performance is not a guarantee of future results.
The market value of the Fund's shares fluctuates from time to time, and it may
be higher or lower than the Fund's NAV. The current discount to NAV may provide
an opportunity for suitable investors to purchase shares of the Fund below the
market value of the securities in the underlying portfolio. We believe that,
over the long term, the progress of the NAV will be reflected in the market
price return to shareholders.
Annual Report | December 31, 2008 | 3
OLA | Old Mutual/Claymore Long-Short Fund | DEAR SHAREHOLDER continued
We encourage shareholders to consider the opportunity to reinvest their
distributions from the Fund through the Dividend Reinvestment Plan ("DRIP"),
which is described in detail on page 28 of the Fund's annual report. When shares
trade at a discount to NAV, the DRIP takes advantage of the discount by
reinvesting the quarterly dividend distribution in common shares of the Fund
purchased in the market at a price less than NAV. Conversely, when the market
price of the Fund's common shares is at a premium above NAV, the DRIP reinvests
participants' dividends in newly-issued common shares at NAV, subject to an IRS
limitation that the purchase price cannot be more than 5% below the market price
per share. The DRIP provides a cost-effective means to accumulate additional
shares and enjoy the benefits of compounding returns over time. Since the Fund
endeavors to maintain a steady quarterly distribution rate, the DRIP plan
effectively provides an income averaging technique, which allows shareholders to
accumulate a larger number of Fund shares when the market price is depressed
than when the price is higher.
The Fund provided investors with consistent quarterly distributions of $0.40 per
share during 2008. This represents an annualized distribution rate of 20.05%
based upon the closing market price of $7.98 per share on December 31, 2008.
Each of the distributions was accompanied by a letter detailing the expected
characterization of the distribution for tax purposes. These letters are also
posted on the Fund's website.
To learn more about the Fund's performance and investment strategy, we encourage
you to read the Questions & Answers section of the report, which begins on page
5. You will find information about Analytic's investment philosophy and
discipline, its views on the market environment and how it structured the Fund's
portfolio based on its views.
We appreciate your investment and look forward to serving your investment needs
in the future. For the most up-to-date information on your investment, please
visit the Fund's website at www.claymore.com/ola.
Sincerely,
/s/ J. Thomas Futrell
- -------------------------
J. Thomas Futrell
Old Mutual/Claymore Long-Short Fund
4 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund
QUESTIONS & ANSWERS |
DENNIS M. BEIN, CFA
CHIEF INVESTMENT OFFICER, PORTFOLIO MANAGER
ANALYTIC INVESTORS, LLC ("ANALYTIC")
As Chief Investment Officer, Dennis Bein oversees the implementation of
Analytic's investment strategies. He is a major contributor to Analytic's
ongoing research efforts as well as to the new product development efforts and
strategy applications. As Portfolio Manager, Bein directs the Old
Mutual/Claymore Long-Short Fund's (the "Fund's") management team on day-to-day
portfolio management and research related to the Fund's equity-based investment
strategies. Bein joined Analytic in 1995 and has worked as an investment
professional since 1990. He is a CFA charter-holder and earned an M.B.A. from
the Anderson Graduate School of Management at the University of California,
Riverside.
The Fund is managed by Analytic Investors, LLC. In the following interview,
Chief Investment Officer and Portfolio Manager Dennis Bein, CFA, explains the
factors that impacted the Fund's performance for the fiscal year ended December
31, 2008.
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BEFORE WE DISCUSS PERFORMANCE, WILL YOU REMIND US OF THE FUND'S INVESTMENT
OBJECTIVE AND EXPLAIN HOW YOUR INVESTMENT STRATEGY SEEKS TO ACHIEVE IT?
The Fund's primary investment objective is to provide a high level of current
income and gains, with a secondary objective of long-term capital appreciation.
The Fund seeks to achieve these objectives by investing in a diversified
portfolio of common stocks and other equity securities, utilizing a long and
short strategy and opportunistically employing a strategy of writing (selling)
calls on equity indices, sectors and, to a lesser extent, individual securities
held in the Fund's portfolio.
We utilize quantitative models to develop an equity portfolio that we believe
offers the potential for capital appreciation over time. The portfolio is
constructed with a level of diversification and risk similar to that of the S&P
500, but is designed with the objective of outperforming the index over a full
market cycle by having its long positions invested in the stocks that we believe
will outperform, while selling short the stocks that we believe will
underperform. (1) To generate income and help reduce volatility, we then apply a
call option overlay. Finally, to potentially enhance returns, we also engage in
asset allocation strategies by purchasing or selling futures contracts on U.S.
or foreign securities indices as well as foreign currency forward contracts and
other assets.
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WILL YOU TELL US MORE ABOUT THE SPECIFICS OF YOUR PROCESS?
There are three components of the strategy that we believe make the Fund unique
among covered call funds.
STOCK SELECTION. We begin by analyzing stock characteristics rather than
focusing on individual stocks as many investment managers do. Our quantitative
review is based on sophisticated mathematical models focused on variables that
cover multiple dimensions of a stock's value, such as its valuation, growth
potential, historical return patterns, liquidity and risk. The models identify
characteristics that investors are currently rewarding or punishing by examining
a universe of approximately 3,000 stocks to determine which financial
characteristics are shared by the market's largest gaining or losing stocks.
Stocks possessing favorable characteristics are ranked and become candidates for
the long portfolio. Stocks that possess unfavorable characteristics are
candidates for the short portfolio. Ultimately a portfolio of at least 75
highly-ranked stocks is combined with short positions of at least 20 low-ranked
stocks. We monitor the portfolio on a real-time basis utilizing our proprietary
management system, which identifies media events or changes in fundamental
factors that are potentially significant for the portfolio holdings. However, we
trade securities only when we believe the incremental return potential will
exceed the associated transaction costs.
OPTIONS OVERLAY. Our process is unique because we typically do not write (sell)
call options on individual securities held in the Fund's portfolio as a
traditional covered call fund might. We prefer to sell call options on indices
because we have strong convictions about the stocks held in the Fund's
portfolio. This strategy helps preserve the upside potential of the Fund's
individual equity holdings, which is more important to us than giving away the
upside potential of the market sectors on which we have written the calls. We
believe giving away market or sector upside potential in exchange for lower
overall volatility and a higher yield provided by the call option premiums
benefits the Fund.
ASSET ALLOCATION. We also engage in asset allocation strategies for the Fund by
purchasing or selling futures contracts on U.S. or foreign securities indices,
foreign currencies and other assets. This enables us to attempt to enhance Fund
returns, to hedge against market and other risks in the portfolio and to obtain
market exposure with reduced transaction costs. Essentially we take long and
short equity markets and currency futures positions based on our global research
models.
WHAT IS A SHORT SALE?
A short sale is three-step trading strategy that seeks to capitalize on an
anticipated decline in the price of a security. First, arrangements are made to
borrow shares of the security, typically from a broker. Next, the investor will
sell the borrowed shares immediately in the open market with the intention of
buying them back at some point in the future. Finally, to complete the cycle, at
a later date the investor will repurchase the shares (hopefully at a lower
price) and will return them to the lender. In the end, the investor will receive
the difference if the share price falls, but will of course incur a loss if it
rises.
- ----------
Indices are unmanaged and it is not possible to invest directly in an index.
(1) The S&P 500 is an unmanaged, capitalization-weighted index of 500 stocks
that cover approximately 75% of the U.S. equity market. It is a widely
used gauge of the overall performance of the U.S. equity market.
Annual Report | December 31, 2008 | 5
OLA | Old Mutual/Claymore Long-Short Fund | QUESTIONS & ANSWERS continued
WHAT IS AN INDEX OPTION?
An index option is a contract which gives the buyer the right to participate in
market gains over and above (in the case of a call) or below (in the case of a
put) a specified price (the strike price) on or before a predetermined date (the
expiration date). After this pre-determined date, the option and its
corresponding rights expire. For example, the seller of an index call option is
obligated, until the expiration date, to pay the holder of the option the
difference between the index price and the option's strike price, upon the
holder's request. The price of the option is determined from trading activity in
the options market and generally reflects the relationship between the current
price for the index and the strike price, as well as the time remaining until
the expiration date.
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WILL YOU PROVIDE AN OVERVIEW OF THE MARKET ENVIRONMENT DURING 2008?
In the Fund's semi-annual report for the six months ended June 30, 2008, we
described the first half of 2008 as a time of economic uncertainty and turmoil
in capital markets. Since that time, there has been pronounced deterioration in
equity and credit markets not only in the U.S. but throughout the world. Credit
markets became so intolerant of risk during the latter half of 2008 that for a
period of time, they were essentially frozen. The combination of a housing
slump, rising unemployment, a severe credit crunch and falling equity prices has
led to a general loss of confidence, causing households and businesses to avoid
spending and severely depressing aggregate demand. In early December, the
Business Cycle Dating Committee of the National Bureau of Economic Research
officially confirmed that the U.S. economy has been in a recession since
December 2007. Aggressive policy responses by the U.S. government, including
highly stimulative monetary policy, massive provision of liquidity, capital
infusions, and guarantees of bank debt, have helped to keep the financial system
viable and begun to loosen frozen credit markets.
Essentially all equity indices posted negative returns during 2008. The S&P 500,
which is generally regarded as a good indicator of the broad stock market,
returned -37.00% for the year. All ten sectors within the S&P 500 posted
negative returns. The weakest sector was financials, down more than 50%; the
strongest was consumer staples with a negative return of 14%.
- --------------------------------------------------------------------------------
HOW DID THE FUND PERFORM DURING 2008?
All Fund returns cited--whether based on net asset value ("NAV") or market
price--assume the reinvestment of all distributions. For the 12 months ended
December 31, 2008, the Fund provided total returns of -39.88% and -35.09% based
on market price and NAV, respectively. As of December 31, 2008, the Fund's
market price of $7.98 per share represented a discount of 22.07% to its NAV of
$10.24 per share. Past performance is not a guarantee of future results.
The market value and NAV of the Fund's shares fluctuate from time to time, and
the Fund's market value may be higher or lower than its NAV. The current
discount to NAV may provide an opportunity for suitable investors to purchase
shares of the Fund below the market value of the securities in the underlying
port-folio. We believe that, over the long term, the progress of the NAV will be
reflected in the market price return to shareholders.
The Fund provided investors with consistent quarterly distributions of $0.40 per
share during 2008. This represents an annualized distribution rate of 20.05%
based upon the closing market price of $7.98 on December 31, 2008. Each of the
distributions was accompanied by a letter detailing the expected
characterization of the distribution for tax purposes. (These letters are also
posted on the Fund's website.)
- --------------------------------------------------------------------------------
WILL YOU TELL US ABOUT THE CHARACTERISTICS FAVORED BY YOUR QUANTITATIVE MODEL
DURING 2008?
During 2008, investors favored companies with attractive cash-flow-to-price
ratios and asset utilization, while avoiding companies with above-average
financial leverage. Companies with higher historical price-to-earnings ratios
outperformed during the period, while those with above-average growth in
valuation and high dividend yielding companies underperformed.
Analytic's process is based on the fundamental belief that there is persistency
in the types of stock characteristics investors prefer, and we believe that
portfolios that reflect these biases will add value in the long run. Investor
behavior observed during the first six months of 2008 was quite consistent with
that seen over recent years. Thematically, economic uncertainty ruled the second
half of 2008, as investor sentiment swung between optimism and pessimism and the
market was highly volatile. In this crisis-like atmosphere, Analytic's
investment process was ineffective, hindered primarily by an emphasis on
companies with attractive characteristics such as price momentum, as these
companies generally performed well throughout the first half of the year but
were penalized severely during the second half of the period. Also negative for
performance was the Fund's lack of emphasis on high dividend yielding companies,
as these companies generally performed poorly in the first half of the year but
were rewarded during the last half of the period. Avoiding highly levered
companies helped performance, as these companies were penalized over the period.
An emphasis on companies with strong relative earnings yield helped during the
first half of the period, as these companies' stocks outperformed, but severely
hurt performance during the second half of the period as these companies' stocks
were penalized by investors.
6 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund | QUESTIONS & ANSWERS continued
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WHICH DECISIONS REGARDING THE COMMON EQUITY PORTFOLIO HAD THE GREATEST POSITIVE
IMPACT ON PERFORMANCE?
A major contributor to performance was a short position in Bear Stearns Cos.
Inc. (not held in the portfolio at period end), one of the largest global
investment banks and securities trading and brokerage firms which, on the brink
of collapse after suffering significant losses from the subprime mortgage
crisis, was taken over in March by another financial services firm at a fraction
of its stock price a few days earlier. This position provides an example of the
value of the complexity of our model, which includes approximately 70 factors.
If we had analyzed Bear Stearns on just a few valuation factors, it would have
looked attractive, but the insight provided by the full multi-factor model led
to the decision to short the stock.
A short position in American International Group (AIG) (not held in the
portfolio at period end), a world leader in financial and insurance services,
also contributed to performance. Investors were overly concerned that the big
insurance company was being backed into a corner by its large exposure to
mortgages, causing shares to plummet. Shortly after, the Federal Reserve Board
decided to allow the Federal Reserve Bank of New York to lend up to $85 billion
to the American International Group in a plan aimed at saving the insurer from a
"disorderly failure" that could wreak economic havoc.
A notable long position that added value was Electronic Data Systems Corp. (EDS)
(not held in the portfolio at period end), a global business and technology
services company. Its shares moved up sharply in May when Hewlett-Packard Co.
announced that it had reached an agreement to acquire EDS at a significant
premium to the prior stock price.
- --------------------------------------------------------------------------------
WHICH AREAS OF THE EQUITY PORTFOLIO HURT PERFORMANCE?
A long position in Sun Microsystems, Inc. (0.1% of total common stocks and
securities sold short), a provider of network computing infrastructure
solutions, detracted from Fund performance, as the multinational vendor of
computer software and information technology services reported a sharp drop in
revenue and announced that up to 2,500 jobs may be cut.
A long position in Corning Inc. (0.4% of total common stocks and securities sold
short), a global, technology-based company that operates in display
technologies, telecommunications, environmental technologies and life sciences,
further hindered Fund performance, as the maker of glass for LCD televisions and
computers, warned of disappointing glass sales volume and announced plans to
reduce manufacturing capacity and incur restructuring charges.
A further negative was a short position in William Wrigley Jr. Company (not held
in the portfolio at period end), the world's leading chewing gum manufacturer.
The company's shares rose when the privately owned confectionary giant Mars Inc.
announced that it would team up with billionaire Warren Buffet to purchase
Wrigley.
- --------------------------------------------------------------------------------
WHAT WAS THE IMPACT ON PERFORMANCE OF THE OPTIONS AND GLOBAL ASSET ALLOCATION
PROGRAMS?
The net effect of the options program was positive during the period, as would
be anticipated when equity markets are down. During the period, options written
on the S&P 500 Index posted positive returns. In addition, options sold on
certain sectors, such as broker/dealer and oil indices, contributed to
performance, as these sectors underperformed due to the credit crisis and other
concerns. Certain sector options underperformed, such as call options written on
the banking index, as this sector began to recover toward the end of the year.
The global asset allocation strategy detracted from returns during the period.
Most of the negative performance occurred in September, with both the equity and
currency components of the strategy posting losses as rising risk aversion,
global deleveraging and weakening economic activity hurt factor returns. Almost
all equity factors had negative returns over the period, with valuation factors
continuing their recent bad run, as markets continue to react more to the
changing economic environment than to relative valuation plays. Our long
tactical asset allocation equity position was unsuccessful as global equity
markets were down sharply over the period.
Within the currency portion of the strategy, positive returns to relative
strength and changes in interest rates were offset by large negative returns to
interest differentials and valuation.
- --------------------------------------------------------------------------------
WHAT IS YOUR OUTLOOK FOR THE MARKET AND THE FUND IN THE MONTHS AHEAD?
The year that just ended was a very difficult period for most investors, and,
with the U.S. economy, as well as many other world economies, in a recession,
the weakness in capital markets could continue for some time.
Analytic intends to continue to emphasize stocks with attractive historical
price-to-earnings and cash-flow-to-price ratios. We also intend to focus on
select companies with above-average interest coverage, while de-emphasizing
companies with higher-than-average financial leverage. We further anticipate
continuing to emphasize companies with above-average asset utilization, while
moving away from companies with high trading volume and above-average analyst
dispersion, which may reflect greater uncertainty about a company's outlook.
We believe that the Fund's structure, with a long and short equity portfolio, an
index options program to preserve upside potential of individual securities, and
an asset allocation strategy for exposure to world markets has the potential to
provide attractive returns in a wide variety of market conditions.
Annual Report | December 31, 2008 | 7
OLA | Old Mutual/Claymore Long-Short Fund | QUESTIONS & ANSWERS continued
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OLA RISKS AND OTHER CONSIDERATIONS
The views expressed in this report reflect those of the portfolio manager only
through the report period as stated on the cover. These views are subject to
change at any time, based on market and other conditions and should not be
construed as a recommendation of any kind. The material may also include forward
looking statements that involve risk and uncertainty, and there is no guarantee
that any predictions will come to pass. There can be no assurance that the Fund
will achieve its investment objectives. The value of the Fund will fluctuate
with the value of the underlying securities. Historically, closed-end funds
often trade at a discount to their net asset value.
As with any stock, the price of the Fund's common shares will fluctuate with
market conditions and other factors. Shares of closed-end management investment
companies frequently trade at a discount from their net asset value. If you sell
your common shares, you may receive more or less than your original investment.
The common shares are designed for long-term investors and should not be treated
as a vehicle for trading.
The Fund will ordinarily have substantial exposure (both long and short) to
common stocks and other equity securities in pursuing its investment objectives
and policies. The market price of common stocks and other equity securities in
which the Fund invests may go up or down, sometimes rapidly or unpredictably.
Equity securities may decline in value due to factors affecting equity
securities markets generally, particular industries represented in those markets
or the issuer itself.
The Fund makes substantial use of short sales for investment and risk management
purposes, including when Analytic anticipates that the market price of
securities will decline or will underperform relative to other securities held
in the Fund's portfolio. The Fund intends to take short equity positions in an
amount equal to approximately 30% of the Fund's net assets at the time of sale,
but reserves the flexibility to hold short positions of up 70% of net assets.
Short sales are transactions in which the Fund sells a security or other
instrument (such as an option, forward, futures or other derivative contract)
that it does not own. When the Fund engages in a short sale on a security, it
must borrow the security sold short and deliver it to the counterparty. The Fund
will ordinarily have to pay a fee or premium to borrow particular securities and
be obligated to repay the lender of the security any dividends or interest that
accrue on the security during the period of the loan. The amount of any gain
from a short sale will be decreased, and the amount of any loss increased, by
the amount of the premium, dividends, interest or expenses the Fund pays in
connection with the short sale. Short sales expose the Fund to the risk that it
will be required to cover its short position at a time when the securities have
appreciated in value, thus resulting in a potentially unlimited loss to the
Fund.
The distributions shareholders receive from the Fund are based primarily on the
dividends it earns from its equity investments as well as the gains the Fund
receives from writing options and using other derivative instruments, closing
out short sales and selling portfolio securities, each of which can vary widely
over the short and long term. The dividend income from the Fund's investments in
equity securities will be influenced by both general economic activity and
issuer-specific factors. In the event of a recession or adverse events affecting
a specific industry or issuer, an issuer of equity securities held by the Fund
may reduce the dividends paid on such securities. If prevailing market interest
rates decline, interest rates on any debt instruments held by the Fund, and
shareholders' income from the Fund, would likely decline as well.
There are various risks associated with the Option Strategy. The purchaser of an
index option written by the Fund has the right to any appreciation in the cash
value of the index over the strike price on the expiration date. Therefore, as
the writer of an index call option; the Fund forgoes the opportunity to profit
from increases in the index over the strike price of the option. However, the
Fund has retained the risk of loss (net of premiums received) should the price
of the Fund's portfolio securities decline. Similarly, as the writer of a call
option on an individual security held in the Fund's portfolio, the Fund forgoes,
during the option's life, the opportunity to profit from increases in the market
value of the security covering the call option above the sum of the premium and
the strike price of the call but has retained the risk of loss (net of premiums
received) should the price of the underlying security decline. The value of
options written by the Fund, which will be priced daily, will be affected by,
among other factors, changes in the value of underlying securities (including
those comprising an index), changes in the dividend rates of underlying
securities, changes in interest rates, changes in the actual or perceived
volatility of the stock market and underlying securities and the remaining time
to an option's expiration. The value of an option also may be adversely affected
if the market for the option is reduced or becomes less liquid.
An investment in the Fund is subject to certain risks and other considerations,
including, but not limited to: Equity Risk; Short Sale Risk; Options Risk,
Management Risk; Tax Treatment of Distributions; Derivatives Risk; Counterparty
Risk; Credit Risk; Income Risk; Medium- and Smaller-Company Risk; Focused
Investment Risk; Interest Rate Risk; Liquidity Risk; Market Disruption and
Geopolitical Risk; Leverage Risk; Foreign Investment Risk; Other Investment
Companies Risk; and Inflation/Deflation Risk.
8 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund
Fund SUMMARY | AS OF DECEMBER 31, 2008 (unaudited)
FUND STATISTICS
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Share Price $ 7.98
Common Share Net Asset Value $ 10.24
Premium/(Discount) to NAV -22.07%
Net Assets ($000) $ 194,666
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TOTAL RETURNS
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(INCEPTION 8/25/05) MARKET NAV
- --------------------------------------------------------------------------------
One Year -39.88% -35.09%
Three Year - average annual -12.51% -10.05%
Since Inception - average annual -15.71% -8.91%
- --------------------------------------------------------------------------------
SECTOR BREAKDOWN %*
- --------------------------------------------------------------------------------
Information Technology 14.5%
Financials 14.1%
Consumer Staples 12.7%
Health Care 12.7%
Industrials 12.4%
Consumer Discretionary 12.1%
Energy 9.8%
Telecommunications 4.3%
Materials 4.2%
Utilities 3.2%
- --------------------------------------------------------------------------------
* % of common stocks and securities sold short
Securities are classified by sectors that represent broad groupings of related
industries.
TOP TEN % OF NET
LONG-TERM COMMON STOCKS ASSETS
- --------------------------------------------------------------------------------
Exxon Mobil Corp. 4.6%
Procter & Gamble Co. 2.9%
AT&T, Inc. 2.6%
Microsoft Corp. 2.5%
Chevron Corp. 2.3%
Hewlett-Packard Co. 2.1%
Verizon Communications, Inc. 2.1%
Wells Fargo & Co. 1.8%
Wal-Mart Stores, Inc. 1.6%
Philip Morris International, Inc. 1.6%
- --------------------------------------------------------------------------------
% OF NET
TOP FIVE SECURITIES SOLD SHORT ASSETS
- --------------------------------------------------------------------------------
Pitney Bowes, Inc. 1.2%
Autozone, Inc. 1.0%
Clorox Co. 1.0%
Affiliated Computer Services, Inc. - Class A 0.9%
General Mills, Inc. 0.9%
- --------------------------------------------------------------------------------
Past performance does not guarantee future results. All portfolio data is
subject to change daily. For more current information, please visit
www.claymore.com/ola. The above summaries are provided for informational
purposes only and should not be viewed as recommendations.
SHARE PRICE & NAV PERFORMANCE
- --------------------------------------------------------------------------------
[LINE CHART]
NAV Share Price
1/2/08 $ 15.45 $ 17.55
15.65 17.6
15.56 17.22
15.49 17.34
15.33 17.09
15.26 17.35
15.51 17.41
15.35 17.16
15.45 17.27
15.19 16.91
15.01 16.74
14.58 16.5
14.37 16.36
14.1 15.75
14.15 15.74
14.22 16.04
14.36 15.97
14.59 15.97
14.67 16.14
14.9 16.23
15.22 16.25
15.28 16.3
15.14 16.44
14.81 16.08
14.53 16
14.6 15.9
14.47 15.84
14.54 15.89
14.55 16.21
14.86 16.39
14.44 16.39
14.39 16.38
14.43 16.62
14.58 16.61
14.47 16.53
14.53 16.55
14.81 16.63
15 16.66
15.05 16.68
14.84 16.58
14.66 16.28
14.46 16.3
14.39 16.16
14.32 16.43
14.13 16.12
14.03 15.99
13.76 15.81
14.3 16.22
13.81 15.76
13.8 15.67
13.38 15.4
13.09 15.12
13.46 15.64
12.94 15.35
13.19 15.5
13.37 15.54
13.42 15.71
13.33 15.66
13.37 15.6
13.34 15.64
13.47 15.68
13.83 16.06
13.98 16.04
13.98 15.96
14.03 16.03
13.97 16.15
13.97 16.12
13.85 16.07
13.91 16.18
13.7 16.04
13.63 15.96
13.66 15.96
13.99 16.02
13.9 16.1
14.1 16.28
14.13 16.27
14 16.25
14.04 16.46
14.19 16.49
14.32 16.44
14.26 16.42
14.19 16.47
14.23 16.52
14.52 16.51
14.51 16.48
14.41 16.53
14.45 16.46
14.24 16.4
14.41 16.41
14.35 16.29
14.49 16.48
14.48 16.41
14.54 16.56
14.67 16.49
14.75 16.55
14.75 16.6
14.64 16.46
14.42 16.46
14.47 16.47
14.4 16.33
14.47 16.43
14.56 16.56
14.69 16.54
14.78 16.53
14.67 16.35
14.65 16.4
14.66 16.34
14.74 16.58
14.39 16.22
14.43 16.3
14.42 16.09
13.83 15.34
13.66 15.45
13.81 15.57
13.76 15.55
13.65 15.46
13.64 15.18
13.64 15.34
13.49 15.15
13.4 15.23
13.28 15.2
13.34 15.38
13.19 15.09
13.1 15.05
6/30/08 13.23 15.19
13.16 15.05
12.88 14.87
12.75 15.03
12.76 14.99
12.97 15.07
12.9 15.02
12.93 15.08
12.68 14.83
12.3 14.88
12.19 14.72
12.45 14.77
12.64 14.83
12.66 14.89
12.8 14.93
12.96 14.71
12.75 14.55
12.36 14.51
12.55 14.82
12.5 14.76
12.67 14.78
12.95 14.87
12.89 14.77
12.78 14.65
12.54 14.64
12.73 14.76
12.75 14.67
12.41 14.76
12.77 14.68
12.64 14.58
12.45 14.68
12.41 14.8
12.56 14.82
12.55 14.67
12.47 14.51
12.39 14.53
12.47 14.68
12.49 14.79
12.65 14.85
12.47 14.72
12.44 14.64
12.53 14.75
12.67 14.9
12.66 14.8
12.71 14.7
12.66 14.5
12.34 14.23
12.35 14.13
12.4 14.31
12.01 14.12
12.15 14.21
11.66 13.89
11.54 13.94
10.93 13.58
10.71 13.61
10.28 12.99
10.35 13.28
10.98 13.72
10.63 13.53
10.49 13.28
10.39 13.11
10.49 13.36
10.4 13.31
9.75 12.36
10.1 12.83
10.23 12.86
10.05 12.42
10.03 12.51
9.05 11.92
8.44 11.45
7.9 11.28
7.09 10.6
6.85 10.48
8.01 11.63
8.4 11.45
7.94 10.52
8.36 10.78
8.46 10.76
9.02 11.22
8.88 11.12
8.5 10.75
8.48 10.97
8.35 10.82
8.45 10.67
9.18 11.29
9.23 11.04
9.36 11.12
9.45 11.33
9.44 11.35
9.73 11.52
9.35 11.15
8.93 10.82
9.1 11
9.02 10.98
8.75 10.92
8.38 10.52
8.48 10.84
8.27 10.54
8.15 10.35
8.01 10.4
7.29 9.98
6.43 9.59
6.6 10
7.5 9.86
7.37 9.87
7.6 10.07
7.82 10.21
7.14 9.74
7.29 9.95
7.6 10.04
7.3 9.92
7.45 10.13
7.75 10.3
7.6 10.21
7.86 10.32
7.36 9.77
7.49 9.8
7.51 9.72
7.8 10.03
7.63 10.01
7.53 9.86
7.53 9.97
7.54 9.77
7.42 9.75
7.75 9.79
7.76 9.83
7.65 9.85
7.8 10.04
12/31/08 7.98 10.24
DISTRIBUTIONS TO SHAREHOLDERS (Year ended 12/31/08)
- --------------------------------------------------------------------------------
[BAR CHART]
Mar 08 $ 0.4
Jun 08 0.4
Sep 08 0.4
Dec 08 0.4
% OF NET
FUND BREAKDOWN ASSETS
- --------------------------------------------------------------------------------
Long-Term Investments 124.7%
Short-Term Investments 12.1%
- --------------------------------------------------------------------------------
Total Investments 136.8%
Securities Sold Short -38.1%
Total Value of Options Written -2.0%
Other Assets less Liabilities 3.3%
- --------------------------------------------------------------------------------
Total Net Assets 100.0%
- --------------------------------------------------------------------------------
Annual Report | December 31, 2008 | 9
OLA | Old Mutual/Claymore Long-Short Fund
Portfolio of INVESTMENTS | DECEMBER 31, 2008
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS - 124.7%
CONSUMER DISCRETIONARY - 13.9%
1,951 Amazon.com, Inc. (a) $ 100,047
29,643 Best Buy Co., Inc. (b) 833,265
65,677 Big Lots, Inc. (a)(c) 951,660
3,349 Coach, Inc. (a) 69,559
143,571 Comcast Corp. - Class A (b) 2,423,478
19,076 Dillard's, Inc. - Class A 75,732
7,705 DIRECTV Group, Inc. (a) 176,522
108,494 Eastman Kodak Co. (b) 713,891
31,449 Expedia, Inc. (a) 259,140
51,897 Family Dollar Stores, Inc. (c) 1,352,955
258,748 Ford Motor Co. (a)(b) 592,533
176 GameStop Corp. (a) 3,812
31,085 Gap, Inc. 416,228
12,152 Genuine Parts Co. 460,075
88,267 H&R Block, Inc. (b) 2,005,426
48,511 Harman International Industries, Inc. (b) 811,589
167,332 Interpublic Group of Companies, Inc. (a)(b) 662,635
42,217 Johnson Controls, Inc. (b) 766,661
1,361 Kohl's Corp. (a) 49,268
329 Lowe's Cos., Inc. 7,080
3,255 Limited Brands, Inc. 32,680
28,690 McDonald's Corp. (b) 1,784,231
30,954 McGraw-Hill Cos., Inc. (b) 717,823
27,498 New York Times Co. - Class A 201,560
81,303 Newell Rubbermaid, Inc. (b) 795,143
204,938 News Corp. - Class A (c) 1,862,886
35,016 Nike, Inc. - Class B (b) 1,785,816
68,875 Office Depot, Inc. (a) 205,248
24,964 Polo Ralph Lauren Corp. (c) 1,133,615
15,637 RadioShack Corp. 186,706
52,232 Snap-On, Inc. (c) 2,056,896
373 Staples, Inc. 6,684
188 Tiffany & Co. 4,442
163,009 Time Warner, Inc. (c) 1,639,871
106 TJX Cos., Inc. 2,180
35,309 Walt Disney Co. (b) 801,161
53,916 Wendy's/Arby's Group, Inc. - Class A 266,345
64,052 Wyndham Worldwide Corp. 419,541
11,456 Yum! Brands, Inc. 360,864
- -----------------------------------------------------------------------------------------
26,995,248
- -----------------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
CONSUMER STAPLES - 16.9%
43,979 Altria Group, Inc. (b) $ 662,324
41,574 Archer-Daniels-Midland Co. (c) 1,198,578
4,666 Avon Products, Inc. 112,124
32,163 Brown-Forman Corp. - Class B (c) 1,656,073
21,270 Coca-Cola Co. (b) 962,893
2,541 Colgate-Palmolive Co. 174,160
43,939 Costco Wholesale Corp. (c) 2,306,798
26,629 CVS/Caremark Corp. (b) 765,317
69,203 Dean Foods Co. (a)(b) 1,243,578
53,525 Estee Lauder Cos., Inc. - Class A (b) 1,657,134
17,597 Kraft Foods, Inc. 472,479
26,695 Molson Coors Brewing Co. - Class B (c) 1,305,919
32,897 PepsiCo, Inc. (b) 1,801,769
72,715 Philip Morris International, Inc. (b) 3,163,830
90,690 Procter & Gamble Co. (b) 5,606,456
84,152 Sara Lee Corp. (b) 823,848
35,880 SUPERVALU, Inc. 523,848
112,549 SYSCO Corp. (b) 2,581,874
130,198 Tyson Foods, Inc. - Class A (b) 1,140,534
756 UST, Inc. 52,451
59,148 Walgreen Co. (b) 1,459,181
57,028 Wal-Mart Stores, Inc. (b) 3,196,990
- -----------------------------------------------------------------------------------------
32,868,158
- -----------------------------------------------------------------------------------------
ENERGY - 13.8%
15,377 Baker Hughes, Inc. (b) 493,140
15,240 Cabot Oil & Gas Corp. 396,240
61,223 Chevron Corp. (b) 4,528,665
29,561 ConocoPhillips (c) 1,531,260
6,836 Devon Energy Corp. (b) 449,194
104,195 El Paso Corp. (b) 815,847
6,006 EOG Resources, Inc. 399,880
111,278 Exxon Mobil Corp. (b) 8,883,323
65,433 Halliburton Co. (b) 1,189,572
5,966 Hess Corp. 320,016
1,041 Marathon Oil Corp. 28,482
1,411 Massey Energy Co. 19,458
19,041 Murphy Oil Corp. (b) 844,468
6,957 National Oilwell Varco, Inc. (a) 170,029
7,491 Noble Corp. (Cayman Islands) 165,476
12,578 Noble Energy, Inc. (b) 619,089
35,136 Occidental Petroleum Corp. (c) 2,107,809
See notes to financial statements.
10 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund | PORTFOLIO OF INVESTMENTS continued
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
ENERGY (CONTINUED)
6,732 Peabody Energy Corp. $ 153,153
35,978 Pioneer Natural Resources Co. (b) 582,124
53,736 Schlumberger Ltd. (Netherlands Antilles) (b) 2,274,645
3,418 Sunoco, Inc. 148,546
3,421 Valero Energy Corp. 74,030
41,204 Williams Cos., Inc. (b) 596,634
1,264 XTO Energy, Inc. 44,581
- -----------------------------------------------------------------------------------------
26,835,661
- -----------------------------------------------------------------------------------------
FINANCIALS - 17.3%
14,990 American Express Co. 278,065
9,956 AON Corp. 454,790
115 Apartment Investment & Management Co.- Class A - REIT 1,328
20,304 AvalonBay Communities, Inc. - REIT (c) 1,230,016
77,982 Bank of America Corp. (c) 1,097,987
63,363 Bank of New York Mellon Corp. (c) 1,795,074
10,089 BB&T Corp. 277,044
22,771 Boston Properties, Inc. - REIT (c) 1,252,405
13,630 CB Richard Ellis Group, Inc. - Class A (a) 58,882
109,207 Charles Schwab Corp. (c) 1,765,877
35,219 Chubb Corp. (b) 1,796,169
12,354 Citigroup, Inc. 82,895
1,226 CME Group, Inc. 255,143
941 Developers Diversified Realty Corp. - REIT 4,592
28,948 Discover Financial Services 275,874
20,836 Federated Investors, Inc. - Class B 353,379
13,244 Fifth Third Bancorp 109,395
69,422 Host Hotels & Resorts, Inc. - REIT (b) 525,525
132,483 Hudson City Bancorp, Inc. (b) 2,114,429
96,479 Janus Capital Group, Inc. (b) 774,726
39,185 JPMorgan Chase & Co. (c) 1,235,503
36,445 Kimco Realty Corp.- REIT (b) 666,215
27,261 Leucadia National Corp. (b) 539,768
50,105 Loews Corp. (c) 1,415,466
24,943 Marsh & McLennan Cos., Inc. (c) 605,367
19,727 Merrill Lynch & Co., Inc. (d) 229,622
25,095 Northern Trust Corp. (c) 1,308,453
52,313 NYSE Euronext (c) 1,432,330
10,042 Plum Creek Timber Co., Inc. - REIT 348,859
7,400 PNC Financial Services Group, Inc. 362,600
9,010 Principal Financial Group, Inc. 203,356
55,084 Progressive Corp. (b) 815,794
804 Prologis - REIT 11,168
8,545 Public Storage - REIT (b) 679,327
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
FINANCIALS (CONTINUED)
68,613 Regions Financial Corp. (b) $ 546,159
645 SunTrust Banks, Inc. 19,053
33,746 T Rowe Price Group, Inc. (c) 1,195,958
12,877 Torchmark Corp. 575,602
49,673 Travelers Cos., Inc. (b) 2,245,220
46,307 US Bancorp. (b) 1,158,138
15,033 Wachovia Corp. 83,283
119,671 Wells Fargo & Co. (b) 3,527,901
- -----------------------------------------------------------------------------------------
33,708,737
- -----------------------------------------------------------------------------------------
HEALTH CARE - 17.7%
18,641 Abbott Laboratories (b) 994,870
59,988 Aetna, Inc. (c) 1,709,658
4,081 Allergan, Inc. 164,546
62,189 AmerisourceBergen Corp. (c) 2,217,660
33,135 Amgen, Inc. (a)(b) 1,913,546
21,042 Baxter International, Inc. (c) 1,127,641
8,376 Becton Dickinson & Co. (b) 572,835
61,042 Bristol-Myers Squibb Co. (c) 1,419,226
70,356 Cardinal Health, Inc. (b) 2,425,171
43,018 Cigna Corp. (b) 724,853
44,611 Dentsply International, Inc. (b) 1,259,815
3,525 Express Scripts, Inc. (a) 193,805
6,935 Genzyme Corp. (a)(b) 460,276
7,643 Gilead Sciences, Inc. (a) 390,863
36,016 Humana, Inc. (a)(c) 1,342,676
41,942 Johnson & Johnson (c) 2,509,390
45,795 Life Technologies Corp. (a)(c) 1,067,481
58,781 McKesson Corp. (c) 2,276,588
56,664 Medco Health Solutions, Inc. (a)(c) 2,374,788
12,489 Medtronic, Inc. 392,404
54,733 Merck & Co, Inc. (b) 1,663,883
74,527 PerkinElmer, Inc. (c) 1,036,671
124,604 Pfizer, Inc. (b) 2,206,737
45,585 Stryker Corp. (c) 1,821,121
258,448 Tenet Healthcare Corp. (a) 297,215
4,130 Thermo Fisher Scientific, Inc. (a) 140,709
12,947 UnitedHealth Group, Inc. (b) 344,390
938 Varian Medical Systems, Inc. (a) 32,868
9,781 Watson Pharmaceuticals, Inc. (a) 259,881
5,801 Wyeth 217,596
24,756 Zimmer Holdings, Inc. (a)(b) 1,000,638
- -----------------------------------------------------------------------------------------
34,559,801
- -----------------------------------------------------------------------------------------
See notes to financial statements.
Annual Report | December 31, 2008 | 11
OLA | Old Mutual/Claymore Long-Short Fund | PORTFOLIO OF INVESTMENTS continued
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
INDUSTRIALS - 12.3%
47,734 Boeing Co. (b) $ 2,036,810
10,340 C.H. Robinson Worldwide, Inc. (b) 569,010
41,287 CSX Corp. (c) 1,340,589
26,761 Cummins, Inc. (b) 715,322
159 Fastenal Co. 5,541
29,640 FedEx Corp. (b) 1,901,406
29,861 Fluor Corp. (c) 1,339,863
28,912 General Dynamics Corp. (c) 1,665,042
93,695 General Electric Co. (c) 1,517,859
21,931 Jacobs Engineering Group, Inc. (a)(c) 1,054,881
25,838 Lockheed Martin Corp. (c) 2,172,459
19,232 Manitowoc Co., Inc. 166,549
9,435 Norfolk Southern Corp. 443,917
3,951 Northrop Grumman Corp. 177,953
13,560 Pall Corp. 385,511
8,940 Parker Hannifin Corp. (b) 380,308
18,731 Precision Castparts Corp. (b) 1,114,120
36,558 Raytheon Co. (b) 1,865,920
19,336 Republic Services, Inc. 479,339
41,524 RR Donnelley & Sons Co. 563,896
6,595 Tyco International Ltd. (Bermuda) (b) 142,452
37,948 Union Pacific Corp. (b) 1,813,914
23,428 Waste Management, Inc. (b) 776,404
16,219 WW Grainger, Inc. (c) 1,278,706
- -----------------------------------------------------------------------------------------
23,907,771
- -----------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY - 18.4%
66,560 Analog Devices, Inc. (b) 1,265,971
9,985 Apple, Inc. (a)(b) 852,220
16,175 Applied Materials, Inc. 163,853
694 Autodesk, Inc. (a) 13,637
9,615 Automatic Data Processing, Inc. 378,254
618 Broadcom Corp. - Class A (a) 10,487
75,295 CA, Inc. (c) 1,395,216
92,130 Cisco Systems, Inc. (a)(b) 1,501,719
49,625 Computer Sciences Corp. (a)(b) 1,743,823
9,016 Compuware Corp. (a) 60,858
80,795 Convergys Corp. (a)(b) 517,896
123,817 Corning, Inc. (c) 1,179,976
107,799 Dell, Inc. (a)(c) 1,103,862
60,587 eBay, Inc. (a)(b) 845,795
32,301 Electronic Arts, Inc. (a)(b) 518,108
57,943 EMC Corp. (a)(b) 606,663
2,985 Google, Inc. - Class A (a)(c) 918,335
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
114,739 Hewlett-Packard Co. (b) $ 4,163,878
200,521 Intel Corp. (b) 2,939,638
10,241 International Business Machines Corp. (b) 861,883
40,617 Jabil Circuit, Inc. 274,165
5,813 Kla-Tencor Corp. 126,665
36,410 Lexmark International, Inc. - Class A (a)(b) 979,429
31,951 MEMC Electronic Materials, Inc. (a)(b) 456,260
4,055 Microchip Technology, Inc. 79,194
250,081 Microsoft Corp. (b) 4,861,575
101,506 Molex, Inc. (b) 1,470,822
123,494 Motorola, Inc. (b) 547,078
22,081 NetApp, Inc. (a) 308,472
31,261 QLogic Corp. (a) 420,148
4,261 QUALCOMM, Inc. 152,672
16,622 Salesforce.com, Inc. (a)(b) 532,070
65,865 Sun Microsystems, Inc. (a)(b) 251,604
5,032 Teradata Corp. (a) 74,625
3,651 Teradyne, Inc. (a) 15,407
141,718 Texas Instruments, Inc. (b) 2,199,463
20,107 Tyco Electronics Ltd. (Bermuda) 325,934
259,103 Unisys Corp. (a) 220,238
49,365 Western Union Co. (b) 707,894
57,620 Yahoo!, Inc. (a)(b) 702,964
- -----------------------------------------------------------------------------------------
35,748,751
- -----------------------------------------------------------------------------------------
MATERIALS - 4.9%
35,082 AK Steel Holding Corp. 326,964
103,216 Alcoa, Inc. (b) 1,162,212
3,559 Ashland, Inc. 37,405
9,484 Ball Corp. 394,440
8,671 CF Industries Holdings, Inc. 426,266
19,748 Dow Chemical Co. 297,997
84,836 Du Pont (E.I.) de Nemours & Co. (b) 2,146,351
48,891 Ecolab, Inc. (c) 1,718,519
38,333 MeadWestvaco Corp. 428,946
3,886 Monsanto Co. 273,380
18,618 Newmont Mining Corp. (b) 757,753
11,216 Praxair, Inc. 665,782
240 Rohm & Haas Co. 14,830
44,960 Sealed Air Corp. (b) 671,702
4,370 Titanium Metals Corp. 38,500
3,364 Vulcan Materials Co. 234,067
- -----------------------------------------------------------------------------------------
9,595,114
- -----------------------------------------------------------------------------------------
See notes to financial statements.
12 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund | PORTFOLIO OF INVESTMENTS continued
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
TELECOMMUNICATIONS - 5.5%
32,350 American Tower Corp. - Class A (a)(b) $ 948,502
179,756 AT&T, Inc. (b) 5,123,046
169,355 Qwest Communications International, Inc. (b) 616,452
120,217 Verizon Communications, Inc. (b) 4,075,356
- -----------------------------------------------------------------------------------------
10,763,356
- -----------------------------------------------------------------------------------------
UTILITIES - 4.0%
35,453 AES Corp. (a) 292,133
11,561 Allegheny Energy, Inc. 391,455
3,882 Duke Energy Corp. (b) 58,269
42,417 Edison International (c) 1,362,434
7,525 Exelon Corp. 418,465
11,632 FirstEnergy Corp. 565,083
9,361 Integrys Energy Group, Inc. 402,336
70,435 PG&E Corp. (b) 2,726,539
8,221 Pinnacle West Capital Corp. 264,141
832 Public Service Enterprise Group, Inc. 24,269
66,106 TECO Energy, Inc. (b) 816,409
22,033 Xcel Energy, Inc. 408,712
- -----------------------------------------------------------------------------------------
7,730,245
- -----------------------------------------------------------------------------------------
TOTAL LONG-TERM INVESTMENTS - 124.7%
(Cost $341,925,484) 242,712,842
- -----------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES - 11.6%
$ 22,550,000 U.S. Treasury Bill yielding 0.64%
10/22/09 maturity (c)(e)
(Cost $22,432,432) 22,488,889
- -----------------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
MONEY MARKET FUNDS - 0.5%
1,053,531 Dreyfus Institutional Reserve Money Market Fund
(Cost $1,053,531) 1,053,531
- -----------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS - 12.1%
(Cost $23,485,963) 23,542,420
- -----------------------------------------------------------------------------------------
TOTAL INVESTMENTS - 136.8%
(Cost $365,411,447) 266,255,262
Securities Sold Short - (38.1%)
(Proceeds $87,853,121) (74,231,399)
Total Value of Options Written (Premiums received
$5,563,001)-(2.0%) (3,829,800)
Other Assets in excess of Other Liabilities - 3.3% 6,472,105
- -----------------------------------------------------------------------------------------
NET ASSETS - 100.0% $ 194,666,168
- -----------------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
SECURITIES SOLD SHORT - 38.1%
COMMON STOCKS - 38.1%
CONSUMER DISCRETIONARY - 5.7%
45,727 Abercrombie & Fitch Co.- Class A $ 1,054,922
7,065 Apollo Group, Inc. - Class A 541,320
13,455 Autozone, Inc. 1,876,569
8,176 Bed Bath & Beyond, Inc. 207,834
19,414 Black & Decker Corp. 811,699
2,387 Carnival Corp. (Panama) 58,052
66,580 CBS Corp. - Class B 545,290
1,299 Darden Restaurants, Inc. 36,606
50,686 DR Horton, Inc. 358,350
678 EW Scripps Co. - Class A 1,498
61,482 Gannett Co., Inc. 491,856
30,314 Goodyear Tire & Rubber Co. 180,975
10,690 Harley-Davidson, Inc. 181,409
37,416 Home Depot, Inc. 861,316
21,264 International Game Technology 252,829
7,834 JC Penney Co., Inc. 154,330
36,994 KB Home 503,858
14,537 Macy's, Inc. 150,458
5,350 Marriott International, Inc. - Class A 104,058
5,047 Meredith Corp. 86,405
8,423 Omnicom Group, Inc. 226,747
12,241 Pulte Homes, Inc. 133,794
56,039 Scripps Networks Interactive, Inc. - Class A 1,232,858
2,237 Sherwin-Williams Co. 133,661
16,836 Stanley Works 574,108
3,519 Starwood Hotels & Resorts Worldwide, Inc. 62,990
2,806 Target Corp. 96,891
2,259 Viacom, Inc. - Class B 43,057
645 Washington Post Co. - Class B 251,711
- -----------------------------------------------------------------------------------------
11,215,451
- -----------------------------------------------------------------------------------------
CONSUMER STAPLES - 3.8%
33,506 Clorox Co. 1,861,593
20,049 Constellation Brands, Inc. - Class A 316,173
28,149 General Mills, Inc. 1,710,052
14,285 Hershey Co. 496,261
21,540 HJ Heinz Co. 809,904
18,646 Kellogg Co. 817,627
6,521 Kimberly-Clark Corp. 343,917
See notes to financial statements.
Annual Report | December 31, 2008 | 13
OLA | Old Mutual/Claymore Long-Short Fund | PORTFOLIO OF INVESTMENTS continued
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
CONSUMER STAPLES (CONTINUED)
4,920 Kroger Co. $ 129,937
7,368 Lorillard, Inc. 415,187
11,967 Reynolds American, Inc. 482,390
- -----------------------------------------------------------------------------------------
7,383,041
- -----------------------------------------------------------------------------------------
ENERGY - 2.2%
30,073 Anadarko Petroleum Corp. 1,159,314
12,463 Apache Corp. 928,867
4,702 Chesapeake Energy Corp. 76,031
1,917 ENSCO International, Inc. 54,424
26,427 Range Resources Corp. 908,825
22,017 Tesoro Corp. 289,964
17,317 Transocean, Inc. (Cayman Islands) 818,228
- -----------------------------------------------------------------------------------------
4,235,653
- -----------------------------------------------------------------------------------------
FINANCIALS - 5.6%
770 Aflac, Inc. 35,297
40,958 Allstate Corp. 1,341,784
20,328 Capital One Financial Corp. 648,260
47,306 CIT Group, Inc. 214,769
8,465 Comerica, Inc. 168,030
9,309 Equity Residential - REIT 277,595
53,344 First Horizon National Corp. 563,842
8,974 Goldman Sachs Group, Inc. 757,316
46,067 Hartford Financial Services Group, Inc. 756,420
31,612 HCP, Inc. - REIT 877,865
46,302 Keycorp 394,493
14,321 Legg Mason, Inc. 313,773
725 M&T Bank Corp. 41,622
44,464 Marshall & Ilsley Corp. 606,489
18,567 MGIC Investment Corp. 64,613
48,947 Morgan Stanley 785,110
6,471 Prudential Financial, Inc. 195,813
16,685 Simon Property Group, Inc. - REIT 886,474
76,608 SLM Corp. 681,811
19,751 Vornado Realty Trust - REIT 1,191,973
54,716 XL Capital Ltd. - Class A (Cayman Islands) 202,449
- -----------------------------------------------------------------------------------------
11,005,798
- -----------------------------------------------------------------------------------------
HEALTH CARE - 2.9%
17,371 DaVita, Inc. 861,081
12,743 Eli Lilly & Co. 513,161
4,680 Intuitive Surgical, Inc. 594,313
8,862 King Pharmaceuticals, Inc. 94,114
10,795 Laboratory Corp of America Holdings 695,306
20,870 Quest Diagnostics, Inc. 1,083,362
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
HEALTH CARE (CONTINUED)
14,078 St. Jude Medical, Inc. $ 464,011
37,093 Waters Corp. 1,359,458
- -----------------------------------------------------------------------------------------
5,664,806
- -----------------------------------------------------------------------------------------
INDUSTRIALS - 7.9%
26,425 3M Co. 1,520,495
9,807 Burlington Northern Santa Fe Corp. 742,488
4,395 Caterpillar, Inc. 196,325
24,501 Danaher Corp. 1,387,002
15,420 Deere & Co. 590,894
5,619 Dun & Bradstreet Corp. 433,787
17,269 Eaton Corp. 858,442
20,910 Emerson Electric Co. 765,515
3,924 Expeditors International of Washington, Inc. 130,551
6,295 Honeywell International, Inc. 206,665
29,675 Illinois Tool Works, Inc. 1,040,109
18,790 L-3 Communications Holdings, Inc. 1,386,326
15,849 PACCAR, Inc. 453,281
95,405 Pitney Bowes, Inc. 2,430,919
3,666 Rockwell Automation, Inc. 118,192
509 Ryder System, Inc. 19,739
112,055 Southwest Airlines Co. 965,914
16,307 Textron, Inc. 226,178
15,567 United Parcel Service, Inc. - Class B 858,676
20,933 United Technologies Corp. 1,122,009
- -----------------------------------------------------------------------------------------
15,453,507
- -----------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY - 5.2%
39,729 Affiliated Computer Services, Inc. - Class A 1,825,548
1,824 Akamai Technologies, Inc. 27,524
45,714 Altera Corp. 763,881
107,780 Ciena Corp. 722,126
8,696 Citrix Systems, Inc. 204,965
41,263 Fiserv, Inc. 1,500,735
17,398 Intuit, Inc. 413,898
58,453 JDS Uniphase Corp. 213,353
49,060 Linear Technology Corp. 1,085,207
2,189 Mastercard, Inc. - Class A 312,874
11,786 National Semiconductor Corp. 118,685
29,533 Novell, Inc. 114,883
44,902 Novellus Systems, Inc. 554,091
55,056 Nvidia Corp. 444,302
31,625 Oracle Corp. 560,711
16,687 Paychex, Inc. 438,534
2,864 Tellabs, Inc. 11,800
See notes to financial statements.
14 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund | PORTFOLIO OF INVESTMENTS continued
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY (CONTINUED)
3,308 VeriSign, Inc. $ 63,117
39,327 Xilinx, Inc. 700,807
- -----------------------------------------------------------------------------------------
10,077,041
- -----------------------------------------------------------------------------------------
MATERIALS - 2.0%
3,556 Allegheny Technologies, Inc. 90,785
46,175 Bemis Co., Inc. 1,093,424
7,003 Freeport-McMoRan Copper & Gold, Inc. 171,153
23,371 International Paper Co. 275,778
20,719 Nucor Corp. 957,218
6,402 PPG Industries, Inc. 271,637
1,696 United States Steel Corp. 63,091
29,887 Weyerhaeuser Co. 914,841
- -----------------------------------------------------------------------------------------
3,837,927
- -----------------------------------------------------------------------------------------
TELECOMMUNICATIONS - 1.5%
29,519 CenturyTel, Inc. 806,754
154,001 Frontier Communications Corp. 1,345,969
78,426 Windstream Corp. 721,519
- -----------------------------------------------------------------------------------------
2,874,242
- -----------------------------------------------------------------------------------------
UTILITIES - 1.3%
17,554 Consolidated Edison, Inc. 683,377
18,496 Dominion Resources, Inc. 662,897
85,304 Dynegy, Inc. 170,608
11,633 Entergy Corp. 967,051
- -----------------------------------------------------------------------------------------
2,483,933
- -----------------------------------------------------------------------------------------
TOTAL SECURITIES SOLD SHORT - 38.1%
(Proceeds $87,853,121) $ 74,231,399
=========================================================================================
CONTRACTS
(100 SHARES EXPIRATION EXERCISE MARKET
PER CONTRACT) OPTIONS WRITTEN(A) DATE PRICE VALUE
- ---------------------------------------------------------------------------------------------
CALL OPTIONS WRITTEN (A)
230 ISE U.S. Reg Banks Index January 2009 $ 22.50 $ 29,900
108 ISE SIndex January 2009 72.50 11,880
2,322 KBW Bank Index January 2009 45.00 417,960
249 Philadelphia Utility Index January 2009 400.00 231,570
415 S&P 500 Index January 2009 875.00 1,572,850
240 S&P 500 Index January 2009 925.00 298,800
1,173 S&P 500 Index January 2009 930.00 1,266,840
- ---------------------------------------------------------------------------------------------
TOTAL OPTIONS WRITTEN
(Premiums received $5,563,001) $ 3,829,800
=============================================================================================
REIT - Real Estate Investment Trust
(a) Non-income producing security.
(b) All or a portion of these securities are held as collateral for Securities
Sold Short.
(c) All or a portion of these securities are held as collateral for futures or
options.
(d) Effective January 1, 2009, Bank of America completed its acquistion of
Merrill Lynch.
(e) Held as collateral for forward exchange currency contracts.
Securities are classified by sectors that represent broad groupings of related
industries.
See notes to financial statements.
15 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund
Statement of ASSETS AND LIABILITIES | DECEMBER 31, 2008
ASSETS
Investments, at value (cost $365,411,447) $ 266,255,262
Cash 4,872,707
Unrealized appreciation on forward currency exchange contracts 3,337,081
Variation margin on futures 196,694
Dividends and interest receivable 464,877
Other assets 4,559
- -----------------------------------------------------------------------------------------------------------------------------
Total assets 275,131,180
- -----------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Securities sold short, at value (proceeds $87,853,121) 74,231,399
Options written, at value (premiums received of $5,563,001) 3,829,800
Unrealized depreciation on forward currency exchange contracts 2,115,799
Advisory fee payable 159,646
Administration fee payable 4,390
Accrued expenses 123,978
- -----------------------------------------------------------------------------------------------------------------------------
Total liabilities 80,465,012
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 194,666,168
=============================================================================================================================
COMPOSITION OF NET ASSETS
Common stock, $.01 par value per share; unlimited number of shares
authorized, 19,005,240 shares issued and outstanding $ 190,052
Additional paid-in capital 320,244,358
Net unrealized depreciation on investments, futures, options, securities sold
short, forwards and currency translation (80,655,265)
Accumulated net realized loss on investments, futures, options, securities sold
short, forwards and currency transactions (42,271,894)
Accumulated net investment loss (2,841,083)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 194,666,168
=============================================================================================================================
NET ASSET VALUE (BASED ON 19,005,240 COMMON SHARES OUTSTANDING) $ 10.24
=============================================================================================================================
See notes to financial statements.
16 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund
Statement of OPERATIONS | FOR THE YEAR ENDED DECEMBER 31, 2008
INVESTMENT INCOME
Dividends $ 6,435,561
Interest 690,783
- -----------------------------------------------------------------------------------------------------------------------------
Total income $ 7,126,344
- -----------------------------------------------------------------------------------------------------------------------------
EXPENSES
Advisory fee 2,729,252
Dividends on securities sold short 2,329,922
Custodian fee 499,563
Trustees'fees and expenses 146,116
Professional fees 140,911
Fund accounting 93,807
Printing expense 77,199
Administration fee 69,482
NYSE listing fee 21,228
Transfer agent fee 18,589
Insurance 18,361
Miscellaneous 12,896
- -----------------------------------------------------------------------------------------------------------------------------
Total expenses 6,157,326
- -----------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 969,018
- -----------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments $ (66,155,320)
Futures (23,830,976)
Options 20,600,660
Securities sold short 28,088,430
Foreign currency forwards and currency transactions (13,238,546)
Net change in unrealized appreciation (depreciation) on:
Investments (73,627,854)
Futures 1,048,685
Options 844,338
Securities sold short 8,393,619
Foreign currency forwards and currency translation 3,910,295
- -----------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED LOSS (113,966,669)
- -----------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (112,997,651)
=============================================================================================================================
See notes to financial statements.
Annual Report | December 31, 2008 | 17
OLA | Old Mutual/Claymore Long-Short Fund
Statement of CHANGES IN NET ASSETS |
FOR THE FOR THE
YEAR ENDED YEAR ENDED
DECEMBER 31, 2008 DECEMBER 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment income (loss) $ 969,018 $ (1,954,648)
Net realized gain (loss) on investments, futures, options, securities
sold short, forwards and currency transactions (54,535,752) 36,920,981
Net unrealized appreciation (depreciation) on investments, futures,
options, securities sold short, forwards and currency translation (59,430,917) (25,521,665)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase/(decrease) in net assets resulting from operations (112,997,651) 9,444,668
- -----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From and in excess of net investment income (2,755,313) (30,408,384)
Return of capital (27,653,071) -
- -----------------------------------------------------------------------------------------------------------------------------
Total distributions to common shareholders (30,408,384) (30,408,384)
- -----------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (143,406,035) (20,963,716)
NET ASSETS
Beginning of period 338,072,203 359,035,919
- -----------------------------------------------------------------------------------------------------------------------------
End of period (including accumulated net investment loss of
($2,841,083) and ($4,573,224), respectively) $ 194,666,168 $ 338,072,203
=============================================================================================================================
See notes to financial statements.
18 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund
Financial HIGHLIGHTS |
FOR THE PERIOD
FOR THE FOR THE FOR THE AUGUST 25, 2005*
YEAR ENDED YEAR ENDED YEAR ENDED THROUGH
PER SHARE OPERATING PERFORMANCE DECEMBER DECEMBER DECEMBER DECEMBER
FOR A COMMON SHARE OUTSTANDING THROUGHOUT THE PERIOD 31, 2008 31, 2007 31, 2006 31, 2005
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.79 $ 18.89 $ 18.80 $ 19.10(a)
- -----------------------------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss) (b) 0.05 (0.10) 0.07 0.04
Net realized and unrealized gain on investments, futures,
options, Securities sold short, forwards and foreign
currency (6.00) 0.60 1.62 0.10
- -----------------------------------------------------------------------------------------------------------------------------
Total from investment operations (5.95) 0.50 1.69 0.14
- -----------------------------------------------------------------------------------------------------------------------------
COMMON SHARES' OFFERING EXPENSES CHARGED TO PAID-IN CAPITAL - - - (0.04)
- -----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From and in excess of net investment income (0.14) (1.60) (1.60) (0.40)
Return of capital (1.46) - - -
- -----------------------------------------------------------------------------------------------------------------------------
Total distributions to common shareholders (1.60) (1.60) (1.60) (0.40)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 10.24 $ 17.79 $ 18.89 $ 18.80
=============================================================================================================================
MARKET VALUE, END OF PERIOD $ 7.98 $ 15.33 $ 18.33 $ 16.47
=============================================================================================================================
TOTAL INVESTMENT RETURN (C)
Net asset value -35.09% 2.54% 9.36% 0.52%
Market value -39.88% -8.45% 21.70% -15.76%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (thousands) $ 194,666 $ 338,072 $ 359,036 $ 357,292
RATIOS TO AVERAGE NET ASSETS, INCLUDING DIVIDEND EXPENSE ON
SECURITIES SOLD SHORT:
Total expense ratio 2.26% 2.81% 2.00% 1.58%(d)(e)
Operating expense ratio 1.41% 1.50% 1.52% 1.34%(d)
Dividends paid on securities sold short 0.85% 1.31% 0.48% 0.24%(d)(e)
Net investment income (loss) ratio 0.36% -0.55% 0.39% 0.75%(d)(e)
Portfolio turnover 223% 323% 248% 60%
* Commencement of investment operations.
(a) Before deduction of offering expenses charged to capital.
(b) Based on average shares outstanding during the period.
(c) Total investment return is calculated assuming a purchase of a common
share at the beginning of the period and a sale on the last day of the
period reported either at net asset value ("NAV") or market price per
share. Dividends and distributions are assumed to be reinvested at NAV
for NAV returns or the prices obtained under the Fund's Dividend
Reinvestment Plan for market value returns. Total investment return does
not reflect brokerage commissions. A return calculated for a period of
less than one year is not annualized.
(d) Annualized.
(e) The expense ratio includes dividend payments made on securities sold
short. During the approximate four month period from August 25, 2005
through December 31, 2005, nine securities sold short made two quarterly
payments. The annualized ratios noted above have been adjusted such that
these securities would only reflect the equivalent of four quarterly
dividends per security. Had this adjustment not been made, the expense
ratio would have been 1.65% and the net investment income ratio would have
been 0.68%.
See notes to financial statements.
Annual Report | December 31, 2008 | 19
OLA | Old Mutual/Claymore Long-Short Fund
Notes to FINANCIAL STATEMENTS | DECEMBER 31, 2008
Note 1 - ORGANIZATION:
Old Mutual/Claymore Long-Short Fund (the "Fund") was organized as a
Massachusetts business trust on December 3, 2004. The Fund is registered as a
diversified, closed-end management investment company under the Investment
Company Act of 1940, as amended (the"1940 Act").
The Fund's primary investment objective is to provide a high level of current
income and current gains. The Fund's secondary investment objective is to
provide long-term capital appreciation. The Fund seeks to achieve its investment
objective by investing in a diversified portfolio of equity securities and by
selling securities short in the S&P 500 Index that it believes will underperform
relative to the average stock in the S&P 500. The Fund will also write (sell)
call options on equity indices and, to a lesser extent, on individual securities
held in the Fund's portfolio. The Fund may also employ a variety of other
strategies involving futures and forward contracts and other derivative
instruments in an attempt to enhance the Fund's investment returns. There can be
no assurance that the Fund's investment objective will be achieved.
Note 2 - ACCOUNTING POLICIES:
The preparation of the financial statements in accordance with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from these estimates.
The following is a summary of significant accounting policies followed by the
Fund.
(a) VALUATION OF INVESTMENTS AND DERIVATIVES
Equity securities listed on an exchange are valued at the last reported sale
price on the primary exchange on which they are traded. Equity securities for
which there are no transactions on a given day are valued at the mean of the
closing bid and asked prices. Securities traded on NASDAQ are valued at the
NASDAQ Official Closing Price. Readily marketable securities listed on an
exchange are valued at the last reported sale price on the primary exchange or
in the principal over the counter ("OTC") market on which they are traded. Debt
securities are valued by independent pricing services or dealers using the mean
of the closing bid and asked prices for such securities or, if such prices are
not available, at prices for securities of comparable maturity, quality and
type. Equity index options are valued at the closing price on the primary
exchange on which they are traded. Futures and options on future contracts are
valued at the settlement price determined by the exchange on which they are
traded. Forward exchange currency contracts are valued daily at current exchange
rates. All other types of securities, including restricted securities, and
securities for which market quotations are not readily available, are valued as
determined in accordance with procedures established in good faith by the Board
of Trustees. Short-term securities having a remaining maturity of sixty days or
less at the time of purchase are valued at amortized cost, which approximates
market value.
For those securities whose quotations or prices are not available, the
valuations are determined in accordance with procedures established in good
faith by the Board of Trustees. Valuations in accordance with these procedures
are intended to reflect each security's (or asset's) "fair value". Such "fair
value" is the amount that the Fund might reasonably expect to receive for the
security (or asset) upon its current sale. Each such determination should be
based on a consideration of all relevant factors, which are likely to vary from
one pricing context to another. Examples of such factors may include, but are
not limited to: (i) the type of security, (ii) the initial cost of the security,
(iii) the existence of any contractual restrictions on the security's
disposition, (iv) the price and extent of public trading in similar securities
of the issuer or of comparable companies, (v) quotations or evaluated prices
from broker-dealers and/or pricing services, (vi) information obtained from the
issuer, analysts, and/or the appropriate stock exchange (for exchange traded
securities), (vii) an analysis of the company's financial statements, and (viii)
an evaluation of the forces that influence the issuer and the market(s) in which
the security is purchased and sold (e.g. the existence of pending merger
activity, public offerings or tender offers that might affect the value of the
security).
In September, 2006, the Financial Accounting Standards Board ("FASB") issued
Statement of Financial Accounting Standard No.157,"Fair Valuation
Measurements"("FAS 157"). This standard clarifies the definition of fair value
for financial reporting, establishes a framework for measuring fair value and
requires additional disclosures about the use of fair value measurements. FAS
157 establishes three different categories for valuations. Level 1 valuations
are those based upon quoted prices in active markets. Level 2 valuations are
those based upon quoted prices in inactive markets or based upon significant
observable inputs (e.g. yield curves; benchmark interest rates; indices). Level
3 valuations are those based upon unobservable inputs (e.g. discounted cash flow
analysis; non-market based methods used to determine fair valuation). Details of
the valuations as of December 31, 2008 were as follows:
Valuations at December 31, 2008
DESCRIPTION SECURITIES DERIVATIVES TOTAL
- --------------------------------------------------------------------------------
(value in $000s)
Assets:
Level 1 $ 243,766 $ - $ 243,766
Level 2 22,489 8,063 30,552
Level 3 - - -
- --------------------------------------------------------------------------------
Total $ 266,255 $ 8,063 $ 274,318
================================================================================
Liabilities:
Level 1 $ 74,231 $ 3,830 $ 78,061
Level 2 - 4,920 4,920
Level 3 - - -
- --------------------------------------------------------------------------------
Total $ 74,231 $ 8,750 $ 82,981
================================================================================
(b) INVESTMENT TRANSACTIONS AND INVESTMENT INCOME
Investment transactions are accounted for on the trade date. Realized gains and
losses on investments are determined on the identified cost basis. Dividend
income is recorded net of applicable withholding taxes on the ex-dividend date
and interest income is recorded on an accrual basis. Discounts or premiums on
debt securities purchased are accreted or amortized to interest income over the
lives of the respective securities using the effective interest method.
(c) FUTURES
The Fund may engage in asset allocation strategies by purchasing or selling
futures contracts on U.S. and foreign securities, indices and other assets. A
futures contract provides for the future sale by one party and purchase by
another party of a specified quantity of the security or other financial
instrument at a specified price and time. A futures contract on an index is an
agreement in which two parties agree to take or make delivery of an amount of
cash equal to the difference between the value of the index at the close of the
last trading day of the contract and the price at which the index contract was
originally written. Upon entering into futures contracts, the Fund maintains an
amount of cash or liquid securities with a value equal to a percentage of the
contract amount with either a futures commission merchant pursuant to rules and
regulations promulgated under the 1940 Act, as amended, or with its custodian in
an account in the broker's name. This amount is known as initial margin. During
the period the futures contract is open, payments are received from or made to
the broker based upon changes in the value of the contract (the variation
margin). The risk of loss associated with a futures contract is in excess of the
variation margin reflected on the Statement of Assets and Liabilities. The Fund
may use futures contracts in an attempt to enhance the Fund's
20 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund
NOTES TO FINANCIAL STATEMENTS | continued
investment returns, as an efficient way to gain broad market exposure with
reduced transaction costs and/or to hedge against market and other risks in the
Fund's portfolio. There are a number of risks associated with the use of futures
contracts. A purchase or sale of a futures contract may result in losses in
excess of the amount invested in the futures contract. If futures are used for
hedging, there can be no guarantee that there will be a correlation between
price movements in the hedging vehicle and in the Fund's portfolio securities
being hedged.
(d) OPTIONS
The Fund will opportunistically employ an option strategy in an attempt to
generate gains from option premiums, enhance distributions payable to the Fund's
shareholders and reduce overall portfolio risk. The Fund intends to pursue its
options strategy primarily by writing call options on equity indices. As the
writer (seller) of an equity index call option, the Fund would receive cash (the
premium) from the purchaser of the option, and the purchaser would have the
right to receive from the Fund any appreciation in the cash value of the index
over the strike price upon exercise. If the purchaser exercises the index option
sold by the Fund, the Fund would pay the purchaser the difference between the
cash value of the index and the strike price. In effect, the Fund sells the
potential appreciation in the value of the index above the strike price in
exchange for the premium.
(e) SECURITIES SOLD SHORT
The Fund may sell securities short. A short sale is a transaction in which the
Fund sells securities it does not own, but rather has borrowed, in anticipation
of a decline in the market price of the securities. The Fund is obligated to
replace the borrowed securities at their market price at the time of
replacement. The Fund's obligation to replace the securities borrowed in
connection with a short sale will be fully secured by collateral held in a
segregated account at the custodian. Short sales by the Fund involve certain
risks and special considerations. Possible losses from short sales differ from
losses that could be incurred from a purchase of a security because losses from
a short sale may be unlimited, whereas losses from purchases cannot exceed the
total amount invested.
Short equity securities listed on an exchange are valued at the last reported
sale price on the primary exchange on which they are traded. Short equity
securities for which there are no transactions on a given day are valued at the
mean of the closing bid and asked prices. Short equity securities traded on
NASDAQ are valued at the NASDAQ Official Closing Price. Readily marketable short
equity securities listed on an exchange are valued at the last reported sale
price on the primary exchange or in the principal over the counter ("OTC")
market on which they are traded.
(f) CURRENCY TRANSLATION
Assets and liabilities denominated in foreign currencies are translated into
U.S. dollars at the mean of the bid and asked price of respective exchange rates
on the last day of the period. Purchases and sales of investments denominated in
foreign currencies are translated at the exchange rate on the date of the
transaction.
Foreign exchange gain or loss resulting from holding of a foreign currency,
expiration of a currency exchange contract, difference in exchange rates between
the trade date and settlement date of an investment purchased or sold, and the
difference between dividends actually received compared to the amount shown in a
Fund's accounting records on the date of receipt are included as net realized
gains or losses on foreign currency forwards and currency transactions in the
Fund's Statement of Operations.
Foreign exchange gain or loss on assets and liabilities, other than investments,
are included in unrealized appreciation (depreciation) on foreign currency
translations.
(g) FORWARD EXCHANGE CURRENCY CONTRACTS
The Fund may enter into forward exchange currency contracts in order to hedge
its exposure to changes in foreign currency exchange rates on its foreign
portfolio holdings, to hedge certain firm purchases and sales commitments
denominated in foreign currencies and for investment purposes. A forward
exchange currency contract is a commitment to purchase or sell a foreign
currency on a future date at a negotiated forward rate. The gain or loss arising
from the difference between the original contracts and the closing of such
contracts are included in net realized gain or loss on foreign currency forwards
and currency transactions on the Statement of Operations.
Fluctuations in the value of open forward exchange currency contracts are
recorded for financial reporting purposes as unrealized appreciation and
depreciation on foreign currency forwards and currency translation on the
Statement of Operations.
The Fund's custodian will place and maintain cash not available for investment
or other liquid assets in a separate account of the Fund having a value at least
equal to the aggregate amount of the Fund's commitments under forward exchange
currency contracts entered into with respect to position hedges.
Risks may arise from the potential inability of a counterparty to meet the terms
of a contract and from unanticipated movements in the value of a foreign
currency relative to the U.S. dollar. The face or contract amount, in U.S.
dollars, reflects the total exposure the Fund has in that particular currency
contract.
(h) DISTRIBUTIONS TO SHAREHOLDERS
The Fund declares and pays quarterly dividends to common shareholders.
Distributions to shareholders are recorded on the ex-dividend date. The amount
and timing of distributions are determined in accordance with federal income tax
regulations, which may differ from U.S. generally accepted accounting
principles. These dividends consist of investment company taxable income, which
generally includes qualified dividend income, ordinary income, short-term
capital gains and premiums received on certain written options. Realized
short-term capital gains and premiums received on certain options are considered
ordinary income for tax purposes and will be reclassified at the Fund's fiscal
year end on the Fund's Statement of Assets and Liabilities from accumulated net
realized gains to accumulated net investment loss. Any net realized long-term
capital gains will be distributed annually to common shareholders.
Note 3 - INVESTMENT ADVISORY AGREEMENT, SUB-ADVISORY AGREEMENT AND OTHER
AGREEMENTS:
Pursuant to an Investment Advisory Agreement (the "Agreement") between the Fund
and Claymore Advisors, LLC (the "Adviser"), the Adviser will furnish offices,
necessary facilities and equipment, oversee the activities of Analytic
Investors, LLC. ("Analytic" or the "Sub-Adviser"), provide personnel including
certain officers required for its administrative management and pay the
compensation of all officers and trustees of the Fund who are its affiliates. As
compensation for these services, the Fund will pay the Adviser an annual fee,
payable monthly, in an amount equal to 1.00% of the Fund's average daily total
net assets.
Pursuant to a Sub-Advisory Agreement (the "Sub-Advisory Agreement") between the
Fund, the Adviser and the Sub-Adviser, the Sub-Adviser under the supervision of
the Fund's Board of Trustees and the Adviser, provides a continuous investment
program for the Fund's portfolio; provides investment research, makes and
executes recommendations for the purchase and sale of securities; and provides
certain facilities and personnel, including certain officers required for its
administrative management and pays the compensation of all officers and trustees
of the Fund who are its affiliates. As compensation for its services, the
Adviser pays
Annual Report | December 31, 2008 | 21
OLA | Old Mutual/Claymore Long-Short Fund | NOTES TO FINANCIAL STATEMENTS
continued
the Sub-Adviser a fee, payable monthly, in an annual amount equal to 0.50% of
the Fund's average daily total net assets. Analytic is an affiliate of Old
Mutual (US) Holdings, Inc.
The Adviser provides Fund Administration services to the Fund. For its services,
the Adviser receives a fund administration fee payable monthly at the annual
rate set forth below as a percentage of the average daily total net assets of
the Fund:
NET ASSETS RATE
- --------------------------------------------------------------------------------
First $200,000,000 0.0275%
Next $300,000,000 0.0200%
Next $500,000,000 0.0150%
Over $1,000,000,000 0.0100%
The Bank of New York Mellon ("BNY") acts as the Fund's custodian, accounting
agent, and transfer agent. As custodian, BNY is responsible for the custody of
the Fund's assets. As accounting agent, BNY is responsible for maintaining the
books and records of the Fund's securities and cash. As transfer agent, BNY is
responsible for performing transfer agency services for the Fund.
Certain officers and trustees of the Fund are also officers and directors of the
Adviser or the Sub-Adviser. The Fund does not compensate its officers or
trustees who are officers of the aforementioned firms.
Note 4 - FEDERAL INCOME TAXES:
The Fund intends to comply with the requirements of Subchapter M of the Internal
Revenue Code of 1986, as amended, applicable to regulated investment companies.
Accordingly, no provision for U.S. federal income taxes is required. In
addition, by distributing substantially all of its ordinary income and long-term
capital gains, if any, during each calendar year, the Fund intends not to be
subject to U.S. federal excise tax.
Due to inherent differences in the recognition of income, expenses, and realized
gains/losses under U.S. generally accepted accounting principles and federal
income tax purposes, permanent differences between book and tax basis reporting
have been identified and appropriately reclassified on the Statement of Assets
and Liabilities. A permanent book and tax difference relating to a distribution
reclass in the amount of $2,755,313 was reclassified from accumulated net
investment loss to accumulated net realized loss. Also permanent book and tax
differences relating to losses on foreign currency transactions in the amount of
$13,238,546 were reclassified from accumulated net realized loss to accumulated
net investment loss. Additionally, a permanent book and tax difference relating
to capital gain and return of capital distributions received from real estate
investment trusts totaling $150,934 was reclassified from accumulated net
realized loss to accumulated net investment loss. Finally, a permanent book and
tax difference relating to net operating losses in the amount of $14,152,603 was
reclassified from accumulated net investment loss to capital.
Capital losses and foreign currency transactions incurred after October 31
("post-October" losses) within the taxable year are deemed to arise on the first
business day of the Fund's next taxable year. The Fund incurred and elected to
defer capital losses and foreign currency related losses from 2008 in the amount
of $10,379,228 and $1,619,801, respectively.
Information on the tax components of investments, excluding short sales
transactions and excluding written options, and net assets as of December 31,
2008 is as follows:
NET TAX
COST OF NET TAX UNREALIZED
INVESTMENTS GROSS TAX GROSS TAX UNREALIZED APPRECIATION ON
FOR TAX UNREALIZED UNREALIZED DEPRECIATION ON DERIVATIVES AND
PURPOSES APPRECIATION DEPRECIATION INVESTMENTS FOREIGN CURRENCY
- --------------------------------------------------------------------------------
$368,304,001 $ 3,256,070 $(105,304,809) $ (102,048,739) $ 2,256,891
Information on the tax components of securities sold short as of December 31,
2008 is as follows:
NET TAX
PROCEEDS FROM UNREALIZED
SECURITIES GROSS TAX GROSS TAX APPRECIATION
SOLD SHORT FOR UNREALIZED UNREALIZED ON SECURITIES
TAX PURPOSES APPRECIATION DEPRECIATION SOLD SHORT
- --------------------------------------------------------------------------------
$ 87,787,981 $ 17,404,324 $ (3,847,742) $ 13,556,582
Tax components of the following balances as of December 31, 2008 and 2007 are as
follows:
DECEMBER 31, 2008 DECEMBER 31, 2007
- --------------------------------------------------------------------------------
Accumulated Net Investment Loss $ (1,619,801) $ (4,518,893)
Accumulated Capital and Other Losses $ (37,913,175) -
For the years ended December 31, 2008 and 2007, the tax character of
distributions paid to shareholders as reflected in the Statement of Changes in
Net Assets, was as follows:
DISTRIBUTIONS PAID FROM: 2008 2007
- --------------------------------------------------------------------------------
Ordinary Income $ 2,749,600 $ 26,761,014
Capital Gain 5,713 3,647,370
Return of Capital 27,653,071 -
- --------------------------------------------------------------------------------
$ 30,408,384 $ 30,408,384
- --------------------------------------------------------------------------------
At December 31, 2008, for federal income tax purposes, the Fund had a capital
loss carryforward of $27,533,947 available to offset possible future capital
gains. The capital loss carryforward is set to expire December 31, 2016.
The Fund adopted the provisions of Financial Accounting Standards Board ("FASB")
Interpretation No.48 ("FIN 48") Accounting for Uncertainty in Income Taxes on
December 31, 2007. FIN 48 sets forth a minimum threshold for financial statement
recognition of the benefit of a tax position taken or expected to be taken in a
tax return. The implementation of FIN 48 did not result in any unrecognized tax
benefits in the accompanying financial statements.
Tax years for 2005, 2006 and 2007 are still subject to examination by major
jurisdictions.
Note 5 - INVESTMENT TRANSACTIONS AND OPTIONS WRITTEN:
For the year ended December 31, 2008, purchases and sales of investments,
excluding written options with maturities of less than one year and short-term
securities, were $733,135,606 and $775,263,161, respectively.
The Fund entered into written call option contracts during the year ended
December 31, 2008. Details of the transactions were as follows:
NUMBER OF
CONTRACTS PREMIUMS RECEIVED
- --------------------------------------------------------------------------------
Options outstanding, beginning of year 6,550 $ 8,372,488
Options written, during the year 160,248 202,896,631
Options expired, during the year (28,939) (24,463,126)
Options closed, during the year (133,122) (181,242,992)
- --------------------------------------------------------------------------------
Options outstanding, end of year 4,737 $ 5,563,001
- --------------------------------------------------------------------------------
22 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund | NOTES TO FINANCIAL STATEMENTS
continued
Note 6 - DERIVATIVES:
At December 31, 2008, the following futures contracts were outstanding:
UNREALIZED
NUMBER OF APPRECIATION
LONG CONTRACTS CONTRACTS (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------
90 Day Euro$ IMM - June 2009
(Current notional value of $247,175 per contract) 461 $ 2,005,350
90 Day Euro$ IMM - September 2009
(Current notional value of $246,863 per contract) 461 610,813
Amsterdam Exchanges Index - January 2009
(Current notional value of 49,270 Euro per contract) 226 42,172
Australia SPI 200 Index - March 2009
(Current notional value of 93,650 Australian dollars per contract) 287 1,080,262
Canada S&P/TSE 60 Index - March 2009
(Current notional value of 107,980 Canadian dollars per contract) 124 724,648
Eurozone Dow Jones Euro STOXX 50 - March 2009
(Current notional value of 24,500 Euro per contract) 80 32,178
Italy S&P/MIB Index - March 2009
(Current notional value of 97,110 Euro per contract) 107 229,999
Sweden QMXS30 - January 2009
(Current notional value of 65,900 Swedish Krona per contract) 1,165 (87,966)
U.S. CBOE Volatility Index - January 2009
(Current notional value of $41,940 per contract) 85 (998,502)
- -------------------------------------------------------------------------------------------------------------
2,996 $ 3,638,954
- -------------------------------------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION
SHORT CONTRACTS CONTRACTS (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------
Japan TOPIX Index - March 2009
(Current notional value of 8,620,000 Japanese Yen per contract) 186 $ (931,330)
Spain IBEX 35 Index - January 2009
(Current notional value of 91,130 Euro per contract) 95 (82,985)
U.S. S&P 500 - March 2009
(Current notional value of $45,005 per contract) 258 (332,175)
United Kingdom FTSE 100 Index - March 2009
(Current notional value of 43,900 Pound Sterling per contract) 252 (371,140)
- -------------------------------------------------------------------------------------------------------------
791 $ (1,717,630)
- -------------------------------------------------------------------------------------------------------------
3,787 $ 1,921,324
- -------------------------------------------------------------------------------------------------------------
All notional values are denominated in local currencies.
At December 31, 2008, the following forward exchange currency contracts were
outstanding:
LOCAL UNREALIZED
CURRENCY APPRECIATION
LONG CONTRACTS VALUE (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------
Australian Dollar, 6,000,000 expiring 3/18/09 4,154,426 $ 162,926
Japanese Yen, 3,100,000,000 expiring 3/18/09 34,249,128 370,828
New Zealand Dollar, 61,000,000 expiring 3/18/09 35,344,756 2,044,856
Swedish Krona, 140,000,000 expiring 3/18/09 17,687,353 171,808
- -------------------------------------------------------------------------------------------------------------
$ 2,750,418
- -------------------------------------------------------------------------------------------------------------
SHORT CONTRACTS
- -------------------------------------------------------------------------------------------------------------
Canadian Dollar, 39,000,000 expiring 3/18/09 31,596,500 $ 157,286
Euro, 26,000,000 expiring 3/18/09 36,051,111 (1,729,291)
Norwegian Krone, 60,000,000 expiring 3/18/09 8,530,736 87,229
Pound Sterling, 6,000,000 expiring 3/18/09 8,613,272 342,148
Swiss Franc, 4,000,000 expiring 3/18/09 3,761,010 (386,508)
- -------------------------------------------------------------------------------------------------------------
$ (1,529,136)
- -------------------------------------------------------------------------------------------------------------
$ 1,221,282
- -------------------------------------------------------------------------------------------------------------
Note 7 - CAPITAL:
COMMON SHARES
The Fund has an unlimited amount of common shares, $0.01 par value, authorized
and 19,005,240 issued and outstanding.
There were no transactions in common shares during the year ended December 31,
2008 or the year ended December 31, 2007.
At December 31, 2008, Claymore Securities, Inc. owned 5,476 shares.
Note 8 - INDEMNIFICATIONS:
In the normal course of business, the Fund enters into contracts that contain a
variety of representations, which provide general indemnifications. The Fund's
maximum exposure under these arrangements is unknown, as this would require
future claims that may be made against the Fund that have not yet occurred.
However, the Fund expects the risk of loss to be remote.
Note 9 - ACCOUNTING PRONOUNCEMENT:
In March 2008, the FASB issued Statement of Financial Accounting Standard No.161
("SFAS No.161"), "Disclosures about Derivative Instruments and Hedging
Activities." This standard is intended to enhance financial statement
disclosures for derivative instruments and hedging activities and enable
investors to understand: a) how and why a fund uses derivative instruments, b)
how derivatives instruments and related hedge fund items are accounted for, and
c) how derivative instruments and related hedge items affect a fund's financial
position, results of operations and cash flows. SFAS No.161 is effective for
financial statements issued for fiscal years and interim periods beginning after
November 15, 2008. As of December 31, 2008, management does not believe the
adoption of SFAS No.161 will impact the financial statement amounts; however,
additional footnote disclosures may be required about the use of derivative
instruments and hedging items.
Annual Report | December 31, 2008 | 23
OLA | Old Mutual/Claymore Long-Short Fund
Report of INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
OLD MUTUAL/CLAYMORE LONG-SHORT FUND
We have audited the accompanying statement of assets and liabilities of Old
Mutual/Claymore Long-Short Fund (the "Fund"), including the portfolio of
investments, as of December 31, 2008, and the related statement of operations
for the year then ended, the statements of changes in net assets for each of the
two years in the period then ended, and the financial highlights for each of the
three years in the period then ended and for the period from August 25, 2005
(commencement of investment operations) through December 31, 2005. These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audits to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
We were not engaged to perform an audit of the Fund's internal control over
financial reporting. Our audits included consideration of internal control over
financial reporting as a basis for designing audit procedures that are
appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Fund's internal control over financial
reporting. Accordingly, we express no such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights, assessing the accounting
principles used and significant estimates made by management, and evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2008, by correspondence with the Fund's
custodian and brokers. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Old
Mutual/Claymore Long-Short Fund as of December 31, 2008, and the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended, and the financial highlights for each of
the three years in the period then ended and for the period from August 25, 2005
(commencement of investment operations) through December 31, 2005, in conformity
with U.S. generally accepted accounting principles.
/s/ Ernst & Young LLP
Chicago, Illinois
February 18, 2009
24 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund
Supplemental INFORMATION | (unaudited)
FEDERAL INCOME TAX INFORMATION
Subchapter M on the Internal Revenue Code of 1986, as amended, requires the Fund
to advise shareholders within 60 days of the Fund's tax year end as to the
federal tax status of dividends and distributions received by shareholders
during such tax period. The Fund hereby designates $5,713 as long-term capital
gains according to IRC Section 852(b)(3)(C).
In January 2009, you will be advised on IRS Form 1099 DIV or substitute 1099 DIV
as to the federal tax status of the distributions received by you in the
calendar year 2008.
RESULTS OF SHAREHOLDER VOTES
The Annual Meeting of Shareholders of the Fund was held on July 21, 2008. Common
shareholders voted on the election of Trustees.
With regard to the election of the following Class III Trustees by common
shareholders of the Fund:
# OF SHARES # OF SHARES
IN FAVOR WITHHELD
- --------------------------------------------------------------------------------
L. Kent Moore 16,093,700 422,450
Ronald A. Nyberg 16,095,871 420,280
Ronald E. Toupin, Jr. 16,093,634 422,517
The other Trustees of the Fund whose terms did not expire in 2008 are Randall C.
Barnes, Steven D. Cosler, Robert M. Hamje, Matthew J. Appelstein and Nicholas
Dalmaso.
Annual Report | December 31, 2008 | 25
OLA | Old Mutual/Claymore Long-Short Fund | SUPPLEMENTAL INFORMATION (unaudited)
continued
TRUSTEES
The Trustees of the Old Mutual/Claymore Long-Short Fund and their principal
occupations during the past five years:
NUMBER OF
NAME, ADDRESS,* YEAR OF TERM OF OFFICE** PRINCIPAL OCCUPATION DURING PORTFOLIOS IN THE
BIRTH AND POSITION(S) AND LENGTH OF THE PAST FIVE YEARS AND FUND COMPLEX*** OTHER DIRECTORSHIPS
HELD WITH REGISTRANT TIME SERVED OTHER AFFILIATIONS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES:
- ------------------------------------------------------------------------------------------------------------------------------------
Randall C. Barnes Since 2005 Private Investor (2001-present). 43 None.
Year of Birth: 1951 Formerly, Senior Vice President &
Trustee Treasurer, PepsiCo. Inc. (1993-1997),
President, Pizza Hut International
(1991-1993) and Senior Vice President,
Strategic Planning and New Business
Development (1987-1990) of PepsiCo,
Inc. (1987-1997).
- ------------------------------------------------------------------------------------------------------------------------------------
Steven D. Cosler Since 2005 Formerly, President, Chief Executive 2 Director, SXC
Year of Birth: 1955 Officer and Director of Priority Health Solutions,
Trustee Healthcare Corp. (2002-2005). Formerly, Corp.
President and Chief Operating Officer
of Priority Healthcare Corp.
(2001-2002). Formerly, Executive Vice
President and Chief Operating Officer
of Priority Healthcare Corp.
(2000-2001).
- ------------------------------------------------------------------------------------------------------------------------------------
Robert M. Hamje Since 2005 Formerly, President and Chief 2 Trustee, Old
Year of Birth: 1942 Investment Officer of TRW Investment Mutual Advisor
Trustee Management Co. (1990-2003). Mutual Funds.
- ------------------------------------------------------------------------------------------------------------------------------------
L. Kent Moore Since 2005 Partner at WilSource Enterprise 2 Trustee, Old
Year of Birth: 1955 (December 2005-Present). Previously, Mutual Advisor
Trustee Managing Director High Sierra Energy Mutual Funds.
L.P., (2004-2005). Formerly, Portfolio
Manager and Vice President of Janus
Capital Corp. (2000-2002) and Senior
Analyst/Portfolio Manager of Marsico
Capital Management (1997-1999).
- ------------------------------------------------------------------------------------------------------------------------------------
Ronald A. Nyberg Since 2005 Partner of Nyberg & Cassioppi, LLC, a 46 None.
Year of Birth: 1953 law firm specializing in corporate law,
Trustee estate planning and business
transactions (2000-present). Formerly,
Executive Vice President, General
Counsel and Corporate Secretary of Van
Kampen Investments (1982-1999).
- ------------------------------------------------------------------------------------------------------------------------------------
Ronald E. Toupin, Jr. Since 2005 Retired. Formerly, Vice President, 43 None.
Year of Birth: 1958 Manager and Portfolio Manager of Nuveen
Trustee Asset Management (1998-1999), Vice
President of Nuveen Investment Advisory
Corp. (1992-1999), Vice President and
Manager of Nuveen Unit Investment
Trusts (1991-1999), and Assistant Vice
President and Portfolio Manager of
Nuveen Unit Investment Trusts
(1988-1999), each of John Nuveen & Co.,
Inc. (1982-1999).
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES:
- ------------------------------------------------------------------------------------------------------------------------------------
Matthew J. Appelstein+ Since 2005 Senior Vice President of Product 2 None.
Year of Birth: 1961 Strategy and Retirement Solutions
Trustee Planning, Director of Investment
Services, Old Mutual Asset Management
(2003-present). Formerly, Senior Vice
President of Consulting Relationships,
Fidelity Management Trust
Co. (1998-2003).
- ------------------------------------------------------------------------------------------------------------------------------------
Nicholas Dalmaso++ Since 2005 Attorney. Formerly, Senior Managing 45 None.
Year of birth: 1965 Director and Chief Administrative
Trustee Officer (2007-2008) and General Counsel
(2001-2007) of Claymore Advisors, LLC
and Claymore Securities, Inc.
(2001-2008). Formerly, Assistant
General Counsel, John Nuveen and
Company, Inc. (1999-2000). Former Vice
President and Associate General Counsel
of Van Kampen Investments, Inc.
(1992-1999).
- ------------------------------------------------------------------------------------------------------------------------------------
* Address for all Trustees unless otherwise noted: 2455 Corporate West
Drive, Lisle, IL 60532
** After a Trustee's initial term, each Trustee is expected to serve a
three-year term concurrent with the class of Trustees for which he serves:
- Messrs. Appelstein and Barnes, as Class I Trustees, are expected to
stand for re-election at the Fund's 2009 annual meeting of
shareholders.
- Messrs. Cosler, Dalmaso and Hamje, as Class II Trustees, are
expected to stand for re-election at the Fund's 2010 annual meeting
of shareholders.
- Messrs. Moore, Nyberg and Toupin, as Class III Trustees, are
expected to stand for re-election at the Fund's 2011 annual meeting
of shareholders.
*** The Claymore Fund Complex consists of U.S. registered investment companies
advised or serviced by Claymore Advisors, LLC or Claymore Securities, Inc.
The Claymore Fund Complex is overseen by multiple Boards of Trustees.
+ Mr. Appelstein is an "interested person"(as defined in Section 2(a)(19) of
the 1940 Act) of the Fund because of his position as an officer of Old
Mutual Asset Management, the parent company of the Fund's Sub-Adviser.
++ Mr. Dalmaso is an "interested person"(as defined in section 2(a)(19) of
the 1940 Act) of the Fund because of his former position as an officer of,
and his equity ownership in, the Fund's Investment Adviser and certain of
its affiliates.
26 | Annual Report | December 31, 2008
OLA | Old Mutual/Claymore Long-Short Fund | SUPPLEMENTAL INFORMATION (unaudited)
continued
OFFICERS
The Officers of the Old Mutual/Claymore Long-Short Fund and their principal
occupations during the past five years:
NAME, ADDRESS*, YEAR OF BIRTH AND TERM OF OFFICE** AND PRINCIPAL OCCUPATION DURING THE PAST FIVE YEARS
POSITION(S) HELD WITH REGISTRANT LENGTH OF TIME SERVED AND OTHER AFFILIATIONS
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS:
- ------------------------------------------------------------------------------------------------------------------------------------
J. Thomas Futrell Since 2008 Senior Managing Director and Chief Investment Officer of Claymore
Year of birth: 1955 Advisors, LLC and Claymore Securities, Inc. (2008-present). Chief
Chief Executive Officer Executive Officer of certain other funds in the Fund Complex.
Formerly, Managing Director of Research, Nuveen Asset Management
(2000-2007).
- ------------------------------------------------------------------------------------------------------------------------------------
Kevin M. Robinson Since 2008 Senior Managing Director and General Counsel of Claymore Advisors,
Year of birth: 1959 LLC, Claymore Securities, Inc. and Claymore Group Inc. (2007-present).
Chief Legal Officer Chief Legal Officer of certain other funds in the Fund Complex.
Formerly, Associate General Counsel and Assistant Corporate Secretary
of NYSE Euronext, Inc. (2000-2007).
- ------------------------------------------------------------------------------------------------------------------------------------
Steven M. Hill Since 2005 Senior Managing Director of Claymore Advisors, LLC and Claymore
Year of Birth: 1964 Securities, Inc. (2005-present). Previously, Chief Financial Officer
Chief Accounting Officer, of Claymore Group Inc. (2005-2006). Managing Director of Claymore
Chief Financial Officer and Advisors, LLC and Claymore Securities, Inc. (2003-2005). Treasurer of
Treasurer Henderson Global Funds and Operations Manager for Henderson Global
Investors (North America) Inc. (2002-2003); Managing Director, Front
Point Partners LLC (2001-2002); Vice President, Nuveen Investments
(1999-2001); Chief Financial Officer, Skyline Asset Management LP
(1999); Vice President, Van Kampen Investments and Assistant
Treasurer, Van Kampen mutual funds (1989-1999).
- ------------------------------------------------------------------------------------------------------------------------------------
Matthew J. Patterson Since 2006 Vice President; Assistant General Counsel of Claymore Group Inc.
Year of Birth: 1971 (2006-present). Secretary of certain funds in the Fund Complex.
Secretary Previously, Chief Compliance Officer and Clerk, The Preferred Group of
Mutual Funds (2005-2006); Chief Compliance Officer and Secretary,
Caterpillar Investment Management Ltd (2005-2006); Securities Counsel,
Caterpillar Inc. (2004-2006); Associate, Skadden, Arps, Slate, Meagher
& Flom LLP (2002-2004).
- ------------------------------------------------------------------------------------------------------------------------------------
Bruce Saxon Since 2006 Vice President-Fund Compliance Officer of Claymore Group Inc. (Feb
Year of Birth: 1957 2006-present). Previously, Chief Compliance Officer/Assistant
Chief Compliance Officer Secretary of Harris Investment Management, Inc. (2003-2006).
Director-Compliance of Harrisdirect LLC (1999-2003).
- ------------------------------------------------------------------------------------------------------------------------------------
* Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532
** Officers serve at the pleasure of the Board of Trustees and until his or
her successor is appointed and qualified or until his or her earlier
resignation or removal.
Annual Report | December 31, 2008 | 27
OLA | Old Mutual/Claymore Long-Short Fund
Dividend Reinvestment PLAN | (unaudited)
Unless the registered owner of common shares elects to receive cash by
contacting the Bank of New York Mellon (the "Plan Administrator"), all dividends
declared on common shares of the Fund will be automatically reinvested by the
Plan Administrator for shareholders in the Fund's Dividend Reinvestment Plan
(the "Plan"), in additional common shares of the Fund. Participation in the Plan
is completely voluntary and may be terminated or resumed at any time without
penalty by notice if received and processed by the Plan Administrator prior to
the dividend record date; otherwise such termination or resumption will be
effective with respect to any subsequently declared dividend or other
distribution. Some brokers may automatically elect to receive cash on your
behalf and may re-invest that cash in additional common shares of the Fund for
you. If you wish for all dividends declared on your common shares of the Fund to
be automatically reinvested pursuant to the Plan, please contact your broker.
The Plan Administrator will open an account for each common shareholder under
the Plan in the same name in which such common shareholder's common shares are
registered. Whenever the Fund declares a dividend or other distribution
(together, a "Dividend") payable in cash, non-participants in the Plan will
receive cash and participants in the Plan will receive the equivalent in common
shares. The common shares will be acquired by the Plan Administrator for the
participants' accounts, depending upon the circumstances described below, either
(i) through receipt of additional unissued but authorized common shares from the
Fund ("Newly Issued Common Shares") or (ii) by purchase of outstanding common
shares on the open market ("Open-Market Purchases") on the New York Stock
Exchange or elsewhere. If, on the payment date for any Dividend, the closing
market price plus estimated brokerage commission per common share is equal to or
greater than the net asset value per common share, the Plan Administrator will
invest the Dividend amount in Newly Issued Common Shares on behalf of the
participants. The number of Newly Issued Common Shares to be credited to each
participant's account will be determined by dividing the dollar amount of the
Dividend by the net asset value per common share on the payment date; provided
that, if the net asset value is less than or equal to 95% of the closing market
value on the payment date, the dollar amount of the Dividend will be divided by
95% of the closing market price per common share on the payment date. If, on the
payment date for any Dividend, the net asset value per common share is greater
than the closing market value plus estimated brokerage commission, the Plan
Administrator will invest the Dividend amount in common shares acquired on
behalf of the participants in Open-Market Purchases.
If, before the Plan Administrator has completed its Open-Market Purchases, the
market price per common share exceeds the net asset value per common share, the
average per common share purchase price paid by the Plan Administrator may
exceed the net asset value of the common shares, resulting in the acquisition of
fewer common shares than if the Dividend had been paid in Newly Issued Common
Shares on the Dividend payment date. Because of the foregoing difficulty with
respect to Open-Market Purchases, the Plan provides that if the Plan
Administrator is unable to invest the full Dividend amount in Open-Market
Purchases during the purchase period or if the market discount shifts to a
market premium during the purchase period, the Plan Administrator may cease
making Open-Market Purchases and may invest the uninvested portion of the
Dividend amount in Newly Issued Common Shares at net asset value per common
share at the close of business on the Last Purchase Date provided that, if the
net asset value is less than or equal to 95% of the then current market price
per common share; the dollar amount of the Dividend will be divided by 95% of
the market price on the payment date.
The Plan Administrator maintains all shareholders' accounts in the Plan and
furnishes written confirmation of all transactions in the accounts, including
information needed by shareholders for tax records. Common shares in the account
of each Plan participant will be held by the Plan Administrator on behalf of the
Plan participant, and each shareholder proxy will include those shares purchased
or received pursuant to the Plan. The Plan Administrator will forward all proxy
solicitation materials to participants and vote proxies for shares held under
the Plan in accordance with the instruction of the participants.
There will be no brokerage charges with respect to common shares issued directly
by the Fund. However, each participant will pay a pro rata share of brokerage
commission incurred in connection with Open-Market Purchases. The automatic
reinvestment of Dividends will not relieve participants of any Federal, state or
local income tax that may be payable (or required to be withheld) on such
Dividends.
The Fund reserves the right to amend or terminate the Plan. There is no direct
service charge to participants with regard to purchases in the Plan; however,
the Fund reserves the right to amend the Plan to include a service charge
payable by the participants.
All correspondence or questions concerning the Plan should be directed to the
Plan Administrator, BNY Mellon Shareowner Services, PO Box 358015, Pittsburgh,
PA 15252-8015, Phone Number:(866) 488-3559.
28 | Annual Report | December 31, 2008
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This Page Intentionally Left Blank.
OLA | Old Mutual/Claymore Long-Short Fund
Fund INFORMATION |
BOARD OF TRUSTEES
Matthew J. Appelstein*
Randall C. Barnes
Steven D. Cosler
Nicholas Dalmaso**
Robert M. Hamje
L. Kent Moore
Ronald A. Nyberg
Ronald E. Toupin, Jr.
* Trustee is an "interested person" of the Fund as defined in the Investment
Company Act of 1940, as amended.
** Trustee is an "interested person" of the Fund as defined in the Investment
Company Act of 1940, as amended, as a result of his former position as an
officer of, and his equity ownership in, the Fund's Investment Adviser and
certain of its affiliates.
OFFICERS
J. Thomas Futrell
Chief Executive Officer
Kevin Robinson
Chief Legal Officer
Steven M. Hill
Chief Accounting Officer, Chief
Financial Officer and Treasurer
Matthew J. Patterson
Secretary
Bruce Saxon
Chief Compliance Officer
INVESTMENT ADVISER
Claymore Advisors, LLC
Lisle, Illinois
INVESTMENT SUB-ADVISER
Analytic Investors, LLC
Los Angeles, California
ADMINISTRATOR
Claymore Advisors, LLC
Lisle, Illinois
ACCOUNTING AGENT, CUSTODIAN AND TRANSFER AGENT
The Bank of New York Mellon
New York, New York
LEGAL COUNSEL
Skadden, Arps, Slate,
Meagher & Flom LLP
Chicago, Illinois
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
Chicago, Illinois
PRIVACY PRINCIPLES OF OLD MUTUAL/CLAYMORE LONG-SHORT FUND FOR SHAREHOLDERS
The Fund is committed to maintaining the privacy of its shareholders and to
safeguarding its non-public personal information. The following information is
provided to help you understand what personal information the Fund collects, how
we protect that information and why, in certain cases, we may share information
with select other parties.
Generally, the Fund does not receive any non-public personal information
relating to its shareholders, although certain non-public personal information
of its shareholders may become available to the Fund. The Fund does not disclose
any non-public personal information about its shareholders or former
shareholders to anyone, except as permitted by law or as is necessary in order
to service shareholder accounts (for example, to a transfer agent or third party
administrator).
The Fund restricts access to non-public personal information about the
shareholders to Claymore Advisors, LLC employees with a legitimate business need
for the information. The Fund maintains physical, electronic and procedural
safeguards designed to protect the non-public personal information of its
shareholders.
QUESTIONS CONCERNING YOUR SHARES OF OLD MUTUAL/CLAYMORE LONG-SHORT FUND?
o If your shares are held in a Brokerage Account, contact your Broker.
o If you have physical possession of your shares in certificate form,
contact the Fund's Custodian and Transfer Agent:
The Bank of New York Mellon, 101 Barclay 11E, New York, New York 12086
(866) 488-3559
This report is sent to shareholders of Old Mutual/Claymore Long-Short Fund for
their information. It is not a Prospectus, circular or representation intended
for use in the purchase or sale of shares of the Fund or of any securities
mentioned in this report.
A description of the Fund's proxy voting policies and procedures related to
portfolio securities is available without charge, upon request, by calling the
Fund at (866) 882-0688.
Information regarding how the Fund voted proxies for portfolio securities, if
applicable, during the most recent 12-month period ended June 30, is also
available, without charge and upon request by calling (866) 882-0688 or by
accessing the Fund's Form N-PX on the U.S. Securities and Exchange Commission's
("SEC") website at www.sec.gov or www.claymore.com .
The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q is
available on the SEC website at www.sec.gov or www.claymore.com. The Fund's Form
N-Q may also be viewed and copied at the SEC's Public Reference Room in
Washington, DC; information on the operation of the Public Reference Room may be
obtained by calling (800) SEC-0330 or at www.sec.gov .
In August 2008, the Fund submitted a CEO annual certification to the NYSE in
which the Fund's principal executive officer certified that he was not aware, as
of the date of the certification, of any violation by the Fund of the NYSE's
Corporate Governance listing standards. In addition, as required by Section 302
of the Sarbanes-Oxley Act of 2002 and related SEC rules, the Fund's principal
executive and principal financial officers have made quarterly certifications,
included in filings with the SEC on Forms N-CSR and N-Q, relating to, among
other things, the Fund's disclosure controls and procedures and internal control
over financial reporting.
Notice is hereby given in accordance with Section 23(c) of the Investment
Company Act of 1940 that the Fund may from time to time purchase its shares of
common stock in the open market.
Annual Report | December 31, 2008 | 31
OLA | Old Mutual/Claymore Long-Short Fund
About the FUND MANAGER |
ANALYTIC INVESTORS, LLC
Analytic Investors specializes in the application of systematic investment
processes to evaluate and exploit opportunities in the global equity, fixed
income and derivative securities markets. Based in Los Angeles and wholly owned
by Old Mutual plc, Analytic employs 35 professionals and manages more than $8
billion. The firm manages a range of traditional, long-only equity products as
well as a number of absolute return strategies. The firm was founded in 1970
and, since that time, has focused on delivering valued-added, risk-controlled
investment strategies to its range of institutional, fund-of-fund, and high net
worth clients.
INVESTMENT PHILOSOPHY
Analytic's philosophy is anchored in the conviction that the systematic
application of quantitative techniques to assess opportunity has the potential
to deliver quality, risk-adjusted performance, regardless of market cycle.
Analytic's quantitative methods bring together the best attributes of individual
security selection and unbiased portfolio modeling, yielding a management style
that is both disciplined and responsive.
INVESTMENT PROCESS
Analytic's innovative research seeks to uncover the factors that are driving
performance and are likely to be important going forward. Two core beliefs
underlie the firm's investment process:
o The attractiveness of every security is determined by a multitude of
factors that can be measured.
o The desirability of a security's characteristics change with economic
conditions.
Sophisticated quantitative techniques enable Analytic to simultaneously analyze
a variety of unique characteristics - such as relative valuation, growth
potential, historical returns, liquidity and risk - in an effort to identify and
exploit opportunities. Analytic uses thorough statistical analysis in an attempt
to identify the merits of each security as well as the relationships between
each security's measurable characteristics that may be driving its performance.
Analytic's proprietary multi-factor return models are applied in a
risk-controlled environment. The firm's highly evolved and successful approach,
supported by the research efforts of its investment team, capitalizes on
opportunity while neutralizing systematic market exposure and overall risk.
CLAYMORE SECURITIES, INC.
2455 Corporate West Drive
Lisle, IL 60532
Member FINRA/SIPC
(02/09)
OLA
LISTED
NYSE(R)
OLA-AR-1208
NOT FDIC-INSURED | NOT BANK-GUARANTEED | MAY LOSE VALUE
ITEM 2. CODE OF ETHICS.
(a) The registrant has adopted a code of ethics (the "Code of Ethics") that
applies to its principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing similar
functions.
(b) No information need be disclosed pursuant to this paragraph.
(c) The registrant has not amended its Code of Ethics during the period covered
by the shareholder report presented in Item 1 hereto.
(d) The registrant has not granted a waiver or an implicit waiver to its
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions
from a provision of its Code of Ethics during the period covered by this
report.
(e) Not applicable.
(f) (1) The registrant's Code of Ethics is attached hereto as an exhibit.
(2) Not applicable.
(3) Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Trustees has determined that it has at least one audit
committee financial expert serving on its audit committee (the "Audit
Committee"), Ronald E. Toupin, Jr. Mr. Toupin is an "independent" Trustee for
purposes of this Item 3 of Form N-CSR. Mr. Toupin qualifies as an audit
committee financial expert by virtue of his experience obtained as a portfolio
manager and research analyst, which included review and analysis of offering
documents and audited and unaudited financial statements using GAAP to show
accounting estimates, accruals and reserves.
(Under applicable securities laws, a person who is determined to be an audit
committee financial expert will not be deemed an "expert" for any purpose,
including without limitation for the purposes of Section 11 of the Securities
Act of 1933, as amended, as a result of being designated or identified as an
audit committee financial expert. The designation or identification of a person
as an audit committee financial expert does not impose on such person any
duties, obligations, or liabilities that are greater than the duties,
obligations, and liabilities imposed on such person as a member of the Audit
Committee and Board of Trustees in the absence of such designation or
identification. The designation of identification of a person as an audit
committee financial expert does not affect the duties, obligations or liability
of any other member of the Audit Committee or Board of Trustees.)
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees: the aggregate fees billed for professional services rendered by
the principal accountant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements were
$41,500 and $40,000 for the fiscal years ending December 31, 2008, and
December 31, 2007, respectively.
(b) Audit-Related Fees: the aggregate fees billed for assurance and related
services by the principal accountant that are reasonably related to the
performance of the audit of the registrant's financial statements and are
not reported under paragraph (a) of this Item were $0 and $0 for the fiscal
years ending December 31, 2008, and December 31, 2007, respectively.
(c) Tax Fees: the aggregate fees billed for professional services rendered by
the principal accountant for tax compliance, tax advice, and tax planning,
were $6,500 and $6,200 for the fiscal years ending December 31, 2008 and
December 31, 2007, respectively.
(d) All Other Fees: the aggregate fees billed for products and services
provided by the principal accountant, other than the services reported in
paragraphs (a) through (c) of this Item were $0 and $0 for the fiscal years
ending December 31, 2008, and December 31, 2007, respectively.
The registrant's principal accountant did not bill fees for non-audit services
that required approval by the Audit Committee pursuant to paragraph (c)(7)(ii)
of Rule 2-01 of Regulation S-X during the Registrant's last two fiscal years.
(e). Audit Committee Pre-Approval Policies and Procedures.
(i) The Audit Committee reviews, and in its sole discretion, pre-approves,
pursuant to written pre-approval procedures (A) all engagements for audit and
non-audit services to be provided by the principal accountant to the registrant
and (B) all engagements for non-audit services to be provided by the principal
accountant (1) to the registrant's investment adviser (not including a
sub-adviser whose role is primarily portfolio management and is sub-contracted
or overseen by another investment adviser) and (2) to any entity controlling,
controlled by or under common control with the registrant's investment adviser
that provides ongoing services to the registrant; but in the case of the
services described in subsection (B)(1) or (2), only if the engagement relates
directly to the operations and financial reporting of the registrant; provided
that such pre-approval need not be obtained in circumstances in which the
pre-approval requirement is waived under rules promulgated by the Securities and
Exchange Commission or New York Stock Exchange listing standards. Sections
IV.C.2 and IV.C.3 of the Audit Committee's revised Audit Committee Charter
contain the Audit Committee's Pre-Approval Policies and Procedures and such
sections are included below.
IV.C.2 Pre-approve any engagement of the independent auditors to provide any
non-prohibited services to the Fund, including the fees and other
compensation to be paid to the independent auditors (unless an
exception is available under Rule 2-01 of Regulation S-X).
(a) The Chairman or any member of the Audit Committee may grant the
pre-approval of services to the Fund for non-prohibited services
up to $10,000. All such delegated pre-approvals shall be
presented to the Audit Committee no later than the next Audit
Committee meeting.
IV.C.3 Pre-approve any engagement of the independent auditors, including the
fees and other compensation to be paid to the independent auditors, to
provide any non-audit services to the Adviser (or any "control
affiliate" of the Adviser providing ongoing services to the Fund), if
the engagement relates directly to the operations and financial
reporting of the Fund (unless an exception is available under Rule
2-01 of Regulation S-X).
(a) The Chairman or any member of the Audit Committee may grant the
pre-approval for non-audit services to the Adviser up to $10,000.
All such delegated pre-approvals shall be presented to the Audit
Committee no later than the next Audit Committee meeting.
(ii) None of the services described in each of Items 4(b) through (d) were
approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01
of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, the registrant's investment adviser
(not including a sub-adviser whose role is primarily portfolio management
and is sub-contracted with or overseen by another investment adviser) and
any entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the registrant that directly
related to the operations and financial reporting of the registrant was
$6,500 and $6,200 for the fiscal years ending December 31, 2008, and
December 31, 2007, respectively.
(h) Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) The Audit Committee was established in accordance with Section 3(a)(58)(A)
of the Securities Exchange Act of 1934, as amended. The audit committee of
the registrant is composed of: Randall C. Barnes, Steven D. Cosler, Robert
M. Hamje, L. Kent Moore, Ronald A. Nyberg and Ronald E. Toupin, Jr.
(b) Not Applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
The Schedule of Investments is included as part of Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
The registrant has delegated the voting of proxies relating to its voting
securities to its investment sub-adviser, Analytic Investors, LLC (the
"Sub-Adviser" or "Analytic"). The Sub-Adviser's proxy voting policies and
procedures are included as an exhibit hereto.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A team of investment professionals at Analytic shares primary responsibility for
the day-to-day portfolio management of the Fund. Mr. McMurran and Mr. Bein
oversee the team regarding the management of the Fund. The following provides
information regarding the members of the team.
NAME SINCE PROFESSIONAL EXPERIENCE
- ---- ----------- -----------------------
Gregory M. McMurran 2005 Mr. McMurran (Chief Investment
(Inception) Officer and Portfolio Manager) is
responsible for the management of
implementation of Analytic's
investment strategies, including
those used for the Fund. He joined
Analytic in 1976. He is a major
contributor to the firm's ongoing
research efforts as well as new
product development and strategy
applications. Mr. McMurran has an
extensive background in the
implementation of the firm's
quantitative investment strategies.
He received a B.S. in Economics from
the University of California,
Irvine. He also received an M.A. in
Economics at California State
University, Fullerton. He has 31
years of industry experience.
Harindra de Silva, 2005 Dr. de Silva (President and
Ph.D., CFA (Inception) Portfolio Manager) is responsible
for Analytic's strategic direction
and the ongoing development of its
investment processes. He focuses on
the ongoing research and portfolio
management efforts for the firm's
U.S. equity strategies and Tactical
Asset Allocation strategies. Before
joining Analytic in 1995, he was a
principal at Analysis Group, Inc.,
where he was responsible for
providing economic research services
to institutional investors including
investment managers, large pension
funds and endowments. He received a
Ph.D. in Finance from the University
of California, Irvine. He holds a
B.S. in Mechanical Engineering from
the University of Manchester
Institute of Science and Technology
and an M.B.A. in Finance and an M.S.
in Economic Forecasting from the
University of Rochester. Dr. de
Silva is a member of the Association
for Investment Management and
Research, the American Finance
Association and the International
Association of Financial Analysts.
He has 23 years of industry
experience.
Dennis Bein, CFA 2005 Mr. Bein (Chief Investment Officer
(Inception) and Portfolio Manager) is
responsible for the ongoing research
for Analytic's U.S. equity
strategies as well as the day-to-day
portfolio management and trading of
those accounts. Before joining
Analytic in 1995, Mr. Bein was a
Senior Consultant for AG Risk
Management, Analysis Group, Inc.'s
investment consulting subsidiary. He
received an M.B.A. from the Anderson
Graduate School of Management at the
University of California, Riverside.
Mr. Bein completed his undergraduate
studies in Business Administration
at the University of California,
Riverside. He is a Chartered
Financial Analyst and a member of
the Association for Investment
Management and Research, the
Institute of Chartered Financial
Analysts and the Los Angeles Society
of Financial Analysts. He has 18
years of industry experience.
Yigal Newman, Ph.D 2009 Dr. Newman (Portfolio Manager) is
responsible for ongoing research and
development of options and other
volatility based-investment
strategies as well as the day-to-day
portfolio management and trading of
such accounts. Before joining
Analytic in 2005, he was previously
employed at Dimensional Fund
Advisors (DFA) where he worked on
various alpha generation and
quantitative analysis projects. Dr.
Newman received a Ph.D in Finance
from the Graduate School of Business
at Stanford University and a B.S. in
Industrial Engineering and
Management from the Israel Institute
of Technology.
Ram Willner, D.B.A 2009 Mr. Willner (Portfolio Manager) is
responsible for the ongoing research
and development of fixed income and
currency based strategies as well as
the day-to-day portfolio management
and trading of such accounts. Before
joining Analytic in 2008, Mr.
Willner led global analytics at
PIMCO and Banc of America Capital
Management (BACAP) Fixed Income
Department. For the past 10 years,
Ram extended his quantitative
background to serve as a domestic
and international fixed income
portfolio manager, managing real
money and levered investments at
Morgan Stanley Asset Management (in
London), at BACAP, and at Global
Fixed Income Partners. Ram has
lectured and published extensively
on fixed income topics, particularly
with an emphasis on quantitative
approaches. Mr. Willner received a
D.B.A. in Financial Mathematics from
Harvard University; an MBA from
Carnegie Mellon University; and a
B.A. in Mathematics with Honors from
Brandeis University. He has 21 years
of industry experience.
Steven Sapra, CFA 2005 Mr. Sapra (Portfolio Manager) is
(Inception) responsible for the ongoing research
for Analytic's U.S. equity
strategies as well as day-to-day
portfolio management and trading.
Before joining Analytic in 1999, Mr.
Sapra was a Senior Consultant for
BARRA, Inc. He received an M.A. in
Economics from the University of
Southern California and a B.S. in
Economics from California State
Polytechnic University, Pomona. He
is a Chartered Financial Analyst and
a member of the CFA Institute and
the Los Angeles Society of Financial
Analysts. He has 11 years of
industry experience.
David Krider, CFA 2005 Mr. Krider (Portfolio Manager) is
(Inception) responsible for the ongoing research
and development of global equity
based investment strategies as well
as the day-to-day trading of global
portfolios. Before joining Analytic
in 2005, Mr. Krider was founder and
Chief Technology Officer of
Visualize, Inc., a firm that
specializes in financial
visualization and analytic software.
He was also a research associate at
First Quadrant before leaving to
start his own firm. He received a
B.S. in Economics and Computer
Science from California Institute of
Technology.
Gregory McMurran and Dennis Bein, as Analytic Chief Investment Officers,
generally oversee all aspects of the day-to-day management of the Fund. Mr.
McMurran has primary responsibility for the oversight of the firm's derivatives
based investment strategies and Mr. Bein has primary responsibility for the
oversight of the firm's equity based investment strategies. Under Mr. McMurran's
direction, Ram Willner and David Krider serve as portfolio managers for global
asset allocation strategies and Yigal Newman serves as lead portfolio manager
for options and other volatility based strategies. Under Mr. Bein's direction,
Steven Sapra serves as lead portfolio manager for U.S. equity based strategies,
and Harindra de Silva heads the firm's research efforts on behalf of the Fund.
The following summarizes the structure of and methods used to determine the
compensation of each individual, each of whom is employed by the Sub-Adviser,
that shares primary responsibility for the day-to-day portfolio management of
the Fund (the "Analytic Portfolio Managers"):
Compensation. Analytic's compensation structure for professional employees
consists of an industry median base salary (based on independent industry
information) and an annual discretionary bonus. Bonus amounts are determined
using the following factors: the overall success of the firm in terms of
profitability; the overall success of the department or team; and an
individual's contribution to the team based on goals established during the
performance period. In October 2007, the Analytic board adopted an equity plan
that allows key employees of the firm to hold up to 24.9% direct or indirect
nonvoting equity interests in the firm. Old Mutual will maintain its majority
ownership in the firm. Participants in the Analytic Investors LLC Equity Plan
include our executive management team and senior investment team members.
The base salaries of the Analytic Portfolio Managers are typically reviewed on
an annual basis, determined by each portfolio manager's date of employment.
Discretionary bonuses are determined annually, based upon an analysis of
information from the prior calendar year. Profit sharing allocations are made on
an annual basis.
Conflicts of Interest. Analytic and its officers, employees and beneficial
owners shall be free from time to time to acquire, possess, manage, and dispose
of securities or other investment assets for their own accounts, for the
accounts of their families, for the account of any entity in which they have a
beneficial interest or for the accounts of others for whom they may provide
investment advisory, brokerage or other services (collectively, "Managed
Accounts"), in transactions which may or may not correspond with transactions
effected or positions held in the Fund. It is understood that when Analytic
determines that it would be appropriate for the Fund and one or more Managed
Accounts to participate in an investment opportunity, Analytic will seek to
execute orders for the Fund and for such Managed Accounts on a basis which it
considers equitable, but that equality of treatment of the Fund and other
Managed Accounts is not assured. In such situations, Analytic may (but is not be
required to) place orders for the Fund and each other Managed Account
simultaneously and if all such orders are not filled at the same price, Analytic
may cause the Fund and each Managed Account to pay or receive the average of the
prices at which the orders were filled. If all such orders cannot be fully
executed under prevailing market conditions, Analytic may allocate the
securities traded among the Fund and other Managed Accounts in a manner which it
considers equitable, taking into account the size of the order placed for the
Fund and each other Managed Account as well as any other factors which it deems
relevant.
Certain of the Managed Accounts Analytic advises may sell securities short,
including securities with respect to which other Managed Accounts hold long
positions. The portfolio managers and traders for these Managed Accounts are not
separated from the rest of Analytic's investment personnel and therefore have
access to full information about Analytic's investment research and the
investment decisions and strategies being employed for the Managed Accounts.
These Managed Accounts pay Analytic management fees at rates comparable to and
in some cases lower than those paid by the Fund and other Managed Accounts.
Analytic also receives a significant
share of any profits earned by certain of the Managed Accounts as incentive
compensation. As a result, Analytic may have a conflict between its own
interests and the interests of other Analytic investment advisory clients in
managing the portfolios of certain of these Managed Accounts.
In order to minimize these potential conflicts of interest, Analytic has adopted
various procedures and safeguards. For example, except for short sales done to
take advantage of short-term volatility, Analytic will not sell a security short
that another Managed Account owns until (1) it discloses to the relevant
portfolio managers its intention to sell short and the reasons for selling short
and (2) allows the portfolio managers a reasonable time to make an investment
decision to hold or sell that security.
Other accounts managed. The following summarizes information regarding each of
the other accounts managed by the Analytic Portfolio Managers as of December 31,
2008:
REGISTERED INVESTMENT OTHER POOLED
COMPANIES INVESTMENT VEHICLES OTHER ACCOUNTS
-------------------------- ----------------------------- ----------------------------
# OF TOTAL ASSETS # OF TOTAL ASSETS # OF TOTAL ASSETS
NAME ACCOUNTS ($MILLION) ACCOUNTS ($MILLION) ACCOUNTS ($MILLION)
- ---- -------- ------------ -------- ------------ -------- ------------
Dennis Bein 13 (0) $3,097.6 22 (12) $2,485.1 35 (13) $2,387.3
($0) ($1,608.1) ($947.4)
Harindra de Silva 14 (0) $3,207.8 21 (12) $1,830.3 33 (13) $2,497.3
($0) ($901.6) ($947.4)
David Krider 3 (0) $293.0 ($0) 3 (0) $160.5 ($0) 2 (2) $277.3
($277.3)
Greg McMurran 6 (0) $678.1 ($0) 2 (1) $117.5 ($8.4) 3 (0) $179.7 ($0)
Yigal Newman 0 (0) $0 ($0) 0 (0) $0 ($0) 0 (0) $0 ($0)
Steven Sapra 10 (0) $2,804.6 13 (7) $1,745.9 30 (8) $2,035.9
($0) ($1,133.3) ($596.1)
Ram Willner 1 (0) $56.6 ($0) 0 (0) $0 ($0) 1 (0) $13.6 ($0)
( ) represents the number and value of accounts within the total accounts that
are subject to a performance based advisory fee.
Securities ownership. The following table discloses the dollar range of equity
securities of the Fund beneficially owned by the each of the Analytic Portfolio
Managers as of December 31, 2008:
DOLLAR RANGE OF EQUITY
NAME OF PORTFOLIO MANAGER SECURITIES IN FUND
- --------------------------------------------------------------------------------
Dennis Bein None
Harindra de Silva None
David Krider None
Greg McMurran None
Yigal Newman None
Steven Sapra None
Ram Willner None
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
None.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
On January 20, 2009, the registrant's Board of Trustees (the "Board") approved a
revised written charter (the "Nominating and Governance Charter") for its
nominating and governance committee (the "Nominating and Governance Committee")
that contains changes to the procedures by which shareholders may recommend
nominees to the Board.
Under the Nominating and Governance Charter, the previously existing procedures
by which shareholders may recommend nominees to the Board remain in effect. In
addition to these previously existing procedures, the Nominating and Governance
Charter includes a new requirement that following the submission by a
shareholder of a Trustee candidate recommendation, such Trustee candidate must
(i) be prepared to submit written answers to a questionnaire seeking
professional and personal information that will assist the Nominating and
Governance Committee to evaluate the candidate and to determine, among other
matters, whether the candidate would qualify as a Trustee who is not an
"interested person" of the registrant as such term is defined under the
Investment Company Act of 1940; (ii) be prepared to submit character references
and agree to appropriate background checks; and (iii) be prepared to meet with
one or more members of the Nominating and Governance Committee at a time and
location convenient to those Nominating and Governance Committee members in
order to discuss the nominee's qualifications.
A copy of the Nominating and Governance Committee Charter will be filed with the
Securities and Exchange Commission as an appendix to the registrant's 2009
annual shareholder meeting proxy statement.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal financial
officer have evaluated the registrant's disclosure controls and procedures
(as defined in Rule 30a3(c) under the Investment Company Act of 1940) as of
a date within 90 days of this filing and have concluded based on such
evaluation as required by Rule 30a-3(b) under the Investment Company Act of
1940, that the registrant's disclosure controls and procedures were
effective, as of that date, in ensuring that information required to be
disclosed by the registrant in this Form N-CSR was recorded, processed,
summarized, and reported within the time periods specified in the
Securities and Exchange Commission's rules and forms.
(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 second fiscal quarter of the
period covered by this report that have materially affected, or are
reasonably likely to materially affect, the registrant's internal control
over financial reporting.
ITEM 12. EXHIBITS.
(a) (1) Code of Ethics for Chief Executive and Senior Officers.
(a) (2) Certifications of principal executive officer and principal financial
officer pursuant to Rule 30a-2(a) of the Investment Company Act
of 1940.
(a) (3) Not Applicable.
(b) Certifications of principal executive officer and principal financial
officer pursuant to Rule 30a-2(b) of the Investment Company Act of 1940 and
Section 906 of the Sarbanes-Oxley Act of 2002.
(c) Proxy Voting Policies and Procedures.
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) Old Mutual/Claymore Long-Short Fund
By: /s/ J. Thomas Futrell
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Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: March 5, 2009
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
By: /s/ J. Thomas Futrell
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Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: March 5, 2009
By: /s/ Steven M. Hill
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Name: Steven M. Hill
Title: Chief Financial Officer, Chief Accounting Officer and Treasurer
Date: March 5, 2009