fp0003739_nq.htm
 
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
 
Investment Company Act file number    811-05150                            
 
Cornerstone Strategic Value Fund, Inc.
(Exact name of registrant as specified in charter)
 
350 Jericho Turnpike, Suite 206            Jericho, New York
11753
(Address of principal executive offices)
(Zip code)
 
Frank J. Maresca
 
Ultimus Fund Solutions, LLC    350 Jericho Turnpike, Suite 206     Jericho, NY 11753
(Name and address of agent for service)
 
Registrant's telephone number, including area code:  (513) 587-3400  
 
Date of fiscal year end:         December 31, 2011               
 
Date of reporting period:       September 30, 2011               
 
Form N-Q is to be used by management investment companies other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
 
 
 
 
 
Item 1.
Schedule of Investments.
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2011 (Unaudited)
  
 
Description
  
No. of Shares
    
Value
  
EQUITY SECURITIES - 99.63%
            
CLOSED-END FUNDS - 26.51%
            
CORE - 0.53%
            
Adams Express Company (The) (a)
     5,100     $ 46,971  
General American Investors Company, Inc.
     9,800       225,008  
              271,979  
CORPORATE DEBT FUNDS INVESTMENT GRADE-RATED - 4.19%
                
AllianceBernstein Income Fund
     175,489       1,398,647  
Federated Enhanced Treasury Income Fund
     45,244       678,660  
Invesco Van Kampen Bond Fund
     2,800       55,272  
MFS Government Markets Income Trust
     2,500       16,650  
              2,149,229  
DEVELOPED MARKET - 0.20%
                
Japan Smaller Capitalization Fund, Inc.
     14,000       104,020  
                 
EMERGING MARKETS - 0.13%
                
First Trust/Aberdeen Emerging Opportunity Fund
     3,800       65,588  
                 
FLEXIBLE INCOME - 0.46%
                
Zweig Total Return Fund, Inc. (The)
     79,000       238,580  
                 
GENERAL BOND - 0.37%
                
BlackRock Build America Bond Trust
     8,600       173,720  
MFS InterMarket Income Trust I
     2,300       18,584  
              192,304  
GLOBAL - 0.62%
                
Alpine Total Dynamic Dividend Fund
     58,956       265,892  
Clough Global Allocation Fund
     4,400       54,560  
              320,452  
GLOBAL INCOME - 0.97%
                
Nuveen Multi-Currency Short-Term Government Income Fund
     38,267       497,854  
                 
OPTION ARBITRAGE/OPTIONS STRATEGIES - 17.97%
                
BlackRock Enhanced Equity Dividend Trust
     8,000       55,840  
Cohen & Steers Global Income Builder, Inc.
     9,400       81,592  
Eaton Vance Enhanced Equity Income Fund
     52,300       511,494  
Eaton Vance Enhanced Equity Income Fund II
     103,300       1,018,538  
Eaton Vance Risk-Managed Diversified Equity Income Fund
     153,148       1,676,971  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2011 (Unaudited) (Continued)
  
 
Description
  
No. of Shares
    
Value
  
CLOSED-END FUNDS (Continued)
            
OPTION ARBITRAGE/OPTIONS STRATEGIES (Continued)
            
Eaton Vance Tax-Managed Buy-Write Income Fund
     59,163     $ 687,474  
Eaton Vance Tax-Managed Buy-Write Opportunities Fund
     95,600       1,043,952  
Eaton Vance Tax-Managed Diversified Equity Income Fund
     233,015       1,987,618  
Eaton Vance Tax-Managed Global Buy-Write Opportunities Fund
     42,866       418,372  
Eaton Vance Tax-Managed Global Diversified Equity Income Fund
     134,826       1,078,608  
Nuveen Equity Premium Advantage Fund
     10,442       114,653  
Nuveen Equity Premium and Growth Fund
     15,100       173,499  
Nuveen Equity Premium Income Fund
     10,000       106,800  
Nuveen Equity Premium Opportunity Fund
     24,800       269,576  
              9,224,987  
PACIFIC EX JAPAN - 0.43%
                
Morgan Stanley China A Share Fund, Inc.
     10,500       222,495  
                 
SECTOR EQUITY - 0.64%
                
Evergreen Utilities and High Income Fund
     26,910       277,173  
Gabelli Healthcare & WellnessRx Trust (The) *
     7,321       48,977  
              326,150  
                 
TOTAL CLOSED-END FUNDS
       13,613,638  
                 
CONSUMER DISCRETIONARY - 8.40%
                
Best Buy Company, Inc.
     6,500       151,450  
Comcast Corporation - Class A
     14,555       304,200  
DIRECTV Group, Inc. (The) - Class A *
     4,000       169,000  
Family Dollar Stores, Inc.
     2,000       101,720  
Ford Motor Company *
     12,000       116,040  
Home Depot, Inc. (The)
     2,000       65,740  
McDonald's Corporation
     11,400       1,001,148  
News Corporation - Class A
     10,000       154,700  
Starbucks Corporation
     2,800       104,412  
Target Corporation
     8,800       431,552  
Time Warner Cable, Inc.
     1,966       123,209  
Time Warner, Inc.
     7,900       236,763  
TJX Companies, Inc. (The)
     7,000       388,290  
Viacom, Inc. - Class B
     5,450       211,133  
Walt Disney Company (The)
     10,200       307,632  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2011 (Unaudited) (Continued)
  
 
Description
  
No. of Shares
    
Value
  
CONSUMER DISCRETIONARY (Continued)
            
Yum! Brands, Inc.
     9,000     $ 444,510  
              4,311,499  
CONSUMER STAPLES - 8.25%
                
Altria Group, Inc.
     20,800       557,648  
Coca-Cola Company (The)
     13,500       912,060  
Costco Wholesale Corporation
     2,500       205,300  
CVS Caremark Corporation
     8,430       283,079  
General Mills, Inc.
     5,000       192,350  
H.J. Heinz Company
     4,000       201,920  
PepsiCo, Inc.
     5,600       346,640  
Philip Morris International, Inc.
     2,500       155,950  
Procter & Gamble Company (The)
     9,297       587,385  
Sysco Corporation
     10,300       266,770  
Wal-Mart Stores, Inc.
     10,100       524,190  
              4,233,292  
ENERGY - 9.15%
                
Chevron Corporation
     10,732       992,924  
ConocoPhillips
     14,974       948,154  
Exxon Mobil Corporation
     29,936       2,174,252  
Marathon Oil Corporation
     3,500       75,530  
Marathon Petroleum Corporation
     1,750       47,355  
Occidental Petroleum Corporation
     3,500       250,250  
Schlumberger Ltd.
     3,500       209,055  
              4,697,520  
FINANCIALS - 8.04%
                
AFLAC, Inc.
     5,500       192,225  
American Express Company
     6,400       287,360  
Bank of New York Mellon Corporation (The)
     7,754       144,147  
Capital One Financial Corporation
     2,500       99,075  
Discover Financial Services
     3,000       68,820  
Franklin Resources, Inc.
     1,500       143,460  
JPMorgan Chase & Co.
     30,132       907,576  
Marsh & McLennan Companies, Inc.
     10,000       265,400  
MetLife, Inc.
     5,700       159,657  
Morgan Stanley
     12,000       162,000  
PNC Financial Services Group, Inc.
     7,600       366,244  
Prudential Financial, Inc.
     4,000       187,440  
State Street Corporation
     3,000       96,480  
T. Rowe Price Group, Inc.
     3,000       143,310  
U.S. Bancorp
     9,901       233,069  
Wells Fargo & Company
     27,900       672,948  
              4,129,211  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2011 (Unaudited) (Continued)
  
 
Description
  
No. of Shares
    
Value
  
HEALTH CARE - 9.35%
            
Abbott Laboratories
     9,200     $ 470,488  
Aetna, Inc.
     5,000       181,750  
Amgen, Inc.
     6,700       368,165  
Becton, Dickinson and Company
     3,900       285,948  
Biogen Idec, Inc. *
     4,000       372,600  
Bristol-Myers Squibb Company
     19,000       596,220  
Cardinal Health, Inc.
     7,950       332,946  
Covidien Plc
     2,599       114,616  
Eli Lilly & Company
     4,700       173,759  
Express Scripts, Inc. *
     3,000       111,210  
Gilead Sciences, Inc. *
     6,000       232,800  
McKesson Corporation
     1,800       130,860  
Medtronic, Inc.
     6,000       199,440  
Merck & Company, Inc.
     15,267       499,383  
Stryker Corporation
     2,000       94,260  
UnitedHealth Group, Inc.
     11,000       507,320  
WellPoint, Inc.
     2,000       130,560  
              4,802,325  
INDUSTRIALS - 7.55%
                
3M Company
     4,400       315,876  
Caterpillar, Inc.
     5,300       391,352  
CSX Corporation
     10,500       196,035  
Deere & Company
     6,500       419,705  
Emerson Electric Company
     6,000       247,860  
General Dynamics Corporation
     3,200       182,048  
General Electric Company
     41,900       638,556  
Illinois Tool Works, Inc.
     2,500       104,000  
Lockheed Martin Corporation
     3,000       217,920  
Raytheon Company
     3,500       143,045  
Union Pacific Corporation
     4,000       326,680  
United Parcel Service, Inc. - Class B
     4,100       258,915  
United Technologies Corporation
     3,000       211,080  
Waste Management, Inc.
     6,800       221,408  
              3,874,480  
INFORMATION TECHNOLOGY - 14.47%
                
Apple, Inc. *
     5,900       2,248,962  
Google, Inc. - Class A *
     1,500       771,570  
Intel Corporation
     39,500       842,535  
International Business Machines Corporation
     8,100       1,417,743  
Microsoft Corporation
     51,200       1,274,368  
Oracle Corporation
     25,272       726,317  
QUALCOMM, Inc.
     3,000       145,890  
              7,427,385  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
  
SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2011 (Unaudited) (Continued)
  
 
Description
  
No. of Shares
    
Value
  
MATERIALS - 2.39%
            
Dow Chemical Company (The)
     5,400     $ 121,284  
E.I. Du Pont de Nemours & Company
     9,500       379,715  
Freeport-McMoRan Copper & Gold, Inc.
     10,000       304,500  
Praxair, Inc.
     4,500       420,660  
              1,226,159  
REAL ESTATE INVESTMENT TRUST - 0.00%
                
Simon Property Group, Inc.
     14       1,540  
                 
TELECOMMUNICATION SERVICES - 2.92%
                
AT&T, Inc.
     37,039       1,056,352  
Verizon Communications, Inc.
     12,000       441,600  
              1,497,952  
UTILITIES - 2.60%
                
Dominion Resources, Inc.
     7,700       390,929  
Duke Energy Corporation
     15,800       315,842  
Exelon Corporation
     3,000       127,830  
FirstEnergy Corporation
     3,000       134,730  
NextEra Energy, Inc.
     4,000       216,080  
Public Service Enterprises Group, Inc.
     4,500       150,165  
              1,335,576  
                 
TOTAL EQUITY SECURITIES (cost - $49,148,075)
       51,150,577  
                 
SHORT-TERM INVESTMENT - 0.36%
                
MONEY MARKET FUND - 0.36%
                
Fidelity Institutional Money Market Government Portfolio - Class I (cost - $182,764)
     182,764       182,764  
                 
TOTAL INVESTMENTS - 99.99% (cost - $49,330,839)
       51,333,341  
                 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.01%
       4,209  
                 
NET ASSETS - 100.00%
     $ 51,337,550  

(a) Affiliated investment.  The Fund holds 0.09% (based on net assets) of The Adams Express Company.  A director of the Fund also serves as a director to such company.  During the nine months ended September 30, 2011, there were sales of 43,300 shares of this security with a cost of $488,911 and sale proceeds of $427,425.  There were no purchases of this security during the nine months ended September 30, 2011.
 
* Non-income producing security.

See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE STRATEGIC VALUE FUND, INC.
NOTES TO SCHEDULES OF INVESTMENTS
September 30, 2011 (UNAUDITED)
 
Federal Income Tax Cost: At September 30, 2011 the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation from investments were $49,330,839, $7,626,685, $(5,624,183) and $2,002,502, respectively.
 
As required by the Fair Value Measurement and Disclosures Topic of the FASB Accounting Standards Codification, the Fund has performed an analysis of all assets and liabilities measured at fair value to determine the significance and character of all inputs to their fair value determination.
 
The fair value hierarchy prioritizes the inputs to valuation techniques used to measure fair value into the following three broad categories.
 
 
·
Level 1 – quoted unadjusted prices for identical instruments in active markets to which the Fund has access at the date of measurement.
 
 
 
·
Level 2 – quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Level 2 inputs are those in markets for which there are few transactions, the prices are not current, little public information exists or instances where prices vary substantially over time or among brokered market makers.
 
 
 
·
Level 3 – model derived valuations in which one or more significant inputs or significant value drivers are unobservable.  Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.
 
The following is a summary of the inputs used as of September 30, 2011 in valuing the Fund’s investments carried at value:
 
Valuation Inputs
  
INVESTMENTS
IN
SECURITIES
    
OTHER
FINANCIAL
INSTRUMENTS*
  
Level 1 - Quoted Prices
            
  Equity Investments
  
$
51,150,577
    
$
-
  
Short-Term Investments
    
182,764
      
-
  
Level 2 - Other Significant Observable Inputs
    
-
      
-
  
Level 3 – Significant Unobservable Inputs
    
-
      
-
  
Total
  
$
51,333,341
    
$
-
  
 
* Other financial instruments include futures, forwards and swap contracts.
 
 
 
 
 
The breakdown of the Fund’s investments into major categories is disclosed in its Schedule of Investments.
 
During the nine months ended September 30, 2011, the Fund did not have any significant transfers in and out of Level 1 or Level 2.
 
The Fund did not have any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at September 30, 2011.
 
In May 2011, FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs”. ASU No. 2011-04 establishes common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. generally accepted accounting principles (“GAAP”) and International Financial Reporting Standards (“IFRSs”).  ASU No. 2011-04 is effective for interim and annual periods beginning after December 15, 2011 and is applied prospectively.  Management is currently evaluating ASU No. 2011-04 and does not believe that it will have a material impact on the Fund’s financial statements and disclosures. 

The Fund is exposed to financial market risks, including the valuations of its investment portfolio.  For the nine months ended September 30, 2011, the Fund did not engage in derivative instruments and other hedging activities.
 
The Fund has evaluated the need for addition disclosures and/or adjustments resulting through the date its financial statements were issued.  Based on this evaluation, no additional disclosures or adjustments were required to such Schedule of Investments.
 
Securities valuation policies and other investment related disclosures are herby incorporated by reference to the Fund’s semi-annual report previously filed with the Securities and Exchange Commission on the Form N-CSR on September 2, 2011 with a file number 811-05150.
 
Other information regarding the Fund is available in the Fund’s most recent semi-annual report filed with the Securities and Exchange Commission on the Form N-CSR on September 2, 2011, file number 811-05150.  This information is also available to registered shareholders by calling (800) 937-5449.  For general inquiries, please call (513) 326-3597.  This information is also available on the website of the Securities and Exchange Commission – http://www.sec.gov.

 
 
 
 
Item 2.
Controls and Procedures.
 
(a)  Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing date of this report, the registrant’s principal executive officer and principal financial officer have concluded that such disclosure controls and procedures are reasonably designed and are operating effectively to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared, and that such information is recorded, processed, summarized, and reported on a timely basis.
 
(b)  There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
 
Item 3.
Exhibits.
 
File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)):  Attached hereto
 
 
 
 
 
SIGNATURES
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
(Registrant)   Cornerstone Strategic Value Fund, Inc.                             
 
By (Signature and Title)*
/s/ Ralph W. Bradshaw
  
   
Ralph W. Bradshaw, President and Chairman
(Principal Executive Officer)
       
Date
November 18, 2011
    
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
By (Signature and Title)*
/s/ Ralph W. Bradshaw
  
   
Ralph W. Bradshaw, President and Chairman
(Principal Executive Officer)
       
Date
November 18, 2011
    
       
By (Signature and Title)*
/s/ Frank J. Maresca
  
   
Frank J. Maresca, Treasurer
(Principal Financial Officer)
     
Date
November 18, 2011
    
 
* Print the name and title of each signing officer under his or her signature.