As filed with the Securities and Exchange Commission on January 29, 2013
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549


 
FORM N-Q
 
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
 



Investment Company Act file number   811-07959



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



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



Douglas G. Hess, President
Advisors Series Trust
c/o U.S. Bancorp Fund Services, LLC
777 East Wisconsin Avenue, 5 th Floor
Milwaukee, WI 53202

(Name and address of agent for service)


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



Date of fiscal year end:   February 29, 2013



Date of reporting period:   November 30, 2012

 
 
 

 
 
Item 1. Schedules of Investments.
 
Niemann Tactical Return Fund
Schedule of Investments
November 30, 2012 (Unaudited)
       
 
 
Shares
 
COMMON STOCKS - 22.46%
 
Value
 
   
Administrative and Support Services - 1.59%
 
 
 
6,920  
Barrett Business Services, Inc.
  $ 230,090  
6,819  
The Geo Group, Inc.
    192,296  
          422,386  
   
Beverage and Tobacco Product Manufacturing - 0.72%
       
5,340  
Constellation Brands, Inc. - Class A (a)
    191,599  
   
Chemical Manufacturing - 2.80%
       
13,000  
Affymax, Inc. (a)
    317,720  
8,000  
Pharmacyclics, Inc. (a)
    424,400  
          742,120  
   
Clothing and Clothing Accessories Stores - 0.65%
       
4,950  
The Gap, Inc.
    170,577  
   
Computer and Electronic Product Manufacturing - 1.53%
       
14,500  
Cray, Inc. (a)
    206,190  
6,490  
GeoEye, Inc. (a)
    198,335  
          404,525  
   
Credit Intermediation and Related Activities - 1.49%
       
7,714  
BofI Holding, Inc. (a)
    205,655  
5,250  
Ocwen Financial Corp. (a)
    188,265  
          393,920  
   
Data Processing, Hosting, and Related Services - 0.89%
       
6,250  
Aol, Inc. (a)
    234,500  
   
Electrical Equipment, Appliance, and Component Manufacturing - 0.76%
       
4,190  
Spectrum Brands Holdings, Inc.
    200,408  
   
Funds Trusts and Other Financial vehicles - 0.73%
       
4,480  
Macquarie Infrastructure Co., LLC
    193,267  
   
Furniture and Related Product Manufacturing - 0.70%
       
6,410  
Ethan Allen Interiors, Inc.
    185,954  
   
Gasoline Stations - 0.69%
       
5,010  
Susser Holdings Corp. (a)
    182,915  
   
Insurance Carriers and Related Activities - 1.43%
       
7,880  
First American Financial Corp.
    187,544  
13,460  
Hilltop Holdings, Inc. (a)
    192,343  
          379,887  
   
Machinery Manufacturing - 1.79%
       
4,470  
3D Systems Corp. (a)
    199,854  
18,240  
Nam Tai Electronics, Inc. (b)
    273,600  
          473,454  
   
Motion Picture and Video Industries - 0.83%
       
13,400  
Lions Gate Entertainment Corp. (a)(b)
    219,492  
   
Nursing and Residential Care Facilities - 0.73%
       
10,910  
Capital Senior Living Corp. (a)
    194,307  
   
Pipeline Transportation - 0.75%
       
3,890  
Sunoco Logistics Partners L.P.
    197,690  
   
Plastics and Rubber Products Manufacturing - 0.69%
       
3,021  
AEP Industires, Inc. (a)
    182,771  
   
Publishing Industries (except Internet) - 0.75%
       
4,965  
Medidata Solutions, Inc. (a)
    198,600  
   
Real Estate - 2.15%
       
11,320  
Brookfield Residential Properties, Inc. (a)(b)
    182,818  
9,122  
Sabra Health Care REIT, Inc.
    197,947  
4,490  
Walter Investment Management Corp. (a)
    189,837  
          570,602  
   
Support Activities for Air Transportation - 0.79%
       
2,056  
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR
    209,280  
             
   
TOTAL COMMON STOCKS (Cost $4,873,678)
    5,948,254  
             
   
EXCHANGE-TRADED FUNDS - 65.54%
       
68,000  
iShares MSCI Hong Kong Index Fund
    1,299,480  
20,000  
iShares MSCI Mexico Investable Market Index Fund
    1,345,200  
22,000  
iShares MSCI Turkey Investable Market Index Fund
    1,359,380  
21,700  
iShares JP Morgan USD Emerging Markets Bond Fund
    2,663,024  
3,800  
iShares Nasdaq Biotechnology Index Fund
    527,250  
61,000  
iShares Dow Jones US Home Construction Index Fund
    1,250,500  
44,500  
PowerShares Emerging Markets Sovereign Debt Portfolio
    1,398,190  
38,500  
ProShares Short S&P500 (a)
    1,324,400  
51,000  
Short QQQ ProShares (a)
    1,300,500  
38,000  
SPDR Barclays International Corporate Bond ETF
    1,322,020  
17,700  
SPDR Nuveen S&P High Yield Municipal Bond ETF
    1,052,619  
59,700  
United States National Gas Fund L.P. (a)
    1,217,283  
24,000  
Vanguard Global ex-U.S. Real Estate ETF
    1,302,720  
   
TOTAL EXCHANGE-TRADED FUNDS (Cost $16,856,797)
    17,362,566  
             
   
SHORT-TERM INVESTMETS - 14.69%
       
3,891,075  
Invesco STIT - Liquid Assets Portfolio - Institutional Class, 0.16% (c)
    3,891,075  
   
TOTAL SHORT-TERM INVESTMETS (Cost $3,891,075)
    3,891,075  
             
   
Total Investments in Securities (Cost $25,621,550) - 102.69%
    27,201,895  
   
Liabilities in Excess of Other Assets - (2.69)%
    (711,538 )
   
NET ASSETS - 100.00%
  $ 26,490,357  
             
ADR
 
American Depositary Receipt
       
ETF
 
Exchange-Traded Fund
       
(a)
 
Non-income producing security.
       
(b)
 
U.S. traded security of a foreign issuer.
       
(c)
 
Rate shown is the 7-day yield as of November 30, 2012.
       

 
 
 

 
 
Note 1 – Securities Valuation

The Niemann Tactical Return Fund’s (the “Fund”) investments in equity securities are carried at their fair value. Equity securities that are primarily traded on a national securities exchange shall be valued at the last sales price on the exchange on which they are primarily traded on the day of valuation or, if there has been no sale price on such day, at the mean between the bid and asked prices. Securities primarily traded in the NASDAQ Global Market System for which market quotations are readily available shall be valued using the NASDAQ Official Closing Price (“NOCP”). If the NOCP is not available, such securities shall be valued at the last sale price on the day of valuation, or if there has been no sale on such day, at the mean between the bid and asked prices. Over-the-counter (“OTC”) securities which are not traded in the NASDAQ Global Market System shall be valued at the most recent sales price. Investments in open-end mutual funds are valued at their net asset value per share.  To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in level 1 of the fair value hierarchy.
 
Short-Term Securities - Short-term securities having a maturity of 60 days or less are valued at amortized cost, which approximates market value.  To the extent the inputs are observable and timely, these securities would be classified in level 2 of the fair value hierarchy.
 
Securities for which market quotations are not readily available or if the closing price does not represent fair value, are valued following procedures approved by the Board of Trustees (“Board”). These procedures consider many factors, including the type of security, size of holding, trading volume and news events. Depending on the relative significance of the valuation inputs, these securities may be classified in either level 2 or level 3 of the fair value hierarchy.
 
The Board has delegated day-to-day valuation issues to a Valuation Committee which is comprised of one or more trustees and representatives from U.S. Bancorp Fund Services, LLC, the Fund’s administrator.  The function of the Valuation Committee is to value securities where current and reliable market quotations are not readily available.  All actions taken by the Valuation Committee are reviewed and ratified by the Board.
 
The Fund has adopted authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value.  These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion in changes in valuation techniques and related inputs during the period and expanded disclosure of valuation levels for majority security types.  These inputs are summarized in the three broad levels listed below:

·  
Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
·  
Level 2 - Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly.  These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
·  
Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
 

 
 
 

 
 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.  The following is a summary of the inputs used to value the Fund’s securities as of November 30, 2012:
 
   
Level 1
   
Level 2
   
Level 3
   
Total
Common Stocks
                     
   Administrative Support, Waste  Management
  $ 422,385       -       -     $ 422,385
   Finance and Insurance
    967,075       -       -       967,075
   Health Care and Social A ssistance
    194,307       -       -       194,307
   Information
    652,592       -       -       652,592
   Manufacturing
    2,182,495       -       -       2,182,495
   Real Estate and Rental and  Leasing
    570,603       -       -       570,603
   Retail Trade
    353,492       -       -       353,492
   Telecommunications
    198,335       -       -       198,335
   Wholesale Trade
    406,970       -       -       406,970
Total Common Stocks
    5,948,254       -       -       5,948,254
Exchange-Traded Funds
    17,362,566       -       -       17,362,566
Short-Term Investments
    3,891,075       -       -       3,891,075
Total Investments in Securities
  $ 27,201,895     $ -     $ -     $ 27,201,895

Refer to the Fund’s Schedule of Investments for a detailed break-out of common stocks by industry classification. Transfers between levels are recognized at November 30, 2012, the end of the reporting period. The Fund recognized no transfers to/from Level 1 or Level 2. There were no Level 3 securities held in the Fund during the period ended November 30, 2012.
 
 
 
 
 

 
 
Note 2 – Federal Income Taxes
 
The cost basis of investments for federal income tax purposes at November 30, 2012 was as follows*:
 
Cost of investments
  $ 25,620,600  
         
Gross unrealized appreciation
  $ 2,049,884  
Gross unrealized depreciation
    (468,589 )
Net unrealized appreciation
  $ 1,581,295  
 
* Because tax adjustments are calculated annually, the above table reflects the tax adjustments outstanding at the Fund's previous fiscal year end.  For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
 
 
 
 
 

 
 
Item 2. Controls and Procedures.
 
(a)  
The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)) .

(b)  
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d))   that occurred during the Registrant's last fiscal quarter that has materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 3. Exhibits.
 
Separate certifications for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)).   Filed herewith.
 
 

 
 

 
 
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant)   Advisors Series Trust                                     
                                                                                                           

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

Date­­ 1/29/2013                                                                                                                                                    



Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

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

Date 1/29/2013                                                                         
 
 
By (Signature and Title)* /s/ Cheryl L. King                                                                                                                      
   Cheryl L. King, Treasurer

Date 1/29/2013                                                                         

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


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