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
811-05469
The Wexford Trust
(Exact name of registrant as specified in charter)
5000 Stonewood Drive, Suite 300
Wexford, PA 15090-8388
(Address of principal executive offices) (Zip code)
Ronald H. Muhlenkamp
Muhlenkamp & Company, Inc.
5000 Stonewood Drive, Suite 300
Wexford, PA 15090-8388
(Name and address of agent for service)
(724) 935-5520 or (800) 860-3863
Registrant's telephone number, including area code
Date of fiscal year end:
December 31, 2012
Date of reporting period:
September 30, 2012
Item 1. Schedule of Investments.
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MUHLENKAMP FUND
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(A Portfolio of the Wexford Trust)
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SCHEDULE OF INVESTMENTS
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September 30, 2012 (Unaudited)
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Name of Issuer or Title of Issue
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Shares
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Value
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COMMON STOCKS - 93.6%
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Aerospace & Defense - 0.4%
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Innovative Solutions & Support, Inc. (a)
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493,229
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$
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1,963,051
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Airlines - 1.8%
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Allegiant Travel Company (a)(c)
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131,200
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8,312,832
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Auto Components - 1.3%
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American Axle & Manufacturing Holdings, Inc. (a)(c)
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400,000
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4,508,000
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Fuel Systems Solutions, Inc. (a)
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79,988
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1,374,994
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5,882,994
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Automobiles - 1.7%
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Ford Motor Company
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789,000
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7,779,540
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Biotechnology - 2.8%
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Celgene Corporation (a)
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165,000
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12,606,000
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Capital Markets - 3.6%
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State Street Corporation
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390,568
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16,388,233
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Commercial Banks - 1.4%
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PNC Financial Services Group, Inc.
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100,000
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6,310,000
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Diversified Financial Services - 5.7%
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Citigroup Inc.
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300,000
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9,816,000
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JPMorgan Chase & Co.
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407,000
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16,475,360
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26,291,360
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Diversified Telecommunication Services - 0.9%
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AT&T, Inc.
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110,000
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4,147,000
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Electronic Equipment, Instruments & Components - 2.2%
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Corning, Inc.
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742,000
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9,757,300
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Universal Display Corporation (a)(c)
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20,000
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687,600
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10,444,900
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Energy Equipment & Services - 3.8%
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C&J Energy Services, Inc. (a)
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100,000
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1,990,000
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Halliburton Company
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407,000
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13,711,830
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Helix Energy Solutions Group, Inc. (a)(c)
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100,200
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1,830,654
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17,532,484
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Health Care Equipment & Supplies - 4.5%
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Covidien PLC (b)
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345,000
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20,499,900
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Health Care Providers & Services - 0.9%
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Laboratory Corporation of America Holdings (a)
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42,500
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3,929,975
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Household Durables - 1.8%
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KB Home (c)
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190,000
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2,726,500
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PulteGroup, Inc. (a)(c)
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300,000
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4,650,000
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Stanley Furniture Co., Inc. (a)
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220,800
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1,075,296
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8,451,796
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Industrial Conglomerates - 2.7%
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General Electric Company
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535,000
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12,149,850
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Insurance - 9.0%
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Aflac, Inc.
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225,000
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10,773,000
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Berkshire Hathaway, Inc. - Class B (a)
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143,500
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12,656,700
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Lincoln National Corporation
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300,000
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7,257,000
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MetLife, Inc.
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300,000
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10,338,000
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41,024,700
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Internet Software & Services - 1.0%
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Yahoo! Inc. (a)
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285,000
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4,552,875
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IT Services - 5.0%
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Alliance Data Systems Corporation (a)
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160,000
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22,712,000
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Life Sciences Tools & Services - 2.1%
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Life Technologies Corporation (a)
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195,000
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9,531,600
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Machinery - 3.5%
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Terex Corporation (a)(c)
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100,000
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2,258,000
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Westport Innovations, Inc. (a)(b)
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500,000
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13,920,000
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16,178,000
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Oil, Gas & Consumable Fuels - 2.4%
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Rex Energy Corporation (a)
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648,925
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8,663,149
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SandRidge Energy, Inc. (a)(c)
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330,000
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2,300,100
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10,963,249
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Pharmaceuticals - 8.6%
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Abbott Laboratories
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300,000
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20,568,000
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Novogen Limited - ADR (a)
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32,914
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62,207
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Pfizer, Inc.
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314,000
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7,802,900
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Teva Pharmaceutical Industries Ltd. - ADR
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265,000
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10,973,650
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39,406,757
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Semiconductors & Semiconductor Equipment - 6.0%
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Cypress Semiconductor Corporation
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275,000
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2,948,000
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Intel Corporation
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966,000
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21,908,880
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Lattice Semiconductor Corporation (a)
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667,300
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2,555,759
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27,412,639
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Software - 7.9%
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Microsoft Corporation
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790,000
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23,526,200
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Oracle Corporation
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400,000
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12,596,000
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36,122,200
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Specialty Retail - 5.2%
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Asbury Automotive Group, Inc. (a)
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100,000
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2,795,000
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Sonic Automotive, Inc. - Class A (c)
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1,100,000
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20,878,000
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23,673,000
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Tobacco - 5.7%
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Philip Morris International, Inc.
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290,580
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26,134,765
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Trading Companies & Distributors - 1.7%
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Rush Enterprises, Inc. - Class A (a)
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379,907
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7,317,009
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Rush Enterprises, Inc. - Class B (a)
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41,407
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696,052
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8,013,061
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Total Common Stocks
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(Cost $358,835,960)
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428,414,761
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Contracts
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(100 Shares Per Contract)
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PURCHASED CALL OPTIONS - 0.3%
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Morgan Stanley
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Expiration January 2014
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Exercise Price $17.00
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4,000
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1,132,000
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Total Purchased Call Options
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(Cost $1,242,093)
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1,132,000
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TOTAL INVESTMENTS
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(Cost $360,078,053) - 93.9% (d)(e)
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429,546,761
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ASSETS IN EXCESS OF OTHER LIABILITIES - 6.1%
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27,964,571
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TOTAL NET ASSETS - 100.0%
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$
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457,511,332
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Percentages are stated as a percent of net assets.
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ADR
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American Depository Receipt
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PLC
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Public Limited Company
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(a)
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Non-income producing security.
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(b)
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Foreign company.
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(c)
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Shares are held as collateral for all or a portion of a corresponding written option contract. The value of the collateral
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on September 30, 2012 was $48,151,686.
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(d)
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The cost basis of investments for federal income tax purposes at September 30, 2012 was as follows*:
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Cost of investments
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$
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360,079,310
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Gross unrealized appreciation
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92,177,626
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Gross unrealized depreciation
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(22,710,175
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)
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Net unrealized appreciation
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$
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69,467,451
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*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
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fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report.
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(e)
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Investment Valuations - Stocks, bonds, options and warrants are valued at the latest sales price on the last business day of the fiscal period as reported by the
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securities exchange on which the issue is traded. If no sale is reported, the security is valued at the last quoted bid price. Short-term debt instruments
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(those with remaining maturities of 60 days or less) are valued at amortized cost, which approximates fair value. Restricted securities, private
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placements, other illiquid securities and other securities for which market value quotations are not readily available are valued at fair value as
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determined by a designated Valuation Committee, comprised of personnel of the Adviser, under the supervision of the Board of Trustees, in
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accordance with pricing procedures approved by the Board. For each applicable investment that is fair valued, the Valuation Committee considers,
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to the extent applicable, various factors including, but not limited to, the financial condition of the company or limited partnership, operating
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results, prices paid in follow-on rounds, comparable companies in the public market, the nature and duration of the restrictions for holding the
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securities, and other relevant factors.
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Additionally, the Fund’s investments will be valued at fair value by the Valuation Committee if the Adviser determines that an event impacting the
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value of an investment occurred between the closing time of a security’s primary market or exchange (for example, a foreign exchange or market)
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and the time the Fund’s share price is calculated. Significant events include, but are not limited to the following: significant fluctuations in
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domestic markets, foreign markets or foreign currencies; occurrences not directly tied to the securities markets such as natural disasters, armed
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conflicts or significant governmental actions; and major announcements affecting a single issuer or an entire market or market sector. In
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responding to a significant event, the Valuation Committee would determine the fair value of affected securities considering factors including, but
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not limited to: index options and futures traded subsequent to the close; ADRs, GDRs or other related receipts; currency spot or forward markets
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that trade after pricing of the foreign exchange; other derivative securities traded after the close such as WEBs and SPDRs; and alternative market
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quotes on the affected securities.
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The Fund performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value
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determination. Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels
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listed below:
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Summary of Fair Value Exposure
at September 30, 2012
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Level 1 - Quoted prices in active markets for identical securities.
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Level 2 - Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
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Level 3 - Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
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The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
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The following is a summary of the inputs used to value the Fund's net assets as of September 30, 2012:
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Level 1
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Level 2
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Level 3
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Total
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Common Stocks*
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$
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428,414,761
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$
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-
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$
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-
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$
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428,414,761
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Purchased Call Option Contracts
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-
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1,132,000
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-
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1,132,000
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Total Investments in Securities
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$
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428,414,761
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$
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1,132,000
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$
|
-
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$
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429,546,761
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Written Call Option Contracts
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$
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3,034,000
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$
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1,709,400
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$
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-
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$
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4,743,400
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*
Please refer to the Schedule of Investments to view Common Stocks segregated by industry type.
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The Level 2 securities are priced using inputs such as last quoted bid, current yields, discount rates, credit quality, yields on computable securities, trading
volume and maturity date.The Fund did not have any Level 3 investments at the end of the period. There were no transfers into or out of Level 1 or Level 2 during the period.
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(f)
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Fair values of derivative instruments as of September 30, 2012:
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Asset Derivatives
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Liability Derivatives
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Derivatives
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Description
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Fair Value
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Description
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Fair Vaule
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Equity Contracts:
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Purchased Call Options
|
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Schedule of Investments
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$
|
1,132,000
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N/A
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$
|
-
|
|
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Written Call Options
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N/A
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-
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Schedule of Written Call Options
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4,743,400
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Total
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$
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1,132,000
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$
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4,743,400
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The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC ("S&P"). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Funds Services, LLC.
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MUHLENKAMP FUND
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(A Portfolio of the Wexford Trust)
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SCHEDULE OF WRITTEN OPTIONS
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|
|
September 30, 2012 (Unaudited)
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Contracts
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Name of Issuer or Title of Issue
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(100 Shares Per Contract)
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Value
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WRITTEN CALL OPTIONS - (1.0)%
|
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|
|
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Allegiant Travel Company
|
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Expiration: October 2012, Exercise Price: $65.00
|
|
|
400
|
|
|
$
|
42,000
|
|
|
American Axle & Manufacturing Holdings, Inc.
|
|
|
|
|
|
|
|
|
|
Expiration: October 2012, Exercise Price: $11.00
|
|
|
1,000
|
|
|
|
69,000
|
|
|
Expiration: January 2013, Exercise Price: $12.50
|
|
|
1,000
|
|
|
|
65,000
|
|
|
Helix Energy Solutions Group, Inc.
|
|
|
|
|
|
|
|
|
|
Expiration: January 2013, Exercise Price: $17.50
|
|
|
1,000
|
|
|
|
195,000
|
|
|
KB Home
|
|
|
|
|
|
|
|
|
|
Expiration: January 2014, Exercise Price: $10.00
|
|
|
1,900
|
|
|
|
940,500
|
|
|
PulteGroup, Inc.
|
|
|
|
|
|
|
|
|
|
Expiration: January 2013, Exercise Price: $7.50
|
|
|
2,000
|
|
|
|
1,618,000
|
|
|
Expiration: January 2014, Exercise Price: $10.00
|
|
|
1,000
|
|
|
|
686,000
|
|
|
SandRidge Energy, Inc.
|
|
|
|
|
|
|
|
|
|
Expiration: December 2012, Exercise Price: $7.00
|
|
|
1,000
|
|
|
|
56,000
|
|
|
Expiration: January 2014, Exercise Price: $10.00
|
|
|
1,300
|
|
|
|
88,400
|
|
|
Sonic Automotive, Inc. - Class A
|
|
|
|
|
|
|
|
|
|
Expiration: November 2012, Exercise Price: $17.50
|
|
|
2,000
|
|
|
|
360,000
|
|
|
Terex Corporation
|
|
|
|
|
|
|
|
|
|
Expiration: January 2013, Exercise Price: $17.50
|
|
|
1,000
|
|
|
|
605,000
|
|
|
Universal Display Corporation
|
|
|
|
|
|
|
|
|
|
Expiration: December 2012, Exercise Price: $39.00
|
|
|
100
|
|
|
|
18,500
|
|
|
Total Written Call Options
|
|
|
|
|
|
|
|
|
|
(Premiums received $2,399,238)
|
|
|
|
|
|
$
|
4,743,400
|
|
|
|
|
|
|
|
|
|
|
|
Item 2. Controls and Procedures.
|
(a)
|
The Registrant’s President and Treasurer 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 have 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)
The Wexford
Trust
By (Signature and Title)
/s/ Ronald H.
Muhlenkamp
Ronald H. Muhlenkamp, President
Date
11/19/2012
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/ Ronald H.
Muhlenkamp
Ronald H. Muhlenkamp, President
Date
11/19/2012
By (Signature and Title)*
/s/ James S. Head
James S. Head, Treasurer
Date
11/19/2012
* Print the name and title of each signing officer under his or her signature.