N-Q 1 nq0706.txt TILSON INVESTMENT TRUST FORM N-Q 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 811-21606 --------- Tilson Investment Trust ----------------------- (Exact name of registrant as specified in charter) 145 East 57th Street, Suite 1100, New York, New York 10022 ---------------------------------------------------------- (Address of principal executive offices) (Zip code) Julian G. Winters 116 South Franklin Street, Post Office Box 69, Rocky Mount, North Carolina 27802 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 252-972-9922 ------------ Date of fiscal year end: October 31 ---------- Date of reporting period: July 31, 2006 ------------- ITEM 1. SCHEDULE OF INVESTMENTS TILSON FOCUS FUND Schedule of Investments (Unaudited) As of July 31, 2006 ------------------------------------------------------------------------------------------------------------------------------------ Shares Market Value Shares Market Value (Note 1) (Note 1) ------------------------------------------------------------------ --------------------------------------------------------------- COMMON STOCKS - 82.13% CALL OPTIONS PURCHASED - 17.04% Building Materials - 4.16% * Anheuser-Busch Co. Inc., 01/20/2007 * USG Corporation 8,000 $ 370,880 Strike $45.00 4,000 $ 18,000 ---------------- * Anheuser-Busch Co. Inc., 01/20/2007 Strike $50.00 7,000 11,550 Commercial Services - 0.13% * Anheuser-Busch Co. Inc., 01/19/2008 * Premier Exhibitions Inc. 2,000 11,800 Strike $35.00 12,500 178,750 ---------------- * Costco Wholesale Corporation, 01/20/2007 Strike $35.00 5,000 92,500 Computers - 4.38% * Foot Locker, Inc., 01/19/2008 * Dell Inc. 18,000 390,240 Strike $20.00 1,500 11,250 ---------------- * Freddie Mac, 01/20/2007 Strike $65.00 3,000 3,300 Holding Company - Diversified - 5.02% * H.J. Heinz Co., 01/20/2007 Resource America, Inc. 22,500 447,075 Strike $30.00 9,000 108,900 ---------------- * Laboratory Corporation of American Holdings, 01/20/2007 Strike $40.00 1,000 25,000 Home Builders - 2.94% * McDonald's Corp., 01/20/2007 M.D.C. Holdings, Inc. 6,000 261,780 Strike $25.00 3,000 32,400 ---------------- * McDonald's Corp., 01/20/2007 Strike $30.00 4,000 24,400 Insurance - 13.31% * Microsoft Corp., 01/19/2008 * Berkshire Hathaway Inc. 389 1,185,283 Strike $25.00 40,000 108,000 ---------------- * Tyco International, 01/19/2008 Strike $20.00 32,000 249,600 Oil & Gas - 2.22% * Wal-Mart Stores Inc., 01/20/2007 Crosstex Energy, Inc. 2,000 197,420 Strike $45.00 16,700 50,100 ---------------- * Wal-Mart Stores Inc., 01/20/2007 Strike $50.00 7,000 7,000 Real Estate Investment Trust - 0.10% * Wal-Mart Stores Inc., 01/19/2008 Winthrop Realty Trust, Inc. 1,408 8,744 Strike $40.00 10,000 89,000 ---------------- * Wendy's International Inc., 01/20/2007 Strike $35.00 7,000 177,800 Retail - 40.42% * Wendy's International Inc., 01/20/2007 a Canadian Tire Corporation, Strike $40.00 3,800 78,280 Limited 7,000 383,185 * Wendy's International Inc., 01/20/2007 * Celebrate Express, Inc. 14,000 175,000 Strike $ 50.00 20,000 248,000 CKE Restaurants, Inc. 12,500 192,500 * Whirlpool Corporation, 01/20/2007 Costco Wholesale Corporation 5,800 306,008 Strike $60.00 200 3,760 Foot Locker Inc. 12,500 339,625 --------------- McDonald's Corporation 34,800 1,231,572 Total Call Options Purchased a Sears Canada Inc. 13,000 226,871 (Cost $1,416,380) 1,517,590 * Sears Holdings Corporation 2,900 398,025 --------------- Tim Hortons, Inc. 50 1,247 Wal-Mart Stores, Inc. 6,400 284,800 Wendy's International, Inc. 1,000 60,160 ---------------- 3,598,993 ---------------- Software - 9.45% Microsoft Corporation 35,000 841,050 ---------------- Total Common Stocks (Cost $7,149,463) 7,313,265 ---------------- (Continued)
TILSON FOCUS FUND Schedule of Investments (Unaudited) As of July 31, 2006 ------------------------------------------------------------------------------------------------------------------------------------ Shares Market Value (Note 1) ----------------------------------------------------------------- -------------------------------------------------------------- INVESTMENT COMPANY - 0.42% Note 1 - Investment Valuation Evergreen Institutional Money Market Fund (Cost $37,507) 37,507 $ 37,507 The Fund's investments in securities are carried at value. ---------------- Securities listed on an exchange or quoted on a national market system are valued at the last sales price as of 4:00 Total Investments (Cost $8,603,350) - 99.59% $ 8,868,362 p.m. Eastern Time. Securities traded in the NASDAQ Other Assets less Liabilities - 0.41% 36,155 over-the-counter market are generally valued at the NASDAQ ---------------- Official Closing Price. Other securities, including options purchased, traded in the over-the-counter market and listed Net Assets - 100.00% $ 8,904,517 securities for which no sale was reported on that date are ---------------- valued at the most recent bid price. Securities and assets for which representative market quotations are not readily * Non-income producing investment. available (e.g., if the exchange on which the portfolio a Canadian security (note 2). security is principally traded closes early or if the trading of the particular portfolio security is halted during the day and does not resume prior to the Fund's net Aggregate cost for federal income tax purposes is $8,623,431. asset value calculation) or which cannot be accurately Unrealized appreciation/(depreciation) of investments for federal valued using the Fund's normal pricing procedures are valued income tax purposes is as follows: at fair value as determined in good faith under policies approved by the Trustees. A portfolio security's "fair value" price may differ from the price next available for Aggregate gross unrealized appreciation $ 729,759 that portfolio security using the Fund's normal pricing Aggregate gross unrealized depreciation (484,828) procedures. Investment companies are valued at net asset ---------------- value. Instruments with maturities of 60 days or less are Net unrealized appreciation $ 244,931 valued at amortized cost, which approximates market value. ================ Note 2 - Foreign Currency Translation Summary of Investments by Industry % of Net Portfolio securities and other assets and liabilities Industry Assets Value denominated in foreign currencies are translated into U.S. ------------------------------------------------------------------ dollars based on the exchange rate of such currencies Building Materials 4.16% $ 370,880 against U.S. dollars on the date of valuation. Purchases and Beverages 2.34% 208,300 sales of securities and income items denominated in foreign Commercial Services 0.13% 11,800 currencies are translated into U.S. dollars at the exchange Computers 4.38% 390,240 rate in effect on the transaction date. Diversified Financial Services 0.04% 3,300 Food 1.22% 108,900 The Fund does not separately report the effect of changes in Holding Company - Diversified 5.02% 447,075 foreign exchange rates from changes in market prices on Home Builders 2.94% 261,780 securities held. Such changes are included in net realized Home Furnishings 0.04% 3,760 and unrealized gain or loss from investments. Insurance 13.31% 1,185,283 Investment Company 0.42% 37,507 Realized foreign exchange gains or losses arise from sales Medical 0.28% 25,000 of foreign currencies, currency gains or losses realized Oil & Gas 2.22% 197,420 between the trade and settlement dates on securities Real Estate Investment Trust 0.10% 8,744 transactions and the difference between the recorded amounts Retail 52.33% 4,659,323 of dividends, interest, and foreign withholding taxes, and Software 10.66% 949,050 the U.S. dollar equivalent of the amounts actually received ------------------------------------------------------------------ or paid. Net unrealized foreign exchange gains and losses Total 99.59% $ 8,868,362 arise from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period.
Tilson Dividend Fund Schedule of Investments (Unaudited) As of July 31, 2006 ------------------------------------------------------------------------------------------------------------------------------------ Shares Market Value Shares Market Value (Note 1) (Note 1) ------------------------------------------------------------------ ---------------------------------------------------------------- COMMON STOCKS - 82.38% Retail - 15.98% Ark Restaurants Corp. 5,600 $ 148,960 Auto Parts & Equipment - 1.15% Barnes & Noble, Inc. 5,500 184,360 MileMarker International, Inc. 26,000 $ 66,560 Costco Wholesale Corporation + 4,200 221,592 --------------- * Sears Holdings Corporation + 1,600 219,600 Biotechnology - 4.58% The Home Depot, Inc. 4,300 149,253 * American Oriental Bioengineering, -------------- Inc. + 51,600 264,708 923,765 --------------- -------------- Software - 5.36% Computers - 3.00% Microsoft Corporation 12,900 309,987 * Dell Inc. + 8,000 173,440 -------------- --------------- Telecommunications - 3.01% Diversified Financial Services - 3.20% * Netgear, Inc. + 9,000 174,150 AllianceBernstein Holding LP 2,000 130,000 -------------- Hennessy Advisors, Inc. 2,195 54,875 --------------- Total Common Stocks (Cost $4,565,317) 4,762,181 184,875 -------------- --------------- Electronics - 2.36% LIMITED PURPOSE TRUST - 4.82% Mesa Laboratories, Inc. 9,200 136,620 a Sleep Country Canada --------------- Income Fund (note 2) (Cost $187,892) 12,600 278,924 Food - 8.12% -------------- u Industrias Bachoco S.A. 8,600 154,800 u Tesco PLC 15,700 314,785 INVESTMENT COMPANIES - 7.41% --------------- 469,585 Evergreen Institutional Money Market --------------- Fund 271,983 271,983 Healthcare - Services - 4.35% Merrimac Cash Series 156,356 156,356 * Laboratory Corporation of America Holdings + 3,900 251,238 --------------- Total Investment Companies (Cost $428,339) 428,339 -------------- Insurance - 4.41% Fidelity National Title Group, Inc. 13,500 254,745 Total Investments (Cost $5,181,548) - 94.61% $ 5,469,444 --------------- Other Assets less Liabilities - 5.39% 311,388 -------------- Internet - 7.59% * eBay Inc. + 5,600 134,792 Net Assets - 100.00% $ 5,780,832 * Netflix Inc. + 14,700 304,143 ============== --------------- 438,935 * Non-income producing investment. --------------- u ADR. Mining - 8.01% a Canadian security. Newmont Mining Corporation + 5,700 292,011 + Portion of the security is pledged as collateral for call * PAN American Silver options written. Corporation + 9,000 170,640 --------------- 462,651 The following acronyms and abbreviations are used in this --------------- portfolio: Oil & Gas - 11.26% Exxon Mobil Corporation 5,100 345,474 ADR - American Depositary Receipt. Precision Drilling Trust 8,800 305,448 PLC - Public Limited Company (British). --------------- SA - Sociedad Anonima (Mexican). 650,922 --------------- (Continued)
Tilson Dividend Fund Schedule of Investments (Unaudited) As of July 31, 2006 ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------- --------------------------------------------------------------- Aggregate cost for federal income tax purposes is $5,188,443. Unrealized appreciation (depreciation) of investments for federal income tax purposes is as follows: Aggregate gross unrealized appreciation $ 442,733 Aggregate gross unrealized depreciation (161,732) --------- Net unrealized appreciation $ 281,001 =============== Summary of Investments by Industry % of Net Market Industry Assets Value ------------------------------------------------------------------ Auto Parts & Equipment 1.15% $ 66,560 Biotechnology 4.58% 264,708 Computers 3.00% 173,440 Diversified Financial Services 3.20% 184,875 Electronics 2.36% 136,620 Food 8.12% 469,585 Healthcare - Services 4.35% 251,238 Insurance 4.41% 254,745 Internet 7.59% 438,935 Investment Companies 7.41% 428,339 Limited Purpose Trust 4.82% 278,924 Mining 8.01% 462,651 Oil & Gas 11.26% 650,922 Retail 15.98% 923,765 Software 5.36% 309,987 Telecommunications 3.01% 174,150 ------------------------------------------------------------------ Total 94.61% $ 5,469,444 See Notes to Financial Statements
Tilson Dividend Fund Call Options Written (Unaudited) As of July 31, 2006 ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------ ---------------------------------------------------------------- Shares Subject to Market Value Call (Note 3) ------------------------------------------------------------------ Common Stocks, Expiration Date, Exercise Price * American Oriental Bioengineering, Inc.,10/21/2006 Strike $5.00 25,800 $ 18,060 * Costco Wholesale Corporation, 1/20/2007 Strike $55.00 4,200 12,180 * Dell Inc., 1/20/2007 Strike $25.00 2,500 2,250 * eBay Inc., 1/20/2007 Strike $30.00 2,000 2,100 * Laboratory Corporation of America Holdings, 8/19/2006 Strike $60.00 600 3,060 * Netflix Inc., 9/16/2006 Strike $30.00 2,400 840 * Netgear, Inc., 12/16/2006 Strike $22.50 9,000 9,900 * Newmont Mining Corporation, 1/20/2007 Strike $55.00 5,700 21,888 * PAN American Silver Corporation, 1/20/2007 Strike $20.00 9,000 18,900 * Sears Holding Corp, 1/20/2007 Strike $160.00 400 2,800 Strike $155.00 800 6,880 --------------- Total (Premiums Received $143,784) $ 98,858 =============== See Notes to Financial Statements
Tilson Dividend Fund Notes to Financial Statements (Unaudited) As of July 31, 2006 ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------ -------------------------------------------------------------------- Note 1 - Investment Valuation Note 3 - Option Writing The Fund's investments in securities are carried at value. When the Fund writes an option, an amount equal to the Securities listed on an exchange or quoted on a national premium received by the Fund is recorded as a liability and market system are valued at the last sales price as of 4:00 is subsequently adjusted to the current fair value of the p.m. Eastern Time. Securities traded in the NASDAQ option written. Premiums received from writing options that over-the-counter market are generally valued at the NASDAQ expire unexercised are treated by the Fund on the expiration Official Closing Price. Other securities traded in the date as realized gains from investments. The difference over-the-counter market and listed securities for which no between the premium and the amount paid on effecting a sale was reported on that date are valued at the most recent closing purchase transaction, include brokerage commissions, bid price. Securities and assets for which representative is also treated as a realized gain or loss (depending on if market quotations are not readily available (e.g., if the the premium is less than the amount paid for the closing exchange on which the portfolio security is principally purchase transaction). If a call option is exercised, the traded closes early or if trading of the particular premium is added to the proceeds from the sale of the portfolio security is halted during the day and does not underlying security or currency in determining whether the resume prior to the Fund's net asset value calculation) or Fund has realized a gain or loss. If a put option is which cannot be accurately valued using the Fund's normal exercised, the premium reduces the cost basis of the pricing procedures are valued at fair value as determined in securities purchased by the Fund. The Fund, as the writer of good faith under policies approved by the Trustees. A an option, bear the market risk of an unfavorable change in portfolio security's "fair value" price may differ from the the price of the security underlying the written option. price next available for that portfolio security using the Fund's normal pricing procedures. Investment companies are valued at net asset value. Instruments with maturities of 60 days or less are valued at amortized cost, which approximates market value. Note 2 - Foreign Currency Translation Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments. Realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period.
ITEM 2. CONTROLS AND PROCEDURES (a) The Principal Executive Officer and the Principal Financial Officer have concluded that the registrant's disclosure controls and procedures are effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Investment Company Act of 1940 and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing of this report. (b) There were no changes in the registrant's internal control over financial reporting 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 Certifications required pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 and Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit A. 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. Tilson Investment Trust By: (Signature and Title) /s/ Whitney R. Tilson _________________________________ Whitney R. Tilson Trustee, President, and Principal Executive Officer Date: September 19, 2006 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/ Whitney R. Tilson _________________________________ Whitney R. Tilson Trustee, President, and Principal Executive Officer Tilson Investment Trust Date: September 19, 2006 By: (Signature and Title) /s/ Glenn H. Tongue _________________________________ Glenn H. Tongue Vice President, Treasurer, and Principal Financial Officer Tilson Investment Trust Date: September 19, 2006