- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (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 811-21621

 

Name of Fund: Defined Strategy Fund Inc.

 

Fund Address: 2 World Financial Center, 7 ^th Floor, New York, New York 10281.

 

Name and address of agent for service: Justin C. Ferri, Chief Executive Officer, Defined Strategy Fund Inc., 2 World Financial Center, 7th Floor, New York, New York 10281.

 

Registrant’s telephone number, including area code: [phone]

 

Date of fiscal year end: September 30, 2009

 

Date of reporting period: June 30, 2009

 

Item 1 – Schedule of Investments

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Defined Strategy Fund Inc.
Schedule of Investments as of June 30, 2009 (Unaudited)	(Percentages shown are based on Net Assets)

Industry		Common Stocks		Shares Held			Value
Capital Markets - 9.4%		TD Ameritrade Holding Corp. (a)			196,000		$	3,437,840
Chemicals - 10.6%		E.I. du Pont de Nemours & Co.			152,764			3,913,814
Computers & Peripherals - 17.0%		Dell, Inc. (a)			244,000			3,350,120
		EMC Corp. (a)			222,000			2,908,200
								6,258,320
Construction & Engineering - 6.2%		Jacobs Engineering Group, Inc. (a)			54,000			2,272,860
Containers & Packaging - 8.1%		Owens-Illinois, Inc. (a)			107,000			2,997,070
Diversified Consumer Services - 5.6%		Apollo Group, Inc. Class A (a)			29,000			2,062,480
Diversified Financial Services - 21.2%		Bank of America Corp. (b)			274,440			3,622,608
		JPMorgan Chase & Co.			122,597			4,181,784
								7,804,392
Diversified Telecommunication		AT&T Inc.			135,529			3,366,540
Services - 18.7%		Verizon Communications, Inc.			113,978			3,502,544
								6,869,084
Food Products - 9.6%		Kraft Foods, Inc.			139,991			3,547,372
Health Care Equipment & Supplies - 7.2%		Zimmer Holdings, Inc. (a)			62,000			2,641,200
IT Services - 6.4%		Alliance Data Systems Corp. (a)			57,000			2,347,830
Independent Power Producers & Energy Traders - 9.0%		The AES Corp. (a)			285,000			3,308,850
Industrial Conglomerates - 7.6%		General Electric Co.			238,475			2,794,927
Internet Software & Services - 8.4%		eBay, Inc. (a)			181,000			3,100,530
Metals & Mining - 9.6%		Alcoa, Inc.			343,193			3,545,184
Pharmaceuticals - 18.5%		Merck & Co., Inc.			127,091			3,553,464
		Pfizer, Inc.			218,155			3,272,325
								6,825,789
Semiconductors & Semiconductor Equipment - 10.4%		Broadcom Corp. Class A (a)			154,000			3,817,660
Software - 24.0%		Adobe Systems, Inc. (a)			107,000			3,028,100
		Autodesk, Inc. (a)			137,000			2,600,260
		Oracle Corp.			150,000			3,213,000
								8,841,360
Textiles, Apparel & Luxury Goods - 10.7%		Coach, Inc.			147,000			3,951,360
		Total Investments (Cost - $84,409,729*) - 218.2%						80,337,922
		Liabilities in Excess of Other Assets - (118.2)%						(43,512,022	)
		Net Assets - 100.0%					$	36,825,900

	*	The cost and unrealized appreciation (depreciation) of investments as of June 30, 2009, as computed for federal income tax purposes, were as follows:

	Aggregate cost		$	89,360,359
	Gross unrealized appreciation		$	7,703,689
	Gross unrealized depreciation			(16,726,126	)
	Net unrealized depreciation		$	(9,022,437	)

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Defined Strategy Fund Inc.

Schedule of Investments as of June 30, 2009 (Unaudited)

	(a)	Non-income producing security.
	(b)	Investments in companies considered to be an affiliate of the Fund, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

Affiliate			Purchase Cost			Sales Cost			Realized Loss			Dividend Income
Bank of America Corp.		$	4,316,396		$	448,165		$	(101,854	)	$	5,548

	•	For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.
	•	Variable prepaid forward contracts as of June 30, 2009, expiring January 19, 2010, were as follows:

Shares Held			Issue		Value
285,000			The AES Corp. (a)		$	(3,259,915	)
107,000			Adobe Systems, Inc. (a)			(2,978,923	)
57,000			Alliance Data Systems Corp. (a)			(2,319,877	)
29,000			Apollo Group, Inc. Class A (a)			(2,048,485	)
137,000			Autodesk, Inc. (a)			(2,564,366	)
154,000			Broadcom Corp. Class A (a)			(3,757,538	)
147,000			Coach, Inc.			(3,879,448	)
244,000			Dell, Inc. (a)			(3,285,704	)
222,000			EMC Corp. (a)			(2,862,202	)
181,000			eBay, Inc. (a)			(3,049,235	)
54,000			Jacobs Engineering Group, Inc. (a)			(2,248,247	)
150,000			Oracle Corp.			(3,134,010	)
107,000			Owens-Illinois, Inc. (a)			(2,952,194	)
196,000			TD Ameritrade Holding Corp. (a)			(3,382,627	)
62,000			Zimmer Holdings, Inc. (a)			(2,606,920	)
Total (Proceeds - $37,397,427)					$	(44,329,691	)

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Defined Strategy Fund Inc.

Schedule of Investments as of June 30, 2009 (Unaudited)

•	Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:
	•	Level 1 - price quotations in active markets/exchanges for identical securities
	•	Level 2 - other observable inputs (including, but not limited to: quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
	•	Level 3 - unobservable inputs based on the best information available in the circumstance, to the extent observable inputs are not available (including the Fund’s own assumption used in determining the fair value of investments)
	The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its semi-annual report.
	The following table summarizes the inputs used as of June 30, 2009 in determining the fair valuation of the Fund’s investments:

	Valuation Inputs		Investments in Securities			Other Financial Instruments+
			Assets			Liabilities
	Level 1		$	80,337,922			—
	Level 2			—		$	(44,329,691	)
	Level 3			—			—
	Total		$	80,337,922		$	(44,329,691	)
	+ Other financial instruments are variable prepaid forward contracts.

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Item 2 –	Controls and Procedures
2(a) –	The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(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) 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 – Attached hereto
	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.
	Defined Strategy Fund Inc.
	By:	/s/ Justin C. Ferri
		Justin C. Ferri
		Chief Executive Officer (principal executive officer) of
		Defined Strategy Fund Inc.
	Date: August 20, 2009
	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:	/s/ Justin C. Ferri
		Justin C. Ferri
		Chief Executive Officer (principal executive officer) of
		Defined Strategy Fund Inc.
	Date: August 20, 2009
	By:	/s/ James E. Hillman
		James E. Hillman
		Chief Financial Officer (principal financial officer) of
		Defined Strategy Fund Inc.
	Date: August 20, 2009

 

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