UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21749 ��
CRM Mutual Fund Trust
(Exact name of registrant as specified in charter)
c/o BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19808
(Address of principal executive offices) (Zip code)
Corporation Service Company
2711 Centerville Road Suite 400
Wilmington, DE 19808
(Name and address of agent for service)
Copy to:
Lea Anne Copenhefer
Morgan, Lewis & Bockius LLP
One Federal Street
Boston, MA 02110
Registrant’s telephone number, including area code: 212-326-5300
Date of fiscal year end: June 30
Date of reporting period: December 31, 2016
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
SEMI-ANNUAL REPORT (Unaudited)
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December 31, 2016
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Dear Fellow Shareholders:
In spite of all the concern over Brexit, sluggish first half economic growth, and the direction of interest rates, the equity markets enjoyed strong returns during the third quarter ending September 30, 2016. Larger capitalization stocks (S&P 5001) appreciated by 4% and smaller capitalization stocks climbed by an impressive 9% (Russell 20002). Technology was the best performing sector, followed by other cyclical sectors such as materials and industrials. In the specific case of technology shares, they were further propelled by merger & acquisition (M&A) activity. The semiconductor industry, in particular, was rapidly consolidating, continuing the trend of the past few years. Activist firms had targeted a number of small to mid-sized technology companies, advocating for sale processes and many such targets capitulated. Consumer staples lagged from the combination of the rotation away from bond surrogates, as well as weaker fundamentals. As economic expansion globally remained sluggish, revenue growth was hard to come by. This was exacerbated by increased deflation in agricultural and food related prices, which further pressured earnings. In the U.S., the backdrop for consumers was encouraging with better employment and wage trends. With that said, retail sales were good, not great, as household health care expenses continued to grow and consumers remained uneasy about the future during the volatile times.
The markets had come to accept continued political gridlock, slow growth, and periodic trepidation over deflation. In a matter of hours on the morning of November 9th, market participants began to discount the possibility of a different future. The prospects for aggressive fiscal stimulus with one party controlling both the executive and legislative branches led to a nearly instantaneous increase in inflation expectations, which pushed bond yields higher by 40 basis points3 over the course of only three trading days. Given the interplay of markets, the dollar began to strengthen and stocks that benefit from higher interest rates (i.e., banks) soared and those hurt by the stronger dollar generally faded. Stocks also viewed as reflation beneficiaries (i.e., deep cyclical/industrials) were likewise propelled higher. These were fairly typical responses, which the market has experienced in prior cyclical rallies.
One important differentiating catalyst post-election was the narrative around corporate tax reform. Both political parties had proposed some type of tax reform and repatriation holiday with proceeds used to fund a step up in infrastructure spending. However, a border adjustable tax or “import tax” that had been discussed in academic circles and among Republican policy makers became more front and center. It is complex and a radical change from existing laws, but in harmony with Trump’s policy goals of effectively punishing importers who have moved manufacturing jobs overseas. The objective is to thwart future jobs from leaving, incentivize bringing jobs back on shore, and help pay for the lower tax rates. The market’s knee jerk reaction was to perhaps confuse tax reform with tax cut and reward domestically oriented companies with high tax rates to the detriment of lower tax rate/multinational companies. Subsequently, the prospects for a border adjustable tax (taxing imports such that the company cannot deduct the cost of those goods and rewarding exporters by eliminating tax on goods manufactured in the U.S. and sold overseas) began to weigh on a broader group of companies, particularly retail and apparel companies.
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This triple catalyst of interest rates, exchange rates, and tax rates is what propelled certain sectors and subsectors to such extraordinary performance over a relatively short period of time. The returns on the S&P 500 from the election through calendar year-end were not so otherworldly - up 4.5% - and quite understandable given the passing of the election uncertainty. The range of performance among sectors, styles, and market caps, however, was truly astounding. Banks and other perceived beneficiaries of higher interest rates bounded 25% higher, many industrials appreciated by 10-20%+, and small cap value stocks were up 17%.
In the interest rate sensitive and perceived reflationary beneficiary stocks, the market is discounting a lot of policy achievement. The coming months will be important in determining whether there is sufficient policy success to meet these market expectations, net of any unintended consequences which might ensue. The offsets in both corporate and personal tax reform such as the elimination of certain deductions and credits will likely create winners and losers when the goal is deficit neutrality. The border adjustable tax is also a wildcard and what emerges from the legislative and lobbying process will likewise create some dislocations and ramifications. Academic theory posits currency rates will adjust such that importers will not need to pass on higher costs to their customers. If the real world does not comport with academic theory, the result could be a leap in inflation, effectively taxing consumers and possibly causing the Federal Reserve (“the Fed”) to become more aggressive with interest rate increases. Additionally, if currency rates do adjust, it could lead to a further strengthening of the dollar, which itself could be counterproductive for exports and multinational/S&P 500 earnings as well as emerging market economies and those with dollar denominated debt.
So, there is clearly a lot at stake as the legislative process gets under way with the new administration. The Fed has set forth its expectations for future interest rate hikes, but its decision making and the market’s expectations will take cues from the nature and magnitude of the fiscal initiatives. While so much of the market’s volatility in recent years has been due to events outside of the U.S., the post-election rally was very much domestically focused. Markets were challenged several times in 2016 by geopolitical/global macro events and each occasion was effectively a false alarm. This “recency bias” may have created some complacency for future events such as: the upcoming French, German, and other European Union national elections; China in terms of its economic growth, banking system health, currency as well as the potential for trade wars, and regional military forays; Russia’s efforts to re-establish itself as a superpower; North Korea, which many geopolitical strategists believe is the most dangerous of the global theaters; and OPEC (Organization of the Petroleum Exporting Countries)…can they honor the agreement?
The market tiering that has developed between the perceived beneficiaries of Trump policies and the rest has created numerous attractive opportunities. While the market indices look expensive, outside of these favored areas, we find valuations to be quite reasonable, particularly relative to their earnings growth and strategic initiatives. In the event the policy reality matches the policy promise, we expect to benefit from our holdings in banks and other apparent beneficiaries; however, the opportunity for more attractive relative reward at the moment seems to be most everywhere else. The restoration of business confidence is very favorable for our approach to investing and it will impact a broad array of companies including those which have thus far not been the obvious winners.
The following is a discussion of factors that influenced the performance of each of the CRM Funds during the six-month period ended December 31, 2016.
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CRM Small Cap Value Fund returned 19.21% and 19.10% for the Institutional and Investor Share classes, respectively, in the first half of the fiscal year, as compared to 24.19% for the Russell 2000 Value Index4 and 18.68% for the Russell 2000 Index. The fund’s relative underperformance versus the Russell 2000 Value Index during the period was primarily driven by stock selection within the consumer discretionary and health care sectors. Individual holdings that negatively impacted performance included G-III Apparel Group Limited, a clothing manufacturer; wood product marketer and manufacturer, Boise Cascade Company; and Mobile Mini, Inc., a provider of portable storage solutions. G-III Apparel Group reacted negatively to a weak second quarter earnings report. Boise Cascade reported disappointing third quarter earnings due to lower than expected volumes and margins in the Wood Products segment. The company also guided to a weaker fourth quarter due to planned downtime for a boiler project. Mobile Mini was pressured after reporting second quarter earnings and EBITDA that were lower than consensus expectations.
Our stock selection in the financial services sector was a tailwind to fiscal year-to-date performance. Individual stocks that contributed to performance included financial companies Sterling Bancorp, Hancock Holding Company, and Associated Banc-Corp. Sterling Bancorp rallied post the presidential election on the expectation of higher interest rates, the potential for lower taxes, and less regulatory pressure. The company also reported better than expected earnings this quarter due to strong loan growth and positive operating leverage. Hancock Holding reported better than expected earnings and provided a more favorable outlook for credit quality. The company was also able to keep expenses well contained this quarter. Lastly, Hancock started to reap the benefits from earlier investments in fee income products. Associated Banc-Corp benefitted as the potential for higher interest rates, lower corporate tax rates, and a more favorable regulatory environment post-election benefitted financials. The company continued to demonstrate sound credit quality and expense discipline in its 3Q16 earnings report.
CRM Small/Mid Cap Value Fund returned 11.09% and 10.93% for the Institutional and Investor Share classes, respectively, in the first half of the fiscal year, as compared to 16.09% for the Russell 2500 Value Index and 13.09% for the Russell 2500 Index5. While our underweight to the utilities sector was a tailwind to performance, relative underperformance versus the Russell 2500 Value Index can be primarily attributed to stock selection within the utilities and producer durables sectors. Top detractors during the period included food manufacturer, TreeHouse Foods, Inc.; Avangrid, Inc., a diversified energy and utility company; and NiSource, Inc., an energy holding company. TreeHouse Foods posted weaker than anticipated organic growth within its recently acquired ConAgra private brands business. While the integration remains ahead of expectations, the company’s sales force was distracted by the integration during the key holiday selling season. Avangrid missed consensus estimates, but increased guidance for the full year. We believe the miss was largely driven by investors lacking understanding of the seasonality of its business, because the company has only reported two full quarters of earnings since the acquisition of UIL Holdings. NiSource declined with the broader selloff in the utility sector.
Individual holdings that positively impacted performance included financial companies KeyCorp, Synovus Financial Corp., and Associated Banc-Corp. KeyCorp, Synovus Financial, and Associated Banc-Corp benefitted as the potential for higher interest rates, lower corporate tax rates, and a more favorable regulatory environment post-election benefitted financials. KeyCorp reported a solid 3Q16 earnings result featuring healthy loan growth and very strong corporate and investment banking fees. In addition, KeyCorp is realizing expense savings from the recently-closed First Niagara acquisition at a faster-than-expected pace. Synovus Financial reported better than expected earnings due to improved credit quality and stronger fee income growth. Associated Banc-Corp continued to demonstrate sound credit quality and expense discipline in its 3Q16 earnings report.
CRM Mid Cap Value Fund returned 6.64% and 6.53% for the Institutional and Investor Share classes, respectively, in the first half of the fiscal year, as compared to 10.22% for the Russell Midcap Value Index and 7.87% for the Russell Midcap Index6. Relative underperformance versus the Russell Midcap Value Index for the period
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is primarily attributed to our stock selection within the producer durables and materials and processing sectors. Top detractors during the period included NiSource, Inc., an energy holding company; global education and learning company, Houghton Mifflin Harcourt Company; and Palo Alto Networks, a provider of network security solutions. NiSource declined with the broader selloff in the utility sector. Houghton Mifflin Harcourt Company parted ways with its CEO during the third quarter. The company reported disappointing earnings in the fourth quarter, acknowledging it had lost market share in 2016 from a tactical mistake in the California education market. Palo Alto Networks reported earnings that missed consensus and guided down expectations for 2017, citing elongated sales cycles.
Individual holdings that contributed to performance included financial companies KeyCorp and Zions Bancorporation, and CSRA, Inc., an IT solutions provider. KeyCorp and Zions Bancorporation outperformed as the potential for higher interest rates, lower corporate tax rates, and a more favorable regulatory environment post-election benefitted bank stocks. KeyCorp reported a solid 3Q16 earnings result featuring healthy loan growth and very strong corporate and investment banking fees. In addition, KeyCorp is realizing expense savings from the recently-closed First Niagara acquisition at a faster-than-expected pace. Zions Bancorporation reported a solid 3Q16 earnings result featuring progress on key strategic objectives, including net interest income growth, fee income growth, and expense control. Credit quality of the energy loan portfolio has also stabilized. CSRA reported strong second quarter results and highlighted a robust demand environment and bid schedule.
CRM Large Cap Opportunity Fund returned 8.69% and 8.56% for the Institutional and Investor Share classes, respectively, in the first half of the fiscal year, as compared to 8.01% for the Russell 1000 Index and 10.39% for the Russell 1000 Value Index7. The main areas of relative underperformance versus the Russell 1000 Value Index were stock selection within the health care and consumer discretionary sectors. Top individual detractors from the Fund’s performance during the first half of the fiscal year were Palo Alto Networks, a provider of network security solutions; Dollar Tree, Inc., a discount variety store chain; and medical equipment company Zimmer Biomet Holdings, Inc. Palo Alto Networks reported earnings that missed consensus and guided down expectations for 2017, citing elongating sales cycles. Shares of Dollar Tree were weak on the back of its second quarter earnings report as revenues missed expectations. Shares of Zimmer Biomet Holdings were pressured as the company finalizes its transformative deal with Biomet. While we believe supply delays on critical products to be short-lived issues, this resulted in the company missing sell-side quarterly numbers.
Stock selection in the financial services sector was a tailwind to performance. Financial companies Bank of America Corporation, KeyCorp, and JPMorgan Chase & Co. were primary positive contributors for the last six months. Bank of America, KeyCorp, and JPMorgan Chase benefitted as the potential for higher interest rates, lower corporate tax rates, and a more favorable regulatory environment post-election benefitted bank stocks. Bank of America is considered an outsized beneficiary of a post-election environment. The company reported a good 3Q16 earnings result featuring improved capital markets results, accelerating loan growth with a stable net interest margin, and a reiteration of its 2018 expense target. KeyCorp also reported a solid 3Q16 earnings result featuring healthy loan growth and very strong corporate and investment banking fees. In addition, KeyCorp is realizing expense savings from the recently-closed First Niagara acquisition at a faster-than-expected pace. JPMorgan Chase reported a strong 3Q16 earnings result featuring strong trading gains, better-than-expected loan growth, and an improved outlook for corporate banking activity.
CRM All Cap Value Fund returned 7.40% and 7.49% for the Institutional and Investor Share classes, respectively, in the first half of the fiscal year, as compared to 11.40% for the Russell 3000 Value Index and 8.79% for the Russell 3000 Index8. The main areas of relative underperformance versus the Russell 3000 Value Index were
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stock selection within the producer durables and consumer discretionary sectors. Individual holdings that negatively impacted performance included global education and learning company, Houghton Mifflin Harcourt Company; Kimco Realty Corporation, a real estate investment trust which owns and operates open-air shopping centers; and entertainment software provider, Activision Blizzard, Inc. Houghton Mifflin Harcourt Company parted ways with its CEO during the third quarter. The company reported disappointing earnings in the fourth quarter, acknowledging it had lost market share in 2016 from a tactical mistake in the California education market. Despite commentary at recent industry conferences supporting a healthy leasing environment, Kimco Realty Corporation underperformed as REITs came under pressure from increasing interest rates. We initiated a position in Activision Blizzard during the first half of the fiscal year. Shares of the company were pressured as sales of a key title, Call of Duty, were weaker than anticipated.
Financial companies Bank of America Corporation, KeyCorp, and JPMorgan Chase & Co. were primary positive contributors for the last six months. Bank of America, KeyCorp, and JPMorgan Chase benefitted as the potential for higher interest rates, lower corporate tax rates, and a more favorable regulatory environment post-election benefitted bank stocks. Bank of America is considered an outsized beneficiary of a post-election environment. The company reported a good 3Q16 earnings result featuring improved capital markets results, accelerating loan growth with a stable net interest margin, and a reiteration of its 2018 expense target. KeyCorp also reported a solid 3Q16 earnings result featuring healthy loan growth and very strong corporate and investment banking fees. In addition, KeyCorp is realizing expense savings from the recently-closed First Niagara acquisition at a faster-than-expected pace. JPMorgan Chase reported a strong 3Q16 earnings result featuring strong trading gains, better-than-expected loan growth, and an improved outlook for corporate banking activity.
CRM International Opportunity Fund returned 3.11% and 2.94% for the Institutional and Investor Share classes, respectively, in the first half of the fiscal year, as compared to 5.57% for the MSCI ACWI (ex-U.S.) Index and 5.67% for the MSCI EAFE Index9. While our overall stock selection contributed to performance, underperformance relative to the MSCI ACWI (ex-U.S.) can primarily be attributed to stock selection within the financials sector and our overweight to the consumer staples sector. Santen Pharmaceutical Company, which produces and sells ophthalmic medicine; Japanese snack food company Calbee, Inc.; and MEIJI Holdings Company, a food and beverage company, were top detractors for the fiscal year to date. Santen Pharmaceutical shares underperformed alongside the broader derating of the pharmaceuticals sector, as risk-on capital rotation favored cyclicals over defensives. The Japanese government’s proposal of more frequent annual drug price revisions further weighed on the company’s shares. Consumer staples company, Calbee, was negatively impacted by a sector rotation into higher beta names. Yen weakness also supported export-oriented companies over those with a domestic focus. Despite raising its profit guidance and delivering solid growth in its core food business, MEIJI shares underperformed due an unexpected one-off charge in its pharmaceutical business. The stock was also negatively impacted by a broader “risk-on” sector rotation from defensive quality names into higher beta export-oriented ones.
The leading individual contributors to performance were Korean auto manufacturer, Hyundai Motor Company; Cairn Homes plc, a provider of construction services in Ireland; and Zumtobel Group AG, a lighting systems provider. Shares of Hyundai Motor outperformed as the company demonstrated early success in expanding its model mix beyond highly competitive sedan categories and into more lucrative compact SUVs and luxury vehicles. The stock’s rerating was further helped by a positive inflection point in Hyundai’s global retail sales volumes, as the company resolved its manufacturing supply constraints and overcame Korean labor-union issues. The “ahead of schedule” execution of Cairn Homes’ new home build strategy benefitted the stock along with a boost resulting from the recent introduction of Irish government first time buying incentives. Zumtobel
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shares outperformed following better than expected operating profit and free cash flow results, driven by the company’s self-help operational efficiency measures. Zumtobel’s operational turnaround was further bolstered by a secular trend toward energy-efficient LED lighting infrastructure.
Sincerely,
Ronald H. McGlynn
Chairman, Cramer Rosenthal McGlynn, LLC
President, CRM Mutual Fund Trust
1S&P 500 Index is an index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500 is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe.
2The Russell 2000 Index is an unmanaged, capitalization weighted index of 2,000 small cap U.S. companies. It is not possible to invest directly in an index.
3Basis point is a unit that is equal to 1/100th of 1%, and is used to denote the change in a financial instrument.
4Russell 2000 Value Index is the Fund’s benchmark. The Russell 2000 Value Index measures the performance of those companies in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth values. It is not possible to invest directly in an index.
5Russell 2500 Value Index is the Fund’s benchmark. The Russell 2500 Value Index is an unmanaged index that measures the performance of those companies in the Russell 2500 Index with lower price-to-book ratios and lower forecasted growth values. The Russell 2500 Index is an unmanaged index that measures the performance of the 2,500 smallest companies in the Russell 3000 Index. It is not possible to invest directly in an index.
6Russell Midcap Value Index is the Fund’s benchmark. The Russell Midcap Value Index measures the performance of those companies in the Russell Midcap Index with lower price-to-book ratios and lower forecasted growth values. The Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000 Index, which represents the performance of the 1,000 largest companies in the U.S. equity market. It is not possible to invest directly in an index.
7Russell 1000 Value Index is the Fund’s benchmark. The Russell 1000 Value Index is an unmanaged index that measures the performance of those companies in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values. The Russell 1000 Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 3000 Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization. It is not possible to invest directly in an index.
8Russell 3000 Value Index is the Fund’s benchmark. The Russell 3000 Value Index measures the performance of those companies in the Russell 3000 Index with lower price-to-book ratios and lower forecasted growth values. The Russell 3000 Index is an unmanaged, capitalization weighted index of the 3,000 largest U.S. companies which represent approximately 98% of the investable U.S. equity market. It is not possible to invest directly in an index.
9MSCI ACWI Index (ex U.S.) is the Fund’s benchmark. MSCI ACWI Index (ex U.S.) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI (ex U.S.) consists of 45 country indices comprising 22 developed and 23 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. The emerging market country indices included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates (as of June 30, 2016). The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom (as of June 30, 2016). It is not possible to invest directly in an index.
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Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Funds are professionally managed, while the indices are unmanaged and are not available for investment. During the period, certain fees and expenses were waived by the Funds’ service providers. Without these waivers, total returns would have been lower. Additional performance figures for the Funds can be found in the Comparison of Change in Value section of this report.
Investments in small and mid capitalization companies generally are more volatile due to limited product lines, fewer capital resources and less depth of management than larger companies. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic values. Investments in foreign securities, including emerging markets, involve special risks such as greater social, economic, regulatory, and political uncertainties, and currency fluctuation.
This report must be preceded or accompanied by the current prospectus for the Funds. Before investing, you should carefully read the prospectus and consider the investment objectives, risks, charges and expenses of the Funds. Additional copies of the prospectus may be obtained at www.crmfunds.com or at 800-CRM-2883.
Distributed by ALPS Distributors, Inc.
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CRM FUNDS
EXPENSE DISCLOSURE (Unaudited)
DISCLOSURE OF FUND EXPENSES
The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of a Fund, you incur ongoing costs, including management fees, shareholder servicing fees and other Fund expenses. A Fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (July 1, 2016 through December 31, 2016).
The Expense Tables below illustrate your Fund’s expenses in two ways.
• | Actual fund return. The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period. |
• | Hypothetical 5% return. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. |
In addition to the expenses shown in the table below, shareholders who sell or exchange shares of CRM International Opportunity Fund within thirty days or less after the purchase date will be charged a redemption fee of 1.50% of the total redemption amount. Shareholders who are charged a redemption fee will have higher total expenses and a lower ending account value than those shown in the table below.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs that may be levied by other funds, such as sales charges (loads), redemption fees, or exchange fees, if any. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total cost of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The “Annualized Expense Ratio” reflects the actual expenses for the period indicated.
CRM Funds | ||||
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CRM FUNDS
EXPENSE DISCLOSURE (Unaudited) (Continued)
For the Six Months Ended December 31, 2016
Expense Table
Fund/Class | Beginning Account Value 07/01/16 | Ending Account Value 12/31/16 | Annualized Expense Ratio | Expenses Paid During Period1 | ||||||||||||
CRM Small Cap Value Fund - Investor Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,191.00 | 1.13% | $6.24 | ||||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.51 | 1.13% | $5.75 | ||||||||||
CRM Small Cap Value Fund - Institutional Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,192.10 | 0.89% | $4.92 | ||||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.72 | 0.89% | $4.53 | ||||||||||
CRM Small/Mid Cap Value Fund - Investor Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,109.30 | 1.14% | $6.06 | ||||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.46 | 1.14% | $5.80 | ||||||||||
CRM Small/Mid Cap Value Fund - Institutional Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,110.90 | 0.92% | $4.89 | ||||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.57 | 0.92% | $4.69 | ||||||||||
CRM Mid Cap Value Fund - Investor Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,065.30 | 1.15% | $5.99 | ||||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.41 | 1.15% | $5.85 | ||||||||||
CRM Mid Cap Value Fund - Institutional Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,066.40 | 0.94% | $4.90 | ||||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.47 | 0.94% | $4.79 | ||||||||||
CRM Large Cap Opportunity Fund - Investor Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,085.60 | 1.15% | $6.05 | ||||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.41 | 1.15% | $5.85 | ||||||||||
CRM Large Cap Opportunity Fund - Institutional Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,086.90 | 0.90% | $4.73 | ||||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.67 | 0.90% | $4.58 | ||||||||||
CRM All Cap Value Fund - Investor Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,074.90 | 1.50% | $7.84 | ||||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.64 | 1.50% | $7.63 | ||||||||||
CRM All Cap Value Fund - Institutional Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,074.00 | 1.25% | $6.53 | ||||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.90 | 1.25% | $6.36 |
CRM Funds | ||||
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CRM FUNDS
EXPENSE DISCLOSURE (Unaudited) (Concluded)
Fund/Class | Beginning Account Value 07/01/16 | Ending Account Value 12/31/16 | Annualized Expense Ratio | Expenses Paid During Period1 | ||||||||||||
CRM International Opportunity Fund - Investor Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,029.40 | 1.50% | $7.67 | ||||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.64 | 1.50% | $7.63 | ||||||||||
CRM International Opportunity Fund - Institutional Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,031.10 | 1.25% | $6.40 | ||||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.90 | 1.25% | $6.36 |
1 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the most recent one-half year period). |
CRM Funds | ||||
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CRM FUNDS
DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited)
PORTFOLIO HOLDINGS
December 31, 2016
The following tables present a summary of the portfolio holdings of each of the CRM Funds as a percentage of their total investments, excluding short-term investments held as collateral for loaned securities.
CRM Small Cap Value Fund - Sector Allocation | |||||
Common Stock | |||||
Financials | 23.6% | ||||
Industrials | 18.5 | ||||
Consumer Discretionary | 12.4 | ||||
Information Technology | 9.3 | ||||
Real Estate | 7.6 | ||||
Health Care | 6.6 | ||||
Utilities | 5.5 | ||||
Energy | 4.6 | ||||
Consumer Staples | 4.3 | ||||
Materials | 3.0 | ||||
Short-Term Investments | 4.6 | ||||
|
| ||||
100.0% | |||||
|
| ||||
CRM Small/Mid Cap Value Fund - Sector Allocation | |||||
Common Stock | |||||
Industrials | 18.3% | ||||
Financials | 17.1 | ||||
Information Technology | 15.2 | ||||
Real Estate | 8.9 | ||||
Energy | 8.5 | ||||
Consumer Discretionary | 7.7 | ||||
Health Care | 6.0 | ||||
Materials | 5.4 | ||||
Utilities | 5.3 | ||||
Consumer Staples | 4.7 | ||||
Short-Term Investments | 2.9 | ||||
|
| ||||
100.0% | |||||
|
|
CRM Mid Cap Value Fund - Sector Allocation | ||||
Common Stock | ||||
Industrials | 18.0% | |||
Information Technology | 16.4 | |||
Financials | 13.8 | |||
Energy | 9.0 | |||
Health Care | 8.9 | |||
Real Estate | 8.2 | |||
Consumer Discretionary | 7.4 | |||
Consumer Staples | 6.0 | |||
Utilities | 5.7 | |||
Materials | 3.8 | |||
Short-Term Investments | 2.8 | |||
|
| |||
100.0% | ||||
|
| |||
CRM Large Cap Opportunity Fund - Sector Allocation | ||||
Common Stock | ||||
Financials | 23.0% | |||
Information Technology | 17.6 | |||
Energy | 11.7 | |||
Consumer Discretionary | 11.2 | |||
Health Care | 10.4 | |||
Materials | 7.2 | |||
Industrials | 7.1 | |||
Utilities | 3.1 | |||
Real Estate | 2.4 | |||
Consumer Staples | 2.3 | |||
Short-Term Investments | 4.0 | |||
|
| |||
100.0% | ||||
|
|
CRM Funds | ||||
11 |
CRM FUNDS
DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) (Continued)
CRM All Cap Value Fund - Sector Allocation | |||||
Common Stock | |||||
Financials | 20.8% | ||||
Information Technology | 15.8 | ||||
Health Care | 13.2 | ||||
Industrials | 10.6 | ||||
Energy | 9.8 | ||||
Consumer Discretionary | 9.6 | ||||
Utilities | 6.2 | ||||
Materials | 5.5 | ||||
Consumer Staples | 3.5 | ||||
Real Estate | 2.2 | ||||
Short-Term Investments | 2.8 | ||||
|
| ||||
100.0% | |||||
|
|
CRM International Opportunity Fund - SectorAllocation | ||||
Common Stock | ||||
Consumer Discretionary | 21.8% | |||
Consumer Staples | 17.5 | |||
Financials | 15.8 | |||
Industrials | 11.0 | |||
Health Care | 8.7 | |||
Information Technology | 7.2 | |||
Telecommunication Services | 5.4 | |||
Real Estate | 4.8 | |||
Materials | 1.4 | |||
Short-Term Investments | 6.4 | |||
|
| |||
100.0% | ||||
|
|
CRM Funds | ||||
12 |
CRM FUNDS
DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) (Concluded)
CRM International Opportunity Fund - CountryAllocation | ||||
Common Stock | ||||
Japan | 16.6 | % | ||
United Kingdom | 14.0 | |||
Germany | 10.8 | |||
Ireland | 9.1 | |||
Denmark | 3.2 | |||
Finland | 2.9 | |||
Italy | 2.9 | |||
Netherlands | 2.5 | |||
Canada | 2.4 | |||
Philippines | 2.4 | |||
Chile | 2.4 | |||
Portugal | 2.1 | |||
Norway | 2.0 | |||
Luxembourg | 2.0 | |||
Peru | 1.8 | |||
Spain | 1.8 | |||
Portfolio holdings are subject to change at any time. |
|
CRM International Opportunity Fund - CountryAllocation | ||||
Common Stock | ||||
Turkey | 1.7 | |||
Sweden | 1.5 | |||
China | 1.5 | |||
South Korea | 1.4 | |||
Israel | 1.3 | |||
Argentina | 1.3 | |||
Czech Republic | 1.2 | |||
Indonesia | 1.1 | |||
Faroe Islands | 1.0 | |||
Thailand | 1.0 | |||
Austria | 0.9 | |||
Mexico | 0.8 | |||
Short-Term Investments | 6.4 | |||
|
| |||
100.0% | ||||
|
|
CRM Funds | ||||
13 |
CRM FUNDS
CRM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Shares | Value | |||||
Common Stock — 95.0% |
| |||||
Consumer Discretionary — 12.4% |
| |||||
Consumer Durables & Apparel — 4.3% |
| |||||
97,796 | Brunswick Corp. | $ | 5,333,794 | |||
106,166 | Deckers Outdoor Corp.1 | 5,880,535 | ||||
243,253 | G-III Apparel Group Ltd.1,2 | 7,190,558 | ||||
|
| |||||
18,404,887 | ||||||
|
| |||||
Consumer Services — 6.1% |
| |||||
138,883 | BJ’s Restaurants, Inc.1 | 5,458,102 | ||||
109,707 | Red Robin Gourmet Burgers, Inc.1 | 6,187,475 | ||||
1,015,942 | Regis Corp.1 | 14,751,478 | ||||
|
| |||||
26,397,055 | ||||||
|
| |||||
Retailing — 2.0% |
| |||||
277,429 | Restoration Hardware Holdings, Inc.1 | 8,517,070 | ||||
|
| |||||
Total Consumer Discretionary | 53,319,012 | |||||
|
| |||||
Consumer Staples — 4.2% | ||||||
Food & Staples Retailing — 1.6% |
| |||||
296,550 | Performance Food Group Co1 | 7,117,200 | ||||
|
| |||||
Food, Beverage & Tobacco — 2.6% |
| |||||
62,457 | Coca-Cola Bottling Co. Consolidated | 11,170,434 | ||||
|
| |||||
Total Consumer Staples | 18,287,634 | |||||
|
| |||||
Energy — 4.5% | ||||||
Energy Equipment & Services — 2.9% |
| |||||
267,610 | Forum Energy Technologies, Inc.1 | 5,887,420 | ||||
330,367 | RPC, Inc.2 | 6,544,571 | ||||
|
| |||||
12,431,991 | ||||||
|
| |||||
Oil, Gas & Consumable Fuels — 1.6% |
| |||||
460,760 | Callon Petroleum Co.1 | 7,081,881 | ||||
|
| |||||
Total Energy | 19,513,872 | |||||
|
| |||||
Financials —23.5% | ||||||
Banks — 19.3% |
| |||||
369,277 | Associated Banc-Corp. | 9,121,142 | ||||
159,375 | BancorpSouth Inc. | 4,948,594 | ||||
81,514 | Bank of Hawaii Corp.2 | 7,229,477 | ||||
474,497 | Boston Private Financial Holdings, Inc. | 7,852,925 | ||||
208,895 | Central Pacific Financial Corp. | 6,563,481 | ||||
370,877 | First Horizon National Corp. | 7,421,249 | ||||
370,587 | First Midwest Bancorp, Inc. | 9,349,910 | ||||
164,457 | Hancock Holding Co. | 7,088,097 | ||||
196,334 | MB Financial, Inc. | 9,272,855 | ||||
271,400 | Sterling Bancorp | 6,350,760 | ||||
674,565 | Valley National Bancorp | 7,851,936 | ||||
|
| |||||
83,050,426 | ||||||
|
| |||||
Diversified Financials — 3.1% |
| |||||
352,850 | Investment Technology Group, Inc. | 6,965,259 |
Shares | Value | |||||
Financials — (continued) |
| |||||
Diversified Financials — (continued) |
| |||||
131,816 | Stifel Financial Corp.1 | $ | 6,584,209 | |||
|
| |||||
13,549,468 | ||||||
|
| |||||
Insurance — 1.1% |
| |||||
113,395 | Horace Mann Educators Corp. | 4,853,306 | ||||
|
| |||||
Total Financials | 101,453,200 | |||||
|
| |||||
Health Care — 6.6% | ||||||
Health Care Equipment & Services — 5.2% |
| |||||
224,787 | CONMED Corp. | 9,928,842 | ||||
197,189 | Omnicell,Inc.1 | 6,684,707 | ||||
82,971 | STERIS PLC3 | 5,591,416 | ||||
|
| |||||
22,204,965 | ||||||
|
| |||||
Pharmaceuticals & Biotechnology — 1.4% |
| |||||
205,414 | Premier, Inc. — Class A1 | 6,236,369 | ||||
|
| |||||
Total Health Care | 28,441,334 | |||||
|
| |||||
Industrials — 18.5% | ||||||
Capital Goods — 15.7% |
| |||||
250,617 | Actuant Corp. — Class A | 6,503,511 | ||||
68,300 | Albany International Corp. — Class A | 3,162,290 | ||||
78,457 | CIRCOR International, Inc. | 5,090,290 | ||||
69,858 | Curtiss-Wright Corp. | 6,871,233 | ||||
75,681 | EnPro Industries, Inc. | 5,097,872 | ||||
72,777 | John Bean Technologies Corp.2 | 6,255,183 | ||||
334,819 | MRC Global, Inc.1 | 6,783,433 | ||||
491,682 | Mueller Water Products, Inc. — Class A | 6,544,288 | ||||
49,306 | RBC Bearings, Inc.1 | 4,576,090 | ||||
242,290 | SPX Corp.1 | 5,747,119 | ||||
180,470 | Terex Corp. | 5,690,219 | ||||
216,120 | TriMas Corp.1 | 5,078,820 | ||||
|
| |||||
67,400,348 | ||||||
|
| |||||
Commercial & Professional Services — 2.8% |
| |||||
128,051 | FTI Consulting, Inc.1 | 5,772,539 | ||||
92,377 | MSA Safety, Inc. | 6,404,497 | ||||
|
| |||||
12,177,036 | ||||||
|
| |||||
Total Industrials | 79,577,384 | |||||
|
| |||||
Information Technology — 9.3% | ||||||
Semiconductors & Semiconductor Equipment — 1.7% |
| |||||
155,882 | MACOM Technology Solutions | |||||
Holdings, Inc.1 | 7,214,219 | |||||
|
| |||||
Software & Services — 7.6% |
| |||||
248,800 | Acxiom Corp.1 | 6,667,840 | ||||
344,507 | Amber Road, Inc.1 | 3,128,124 | ||||
89,424 | Blackbaud, Inc. | 5,723,136 | ||||
522,446 | Brightcove, Inc.1 | 4,205,690 | ||||
119,240 | Cornerstone OnDemand, Inc.1 | 5,045,044 |
See accompanying notes. | CRM Funds | |||
14 |
CRM FUNDS
CRM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2016 (Unaudited)
Shares | Value | |||||
Information Technology — (continued) | ||||||
Software & Services — (continued) | ||||||
122,740 | Envestnet, Inc.1 | $ | 4,326,585 | |||
18,253 | MicroStrategy, Inc. — Class A1 | 3,603,142 | ||||
|
| |||||
32,699,561 | ||||||
|
| |||||
Total Information Technology | 39,913,780 | |||||
|
| |||||
Materials — 3.0% | ||||||
Chemicals — 1.3% | ||||||
315,206 | Calgon Carbon Corp. | 5,358,502 | ||||
|
| |||||
Construction Materials — 1.7% | ||||||
319,171 | Headwaters, Inc.1 | 7,506,902 | ||||
|
| |||||
Total Materials | 12,865,404 | |||||
|
| |||||
Real Estate — 7.5% | ||||||
Office REIT’s — 3.8% | ||||||
269,377 | Corporate Office Properties Trust | 8,409,950 | ||||
777,103 | New York REIT Inc. | 7,864,282 | ||||
|
| |||||
16,274,232 | ||||||
|
| |||||
Retail REIT’s — 2.1% | ||||||
325,939 | Urban Edge Properties | 8,966,582 | ||||
|
| |||||
Specialized REIT’s — 1.6% | ||||||
145,350 | QTS Realty Trust, Inc. — Class A | 7,216,628 | ||||
|
| |||||
Total Real Estate. | 32,457,442 | |||||
|
| |||||
Utilities — 5.5% | ||||||
Utilities: Gas Distributors — 3.5% | ||||||
116,258 | Southwest Gas Holdings, Inc. | 8,907,688 | ||||
95,213 | Spire, Inc. | 6,145,999 | ||||
|
| |||||
15,053,687 | ||||||
|
| |||||
Utilities: Multi — 2.0% | ||||||
142,226 | Black Hills Corp.2 | 8,724,143 | ||||
|
| |||||
8,724,143 | ||||||
|
| |||||
Total Utilities | 23,777,830 | |||||
|
| |||||
Total Common Stock | 409,606,892 | |||||
|
| |||||
Short-Term Investments — 4.6% | ||||||
9,867,126 | Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 0.52%4 | 9,867,126 | ||||
9,867,127 | Federated Treasury Obligations Fund Institutional Series, 0.36%4 | 9,867,127 | ||||
|
| |||||
Total Short-Term Investments | 19,734,253 | |||||
|
| |||||
Total Investments Before Short-Term Investments Held As Collateral For Loaned | 429,341,145 | |||||
|
|
Shares | Value | |||||
Short-Term Investments Held As Collateral For Loaned |
| |||||
Money Market Funds — 1.7% | ||||||
1,297,000 | Blackrock Liquidity Funds Prime Portfolio, 0.49%4 | $ | 1,297,000 | |||
1,227,000 | Federated Institutional Money Market Management, 0.48%4 | 1,227,000 | ||||
1,227,000 | Fidelity Prime Money Market Portfolio, 0.48%4 | 1,227,000 | ||||
1,195,000 | Invesco Short Term Investments Trust-Liquid Assets, 0.51%4 | 1,195,000 | ||||
1,227,000 | JPMorgan U.S. Government Money Market Fund Capital Shares, 0.51%4 | 1,227,000 | ||||
1,227,000 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio, 0.55%4 | 1,227,000 | ||||
|
| |||||
Total Money Market Funds | 7,400,000 | |||||
|
| |||||
Principal | ||||||
Repurchase Agreements — 2.5% | ||||||
$6,528,270 | With HSBC Securities USA, Inc.: at 0.45%, dated 12/30/16, to be repurchased on 01/03/17, repurchase price $6,528,596 (collateralized by US Treasury Securities, par values ranging from $186,913 - $1,100,565, coupon rates ranging from 0.88% to 3.00%, 05/15/17 - 05/15/46; total market value $6,658,838)4 | 6,528,270 | ||||
4,358,876 | With Merrill Lynch Pierce Fenner & Smith, Inc.: at 0.50%, dated 12/30/16,to be repurchased on 01/03/17, repurchase price $4,359,118 (collateralized by US Treasury Securities, par values ranging from $447,461 - $1,446,437, coupon rates ranging from 0.69% to 2.00%, 10/31/18 - 11/30/22; total market value $4,446,054) | 4,358,876 | ||||
|
| |||||
Total Repurchase Agreements | 10,887,146 | |||||
|
| |||||
Time Deposits — 2.2% | ||||||
1,100,000 | Australia & New Zealand Bank, 0.70%, 01/03/174 | 1,100,000 | ||||
1,190,000 | BNP Paribas (Cayman), 0.52%, 01/03/174 | 1,190,000 | ||||
1,360,000 | Canadian Imperial Bank of Commerce (Cayman), 0.52%, 01/03/174 | 1,360,000 |
See accompanying notes. | CRM Funds | |||
15 |
CRM FUNDS
CRM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Concluded)
December 31, 2016 (Unaudited)
Principal | Value | |||||
Time Deposits — (continued) | ||||||
$1,080,000 | Credit Agricole CIB (Cayman), 0.52%, 01/03/17 | $ | 1,080,000 | |||
1,220,000 | LandesBank 0.55%, 01/03/174 | 1,220,000 | ||||
1,090,000 | National Australia Bank Ltd. (Cayman), 0.48%, 01/03/174 | 1,090,000 | ||||
1,020,000 | Nordea Bank Finland PLC (New York), 0.50%, 01/03/174 | 1,020,000 | ||||
1,140,000 | Royal Bank of Canada (Toronto), 0.50%, 01/03/174 | 1,140,000 | ||||
|
| |||||
Total Time Deposits | 9,200,000 | |||||
|
| |||||
Total Short-Term Investments Held As Collateral For Loaned Securities | 27,487,146 | |||||
|
| |||||
Total Investments — 106.0% | 456,828,291 | 5 | ||||
Liabilities in Excess of Other Assets — (6.0)% | (25,742,058 | ) | ||||
|
| |||||
Total Net Assets — 100.0% | $ | 431,086,233 | ||||
|
|
A summary of inputs used to value the Fund’s investments as of December 31, 2016 is as follows (See Note 2 in Notes to Financial Statements):
Investments in Securities (Value) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Unobservable | |||||||||||||||||
Investments in Securities | ||||||||||||||||||||
Common Stock | $ | 409,606,892 | $ | 409,606,892 | — | — | ||||||||||||||
Short-Term Investments | 19,734,253 | 19,734,253 | — | — | ||||||||||||||||
Short-Term Investments Held as Collateral for Loaned Securities | 27,487,146 | 7,400,000 | $ | 20,087,146 | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 456,828,291 | $ | 436,741,145 | $ | 20,087,146 | — | |||||||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1, Level 2, and Level 3 during the six months ended December 31, 2016.
1 | Non-income producing security. |
2 | Security partially or fully on loan. |
3 | PLC — Public Limited Company. |
4 | Rate represents an annualized yield at date of measurement. |
5 | At December 31, 2016, the market value of securities on loan for the CRM Small Cap Value Fund was $26,872,139. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities. |
See accompanying notes. | CRM Funds | |||
16 |
CRM FUNDS
CRM SMALL/MID CAP VALUE FUND
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Shares | Value | |||||
Common Stock — 95.4% |
| |||||
Consumer Discretionary — 7.5% | ||||||
Consumer Durables & Apparel — 4.2% |
| |||||
249,520 | G-III Apparel Group Ltd.1 | $ | 7,375,811 | |||
97,613 | PVH Corp. | 8,808,597 | ||||
234,160 | Vista Outdoor, Inc.1 | 8,640,504 | ||||
|
| |||||
24,824,912 | ||||||
|
| |||||
Consumer Services — 3.3% |
| |||||
443,892 | Bloomin’ Brands, Inc. | 8,003,373 | ||||
70,420 | Vail Resorts, Inc. | 11,359,450 | ||||
|
| |||||
19,362,823 | ||||||
|
| |||||
Total Consumer Discretionary | 44,187,735 | |||||
|
| |||||
Consumer Staples — 4.6% |
| |||||
Food, Beverage & Tobacco — 4.6% |
| |||||
463,515 | Flowers Foods, Inc. | 9,256,394 | ||||
243,261 | TreeHouse Foods, Inc.1,2 | 17,561,012 | ||||
|
| |||||
Total Consumer Staples | 26,817,406 | |||||
|
| |||||
Energy — 8.4% |
| |||||
Energy Equipment & Services — 1.4% |
| |||||
418,885 | RPC, Inc.2 | 8,298,112 | ||||
|
| |||||
Oil, Gas & Consumable Fuels — 7.0% |
| |||||
749,843 | Callon Petroleum Co.1 | 11,525,087 | ||||
296,762 | Delek US Holdings, Inc. | 7,143,061 | ||||
232,851 | Energen Corp.1 | 13,428,517 | ||||
197,510 | RSP Permian, Inc.1 | 8,812,897 | ||||
|
| |||||
40,909,562 | ||||||
|
| |||||
Total Energy | 49,207,674 | |||||
|
| |||||
Financials — 16.8% |
| |||||
Banks — 11.6% |
| |||||
559,230 | Associated Banc-Corp. | 13,812,981 | ||||
200,964 | Hancock Holding Co. | 8,661,548 | ||||
646,052 | KeyCorp. | 11,803,370 | ||||
329,318 | Synovus Financial Corp. | 13,528,384 | ||||
554,436 | Umpqua Holdings Corp. | 10,412,308 | ||||
862,630 | Valley National Bancorp | 10,041,013 | ||||
|
| |||||
68,259,604 | ||||||
|
| |||||
Diversified Financials — 1.6% |
| |||||
193,239 | Stifel Financial Corp.1 | 9,652,288 | ||||
|
| |||||
Insurance — 3.6% |
| |||||
147,177 | American Financial Group, Inc. | 12,969,237 | ||||
169,050 | Athene Holding Ltd. — Class A1 | 8,112,710 | ||||
|
| |||||
21,081,947 | ||||||
|
| |||||
Total Financials | 98,993,839 | |||||
|
| |||||
Health Care — 5.9% |
| |||||
Health Care Equipment & Services — 4.5% |
| |||||
124,576 | Alere, Inc.1 | 4,854,727 | ||||
59,254 | Cooper Companies, Inc. (The) | 10,365,302 | ||||
171,201 | STERIS PLC3 | 11,537,235 | ||||
|
| |||||
26,757,264 | ||||||
|
|
Shares | Value | |||||
Health Care — (continued) |
| |||||
Pharmaceuticals, Biotechnology & Life Sciences — 1.4% |
| |||||
79,206 | Bio-Techne Corp. | $ | 8,144,753 | |||
|
| |||||
Total Health Care | 34,902,017 | |||||
|
| |||||
Industrials — 18.0% |
| |||||
Capital Goods — 15.6% |
| |||||
400,700 | Actuant Corp. — Class A2 | 10,398,165 | ||||
181,109 | Allegion PLC3 | 11,590,976 | ||||
73,082 | Carlisle Cos, Inc. | 8,060,214 | ||||
97,220 | Curtiss-Wright Corp. | 9,562,559 | ||||
61,740 | Hubbell, Inc. | 7,205,058 | ||||
68,174 | Snap-on, Inc. | 11,676,161 | ||||
211,175 | SPX FLOW, Inc.1 | 6,770,271 | ||||
282,400 | Terex Corp. | 8,904,072 | ||||
86,200 | WABCO Holdings, Inc.1 | 9,150,130 | ||||
162,870 | Xylem, Inc. | 8,065,322 | ||||
|
| |||||
91,382,928 | ||||||
|
| |||||
Commercial & Professional Services — 2.4% |
| |||||
117,300 | Dun & Bradstreet Corp. (The) | 14,230,836 | ||||
|
| |||||
Total Industrials | 105,613,764 | |||||
|
| |||||
Information Technology — 14.9% |
| |||||
Semiconductors & Semiconductor Equipment — 2.2% |
| |||||
287,737 | MACOM Technology Solutions Holdings, Inc.1,2 | 13,316,468 | ||||
|
| |||||
Software & Services — 10.4% |
| |||||
137,236 | Broadridge Financial Solutions, Inc. | 9,098,747 | ||||
507,775 | CSRA, Inc. | 16,167,556 | ||||
134,420 | IAC/InterActiveCorp.1 | 8,709,072 | ||||
249,222 | PTC, Inc.1 | 11,531,502 | ||||
150,352 | Vantiv, Inc. — Class A1 | 8,963,986 | ||||
184,258 | Verint Systems, Inc.1 | 6,495,094 | ||||
|
| |||||
60,965,957 | ||||||
|
| |||||
Technology Hardware & Equipment — 2.3% |
| |||||
368,441 | FLIR Systems, Inc. | 13,333,880 | ||||
|
| |||||
Total Information Technology | 87,616,305 | |||||
|
| |||||
Materials — 5.3% |
| |||||
Chemicals — 5.3% |
| |||||
330,188 | GCP Applied Technologies, Inc.1 | 8,832,529 | ||||
168,595 | RPM International, Inc. | 9,075,469 | ||||
197,583 | W.R. Grace & Co. | 13,364,514 | ||||
|
| |||||
Total Materials | 31,272,512 | |||||
|
| |||||
Real Estate — 8.8% |
| |||||
Diversified REIT’s — 1.3% |
| |||||
367,700 | Empire State Realty Trust, Inc. | 7,423,863 | ||||
|
| |||||
Office REIT’s — 3.9% |
| |||||
304,340 | Corporate Office Properties Trust | 9,501,495 | ||||
455,290 | Equity Commonwealth1 | 13,767,970 | ||||
|
| |||||
23,269,465 | ||||||
|
|
See accompanying notes. | CRM Funds | |||
17 |
CRM FUNDS
CRM SMALL/MID CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2016 (Unaudited)
Shares | Value | |||||
Real Estate — (continued) | ||||||
Retail REIT’s — 1.5% | ||||||
317,655 | Urban Edge Properties | $ | 8,738,689 | |||
|
| |||||
Specialized REIT’s — 2.1% | ||||||
244,300 | QTS Realty Trust, Inc. — Class A | 12,129,495 | ||||
|
| |||||
Total Real Estate | 51,561,512 | |||||
|
| |||||
Utilities — 5.2% | ||||||
Utilities: Electrical — 1.9% | ||||||
302,253 | Avangrid, Inc. | 11,449,344 | ||||
|
| |||||
Utilities: Multi — 1.8% | ||||||
475,647 | NiSource, Inc. | 10,530,824 | ||||
|
| |||||
Utilities: Water — 1.5% | ||||||
122,466 | American Water Works Co., Inc. | 8,861,640 | ||||
|
| |||||
Total Utilities | 30,841,808 | |||||
|
| |||||
Total Common Stock | 561,014,572 | |||||
|
| |||||
Short-Term Investments — 2.9% | ||||||
8,362,721 | Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 0.52%4 | 8,362,721 | ||||
8,362,721 | Federated Treasury Obligations Fund Institutional Series, 0.36%4 | 8,362,721 | ||||
|
| |||||
Total Short-Term Investments | 16,725,442 | |||||
|
| |||||
Total Investments Before Short-Term Investments Held As Collateral For Loaned | 577,740,014 | |||||
|
| |||||
Short-Term Investments Held As Collateral For Loaned |
| |||||
Money Market Funds — 1.1% | ||||||
1,095,000 | Blackrock Liquidity Funds Prime Portfolio, 0.49%4 | 1,095,000 | ||||
1,095,000 | Federated Institutional Money Market Management, 0.48%4 | 1,095,000 | ||||
1,095,000 | Fidelity Prime Money Market Portfolio, 0.48%4 | 1,095,000 | ||||
1,095,000 | Invesco Short Term Investments Trust-Liquid Assets, 0.51%4 | 1,095,000 | ||||
1,095,000 | JPMorgan U.S. Government Money Market Fund Capital Shares, 0.51%4 | 1,095,000 | ||||
1,095,000 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio, 0.55%4 | 1,095,000 | ||||
|
| |||||
Total Money Market Funds | 6,570,000 | |||||
|
|
Principal | Value | |||||
Repurchase Agreements — 2.5% | ||||||
$3,577,896 | With Citigroup Global Markets Inc.: at 0.51%, dated 12/30/16, to be repurchased on 01/03/17, repurchase price $3,578,099 (collateralized by US Treasury Securities, par values ranging from $50,367 - $1,206,159, coupon rates ranging from 0.375% to 1.75%, 04/15/20 - 01/15/28; total market value $3,649,454) | $ | 3,577,896 | |||
5,513,732 | With HSBC Securities USA, Inc.: at 0.45%, dated 12/30/16, to be repurchased on 01/03/17, repurchase price $5,514,008 (collateralized by US Treasury Securities, par values ranging from $157,865 - $929,530, coupon rates ranging from 0.875% to 3.00%, 05/15/17 - 05/15/46; total market value $5,624,009) | 5,513,732 | ||||
5,513,732 | With Merrill Lynch Pierce Fenner & Smith, Inc.: at 0.50%, dated 12/30/16,to be repurchased on 01/03/17, repurchase price $5,514,038 (collateralized by US Treasury Securities, par values ranging from $566,013 - $1,829,661, coupon rates ranging from .0685% to 2.00%, 10/31/18 - 11/30/22; total market value $5,624,007) | 5,513,732 | ||||
|
| |||||
Total Repurchase Agreements | 14,605,360 | |||||
|
| |||||
Time Deposits — 0.3% | ||||||
1,010,000 | BNP Paribas (Cayman), 0.52%, 01/03/174 | 1,010,000 | ||||
1,030,000 | LandesBank 0.55%, 01/03/174 | 1,030,000 | ||||
|
| |||||
Total Time Deposits | 2,040,000 | |||||
|
| |||||
Total Short-Term Investments Held As Collateral For Loaned Securities | 23,215,360 | |||||
|
| |||||
Total Investments — 102.2% | $ | 600,955,374 | 5 | |||
Liabilities in Excess of Other Assets — (2.2)% | (13,159,951 | ) | ||||
|
| |||||
Total Net Assets — 100.0% | $ | 587,795,423 | ||||
|
|
See accompanying notes. | CRM Funds | |||
18 |
CRM FUNDS
CRM SMALL/MID CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2016 (Unaudited)
A summary of inputs used to value the Fund’s investments as of December 31, 2016 is as follows (See Note 2 in Notes to Financial Statements):
Investments in Securities (Value) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Unobservable | |||||||||||||||||
Investments in Securities | ||||||||||||||||||||
Common Stock | $ | 561,014,572 | $ | 561,014,572 | — | — | ||||||||||||||
Short-Term Investments | 16,725,442 | 16,725,442 | — | — | ||||||||||||||||
Short-Term Investments Held as Collateral for Loaned Securities | 23,215,360 | 6,570,000 | $ | 16,645,360 | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 600,955,374 | $ | 584,310,014 | $ | 16,645,360 | — | |||||||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1, Level 2, and Level 3 during the six months ended December 31, 2016.
1 | Non-income producing security. |
2 | Security partially or fully on loan. |
3 | PLC — Public Limited Company. |
4 | Rate represents an annualized yield at date of measurement. |
5 | At December 31, 2016, the market value of securities on loan for the CRM Small/Mid Cap Value Fund was $22,647,356. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities. |
See accompanying notes. | CRM Funds | |||
19 |
CRM FUNDS
CRM MID CAP VALUE FUND
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Shares | Value | |||||
Common Stock — 96.6% |
| |||||
Consumer Discretionary — 7.3% | ||||||
Consumer Durables & Apparel — 3.3% |
| |||||
53,941 | Mohawk Industries, Inc.1 | $ | 10,770,939 | |||
79,440 | PVH Corp. | 7,168,666 | ||||
|
| |||||
17,939,605 | ||||||
|
| |||||
Consumer Services — 4.0% |
| |||||
258,275 | Aramark | 9,225,583 | ||||
442,024 | Bloomin’ Brands, Inc. | 7,969,693 | ||||
398,630 | Houghton Mifflin Harcourt Co.1 | 4,325,135 | ||||
|
| |||||
21,520,411 | ||||||
|
| |||||
Total Consumer Discretionary | 39,460,016 | |||||
|
| |||||
Consumer Staples — 6.0% |
| |||||
Food, Beverage & Tobacco — 6.0% |
| |||||
178,885 | Conagra Brands, Inc. | 7,074,902 | ||||
105,265 | Molson Coors Brewing Co. — Class B | 10,243,337 | ||||
206,840 | TreeHouse Foods, Inc.1,2 | 14,931,779 | ||||
|
| |||||
Total Consumer Staples | 32,250,018 | |||||
|
| |||||
Energy — 9.0% |
| |||||
Energy Equipment & Services — 2.3% |
| |||||
191,785 | Baker Hughes, Inc. | 12,460,272 | ||||
|
| |||||
Oil, Gas & Consumable Fuels — 6.7% |
| |||||
230,382 | Continental Resources, Inc.1,2 | 11,873,888 | ||||
226,980 | Energen Corp.1 | 13,089,937 | ||||
61,019 | Pioneer Natural Resources Co. | 10,987,691 | ||||
|
| |||||
35,951,516 | ||||||
|
| |||||
Total Energy | 48,411,788 | |||||
|
| |||||
Financials — 13.8% |
| |||||
Banks — 6.0% |
| |||||
595,075 | KeyCorp. | 10,872,020 | ||||
195,240 | SunTrust Banks, Inc. | 10,708,914 | ||||
249,570 | Zions Bancorporation | 10,741,493 | ||||
|
| |||||
32,322,427 | ||||||
|
| |||||
Diversified Financials — 4.4% |
| |||||
155,296 | Nasdaq, Inc. | 10,423,467 | ||||
149,383 | Northern Trust Corp. | 13,302,556 | ||||
|
| |||||
23,726,023 | ||||||
|
| |||||
Insurance — 3.4% |
| |||||
214,310 | Hartford Financial Services Group, Inc. (The) | 10,211,872 | ||||
66,215 | Willis Towers Watson PLC3 | 8,096,770 | ||||
|
| |||||
18,308,642 | ||||||
|
| |||||
Total Financials | 74,357,092 | |||||
|
| |||||
Health Care — 8.9% |
| |||||
Health Care Equipment & Services — 7.2% |
| |||||
69,115 | C.R. Bard, Inc. | 15,527,376 |
Shares | Value | |||||
Health Care — (continued) |
| |||||
Health Care Equipment & Services — (continued) |
| |||||
212,055 | DENTSPLY SIRONA, Inc. | $ | 12,241,935 | |||
165,841 | STERIS PLC3 | 11,176,025 | ||||
|
| |||||
38,945,336 | ||||||
|
| |||||
Pharmaceuticals, Biotechnology & Life Sciences — 1.7% |
| |||||
165,786 | Zoetis, Inc. | 8,874,525 | ||||
|
| |||||
Total Health Care | 47,819,861 | |||||
|
| |||||
Industrials — 17.9% |
| |||||
Capital Goods — 13.3% |
| |||||
167,510 | Allegion PLC3 | 10,720,640 | ||||
69,725 | Carlisle Cos, Inc. | 7,689,970 | ||||
67,608 | Hubbell, Inc. | 7,889,854 | ||||
267,378 | Johnson Controls International PLC | 11,013,300 | ||||
58,830 | Roper Technologies Inc. | 10,770,596 | ||||
186,765 | SPX FLOW, Inc.1 | 5,987,686 | ||||
68,840 | WABCO Holdings, Inc.1 | 7,307,366 | ||||
213,806 | Xylem, Inc. | 10,587,673 | ||||
|
| |||||
71,967,085 | ||||||
|
| |||||
Commercial & Professional Services — 4.6% |
| |||||
101,635 | Dun & Bradstreet Corp. (The) | 12,330,358 | ||||
354,071 | IHS Markit Ltd.1 | 12,537,654 | ||||
|
| |||||
24,868,012 | ||||||
|
| |||||
Total Industrials | 96,835,097 | |||||
|
| |||||
Information Technology — 16.3% |
| |||||
Semiconductors & Semiconductor Equipment — 1.7% |
| |||||
142,473 | Microchip Technology,Inc.2 | 9,139,643 | ||||
|
| |||||
Software & Services — 8.8% |
| |||||
454,409 | CSRA, Inc. | 14,468,383 | ||||
80,545 | IAC/InterActiveCorp.1 | 5,218,510 | ||||
232,389 | PTC, Inc.1 | 10,752,639 | ||||
243,365 | Total System Services, Inc. | 11,932,186 | ||||
140,455 | Verint Systems, Inc.1 | 4,951,039 | ||||
|
| |||||
47,322,757 | ||||||
|
| |||||
Technology Hardware & Equipment — 5.8% |
| |||||
121,548 | Amphenol Corp. — Class A | 8,168,025 | ||||
129,855 | Harris Corp. | 13,306,242 | ||||
80,655 | Palo Alto Networks, Inc.1 | 10,085,908 | ||||
|
| |||||
31,560,175 | ||||||
|
| |||||
Total Information Technology | 88,022,575 | |||||
|
| |||||
Materials — 3.7% |
| |||||
Chemicals — 2.3% |
| |||||
182,650 | W.R. Grace & Co. | 12,354,446 | ||||
|
| |||||
Containers & Packaging — 1.4% |
| |||||
173,245 | Sealed Air Corp. | 7,854,928 | ||||
|
| |||||
Total Materials | 20,209,374 | |||||
|
| |||||
Real Estate — 8.1% |
| |||||
Office REIT’s — 2.2% |
| |||||
396,280 | Equity Commonwealth1 | 11,983,507 | ||||
|
|
See accompanying notes. | CRM Funds | |||
20 |
CRM FUNDS
CRM MID CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2016 (Unaudited)
Shares | Value | |||||
Real Estate — (continued) |
| |||||
Real Estate — 2.0% | ||||||
105,655 | Vornado Realty Trust | $ | 11,027,212 | |||
|
| |||||
Residential REIT’s — 1.9% | ||||||
102,200 | Mid-America Apartment Communities, Inc. | 10,007,424 | ||||
|
| |||||
Specialized REIT’s — 2.0% | ||||||
30,667 | Equinix, Inc. | 10,960,693 | ||||
|
| |||||
Total Real Estate. | 43,978,836 | |||||
|
| |||||
Utilities — 5.6% |
| |||||
Utilities: Electrical — 1.5% | ||||||
222,020 | Avangrid, Inc. | 8,410,118 | ||||
|
| |||||
Utilities: Multi — 2.3% | ||||||
566,309 | NiSource, Inc. | 12,538,081 | ||||
|
| |||||
Utilities: Water — 1.8% | ||||||
132,317 | American Water Works Co., Inc. | 9,574,458 | ||||
|
| |||||
Total Utilities | 30,522,657 | |||||
|
| |||||
Total Common Stock | 521,867,314 | |||||
|
| |||||
Short-Term Investments — 2.8% |
| |||||
7,592,177 | Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 0.52%4 | 7,592,177 | ||||
7,592,177 | Federated Treasury Obligations Fund Institutional Series, 0.36%4 | 7,592,177 | ||||
|
| |||||
Total Short-Term Investments | 15,184,354 | |||||
|
| |||||
Total Investments Before Short-Term Investments Held As Collateral For Loaned | 537,051,668 | |||||
|
| |||||
Short-Term Investments Held As Collateral For Loaned |
| |||||
Money Market Funds — 0.8% | ||||||
678,000 | BlackRock Liquidity Funds FedFund Portfolio, 0.49%4 | 678,000 | ||||
660,000 | Federated Treasury Obligations Fund, 0.48%4 | 660,000 | ||||
741,000 | Fidelity Institutional Money Market Funds - Government Portfolio, 0.48%4 | 741,000 | ||||
678,000 | Invesco STIT-Liquidity Fund, 0.51%4 | 678,000 | ||||
678,000 | JPMorgan U.S. Government Money Market Fund Capital Shares, 0.51%4 | 678,000 |
Shares | Value | |||||
Money Market Funds — (continued) | ||||||
678,000 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio, 0.55%4 | $ | 678,000 | |||
|
| |||||
Total Money Market Funds | 4,113,000 | |||||
|
| |||||
Principal | ||||||
Repurchase Agreements — 2.0% | ||||||
$ 3,576,236 | With Citigroup Global Markets Inc: at 0.51%, dated 12/30/16, to be repurchased on 01/03/17, repurchase price $3,576,439 (collateralized by US Treasury Securities, par values ranging from $50,343 - $1,205,599, coupon rates ranging from 0.13% to 1.75%, 04/15/20 - 01/15/28; total market value $3,647,761) | 3,576,236 | ||||
3,576,236 | With HSBC Securities USA, Inc.: at 0.45%, dated 12/30/16, to be repurchased on 01/03/17, repurchase price $3,576,415 (collateralized by US Treasury Securities, par values ranging from $102,392 - $602,898, coupon rates ranging from 0.88% to 3.00%, 05/15/17 - 05/15/46; total market value $3,647,762) | 3,576,236 | ||||
215,964 | With JP Morgan Securities LLC: at 0.50%, dated 12/30/16, to be repurchased on 01/03/17, repurchase price $215,976 (collateralized by US Treasury Securities, par value of $9 - $90,040, coupon rate of 0.00% to 1.38%, 04/13/2017 - 08/31/21; total market value $220,285) | 215,964 | ||||
3,576,236 | With Merrill Lynch Pierce Fenner & Smith, Inc.: at 0.50%, dated 12/30/16,to be repurchased on 01/03/17, repurchase price $3,576,435 (collateralized by US Treasury Securities, par values ranging from $367,119 - $1,186,728, coupon rates ranging from 0.69% to 2.00%, 10/31/18 - 11/30/22; total market value $3,647,761) | 3,576,236 | ||||
|
| |||||
Total Repurchase Agreements | 10,944,672 | |||||
|
| |||||
Total Short-Term Investments Held As Collateral For Loaned Securities | 15,057,672 | |||||
|
|
See accompanying notes. | CRM Funds | |||
21 |
CRM FUNDS
CRM MID CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Concluded)
December 31, 2016 (Unaudited)
Value | ||||
Total Investments — 102.2% | $552,109,3405 | |||
Liabilities in Excess of Other Assets — (2.2)% | (11,900,575) | |||
| ||||
Total Net Assets — 100.0% | $540,208,765 | |||
|
A summary of inputs used to value the Fund’s investments as of December 31, 2016 is as follows (See Note 2 in Notes to Financial Statements):
Investments in Securities | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Investments in Securities | ||||||||||||||||||||
Common Stock | $ | 521,867,314 | $ | 521,867,314 | — | — | ||||||||||||||
Short-Term Investments | 15,184,354 | 15,184,354 | — | — | ||||||||||||||||
Short-Term Investments Held as Collateral for Loaned Securities | 15,057,672 | 4,113,000 | $ | 10,944,672 | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 552,109,340 | $ | 541,164,668 | $ | 10,944,672 | — | |||||||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1, Level 2, and Level 3 during the six months ended December 31, 2016.
1 | Non-income producing security. |
2 | Security partially or fully on loan. |
3 | PLC — Public Limited Company. |
4 | Rate represents an annualized yield at date of measurement. |
5 | At December 31, 2016, the market value of securities on loan for the CRM Mid Cap Value Fund was $14,705,297. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities. |
See accompanying notes. | CRM Funds | |||
22 |
CRM FUNDS
CRM LARGE CAP OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Shares | Value | |||||
Common Stock — 96.0% |
| |||||
Consumer Discretionary — 11.2% |
| |||||
Consumer Durables & Apparel — 4.8% |
| |||||
20,740 | Coach, Inc. | $ | 726,315 | |||
9,675 | Mohawk Industries, Inc.1 | 1,931,904 | ||||
19,750 | PVH Corp. | 1,782,240 | ||||
|
| |||||
4,440,459 | ||||||
|
| |||||
Consumer Services — 1.1% | ||||||
37,105 | Hilton Worldwide Holdings, Inc.1 | 1,009,256 | ||||
|
| |||||
Retailing — 5.3% | ||||||
3,243 | AutoZone, Inc.1 | 2,561,289 | ||||
30,260 | Dollar Tree, Inc.1 | 2,335,467 | ||||
|
| |||||
4,896,756 | ||||||
|
| |||||
Total Consumer Discretionary | 10,346,471 | |||||
|
| |||||
Consumer Staples — 2.3% | ||||||
Food, Beverage & Tobacco — 2.3% | ||||||
20,030 | Anheuser-Busch InBev N.V., ADR2 | 2,111,963 | ||||
|
| |||||
Energy — 11.7% | ||||||
Energy Equipment & Services — 3.8% | ||||||
64,250 | Halliburton Co. | 3,475,283 | ||||
|
| |||||
Oil, Gas & Consumable Fuels — 7.9% | ||||||
32,380 | Anadarko Petroleum Corp. | 2,257,857 | ||||
48,165 | Newfield Exploration Co.1 | 1,950,683 | ||||
36,000 | Occidental Petroleum Corp. | 2,564,280 | ||||
46,555 | Whiting Petroleum Corp.1 | 559,591 | ||||
|
| |||||
7,332,411 | ||||||
|
| |||||
Total Energy | 10,807,694 | |||||
|
| |||||
Financials — 23.0% | ||||||
Banks — 15.5% | ||||||
134,037 | Bank of America Corp. | 2,962,218 | ||||
43,420 | JPMorgan Chase & Co. | 3,746,712 | ||||
177,040 | KeyCorp. | 3,234,521 | ||||
23,970 | PNC Financial Services Group, Inc. (The) | 2,803,531 | ||||
29,470 | Wells Fargo & Co. | 1,624,091 | ||||
|
| |||||
14,371,073 | ||||||
|
| |||||
Diversified Financials — 2.4% | ||||||
25,580 | Northern Trust Corp. | 2,277,899 | ||||
|
| |||||
Insurance — 5.1% | ||||||
30,650 | Hartford Financial Services Group, Inc. (The) | 1,460,473 | ||||
26,880 | Marsh & McLennan Cos, Inc. | 1,816,819 | ||||
11,510 | Willis Towers Watson PLC | 1,407,443 | ||||
|
| |||||
4,684,735 | ||||||
|
| |||||
Total Financials | 21,333,707 | |||||
|
| |||||
Health Care — 10.4% | ||||||
Health Care Equipment & Services — 7.4% | ||||||
32,820 | Danaher Corp. | 2,554,709 |
Shares | Value | |||||
Health Care — (continued) |
| |||||
Health Care Equipment & Services — (continued) |
| |||||
37,475 | DENTSPLY SIRONA, Inc. | $ | 2,163,431 | |||
20,135 | Zimmer Biomet Holdings, Inc. | 2,077,932 | ||||
|
| |||||
6,796,072 | ||||||
|
| |||||
Pharmaceuticals, Biotechnology & Life Sciences — 3.0% |
| |||||
13,392 | Allergan PLC1,3 | 2,812,454 | ||||
|
| |||||
Total Health Care | 9,608,526 | |||||
|
| |||||
Industrials — 7.1% |
| |||||
Capital Goods — 2.3% |
| |||||
21,825 | Johnson Controls International PLC3 | 898,972 | ||||
9,290 | Rockwell Automation, Inc. | 1,248,576 | ||||
|
| |||||
2,147,548 | ||||||
|
| |||||
Transportation — 4.8% |
| |||||
10,970 | FedEx Corp. | 2,042,614 | ||||
21,895 | Norfolk Southern Corp. | 2,366,192 | ||||
|
| |||||
4,408,806 | ||||||
|
| |||||
Total Industrials | 6,556,354 | |||||
|
| |||||
Information Technology — 17.5% |
| |||||
Semiconductors & Semiconductor Equipment — 5.5% |
| |||||
14,705 | Broadcom Ltd. | 2,599,403 | ||||
25,525 | NXP Semiconductors NV1 | 2,501,705 | ||||
|
| |||||
5,101,108 | ||||||
|
| |||||
Software & Services — 6.3% |
| |||||
23,465 | Activision Blizzard, Inc. | 847,321 | ||||
51,210 | Total System Services, Inc. | 2,510,826 | ||||
31,830 | Visa, Inc. — Class A | 2,483,377 | ||||
|
| |||||
5,841,524 | ||||||
|
| |||||
Technology Hardware & Equipment — 5.7% |
| |||||
8,483 | Apple, Inc. | 982,501 | ||||
96,450 | Hewlett Packard Enterprise Co. | 2,231,853 | ||||
16,780 | Palo Alto Networks, Inc.1 | 2,098,339 | ||||
|
| |||||
5,312,693 | ||||||
|
| |||||
Total Information Technology | 16,255,325 | |||||
|
| |||||
Materials — 7.3% |
| |||||
Chemicals — 4.9% |
| |||||
18,530 | Air Products & Chemicals, Inc. | 2,664,984 | ||||
19,380 | PPG Industries, Inc. | 1,836,449 | ||||
|
| |||||
4,501,433 | ||||||
|
| |||||
Containers & Packaging — 1.4% |
| |||||
28,810 | Sealed Air Corp. | 1,306,245 | ||||
|
| |||||
Metals & Mining — 1.0% |
| |||||
15,370 | Nucor Corp. | 914,823 | ||||
|
| |||||
Total Materials | 6,722,501 | |||||
|
| |||||
Real Estate — 2.4% |
| |||||
Real Estate — 2.4% |
| |||||
21,250 | Vornado Realty Trust | 2,217,863 | ||||
|
|
See accompanying notes. | CRM Funds | |||
23 |
CRM FUNDS
CRM LARGE CAP OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS (Concluded)
December 31, 2016 (Unaudited)
Shares | Value | |||||
Utilities — 3.1% | ||||||
Utilities: Electrical — 3.1% | ||||||
23,970 | NextEra Energy, Inc. | $ | 2,863,456 | |||
Total Common Stock | 88,823,860 | |||||
|
| |||||
Short-Term Investments — 4.0% | ||||||
1,846,802 | Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 0.52%4 | 1,846,802 | ||||
1,846,803 | Federated Treasury Obligations Fund Institutional Series, 0.36%4 | 1,846,803 | ||||
|
| |||||
Total Short-Term Investments | 3,693,605 | |||||
|
| |||||
Total Investments — 100.0% | 92,517,465 | |||||
Other Assets in Excess of Liabilities — 0.0% | 42,521 | |||||
|
| |||||
Total Net Assets — 100.0% | $ | 92,559,986 | ||||
|
|
A summary of inputs used to value the Fund’s investments as of December 31, 2016 is as follows (See Note 2 in Notes to Financial Statements):
Investments in Securities (Value) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Investments in Securities Common Stock | $88,823,860 | $88,823,860 | — | — | ||||||||||||||||
Short-Term Investments | 3,693,605 | 3,693,605 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $92,517,465 | $92,517,465 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1, Level 2, and Level 3 during the six months ended December 31, 2016.
1 | Non-income producing security. |
2 | ADR — American Depository Receipt. |
3 | PLC — Public Limited Company. |
4 | Rate represents an annualized yield at date of measurement. |
See accompanying notes. | CRM Funds | |||
24 |
CRM FUNDS
CRM ALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Shares | Value | |||||
Common Stock — 96.8% |
| |||||
Consumer Discretionary — 9.6% |
| |||||
Consumer Durables & Apparel — 5.0% |
| |||||
7,570 | Deckers Outdoor Corp.1 | $ | 419,302 | |||
1,680 | Mohawk Industries, Inc.1 | 335,463 | ||||
4,055 | PVH Corp. | 365,923 | ||||
|
| |||||
1,120,688 | ||||||
|
| |||||
Consumer Services — 4.6% |
| |||||
12,415 | Aramark | 443,464 | ||||
22,465 | Houghton Mifflin Harcourt Co.1 | 243,745 | ||||
5,905 | Red Robin Gourmet Burgers, Inc.1 | 333,042 | ||||
|
| |||||
1,020,251 | ||||||
|
| |||||
Total Consumer Discretionary | 2,140,939 | |||||
|
| |||||
Consumer Staples — 3.5% |
| |||||
Food, Beverage & Tobacco — 3.5% |
| |||||
4,455 | Molson Coors Brewing Co. — Class B | 433,516 | ||||
7,930 | Mondelez International, Inc. — Class A | 351,537 | ||||
|
| |||||
Total Consumer Staples | 785,053 | |||||
|
| |||||
Energy — 9.8% | ||||||
Energy Equipment & Services — 3.3% |
| |||||
13,620 | Halliburton Co. | 736,706 | ||||
|
| |||||
Oil, Gas & Consumable Fuels — 6.5% |
| |||||
9,200 | Continental Resources, Inc.1,2 | 474,168 | ||||
6,110 | Energen Corp.1 | 352,363 | ||||
8,725 | Occidental Petroleum Corp. | 621,482 | ||||
|
| |||||
1,448,013 | ||||||
|
| |||||
Total Energy | 2,184,719 | |||||
|
| |||||
Financials — 20.7% | ||||||
Banks — 12.9% |
| |||||
28,790 | Bank of America Corp. | 636,259 | ||||
7,795 | JPMorgan Chase & Co. | 672,630 | ||||
42,425 | KeyCorp. | 775,105 | ||||
3,755 | PNC Financial Services Group, Inc. (The) | 439,185 | ||||
6,800 | SunTrust Banks, Inc. | 372,980 | ||||
|
| |||||
2,896,159 | ||||||
|
| |||||
Diversified Financials — 2.7% |
| |||||
6,665 | Northern Trust Corp. | 593,518 | ||||
|
| |||||
Insurance — 5.1% |
| |||||
5,100 | American International Group, Inc. | 333,081 | ||||
2,650 | Chubb Ltd. | 350,118 | ||||
9,725 | Hartford Financial Services Group, Inc. (The) | 463,397 | ||||
|
| |||||
1,146,596 | ||||||
|
| |||||
Total Financials | 4,636,273 | |||||
|
| |||||
Health Care — 13.1% | ||||||
Health Care Equipment & Services — 7.9% |
| |||||
2,405 | C.R. Bard, Inc. | 540,307 |
Shares | Value | |||||
Health Care — (continued) | ||||||
Health Care Equipment & Services — (continued) |
| |||||
7,860 | CONMED Corp. | $ | 347,176 | |||
5,770 | Danaher Corp. | 449,137 | ||||
6,310 | STERIS PLC3 | 425,231 | ||||
|
| |||||
1,761,851 | ||||||
|
| |||||
Pharmaceuticals, Biotechnology & Life Sciences — 5.2% |
| |||||
4,241 | Allergan PLC1,3 | 890,652 | ||||
10,135 | QIAGEN NV1 | 283,983 | ||||
|
| |||||
1,174,635 | ||||||
|
| |||||
Total Health Care | 2,936,486 | |||||
|
| |||||
Industrials — 10.6% | ||||||
Capital Goods — 2.0% |
| |||||
10,887 | Johnson Controls International PLC3 | 448,435 | ||||
|
| |||||
Commercial & Professional Services — 4.5% |
| |||||
4,350 | Dun & Bradstreet Corp. (The) | 527,742 | ||||
13,670 | IHS Markit Ltd.1 | 484,055 | ||||
|
| |||||
1,011,797 | ||||||
|
| |||||
Transportation — 4.1% |
| |||||
1,780 | FedEx Corp. | 331,436 | ||||
5,370 | Norfolk Southern Corp. | 580,336 | ||||
|
| |||||
911,772 | ||||||
|
| |||||
Total Industrials | 2,372,004 | |||||
|
| |||||
Information Technology — 15.7% | ||||||
Semiconductors & Semiconductor Equipment — 4.5% |
| |||||
2,740 | Broadcom Ltd. | 484,350 | ||||
5,275 | NXP Semiconductors NV1 | 517,002 | ||||
|
| |||||
1,001,352 | ||||||
|
| |||||
Software & Services — 8.0% |
| |||||
9,875 | Activision Blizzard, Inc. | 356,586 | ||||
9,320 | PTC, Inc.1 | 431,236 | ||||
8,990 | Total System Services, Inc. | 440,780 | ||||
7,280 | Visa, Inc. — Class A | 567,986 | ||||
|
| |||||
1,796,588 | ||||||
|
| |||||
Technology Hardware & Equipment — 3.2% |
| |||||
3,195 | Harris Corp. | 327,392 | ||||
3,125 | Palo Alto Networks, Inc.1,2 | 390,781 | ||||
|
| |||||
718,173 | ||||||
|
| |||||
Total Information Technology | 3,516,113 | |||||
|
| |||||
Materials —5.5% | ||||||
Chemicals — 4.5% |
| |||||
3,785 | Air Products & Chemicals, Inc. | 544,359 | ||||
4,885 | PPG Industries, Inc. | 462,902 | ||||
|
| |||||
1,007,261 | ||||||
|
| |||||
Containers & Packaging — 1.0% |
| |||||
4,690 | Sealed Air Corp. | 212,645 | ||||
|
| |||||
Total Materials | 1,219,906 | |||||
|
|
See accompanying notes. | CRM Funds | |||
25 |
CRM FUNDS
CRM ALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2016 (Unaudited)
Shares | Value | |||||
Real Estate — 2.2% |
| |||||
Real Estate — 2.2% |
| |||||
4,740 | Vornado Realty Trust | $ | 494,714 | |||
|
| |||||
Utilities — 6.1% |
| |||||
Utilities: Electrical — 2.3% |
| |||||
4,335 | NextEra Energy, Inc. | 517,859 | ||||
|
| |||||
Utilities: Multi — 2.2% |
| |||||
8,065 | Black Hills Corp.2 | 494,707 | ||||
|
| |||||
Utilities: Water — 1.6% |
| |||||
5,000 | American Water Works Co., Inc. | 361,800 | ||||
|
| |||||
Total Utilities | 1,374,366 | |||||
|
| |||||
Total Common Stock | 21,660,573 | |||||
|
| |||||
Short-Term Investments — 2.7% | ||||||
306,971 | Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 0.52%4 | 306,971 | ||||
306,972 | Federated Treasury Obligations Fund Institutional Series, 0.36%4 | 306,972 | ||||
|
| |||||
Total Short-Term Investments | 613,943 | |||||
|
| |||||
Total Investments Before Short-Term Investments Held As Collateral For Loaned Securities — 99.5% | 22,274,516 | |||||
|
|
Principal | Value | |||||
Short-Term Investments Held As Collateral For Loaned |
| |||||
Repurchase Agreements — 2.2% | ||||||
$483,140 | With HSBC Securities USA, Inc.: at 0.45%, dated 12/30/16, to be repurchased on 01/03/17, repurchase price $483,164 (collateralized by US Treasury Securities, par values ranging from $13,833 - $81,450, coupon rates ranging from 0.88% to 3.00%, 05/15/17 - 05/15/46; total market value $492,803) | |||||
Total Repurchase Agreements | $ | 483,140 | ||||
|
| |||||
Total Short-Term Investments Held As Collateral For Loaned Securities | 483,140 | |||||
|
|
Total Investments — 101.7% | 22,757,656 | 5 | ||||
Liabilities in Excess of Other Assets — (1.7)% | (369,962 | ) | ||||
|
| |||||
Total Net Assets — 100.0% | $ | 22,387,694 | ||||
|
|
See accompanying notes. | CRM Funds | |||
26 |
CRM FUNDS
CRM ALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Concluded)
December 31, 2016 (Unaudited)
A summary of inputs used to value the Fund’s investments as of December 31, 2016 is as follows (See Note 2 in Notes to Financial Statements):
Investments in Securities (Value) | Level 1 Quoted Prices | Level 2 Observable | Level 3 Unobservable Inputs | |||||||||||||||||
Investments in Securities | ||||||||||||||||||||
Common Stock | $ | 21,660,573 | $ | 21,660,573 | — | — | ||||||||||||||
Short-Term Investments | 613,943 | 613,943 | — | — | ||||||||||||||||
Short-Term Investments Held as Collateral for Loaned Securities | 483,140 | — | $ | 483,140 | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 22,757,656 | $ | 22,274,516 | $ | 483,140 | — | |||||||||||||
|
|
|
|
|
|
|
|
There were no transfers between Level 1, Level 2, and Level 3 during the six months ended December 31, 2016.
1 | Non-income producing security. |
2 | Security partially or fully on loan. |
3 | PLC — Public Limited Company. |
4 | Rate represents an annualized yield at date of measurement. |
5 | At December 31, 2016, the market value of securities on loan for the CRM All Cap Value Fund was $472,880. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund,or at its discretion, replace the loaned securities. |
See accompanying notes. | CRM Funds | |||
27 |
CRM FUNDS
CRM INTERNATIONAL OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Shares | Value | |||||
Common Stock — 94.0% |
| |||||
Argentina — 1.3% |
| |||||
2,350 | Banco Macro SA ADR | $ | 151,222 | |||
|
| |||||
Austria — 0.9% |
| |||||
6,023 | Zumtobel Group AG | 107,568 | ||||
|
| |||||
Canada — 2.4% |
| |||||
11,300 | Gildan Activewear, Inc. | 286,681 | ||||
|
| |||||
Chile — 2.4% |
| |||||
69,565 | Parque Arauco SA | 158,854 | ||||
15,450 | SACI Falabella | 122,242 | ||||
|
| |||||
Total Chile | 281,096 | |||||
|
| |||||
China — 1.5% |
| |||||
260,000 | Shandong Weigao Group Medical Polymer Co. Ltd. | 173,160 | ||||
|
| |||||
Czech Republic — 1.2% |
| |||||
45,329 | Moneta Money Bank AS1 | 146,156 | ||||
|
| |||||
Denmark — 3.2% |
| |||||
7,360 | ISS A/S | 248,053 | ||||
3,416 | Royal Unibrew A/S | 131,714 | ||||
|
| |||||
Total Denmark | 379,767 | |||||
|
| |||||
Faroe Islands — 1.1% |
| |||||
3,100 | Bakkafrost P/F | 122,963 | ||||
|
| |||||
Finland — 2.9% |
| |||||
5,935 | Elisa OYJ | 192,659 | ||||
3,415 | Wartsila OYJ Abp | 153,117 | ||||
|
| |||||
Total Finland | 345,776 | |||||
|
| |||||
Germany — 10.9% | ||||||
3,931 | CANCOM SE2 | 186,465 | ||||
6,207 | CTS Eventim AG & Co. KGaA | 195,460 | ||||
17,205 | Deutsche Telekom AG | 295,191 | ||||
2,930 | Fresenius Medical Care AG & Co. KGaA | 247,647 | ||||
1,035 | Linde AG | 169,780 | ||||
2,020 | Pfeiffer Vacuum Technology AG2 | 188,406 | ||||
|
| |||||
Total Germany | 1,282,949 | |||||
|
| |||||
Indonesia — 1.1% | ||||||
143,000 | Bank Rakyat Indonesia | 123,511 | ||||
|
| |||||
Ireland — 9.1% | ||||||
43,775 | C&C Group PLC3 | 177,408 | ||||
174,873 | Cairn Homes PLC1,3 | 248,509 | ||||
64,525 | Dalata Hotel Group PLC1,2,3 | 298,519 | ||||
115,208 | Greencore Group PLC3 | 349,392 | ||||
|
| |||||
Total Ireland | 1,073,828 | |||||
|
| |||||
Israel — 1.3% | ||||||
81,740 | Bezeq The Israeli Telecommunication Corp Ltd. | 155,046 | ||||
|
| |||||
Italy — 2.9% | ||||||
9,000 | Azimut Holding SpA | 149,701 |
Shares | Value | |||||
Italy — (continued) |
| |||||
33,208 | Societa Cattolica di Assicurazioni SCRL | $ | 194,708 | |||
|
| |||||
Total Italy | 344,409 | |||||
|
| |||||
Japan — 16.7% |
| |||||
7,480 | Calbee, Inc. | 233,983 | ||||
6,000 | Hitachi Kokusai Electric, Inc.2 | 124,991 | ||||
32,000 | Hitachi Ltd.1 | 172,549 | ||||
16,650 | Isuzu Motors Ltd. | 210,531 | ||||
2,400 | Kose Corp. | 198,980 | ||||
3,000 | MEIJI Holdings Co. LTD. | 234,685 | ||||
4,700 | Olympus Corp. | 161,937 | ||||
19,900 | Santen Pharmaceutical Co. Ltd. | 242,806 | ||||
2,700 | Secom Co. Ltd. | 197,273 | ||||
12,000 | Shimadzu Corp. | 190,644 | ||||
|
| |||||
Total Japan | 1,968,379 | |||||
|
| |||||
Luxembourg — 2.0% |
| |||||
3,300 | RTL Group SA | 240,315 | ||||
|
| |||||
Mexico — 0.8% |
| |||||
60,384 | Gentera SAB de CV | 97,117 | ||||
|
| |||||
Netherlands — 2.5% |
| |||||
17,484 | RELX NV | 294,080 | ||||
|
| |||||
Norway — 2.0% |
| |||||
56,329 | Europris ASA1 | 240,718 | ||||
|
| |||||
Peru —1.8% |
| |||||
6,748 | Intercorp Financial Services, Inc. | 215,936 | ||||
|
| |||||
Philippines — 2.4% |
| |||||
113,130 | Robinsons Retail Holdings, Inc. | 168,901 | ||||
30,060 | Security Bank Corp. | 114,808 | ||||
|
| |||||
Total Philippines | 283,709 | |||||
|
| |||||
Portugal — 2.2% | ||||||
275,700 | Sonae SGPS SA | 253,366 | ||||
|
| |||||
South Korea — 1.4% | ||||||
1,410 | Hyundai Motor Co. | 170,099 | ||||
|
| |||||
Spain — 1.8% | ||||||
17,890 | Hispania Activos Inmobiliarios SOCIMI SA | 210,124 | ||||
|
| |||||
Sweden — 1.5% | ||||||
4,950 | Hexagon AB — Class B | 176,299 | ||||
|
| |||||
Thailand —1.0% | ||||||
24,100 | Kasikornbank PCL | 119,052 | ||||
|
| |||||
Turkey — 1.7% | ||||||
231,733 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 196,261 | ||||
|
| |||||
United Kingdom — 14.0% | ||||||
30,510 | Beazley PLC3 | 145,831 | ||||
26,400 | Dairy Crest Group PLC2,3 | 201,558 | ||||
37,860 | Direct Line Insurance Group PLC3 | 172,307 | ||||
25,200 | Howden Joinery Group PLC3 | 118,920 | ||||
119,975 | ITV PLC3 | 304,619 |
See accompanying notes. | CRM Funds | |||
28 |
CRM FUNDS
CRM INTERNATIONAL OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2016 (Unaudited)
Shares | Value | |||||
United Kingdom — (continued) | ||||||
10,366 | Kennedy Wilson Europe Real Estate PLC3 | $ | 122,402 | |||
89,600 | Pets at Home Group PLC3 | 263,913 | ||||
13,300 | Smith & Nephew PLC3 | 199,624 | ||||
9,975 | St James’s Place PLC3 | 124,427 | ||||
|
| |||||
Total United Kingdom | 1,653,601 | |||||
|
| |||||
Total Common Stock | 11,093,188 | |||||
|
| |||||
Short-Term Investments — 6.4% | ||||||
379,012 | Federated Treasury Obligations Fund Institutional Series, 0.36%4 | 379,012 | ||||
|
| |||||
379,012 | Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 0.52%4 | 379,012 | ||||
|
| |||||
Total Short-Term Investments | 758,024 | |||||
|
| |||||
Total Investments Before Short-Term Investments Held As Collateral For Loaned Securities — 100.4% | 11,851,212 | |||||
|
|
Principal | Value | |||||
Short-Term Investments Held As Collateral For Loaned |
| |||||
Repurchase Agreements — 4.0% | ||||||
$472,541 | With HSBC Securities USA, Inc.: at 0.45%, dated 12/30/16, to be repurchased on 01/03/17, repurchase price $472,565 (collateralized by US Treasury Securities, par values ranging from $13,529 - $79,663, coupon rates ranging from 0.88% to 3.00%, 05/15/17 - 05/15/46; total market value $481,992) | |||||
Total Repurchase Agreements | $ | 472,541 | ||||
|
| |||||
Total Short-Term Investments Held As Collateral For Loaned Securities | $ | 472,541 | ||||
|
| |||||
Total Investments — 104.4% | 12,323,753 | 5 | ||||
Liabilities in Excess of Other Assets — (4.4)% | (521,290 | ) | ||||
|
| |||||
Total Net Assets — 100.0% | $ | 11,802,463 | ||||
|
|
See accompanying notes. | CRM Funds | |||
29 |
CRM FUNDS
CRM INTERNATIONAL OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2016 (Unaudited)
A summary of inputs used to value the Fund’s investments as of December 31, 2016 is as follows (See Note 2 in Notes to Financial Statements):
Investments in Securities (Value) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Investments in Securities |
| |||||||||||||||||||
Common Stock | ||||||||||||||||||||
Argentina | $ | 151,222 | $ | 151,222 | — | — | ||||||||||||||
Austria | 107,568 | — | $ | 107,568 | — | |||||||||||||||
Canada | 286,681 | 286,681 | — | — | ||||||||||||||||
Chile | 281,096 | 281,096 | — | — | ||||||||||||||||
China | 173,160 | — | 173,160 | — | ||||||||||||||||
Czech Republic | 146,156 | — | 146,156 | — | ||||||||||||||||
Denmark | 379,767 | — | 379,767 | — | ||||||||||||||||
Faroe Islands | 122,963 | — | 122,963 | — | ||||||||||||||||
Finland | 345,776 | — | 345,776 | — | ||||||||||||||||
Germany | 1,282,949 | — | 1,282,949 | — | ||||||||||||||||
Indonesia | 123,511 | — | 123,511 | — | ||||||||||||||||
Ireland | 1,073,828 | 547,028 | 526,800 | — | ||||||||||||||||
Israel | 155,046 | — | 155,046 | — | ||||||||||||||||
Italy | 344,409 | — | 344,409 | — | ||||||||||||||||
Japan | 1,968,379 | — | 1,968,379 | — | ||||||||||||||||
Luxembourg | 240,315 | — | 240,315 | — | ||||||||||||||||
Mexico | 97,117 | 97,117 | — | — | ||||||||||||||||
Netherlands | 294,080 | — | 294,080 | — | ||||||||||||||||
Norway | 240,718 | — | 240,718 | — | ||||||||||||||||
Peru | 215,936 | 215,936 | — | — | ||||||||||||||||
Philippines | 283,709 | — | 283,709 | — | ||||||||||||||||
Portugal | 253,366 | — | 253,366 | — | ||||||||||||||||
South Korea | 170,099 | — | 170,099 | — | ||||||||||||||||
Spain | 210,124 | — | 210,124 | — | ||||||||||||||||
Sweden | 176,299 | — | 176,299 | — | ||||||||||||||||
Thailand | 119,052 | — | 119,052 | — | ||||||||||||||||
Turkey | 196,261 | — | 196,261 | — | ||||||||||||||||
United Kingdom | 1,653,601 | 465,470 | 1,188,131 | — | ||||||||||||||||
Short-Term Investments | 758,024 | 758,024 | — | — | ||||||||||||||||
Short-Term Investments Held as Collateral for Loaned Securities | 472,541 | — | 472,541 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 12,323,753 | $ | 2,802,574 | $ | 9,521,179 | — | |||||||||||||
|
|
|
|
|
|
|
|
Certain foreign securities are fair valued by utilizing an external pricing service in the event of any significant market movements between the time the Fund valued such foreign securities and the earlier closing of foreign markets. Such fair valuations are categorized as Level 2 in the hierarchy. Significant market movements were deemed to have occurred at December 31, 2016 and therefore the Fund utilized the external pricing service model adjustments.
See accompanying notes. | CRM Funds | |||
30 |
CRM FUNDS
CRM INTERNATIONAL OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS (Concluded)
December 31, 2016 (Unaudited)
1 | Non-income producing security. |
2 | Security partially or fully on loan. |
3 | PLC — Public Limited Company. |
4 | Rate represents an annualized yield at date of measurement. |
5 | At December 31, 2016, the market value of securities on loan for the CRM International Opportunity Fund was $448,990. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund,or at its discretion, replace the loaned securities. |
See accompanying notes. | CRM Funds | |||
31 |
CRM FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2016 (Unaudited)
CRM Small Cap Value Fund | CRM Small/Mid Cap Value Fund | CRM Mid Cap Value Fund | CRM Large Cap Opportunity Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments | ||||||||||||||||
Investments, at cost | $ | 365,864,293 | $ | 502,945,462 | $ | 454,494,921 | $ | 83,633,223 | ||||||||
Net unrealized appreciation | 90,963,998 | 98,009,912 | 97,614,419 | 8,884,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investments, at value1 | 456,828,291 | 600,955,374 | 552,109,340 | 92,517,465 | ||||||||||||
Cash | 528,884 | 3,929,148 | 2,649,977 | 24,862 | ||||||||||||
Receivable for fund shares sold | 1,706,481 | 4,304,908 | 972,393 | — | ||||||||||||
Receivable for securities sold | 591,234 | 8,416,932 | 36,420,187 | — | ||||||||||||
Dividends and interest receivable | 417,707 | 697,067 | 516,397 | 130,077 | ||||||||||||
Other assets | 51,683 | 58,574 | 62,912 | 29,454 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 460,124,280 | 618,362,003 | 592,731,206 | 92,701,858 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Obligation to return securities lending collateral | 27,487,146 | 23,215,360 | 15,057,672 | — | ||||||||||||
Payable for fund shares redeemed | 105,464 | 214,360 | 34,871,250 | — | ||||||||||||
Payable for securities purchased | 1,027,610 | 6,540,149 | 1,847,325 | 24,862 | ||||||||||||
Accrued advisory fee | 273,409 | 374,667 | 372,876 | 53,463 | ||||||||||||
Trustees fees | 9,484 | 11,379 | 9,427 | 2,800 | ||||||||||||
Audit and tax fees | 26,336 | 26,336 | 26,336 | 26,336 | ||||||||||||
Other accrued expenses | 108,598 | 184,329 | 337,555 | 34,411 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 29,038,047 | 30,566,580 | 52,522,441 | 141,872 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 431,086,233 | $ | 587,795,423 | $ | 540,208,765 | $ | 92,559,986 | ||||||||
|
|
|
|
|
|
|
| |||||||||
COMPONENTS OF NET ASSETS | ||||||||||||||||
Paid- in- capital | $ | 321,530,564 | $ | 486,431,012 | $ | 441,242,157 | $ | 83,073,880 | ||||||||
Undistributed net investment income | 1,074,439 | 1,299,846 | 3,252,394 | 18,401 | ||||||||||||
Accumulated net realized gain (loss) on investments | 17,517,232 | 2,054,652 | (1,900,205 | ) | 583,463 | |||||||||||
Net unrealized appreciation of investments | 90,963,998 | 98,009,913 | 97,614,419 | 8,884,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 431,086,233 | $ | 587,795,423 | $ | 540,208,765 | $ | 92,559,986 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS BY SHARE CLASS | ||||||||||||||||
Investor Shares | $ | 71,756,439 | $ | 43,806,004 | $ | 308,217,271 | $ | 11,917,596 | ||||||||
Institutional Shares | 359,329,794 | 543,989,419 | 231,991,494 | 80,642,390 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 431,086,233 | $ | 587,795,423 | $ | 540,208,765 | $ | 92,559,986 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARES OF BENEFICIAL INTEREST OUTSTANDING | ||||||||||||||||
($0.01 par value, unlimited authorized shares) | ||||||||||||||||
Investor Shares | 4,079,601 | 3,146,175 | 14,470,262 | 1,300,871 | ||||||||||||
Institutional Shares | 18,089,813 | 38,433,754 | 10,550,214 | 8,792,796 | ||||||||||||
NET ASSET VALUE (OFFERING AND REDEMPTION PRICE PER SHARE) | ||||||||||||||||
Investor Shares | $ | 17.59 | $ | 13.92 | $ | 21.30 | $ | 9.16 | ||||||||
Institutional Shares | $ | 19.86 | $ | 14.15 | $ | 21.99 | $ | 9.17 | ||||||||
1 Includes securities loaned of: | $ | 26,872,139 | $ | 22,647,356 | $ | 14,705,297 | $ | — |
See accompanying notes. | CRM Funds | |||
32 |
CRM FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2016 (Unaudited)
CRM All Cap Value Fund | CRM International Opportunity Fund | |||||||||||||||||||||||||||||
ASSETS: | ||||||||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||
Investments, at cost | $ | 19,397,629 | $ | 12,084,047 | ||||||||||||||||||||||||||
Net unrealized appreciation | 3,360,027 | 239,706 | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Total investments, at value1 | 22,757,656 | 12,323,753 | ||||||||||||||||||||||||||||
Foreign currencies, at value | — | 1,525 | ||||||||||||||||||||||||||||
Cash | — | 90 | ||||||||||||||||||||||||||||
Receivable for fund shares sold | 5,259 | 2 | ||||||||||||||||||||||||||||
Receivable for securities sold | 136,887 | 1,411 | ||||||||||||||||||||||||||||
Receivable from Adviser | — | 6,191 | ||||||||||||||||||||||||||||
Dividends and interest receivable | 25,499 | 1,429 | ||||||||||||||||||||||||||||
Tax reclaim receivable | — | 55,789 | ||||||||||||||||||||||||||||
Other assets | 27,610 | 28,340 | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Total assets | 22,952,911 | 12,418,530 | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
LIABILITIES: | ||||||||||||||||||||||||||||||
Obligation to return securities lending collateral | 483,140 | 472,541 | ||||||||||||||||||||||||||||
Cash overdraft | 113 | — | ||||||||||||||||||||||||||||
Payable for fund shares redeemed | 6,150 | 2 | ||||||||||||||||||||||||||||
Payable for securities purchased | 4,254 | 60,116 | ||||||||||||||||||||||||||||
Accrued advisory fee | 10,545 | — | ||||||||||||||||||||||||||||
Trustees fees | 753 | 440 | ||||||||||||||||||||||||||||
Audit and tax fees | 26,336 | 38,377 | ||||||||||||||||||||||||||||
Other accrued expenses | 33,926 | 44,591 | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Total liabilities | 565,217 | 616,067 | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
NET ASSETS | $ | 22,387,694 | $ | 11,802,463 | ||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
COMPONENTS OF NET ASSETS | ||||||||||||||||||||||||||||||
Paid-in-capital | $ | 18,793,273 | $ | 11,817,164 | ||||||||||||||||||||||||||
Undistributed (distributions in excess of) net investment income | 26,212 | (15,319 | ) | |||||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments | 208,182 | (230,684 | ) | |||||||||||||||||||||||||||
Net unrealized appreciation of investments and foreign currency | 3,360,027 | 231,302 | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
NET ASSETS | $ | 22,387,694 | $ | 11,802,463 | ||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
NET ASSETS BY SHARE CLASS | ||||||||||||||||||||||||||||||
Investor Shares | $ | 18,634,047 | $ | 7,845,213 | ||||||||||||||||||||||||||
Institutional Shares | 3,753,647 | 3,957,250 | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
NET ASSETS | $ | 22,387,694 | $ | 11,802,463 | ||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
SHARES OF BENEFICIAL INTEREST OUTSTANDING | ||||||||||||||||||||||||||||||
($0.01 par value, unlimited authorized shares) | ||||||||||||||||||||||||||||||
Investor Shares | 2,180,379 | 654,703 | ||||||||||||||||||||||||||||
Institutional Shares | 434,064 | 328,979 | ||||||||||||||||||||||||||||
NET ASSET VALUE (OFFERING AND REDEMPTION PRICE PER SHARE) | ||||||||||||||||||||||||||||||
Investor Shares | $ | 8.55 | $ | 11.98 | ||||||||||||||||||||||||||
Institutional Shares | $ | 8.65 | $ | 12.03 | ||||||||||||||||||||||||||
1 Includes securities loaned of: | $ | 472,880 | $ | 448,990 |
See accompanying notes. | CRM Funds | |||
33 |
CRM FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited)
CRM Small Cap | CRM Small/Mid | CRM Mid Cap | CRM Large Cap | |||||||||||||||||
Value Fund | Cap Value Fund | Value Fund | Opportunity Fund | |||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||
Dividends | $ | 3,097,446 | $ | 4,015,299 | $ | 6,419,407 | $ | 1,004,022 | ||||||||||||
Securities lending income | 83,440 | 37,047 | 21,045 | 35 | ||||||||||||||||
Foreign tax withheld | — | — | — | (3,862 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 3,180,886 | 4,052,346 | 6,440,452 | 1,000,195 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
EXPENSES | ||||||||||||||||||||
Investment advisory fees | 1,713,256 | 2,198,201 | 2,238,945 | 319,126 | ||||||||||||||||
Administration and accounting fees | 56,863 | 71,426 | 72,921 | 14,331 | ||||||||||||||||
Custody fees | 16,836 | 25,511 | 23,922 | 4,978 | ||||||||||||||||
Transfer Agent fees | 69,474 | 164,273 | 141,462 | 24,611 | ||||||||||||||||
Shareholder reports | 12,649 | 27,090 | 41,942 | 1,506 | ||||||||||||||||
Shareholder services - Investor Shares | 82,602 | 61,493 | 451,518 | 14,917 | ||||||||||||||||
Trustee fees and expenses | 35,461 | 50,485 | 51,047 | 6,270 | ||||||||||||||||
Insurance fees | 19,174 | 28,112 | 32,886 | 2,375 | ||||||||||||||||
Registration fees | 27,502 | 27,492 | 30,298 | 20,675 | ||||||||||||||||
Audit and tax fees | 20,336 | 20,336 | 20,336 | 20,336 | ||||||||||||||||
Legal fees | 12,977 | 18,541 | 18,757 | 2,271 | ||||||||||||||||
Miscellaneous | 39,417 | 59,522 | 63,998 | 6,920 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 2,106,547 | 2,752,482 | 3,188,032 | 438,316 | ||||||||||||||||
Expenses waived/reimbursed | — | — | — | (40,453 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 2,106,547 | 2,752,482 | 3,188,032 | 397,863 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
NET INVESTMENT INCOME | 1,074,339 | 1,299,864 | 3,252,420 | 602,332 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY | ||||||||||||||||||||
Net realized gain from: | ||||||||||||||||||||
Investments | 35,673,138 | 24,341,558 | 39,617,134 | 3,004,547 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments and foreign currency | 44,574,012 | 35,465,473 | (4,927,218 | ) | 3,250,731 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain on investments and foreign currency | 80,247,150 | 59,807,031 | 34,689,916 | 6,255,278 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
NET INCREASE IN NET ASSETS | ||||||||||||||||||||
RESULTING FROM OPERATIONS | $ | 81,321,489 | $ | 61,106,895 | $ | 37,942,336 | $ | 6,857,610 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes. | CRM Funds | |||
34 |
CRM FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited)
CRM All Cap Value Fund | CRM International Opportunity Fund | ||||||||||||||
INVESTMENT INCOME | |||||||||||||||
Dividends | $ | 282,227 | $ | 88,449 | |||||||||||
Securities lending income | 911 | 1,649 | |||||||||||||
Foreign tax withheld | — | (6,466 | ) | ||||||||||||
|
|
|
| ||||||||||||
Total investment income | 283,138 | 83,632 | |||||||||||||
|
|
|
| ||||||||||||
EXPENSES | |||||||||||||||
Investment advisory fees | 111,479 | 56,636 | |||||||||||||
Administration and accounting fees | 7,570 | 21,798 | |||||||||||||
Custody fees | 5,270 | 19,803 | |||||||||||||
Transfer Agent fees | 21,498 | 20,674 | |||||||||||||
Shareholder reports | 1,690 | 654 | |||||||||||||
Shareholder services - Investor Shares | 24,625 | 10,223 | |||||||||||||
Trustee fees and expenses | 2,006 | 1,084 | |||||||||||||
Insurance fees | 1,049 | 497 | |||||||||||||
Registration fees | 19,023 | 19,265 | |||||||||||||
Audit and tax fees | 20,336 | 25,377 | |||||||||||||
Legal fees. | 719 | 372 | |||||||||||||
Miscellaneous | 2,854 | 2,348 | |||||||||||||
|
|
|
| ||||||||||||
Total expenses | 218,119 | 178,731 | |||||||||||||
Expenses waived/reimbursed | (46,811 | ) | (89,847 | ) | |||||||||||
|
|
|
| ||||||||||||
Net expenses | 171,308 | 88,884 | |||||||||||||
|
|
|
| ||||||||||||
NET INVESTMENT INCOME (LOSS) | 111,830 | (5,252 | ) | ||||||||||||
|
|
|
| ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY | |||||||||||||||
Net realized gain (loss) from: | |||||||||||||||
Investments | 1,344,036 | (114,662 | ) | ||||||||||||
Foreign currency transactions | — | (17,848 | ) | ||||||||||||
Net change in unrealized appreciation on: | |||||||||||||||
Investments and foreign currency | 201,970 | 523,979 | |||||||||||||
|
|
|
| ||||||||||||
Net realized and unrealized gain on investments and foreign currency | 1,546,006 | 391,469 | |||||||||||||
|
|
|
| ||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,657,836 | $ | 386,217 | |||||||||||
|
|
|
|
See accompanying notes. | CRM Funds | |||
35 |
CRM FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
CRM Small Cap Value Fund | ||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||
December 31, 2016 | Year Ended | |||||||||||||||||||
(Unaudited) | June 30, 2016 | |||||||||||||||||||
NET ASSETS - BEGINNING OF PERIOD | $ | 438,216,903 | $ | 519,359,296 | ||||||||||||||||
|
|
|
| |||||||||||||||||
OPERATIONS | ||||||||||||||||||||
Net investment income | 1,074,339 | 2,749,177 | ||||||||||||||||||
Net realized gain from investments and foreign currency | 35,673,138 | 28,427,022 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | 44,574,012 | (44,272,132 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 81,321,489 | (13,095,933 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | ||||||||||||||||||||
Net investment income - Investor Shares | (312,474 | ) | (112,408 | ) | ||||||||||||||||
Net investment income - Institutional Shares | (2,019,903 | ) | (1,134,663 | ) | ||||||||||||||||
Net realized gains on investments - Investor Shares | (4,762,199 | ) | (12,447,576 | ) | ||||||||||||||||
Net realized gains on investments - Institutional Shares | (20,994,650 | ) | (52,717,047 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (28,089,226 | ) | (66,411,694 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||
Sale of shares - Investor Shares | 4,057,744 | 2,605,747 | ||||||||||||||||||
Sale of shares - Institutional Shares | 22,101,949 | 126,391,423 | ||||||||||||||||||
Reinvestment of distributions - Investor Shares | 4,699,441 | 11,557,728 | ||||||||||||||||||
Reinvestment of distributions - Institutional Shares | 21,802,119 | 51,016,071 | ||||||||||||||||||
Redemption of shares - Investor Shares | (5,107,790 | ) | (12,228,750 | ) | ||||||||||||||||
Redemption of shares - Institutional Shares | (107,916,396 | ) | (180,976,985 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net decrease from capital share transactions | (60,362,933 | ) | (1,634,766 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Total decrease in net assets | (7,130,670 | ) | (81,142,393 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
NET ASSETS - END OF PERIOD | $ | 431,086,233 | $ | 438,216,903 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Undistributed net investment income | $ | 1,074,439 | $ | 2,332,477 | ||||||||||||||||
|
|
|
|
See accompanying notes. | CRM Funds | |||
36 |
CRM FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
CRM Small/Mid Cap Value Fund | ||||||||||
Six Month Ended | ||||||||||
December 31, 2016 | Year Ended | |||||||||
(Unaudited) | June 30, 2016 | |||||||||
NET ASSETS - BEGINNING OF PERIOD | $ | 605,732,739 | $ | 895,577,563 | ||||||
|
|
|
| |||||||
OPERATIONS | ||||||||||
Net investment income | 1,299,864 | 13,370,051 | ||||||||
Net realized gain (loss) from investments and foreign currency | 24,341,558 | (28,992,142 | ) | |||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | 35,465,473 | (56,352,185 | ) | |||||||
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 61,106,895 | (71,974,276 | ) | |||||||
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | ||||||||||
Net investment income - Investor Shares | (944,742 | ) | — | |||||||
Net investment income - Institutional Shares | (12,424,792 | ) | — | |||||||
Net realized gains on investments - Investor Shares | — | (6,470,204 | ) | |||||||
Net realized gains on investments - Institutional Shares | — | (74,078,444 | ) | |||||||
|
|
|
| |||||||
Total distributions to shareholders | (13,369,534 | ) | (80,548,648 | ) | ||||||
|
|
|
| |||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||
Sale of shares - Investor Shares | 3,754,147 | 10,606,628 | ||||||||
Sale of shares - Institutional Shares | 29,393,755 | 119,435,856 | ||||||||
Reinvestment of distributions - Investor Shares | 934,871 | 6,455,622 | ||||||||
Reinvestment of distributions - Institutional Shares | 12,399,778 | 73,398,598 | ||||||||
Redemption of shares - Investor Shares | (18,416,852 | ) | (27,424,964 | ) | ||||||
Redemption of shares - Institutional Shares | (93,740,376 | ) | (319,793,640 | ) | ||||||
|
|
|
| |||||||
Net decrease from capital share transactions | (65,674,677 | ) | (137,321,900 | ) | ||||||
|
|
|
| |||||||
Total decrease in net assets | (17,937,316 | ) | (289,844,824 | ) | ||||||
|
|
|
| |||||||
NET ASSETS - END OF PERIOD | $ | 587,795,423 | $ | 605,732,739 | ||||||
|
|
|
| |||||||
Undistributed net investment income | $ | 1,299,846 | $ | 13,369,516 | ||||||
|
|
|
|
See accompanying notes. | CRM Funds | |||
37 |
CRM FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
CRM Mid Cap Value Fund | ||||||||||
Six Months Ended | ||||||||||
December 31, 2016 | Year Ended | |||||||||
(Unaudited) | June 30, 2016 | |||||||||
NET ASSETS - BEGINNING OF PERIOD | $ | 594,582,861 | $ | 1,197,750,767 | ||||||
|
|
|
| |||||||
OPERATIONS | ||||||||||
Net investment income | 3,252,420 | 11,554,550 | ||||||||
Net realized gain from investments and foreign currency | 39,617,134 | 35,521,503 | ||||||||
Net change in unrealized depreciation on investments and foreign currency | (4,927,218 | ) | (91,637,071 | ) | ||||||
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 37,942,336 | (44,561,018 | ) | |||||||
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | ||||||||||
Net investment income - Investor Shares | (26,153 | ) | (4,071,828 | ) | ||||||
Net investment income - Institutional Shares | (394,582 | ) | (7,742,790 | ) | ||||||
Net realized gains on investments - Investor Shares | (13,796,223 | ) | (102,386,426 | ) | ||||||
Net realized gains on investments - Institutional Shares | (8,979,025 | ) | (162,476,387 | ) | ||||||
|
|
|
| |||||||
Total distributions to shareholders | (23,195,983 | ) | (276,677,431 | ) | ||||||
|
|
|
| |||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||
Sale of shares - Investor Shares | 20,306,795 | 35,780,889 | ||||||||
Sale of shares - Institutional Shares | 21,977,943 | 60,984,966 | ||||||||
Reinvestment of distributions - Investor Shares | 13,786,959 | 106,141,945 | ||||||||
Reinvestment of distributions - Institutional Shares | 8,587,050 | 159,837,763 | ||||||||
Redemption of shares - Investor Shares | (92,001,041 | ) | (138,783,185 | ) | ||||||
Redemption of shares - Institutional Shares | (41,778,155 | ) | (505,891,835 | ) | ||||||
|
|
|
| |||||||
Net decrease from capital share transactions | (69,120,449 | ) | (281,929,457 | ) | ||||||
|
|
|
| |||||||
Total decrease in net assets | (54,374,096 | ) | (603,167,906 | ) | ||||||
|
|
|
| |||||||
NET ASSETS - END OF PERIOD | $ | 540,208,765 | $ | 594,582,861 | ||||||
|
|
|
| |||||||
Undistributed net investment income | $ | 3,252,394 | $ | 420,709 | ||||||
|
|
|
|
See accompanying notes. | CRM Funds | |||
38 |
CRM FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
CRM Large Cap Opportunity Fund | ||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||
December 31, 2016 | Year Ended | |||||||||||||||||||
(Unaudited) | June 30, 2016 | |||||||||||||||||||
NET ASSETS - BEGINNING OF PERIOD | $ | 72,969,987 | $ | 33,615,951 | ||||||||||||||||
|
|
|
| |||||||||||||||||
OPERATIONS | ||||||||||||||||||||
Net investment income | 602,332 | 437,161 | ||||||||||||||||||
Net realized gain (loss) from investments and foreign currency | 3,004,547 | (896,073 | ) | |||||||||||||||||
Net change in unrealized appreciation on investments and foreign currency | 3,250,731 | 2,734,506 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Net increase in net assets resulting from operations | 6,857,610 | 2,275,594 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | ||||||||||||||||||||
Net investment income - Investor Shares | (84,202 | ) | (16,753 | ) | ||||||||||||||||
Net investment income - Institutional Shares | (767,078 | ) | (183,652 | ) | ||||||||||||||||
Net realized gains on investments - Investor Shares | (89,828 | ) | (966,162 | ) | ||||||||||||||||
Net realized gains on investments - Institutional Shares | (608,477 | ) | (3,597,294 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (1,549,585 | ) | (4,763,861 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||||||
Sale of shares - Investor Shares | 38,967 | 583,531 | ||||||||||||||||||
Sale of shares - Institutional Shares | 18,340,921 | 45,151,321 | ||||||||||||||||||
Reinvestment of distributions - Investor Shares | 166,309 | 945,717 | ||||||||||||||||||
Reinvestment of distributions - Institutional Shares | 300,612 | 1,587,884 | ||||||||||||||||||
Redemption of shares - Investor Shares | (988,712 | ) | (1,068,191 | ) | ||||||||||||||||
Redemption of shares - Institutional Shares | (3,576,123 | ) | (5,357,959 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net increase from capital share transactions | 14,281,974 | 41,842,303 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Total increase in net assets | 19,589,999 | 39,354,036 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
NET ASSETS - END OF PERIOD | $ | 92,559,986 | $ | 72,969,987 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Undistributed net investment income | $ | 18,401 | $ | 267,349 | ||||||||||||||||
|
|
|
|
See accompanying notes. | CRM Funds | |||
39 |
CRM FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
CRM All Cap Value Fund | ||||||||||
Six Months Ended | ||||||||||
December 31, 2016 | Year Ended | |||||||||
(Unaudited) | June 30, 2016 | |||||||||
NET ASSETS - BEGINNING OF PERIOD | $ | 23,328,299 | $ | 29,682,592 | ||||||
|
|
|
| |||||||
OPERATIONS | ||||||||||
Net investment income | 111,830 | 205,566 | ||||||||
Net realized gain from investments and foreign currency | 1,344,036 | 674,174 | ||||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | 201,970 | (823,062 | ) | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 1,657,836 | 56,678 | ||||||||
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | ||||||||||
Net investment income - Investor Shares | (70,732 | ) | (142,587 | ) | ||||||
Net investment income - Institutional Shares | (23,644 | ) | (54,211 | ) | ||||||
Net realized gains on investments - Investor Shares | (782,915 | ) | (4,945,005 | ) | ||||||
Net realized gains on investments - Institutional Shares | (154,859 | ) | (1,326,974 | ) | ||||||
|
|
|
| |||||||
Total distributions to shareholders | (1,032,150 | ) | (6,468,777 | ) | ||||||
|
|
|
| |||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||
Sale of shares - Investor Shares | 1,190,952 | 2,675,055 | ||||||||
Sale of shares - Institutional Shares | 721 | 417,779 | ||||||||
Reinvestment of distributions - Investor Shares | 784,124 | 4,689,435 | ||||||||
Reinvestment of distributions - Institutional Shares | 168,192 | 1,308,458 | ||||||||
Redemption of shares - Investor Shares | (3,584,979 | ) | (6,030,708 | ) | ||||||
Redemption of shares - Institutional Shares | (125,301 | ) | (3,002,213 | ) | ||||||
|
|
|
| |||||||
Net increase (decrease) from capital share transactions | (1,566,291 | ) | 57,806 | |||||||
|
|
|
| |||||||
Total decrease in net assets | (940,605 | ) | (6,354,293 | ) | ||||||
|
|
|
| |||||||
NET ASSETS - END OF PERIOD | $ | 22,387,694 | $ | 23,328,299 | ||||||
|
|
|
| |||||||
Undistributed net investment income | $ | 26,212 | $ | 8,758 | ||||||
|
|
|
|
See accompanying notes. | CRM Funds | |||
40 |
CRM FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
CRM International Opportunity Fund | ||||||||||
Six Months Ended | ||||||||||
December 31, 2016 | Year Ended | |||||||||
(Unaudited) | June 30, 2016 | |||||||||
NET ASSETS - BEGINNING OF PERIOD | $ | 12,473,851 | $ | 11,209,390 | ||||||
|
|
|
| |||||||
OPERATIONS | ||||||||||
Net investment income (loss) | (5,252 | ) | 141,721 | |||||||
Net realized gain (loss) from investments and foreign currency | (132,510 | ) | 189,614 | |||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | 523,979 | (753,904) | ||||||||
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | 386,217 | (422,569) | ||||||||
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | ||||||||||
Net investment income - Investor Shares | (67,518 | ) | (26,798) | |||||||
Net investment income - Institutional Shares | (44,400 | ) | (19,723) | |||||||
Net realized gains on investments - Investor Shares | — | (698,424) | ||||||||
Net realized gains on investments - Institutional Shares | — | (298,856) | ||||||||
|
|
|
| |||||||
Total distributions to shareholders | (111,918 | ) | (1,043,801) | |||||||
|
|
|
| |||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||
Sale of shares - Investor Shares | 7,158 | 994,494 | ||||||||
Sale of shares - Institutional Shares | 275 | 1,359,925 | ||||||||
Reinvestment of distributions - Investor Shares | 66,281 | 711,737 | ||||||||
Reinvestment of distributions - Institutional Shares | 43,786 | 295,219 | ||||||||
Redemption of shares - Investor Shares | (301,577 | ) | (511,832) | |||||||
Redemption of shares - Institutional Shares | (763,437 | ) | (120,366) | |||||||
Redemption fee - Investor Shares | 1,108 | 1,073 | ||||||||
Redemption fee - Institutional Shares | 719 | 581 | ||||||||
|
|
|
| |||||||
Net increase (decrease) from capital share transactions | (945,687 | ) | 2,730,831 | |||||||
|
|
|
| |||||||
Total increase (decrease) in net assets | (671,388 | ) | 1,264,461 | |||||||
|
|
|
| |||||||
NET ASSETS - END OF PERIOD | $ | 11,802,463 | $ | 12,473,851 | ||||||
|
|
|
| |||||||
Undistributed (distributions in excess of) net investment income | $ | (15,319 | ) | $ | 101,851 | |||||
|
|
|
|
See accompanying��notes. | CRM Funds | |||
41 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the financial statements. The total returns in the tables represent the rate an investor would have earned or lost on an investment in the funds (assuming reinvestment of all dividends and distributions). This information should be read in conjunction with the financial statements and notes thereto.
CRM Small Cap Value Fund — Investor Shares | ||||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||||
(Unaudited)1 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 15.86 | $ | 19.98 | $ | 23.54 | $ | 21.94 | $ | 18.02 | $ | 24.08 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.02 | 0.08 | —3 | 0.08 | 0.184 | 0.13 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.04 | (0.66 | ) | 1.32 | 4.43 | 4.08 | (2.88 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 3.06 | (0.58 | ) | 1.32 | 4.51 | 4.26 | (2.75 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.03 | ) | (0.07 | ) | (0.04 | ) | (0.34 | ) | — | |||||||||||||||||||
From net realized gains on investments | (1.25 | ) | (3.51 | ) | (4.81 | ) | (2.87 | ) | — | (3.31 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total distributions to shareholders | (1.33 | ) | (3.54 | ) | (4.88 | ) | (2.91 | ) | (0.34 | ) | (3.31 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value — End of Period | $ | 17.59 | $ | 15.86 | $ | 19.98 | $ | 23.54 | $ | 21.94 | $ | 18.02 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return | 19.10 | % | (2.13 | )% | 7.14 | % | 21.39 | % | 24.00 | % | (9.58 | )% | ||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||
Expenses | 1.13 | % | 1.12 | % | 1.09 | % | 1.07 | % | 1.08 | % | 1.08 | % | ||||||||||||||||||
Net investment income | 0.29 | % | 0.50 | % | 0.02 | % | 0.32 | % | 0.88 | %4 | 0.71 | % | ||||||||||||||||||
Portfolio turnover rate | 57 | % | 68 | % | 83 | % | 66 | % | 77 | % | 103 | % | ||||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 71,756 | $ | 61,529 | $ | 74,037 | $ | 81,948 | $ | 104,155 | $ | 101,747 |
1 | For the six months ended December 31, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
3 | Amount represents less than $0.005. |
4 | For the year ended June 30, 2013, net investment income per share reflects special dividends which amounted to $0.09 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.38%. |
See accompanying notes. | CRM Funds | |||
42 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Small Cap Value Fund — Institutional Shares | ||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||
(Unaudited)1 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 17.78 | $ | 21.94 | $ | 25.37 | $ | 23.45 | $ | 19.24 | $ | 25.43 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income2 | 0.04 | 0.13 | 0.05 | 0.13 | 0.23 | 3 | 0.21 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.41 | (0.70 | ) | 1.45 | 4.75 | 4.37 | (3.05 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | 3.45 | (0.57 | ) | 1.50 | 4.88 | 4.60 | (2.84 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.12 | ) | (0.08 | ) | (0.12 | ) | (0.09 | ) | (0.39 | ) | (0.04 | ) | ||||||||||||||||
From net realized gains on investments | (1.25 | ) | (3.51 | ) | (4.81 | ) | (2.87 | ) | — | (3.31 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (1.37 | ) | (3.59 | ) | (4.93 | ) | (2.96 | ) | (0.39 | ) | (3.35 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 19.86 | $ | 17.78 | $ | 21.94 | $ | 25.37 | $ | 23.45 | $ | 19.24 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | 19.21 | % | (1.89 | )% | 7.39 | % | 21.63 | % | 24.27 | % | (9.36 | )% | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses | 0.89 | % | 0.89 | % | 0.86 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||||||||
Net investment income | 0.50 | % | 0.70 | % | 0.22 | % | 0.53 | % | 1.10 | %3 | 1.02 | % | ||||||||||||||||
Portfolio turnover rate | 57 | % | 68 | % | 83 | % | 66 | % | 77 | % | 103 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 359,330 | $ | 376,688 | $ | 445,322 | $ | 707,921 | $ | 634,031 | $ | 625,090 |
1 | For the six months ended December 31, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
3 | For the year ended June 30, 2013, net investment income per share reflects special dividends which amounted to $0.10 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.60%. |
See accompanying notes. | CRM Funds | |||
43 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Small/Mid Cap Value Fund — Investor Shares | ||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||
(Unaudited)1 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 12.81 | $ | 15.41 | $ | 18.66 | $ | 16.94 | $ | 14.12 | $ | 15.97 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income2 | 0.02 | 0.23 | 3 | 0.07 | 0.05 | 0.05 | 0.03 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.39 | (1.36 | ) | 0.26 | 3.94 | 3.06 | (0.72 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | 1.41 | (1.13 | ) | 0.33 | 3.99 | 3.11 | (0.69 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.30 | ) | — | (0.10 | ) | (0.02 | ) | (0.09 | ) | — | ||||||||||||||||||
From net realized gains on investments | — | (1.47 | ) | (3.48 | ) | (2.25 | ) | (0.20 | ) | (1.16 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (0.30 | ) | (1.47 | ) | (3.58 | ) | (2.27 | ) | (0.29 | ) | (1.16 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 13.92 | $ | 12.81 | $ | 15.41 | $ | 18.66 | $ | 16.94 | $ | 14.12 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | 10.93 | % | (6.91 | )% | 3.16 | % | 25.09 | % | 22.33 | % | (3.23 | )% | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses | 1.14 | % | 1.12 | % | 1.08 | % | 1.07 | % | 1.08 | % | 1.08 | % | ||||||||||||||||
Net investment income | 0.22 | % | 1.75 | %3 | 0.39 | % | 0.27 | % | 0.32 | % | 0.18 | % | ||||||||||||||||
Portfolio turnover rate | 38 | % | 72 | % | 82 | % | 86 | % | 96 | % | 96 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 43,806 | $ | 53,393 | $ | 75,621 | $ | 274,988 | $ | 245,267 | $ | 182,394 |
1 | For the six months ended December 31, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
3 | For the year ended June 30, 2016, net investment income per share reflects special dividends which amounted to $0.19 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.24%. |
See accompanying notes. | CRM Funds | |||
44 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Small/Mid Cap Value Fund — Institutional Shares | ||||||||||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||||||||||
(Unaudited)1 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 13.03 | $ | 15.62 | $ | 18.93 | $ | 17.16 | $ | 14.29 | $ | 16.12 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.04 | 0.25 | 3 | 0.13 | 0.09 | 0.09 | 0.05 | |||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.41 | (1.37 | ) | 0.24 | 3.99 | 3.10 | (0.72 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total from investment operations | 1.45 | (1.12 | ) | 0.37 | 4.08 | 3.19 | (0.67 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
From net investment income | (0.33 | ) | — | (0.20 | ) | (0.06 | ) | (0.12 | ) | — | ||||||||||||||||||||||||||
From net realized gains on investments | — | (1.47 | ) | (3.48 | ) | (2.25 | ) | (0.20 | ) | (1.16 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total distributions to shareholders | (0.33 | ) | (1.47 | ) | (3.68 | ) | (2.31 | ) | (0.32 | ) | (1.16 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net Asset Value — End of Period | $ | 14.15 | $ | 13.03 | $ | 15.62 | $ | 18.93 | $ | 17.16 | $ | 14.29 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Return | 11.09 | % | (6.74 | )% | 3.41 | % | 25.34 | % | 22.65 | % | (3.07 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses | 0.92 | % | 0.90 | % | 0.87 | % | 0.85 | % | 0.87 | % | 0.87 | % | ||||||||||||||||||||||||
Net investment income | 0.46 | % | 1.90 | %3 | 0.80 | % | 0.49 | % | 0.55 | % | 0.38 | % | ||||||||||||||||||||||||
Portfolio turnover rate | 38 | % | 72 | % | 82 | % | 86 | % | 96 | % | 96 | % | ||||||||||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 543,989 | $ | 552,340 | $ | 819,957 | $ | 881,179 | $ | 720,912 | $ | 616,731 |
1 | For the six months ended December 31, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
3 | For the year ended June 30, 2016, net investment income per share reflects special dividends which amounted to $0.19 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.46%. |
See accompanying notes. | CRM Funds | |||
45 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Mid Cap Value Fund — Investor Shares | ||||||||||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||||||||||
(Unaudited)1 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 20.80 | $ | 28.93 | $ | 35.61 | $ | 34.36 | $ | 28.14 | $ | 30.48 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.11 | 0.25 | 3 | 0.15 | 0.12 | 0.24 | 0.20 | |||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.26 | (0.51 | ) | 1.31 | 7.12 | 6.30 | (2.40 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total from investment operations | 1.37 | (0.26 | ) | 1.46 | 7.24 | 6.54 | (2.20 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
From net investment income | — | 4 | (0.30 | ) | (0.19 | ) | (0.18 | ) | (0.32 | ) | (0.14 | ) | ||||||||||||||||||||||||
From net realized gains on investments | (0.87 | ) | (7.57 | ) | (7.95 | ) | (5.81 | ) | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total distributions to shareholders | (0.87 | ) | (7.87 | ) | (8.14 | ) | (5.99 | ) | (0.32 | ) | (0.14 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net Asset Value — End of Period | $ | 21.30 | $ | 20.80 | $ | 28.93 | $ | 35.61 | $ | 34.36 | $ | 28.14 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Return | 6.53 | % | 1.43 | % | 5.73 | % | 22.95 | % | 23.43 | % | (7.16 | )% | ||||||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses | 1.15 | % | 1.13 | % | 1.05 | % | 1.03 | % | 1.02 | % | 1.02 | % | ||||||||||||||||||||||||
Net investment income | 1.01 | % | 1.11 | %3 | 0.49 | % | 0.35 | % | 0.78 | % | 0.73 | % | ||||||||||||||||||||||||
Portfolio turnover rate | 36 | % | 76 | % | 105 | % | 77 | % | 91 | % | 105 | % | ||||||||||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 308,217 | $ | 357,232 | $ | 461,579 | $ | 654,431 | $ | 844,632 | $ | 1,062,429 |
1 | For the six months ended December 31, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
3 | For the year ended June 30, 2016, net investment income per share reflects special dividends which amounted to $0.20 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.21%. |
4 | Amount represents less than $0.005. |
See accompanying notes. | CRM Funds | |||
46 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Mid Cap Value Fund — Institutional Shares | ||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||
(Unaudited)1 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 21.46 | $ | 29.60 | $ | 36.27 | $ | 34.90 | $ | 28.60 | $ | 30.98 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income2 | 0.13 | 0.39 | 3 | 0.22 | 0.21 | 0.32 | 0.26 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.31 | (0.60 | ) | 1.33 | 7.23 | 6.38 | (2.44 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | 1.44 | (0.21 | ) | 1.55 | 7.44 | 6.70 | (2.18 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.36 | ) | (0.27 | ) | (0.26 | ) | (0.40 | ) | (0.20 | ) | ||||||||||||||||
From net realized gains on investments | (0.87 | ) | (7.57 | ) | (7.95 | ) | (5.81 | ) | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (0.91 | ) | (7.93 | ) | (8.22 | ) | (6.07 | ) | (0.40 | ) | (0.20 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 21.99 | $ | 21.46 | $ | 29.60 | $ | 36.27 | $ | 34.90 | $ | 28.60 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | 6.64 | % | 1.61 | % | 5.91 | % | 23.22 | % | 23.68 | % | (6.95 | )% | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses | 0.94 | % | 0.95 | % | 0.85 | % | 0.81 | % | 0.81 | % | 0.81 | % | ||||||||||||||||
Net investment income | 1.21 | % | 1.60 | %3 | 0.70 | % | 0.57 | % | 1.00 | % | 0.94 | % | ||||||||||||||||
Portfolio turnover rate | 36 | % | 76 | % | 105 | % | 77 | % | 91 | % | 105 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 231,991 | $ | 237,351 | $ | 736,171 | $ | 1,856,591 | $ | 2,034,380 | $ | 2,177,845 |
1 | For the six months ended December 31, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
3 | For the year ended June 30, 2016, net investment income per share reflects special dividends which amounted to $0.28 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.43%. |
See accompanying notes. | CRM Funds | |||
47 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Large Cap Opportunity Fund — Investor Shares | ||||||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||||||
(Unaudited)1 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 8.56 | $ | 9.48 | $ | 12.23 | $ | 12.27 | $ | 10.88 | $ | 10.91 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||||||
Net investment income2 | 0.05 | 0.05 | 0.02 | 0.07 | 0.10 | 0.08 | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.69 | (0.21 | ) | 0.78 | 2.28 | 1.94 | (0.07 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment operations | 0.74 | (0.16 | ) | 0.80 | 2.35 | 2.04 | 0.01 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.01 | ) | (0.06 | ) | (0.15 | ) | (0.10 | ) | (0.04 | ) | ||||||||||||||||||||
From net realized gains on investments | (0.07 | ) | (0.75 | ) | (3.49 | ) | (2.24 | ) | (0.55 | ) | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total distributions to shareholders | (0.14 | ) | (0.76 | ) | (3.55 | ) | (2.39 | ) | (0.65 | ) | (0.04 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Asset Value — End of Period | $ | 9.16 | $ | 8.56 | $ | 9.48 | $ | 12.23 | $ | 12.27 | $ | 10.88 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Return | 8.56 | % | (1.47 | )% | 8.42 | % | 21.24 | % | 19.61 | % | 0.15 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||
Expenses, including waiver/reimbursement | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | ||||||||||||||||||||
Expenses, excluding waiver/reimbursement | 1.24 | % | 1.33 | % | 1.42 | % | 1.35 | % | 1.31 | % | 1.33 | % | ||||||||||||||||||||
Net investment income, including waiver/reimbursement | 1.14 | % | 0.58 | % | 0.20 | % | 0.54 | % | 0.88 | % | 0.74 | % | ||||||||||||||||||||
Portfolio turnover rate | 58 | % | 121 | % | 132 | % | 89 | % | 113 | % | 126 | % | ||||||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 11,918 | $ | 11,906 | $ | 12,604 | $ | 15,858 | $ | 20,816 | $ | 19,131 |
1 | For the six months ended December 31, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
See accompanying notes. | CRM Funds | |||
48 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Large Cap Opportunity Fund — Institutional Shares | ||||||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||||||
(Unaudited)1 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 8.58 | $ | 9.50 | $ | 12.25 | $ | 12.30 | $ | 10.91 | $ | 10.95 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||||||
Net investment income2 | 0.07 | 0.07 | 0.05 | 0.10 | 0.13 | 0.09 | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.68 | (0.20 | ) | 0.78 | 2.28 | 1.94 | (0.06 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment operations | 0.75 | (0.13 | ) | 0.83 | 2.38 | 2.07 | 0.03 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
From net investment income | (0.09 | ) | (0.04 | ) | (0.09 | ) | (0.19 | ) | (0.13 | ) | (0.07 | ) | ||||||||||||||||||||
From net realized gains on investments | (0.07 | ) | (0.75 | ) | (3.49 | ) | (2.24 | ) | (0.55 | ) | — | |||||||||||||||||||||
|
|
|
| �� |
|
|
|
|
|
|
| |||||||||||||||||||||
Total distributions to shareholders | (0.16 | ) | (0.79 | ) | (3.58 | ) | (2.43 | ) | (0.68 | ) | (0.07 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Asset Value — End of Period | $ | 9.17 | $ | 8.58 | $ | 9.50 | $ | 12.25 | $ | 12.30 | $ | 10.91 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Return | 8.69 | % | (1.18 | )% | 8.69 | % | 21.52 | % | 19.87 | % | 0.34 | % | ||||||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||
Expenses, including waiver/reimbursement | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||||||||||||
Expenses, excluding waiver/reimbursement | 1.00 | % | 1.04 | % | 1.17 | % | 1.10 | % | 1.07 | % | 1.09 | % | ||||||||||||||||||||
Net investment income, including waiver/reimbursement | 1.46 | % | 0.87 | % | 0.45 | % | 0.78 | % | 1.15 | % | 0.93 | % | ||||||||||||||||||||
Portfolio turnover rate | 58 | % | 121 | % | 132 | % | 89 | % | 113 | % | 126 | % | ||||||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 80,642 | $ | 61,064 | $ | 21,012 | $ | 25,861 | $ | 42,914 | $ | 24,210 |
1 | For the six months ended December 31, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
See accompanying notes. | CRM Funds | |||
49 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM All Cap Value Fund — Investor Shares | ||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||
(Unaudited)1 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 8.32 | $ | 10.72 | $ | 12.99 | $ | 11.88 | $ | 9.92 | $ | 10.89 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss)2 | 0.04 | 0.06 | (0.01 | ) | 0.02 | 0.11 | 3 | — | 4 | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.58 | (0.08 | ) | 0.51 | 2.23 | 1.98 | (0.75 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | 0.62 | (0.02 | ) | 0.50 | 2.25 | 2.09 | (0.75 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.07 | ) | (0.02 | ) | (0.03 | ) | (0.10 | ) | — | |||||||||||||||||
From net realized gains on investments | (0.36 | ) | (2.31 | ) | (2.75 | ) | (1.11 | ) | (0.03 | ) | (0.22 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (0.39 | ) | (2.38 | ) | (2.77 | ) | (1.14 | ) | (0.13 | ) | (0.22 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 8.55 | $ | 8.32 | $ | 10.72 | $ | 12.99 | $ | 11.88 | $ | 9.92 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | 7.49 | % | 0.87 | % | 5.48 | % | 19.87 | % | 21.26 | % | (6.61 | )% | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, including waiver/reimbursement | 1.50 | % | 1.50 | % | 1.50 | % | 1.45 | % | 1.49 | % | 1.50 | % | ||||||||||||||||
Expenses, excluding waiver/reimbursement | 1.90 | % | 1.76 | % | 1.59 | % | 1.45 | % | 1.49 | % | 1.58 | % | ||||||||||||||||
Net investment income (loss), including waiver/reimbursement | 0.91 | % | 0.72 | % | (0.08 | )% | 0.18 | % | 0.98 | %3 | 0.04 | % | ||||||||||||||||
Portfolio turnover rate | 47 | % | 91 | % | 97 | % | 76 | % | 113 | % | 145 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 18,634 | $ | 19,708 | $ | 23,367 | $ | 41,279 | $ | 37,537 | $ | 24,224 |
1 | For the six months ended December 31, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
3 | For the year ended June 30, 2013, net investment income per share reflects special dividends which amounted to $0.06 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.47%. |
4 | Amount represents less than $0.005. |
See accompanying notes. | CRM Funds | |||
50 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM All Cap Value Fund — Institutional Shares | ||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||
(Unaudited)1 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 8.44 | $ | 10.84 | $ | 13.10 | $ | 11.97 | $ | 10.00 | $ | 10.95 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income2 | 0.05 | 0.10 | 0.02 | 0.06 | 0.13 | 3 | 0.04 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.58 | (0.10 | ) | 0.53 | 2.24 | 2.00 | (0.77 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | 0.63 | — | 0.55 | 2.30 | 2.13 | (0.73 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.06 | ) | (0.09 | ) | (0.06 | ) | (0.06 | ) | (0.13 | ) | — | |||||||||||||||||
From net realized gains on investments | (0.36 | ) | (2.31 | ) | (2.75 | ) | (1.11 | ) | (0.03 | ) | (0.22 | ) | ||||||||||||||||
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| |||||||||||||||||
Total distributions to shareholders | (0.42 | ) | (2.40 | ) | (2.81 | ) | (1.17 | ) | (0.16 | ) | (0.22 | ) | ||||||||||||||||
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Net Asset Value — End of Period | $ | 8.65 | $ | 8.44 | $ | 10.84 | $ | 13.10 | $ | 11.97 | $ | 10.00 | ||||||||||||||||
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Total Return | 7.40 | % | 1.21 | % | 5.82 | % | 20.16 | % | 21.48 | % | (6.39 | )% | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, including waiver/reimbursement | 1.25 | % | 1.25 | % | 1.25 | % | 1.18 | % | 1.24 | % | 1.25 | % | ||||||||||||||||
Expenses, excluding waiver/reimbursement | 1.65 | % | 1.51 | % | 1.35 | % | 1.18 | % | 1.24 | % | 1.33 | % | ||||||||||||||||
Net investment income, including waiver/reimbursement | 1.19 | % | 1.10 | % | 0.17 | % | 0.43 | % | 1.22 | %3 | 0.41 | % | ||||||||||||||||
Portfolio turnover rate | 47 | % | 91 | % | 97 | % | 76 | % | 113 | % | 145 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 3,754 | $ | 3,620 | $ | 6,316 | $ | 8,002 | $ | 35,138 | $ | 26,195 |
1 | For the six months ended December 31, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
3 | For the year ended June 30, 2013, net investment income per share reflects special dividends which amounted to $0.06 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.71%. |
See accompanying notes. | CRM Funds | |||
51 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM International Opportunity Fund — Investor Shares | ||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||
Six Months Ending | For the Years Ended June 30, | |||||||||||||||||||||||||||
December 31, 2016 | ||||||||||||||||||||||||||||
(Unaudited)1 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 11.74 | $ | 13.37 | $ | 15.32 | $13.86 | $ | 12.29 | $ | 17.25 | |||||||||||||||||
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Investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss)2 | (0.01 | ) | 0.13 | 0.08 | 0.06 | 0.17 | 0.14 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.35 | (0.56 | ) | (0.49 | ) | 1.52 | 1.40 | (3.36 | ) | |||||||||||||||||||
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| |||||||||||||||||
Total from investment operations | 0.34 | (0.43 | ) | (0.41 | ) | 1.58 | 1.57 | (3.22 | ) | |||||||||||||||||||
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Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.10 | ) | (0.04 | ) | (0.02 | ) | (0.12 | ) | — | — | 3 | |||||||||||||||||
From net realized gains on investments | — | (1.16 | ) | (1.52 | ) | — | — | (1.74 | ) | |||||||||||||||||||
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| |||||||||||||||||
Total distributions to shareholders | (0.10 | ) | (1.20 | ) | (1.54 | ) | (0.12 | ) | — | (1.74 | ) | |||||||||||||||||
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Paid in capital from redemption fees2 | — | 3 | — | 3 | — | 3 | — | — | — | |||||||||||||||||||
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Net Asset Value — End of Period | $ | 11.98 | $ | 11.74 | $ | 13.37 | $15.32 | $ | 13.86 | $ | 12.29 | |||||||||||||||||
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| |||||||||||||||||
Total Return | 2.94 | % | (3.38 | )% | (1.96 | )% | 11.46 | % | 12.78 | % | (17.70 | )% | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, including waiver/reimbursement | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||||||||||||
Expenses, excluding waiver/reimbursement | 2.93 | % | 2.79 | % | 2.66 | % | 1.74 | % | 2.10 | % | 2.94 | % | ||||||||||||||||
Net investment income (loss), including waiver/reimbursement | (0.16 | )% | 1.04 | % | 0.61 | % | 0.39 | % | 1.24 | % | 1.08 | % | ||||||||||||||||
Portfolio turnover rate | 47 | % | 88 | % | 95 | % | 102 | % | 134 | % | 220 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 7,845 | $ | 7,910 | $ | 7,726 | $8,955 | $ | 8,925 | $ | 5,788 |
1 | For the six months ended December 31, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
3 | Amount represents less than $0.005. |
See accompanying notes. | CRM Funds | |||
52 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM International Opportunity Fund — | ||||||||||||||||||||||||||||
For the Six Months Ending December 31, 2016 | For the Years Ended June 30, | |||||||||||||||||||||||||||
(Unaudited)1 | 2016 | 2015 | 2014 | 2013 | 2012 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 11.80 | $ | 13.43 | $ | 15.39 | $ | 13.93 | $ | 12.32 | $ | 17.31 | ||||||||||||||||
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Investment operations: | ||||||||||||||||||||||||||||
Net investment income2 | — | 3 | 0.18 | 0.06 | 0.05 | 0.34 | 0.12 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.37 | (0.57 | ) | (0.44 | ) | 1.57 | 1.27 | (3.33 | ) | |||||||||||||||||||
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| |||||||||||||||||
Total from investment operations | 0.37 | (0.39 | ) | (0.38 | ) | 1.62 | 1.61 | (3.21 | ) | |||||||||||||||||||
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| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.14 | ) | (0.08 | ) | (0.06 | ) | (0.16 | ) | — | (0.04 | ) | |||||||||||||||||
From net realized gains on investments | — | (1.16 | ) | (1.52 | ) | — | — | (1.74 | ) | |||||||||||||||||||
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| |||||||||||||||||
Total distributions to shareholders | (0.14 | ) | (1.24 | ) | (1.58 | ) | (0.16 | ) | — | (1.78 | ) | |||||||||||||||||
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| |||||||||||||||||
Paid in capital from redemption fees2 | — | 3 | — | 3 | — | 3 | — | — | — | |||||||||||||||||||
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| |||||||||||||||||
Net Asset Value — End of Period | $ | 12.03 | $ | 11.80 | $ | 13.43 | $ | 15.39 | $ | 13.93 | $ | 12.32 | ||||||||||||||||
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| |||||||||||||||||
Total Return | 3.11 | % | (3.12 | )% | (1.76 | )% | 11.68 | % | 12.98 | % | (17.50 | )% | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, including waiver/reimbursement | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||||||
Expenses, excluding waiver/reimbursement | 2.68 | % | 2.52 | % | 2.31 | % | 1.35 | % | 1.73 | % | 2.84 | % | ||||||||||||||||
Net investment income, including waiver/reimbursement | 0.05 | % | 1.47 | % | 0.45 | % | 0.32 | % | 2.42 | % | 0.89 | % | ||||||||||||||||
Portfolio turnover rate | 47 | % | 88 | % | 95 | % | 102 | % | 134 | % | 220 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 3,957 | $ | 4,563 | $ | 3,484 | $ | 13,187 | $ | 37,077 | $ | 10,675 |
1 | For the six months ended December 31, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
3 | Amount represents less than $0.005. |
See accompanying notes. | CRM Funds | |||
53 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited)
1. | Description of the Funds. CRM Small Cap Value Fund (“Small Cap Value Fund”), CRM Small/Mid Cap Value Fund (“Small/Mid Cap Value Fund”), CRM Mid Cap Value Fund (“Mid Cap Value Fund”), CRM Large Cap Opportunity Fund (“Large Cap Opportunity Fund”), CRM All Cap Value Fund (“All Cap Value Fund”) and CRM International Opportunity Fund (“International Opportunity Fund”) (each, a “Fund” and collectively, the “Funds”) are series of the CRM Mutual Fund Trust (the “Trust”). A shareholder of one series is not deemed to be a shareholder of any other series. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and was organized as a Delaware statutory trust on March 30, 2005. |
Each Fund offers Investor and Institutional Shares. Each class has different minimum investment requirements, fees and expenses. All classes of shares have identical voting, dividend and liquidation rights. Institutional Shares are offered only to those investors who invest in a Fund through an intermediary (i.e. broker) or through a consultant and who invest $1,000,000 or more or where related accounts total $1,000,000 or more when combined. Investor Shares are available to all investors and are subject to a shareholder servicing fee.
2. | Significant Accounting Policies. The Funds’ financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). The Funds are investment companies and follow the accounting and reporting requirements for investment companies under Financial Accounting Standards Board (FASB), Accounting Standards Codification Topic 946, in accordance with FASB Accounting Standards Update 2013-08. The following is a summary of the significant accounting policies of the Funds: |
Security Valuation. The Funds value their investment securities based on current market values when such values are available. These prices normally are supplied by a pricing service.
In valuing a Fund’s investment securities, a security listed on the New York Stock Exchange (the “Exchange”) (and not subject to restrictions against sale by the Fund on the Exchange) will be valued at its last sale price on the Exchange on the day the security is valued. Lacking any sales on such day, the security will be valued at the mean between the closing asked price and the closing bid price. Securities listed on other exchanges (and not subject to restriction against sale by the Fund on such exchanges) will be similarly valued, using quotations on the exchange on which the security is traded most extensively. Securities that are quoted on the NASDAQ Stock Market, for which there have been sales of such securities on such day, shall be valued at the last sale price reported on such system on the day the security is valued. If there are no such sales on such day, the value shall be the mean between the closing asked price and the closing bid price. The value of such securities quoted on the stock market system, but not listed on the national market system, shall be valued at the mean between the closing asked price and the closing bid price. Unlisted securities that are not quoted on the NASDAQ Stock Market and for which over-the-counter market quotations are readily available will be valued at the mean between the current bid and asked prices for such security in the over-the-counter market. Short-term investments with remaining maturities of less than 61 days are valued at amortized cost, provided such amount approximates fair value. A Fund’s currency valuations, if any, are also valued at the close of regular trading on the Exchange. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
CRM Funds | ||||
54 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
Securities that do not have a readily available current market value are valued in good faith by, or under the direction of, the Board of Trustees of the Trust (the “Board” or “Trustees”). In addition, the Funds may use fair value methodologies if it is determined that a significant event has occurred between the time at which a market price is determined and the time at which the Fund’s net asset value (“NAV”) is calculated and that may materially affect the value of the security. In particular, the value of foreign securities may be materially affected by events occurring after the close of the market on which they are valued, but before a Fund prices its shares. Securities trading in overseas markets present time zone arbitrage opportunities when events affecting portfolio security values occur after the close of the overseas market but prior to the close of the U.S. market. In addition, arbitrage opportunities may exist when trading in a portfolio security or securities is halted and does not resume before a fund calculates its NAV. These arbitrage opportunities may enable short-term traders to profit at the expense of long-term investors. International Opportunity Fund uses a fair value model, developed by an independent third party pricing service, to price foreign equity securities on days when there is a certain percentage change in the value of a domestic equity security index, as such percentage may be determined by the Board of Trustees from time to time. Valuing securities using fair value methodologies involves greater reliance on judgment than valuing securities based on readily available market quotations. A Fund, when using fair value methodologies to price securities, may value those securities higher or lower than another fund using market quotations or its own fair value methodologies to price the same securities. There can be no assurance that a Fund could obtain the fair value assigned to a security if it were to sell the security.
The Funds disclose the value of their investments in a hierarchy based on the inputs used to value the investments. The disclosure hierarchy consists of three broad levels:
• | Level 1 — quoted prices in active markets for identical securities |
Investments whose values are based on quoted market prices in active markets, and whose values are therefore classified as Level 1 prices, include active listed equity securities. The Funds do not adjust the quoted price for such investments, even in situations where the Funds hold a large position and a sale could reasonably impact the quoted price.
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs are classified as Level 2 prices. These generally include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equity securities. In addition, foreign securities may require revised valuations if the values of the securities are materially affected by events occurring after the close of the market on which they are valued, but before a Fund prices its shares. As noted above, International Opportunity Fund uses a fair value model developed by an independent third party pricing service to price foreign equity securities on days when there is a certain percentage change in the value of a domestic equity security index, as such percentage may be determined by the Board of Trustees from time to time. As investments whose values are classified as Level 2 prices may include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
CRM Funds | ||||
55 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not available for these securities, the Funds use one or more valuation techniques for which sufficient and reliable data is available. The inputs used by the Funds in estimating the value of Level 3 prices may include the original transaction price, quoted prices for comparable companies or assets in active markets, completed or pending third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting value and therefore the Funds’ results of operations.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any inputs both individually and in the aggregate that is significant to the fair value measurement. The Fund’s policy is to recognize transfers among levels as of the beginning of the reporting period. There were no transfers between Level 1, Level 2, and Level 3 during the six months ended December 31, 2016. A summary of the inputs used to value the Funds’ investments as of December 31, 2016 is included with each Fund’s Schedule of Investments.
Foreign Currency Translations. The books and records of the Funds are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date. The value of all assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar daily. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of those investments. Such fluctuations are included with the net realized and unrealized gain or loss from investments that are disclosed within each Fund’s statement of operations, as applicable.
Federal Income Taxes. Each Fund is treated as a separate entity for federal income tax purposes and intends to continue to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of its taxable income to its shareholders. Therefore, no Federal income tax provision has been made.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each of the Fund’s tax positions and has concluded that no provision for U.S. income tax is required in each of the Fund’s financial statements. Each of the Fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. On an ongoing basis, management monitors the Funds’ tax positions to determine if any adjustments to its conclusions are necessary.
The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the six months ended December 31, 2016, the Funds did not incur any interest or penalties.
CRM Funds | ||||
56 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
Security Transactions and Investment Income. Investment security transactions are accounted for on a trade date basis for financial reporting purposes. Each Fund uses the specific identification method for determining realized gains and losses on investments for both financial and federal income tax reporting purposes. Interest income is recorded on the accrual basis and includes the amortization of premium and the accretion of discount. Dividend income is recorded on the ex-dividend date. The Funds record expenses as incurred.
Common expenses of the Trust are allocated on a pro-rata basis amongst the series of the Trust based on relative net assets.
The Funds’ investments in certain countries are subjected to additional capital gain taxes. Such taxes are due upon sale of individual securities. The Funds accrue for taxes on the capital gains throughout the holding period based on the unrealized gain of the underlying securities as applicable. There were no capital gains taxes for the six months ended December 31, 2016 in the Funds.
Class Accounting. In calculating the NAV per share for each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Repurchase Agreements. Each Fund may, through its custodian, receive delivery of the underlying securities used to collateralize repurchase agreements, the market value of which is required to be in an amount at least equal to 101% of the resale price. The Funds’ investment adviser is responsible for determining that the market value of these underlying securities is maintained at all times at a level at least equal to 101% of the resale price. In event of default of the obligation to repurchase, each Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Provisions of each agreement require that the market value of the collateral is sufficient in the event of default; however, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
Repurchase agreements are entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund.
At December 31, 2016, the open repurchase agreements by counterparty which are subject to a MRA on a net payment basis are as follows:
Repurchase Agreements | Fair Value of Non-cash Collateral Received1 | Cash Collateral Received | Net Amount2 | |||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||
HSBC Securities USA, Inc. | $ | 6,528,270 | $ | 6,528,270 | $ | — | $ | — | ||||||||||||
Merill Lynch Pierce Fenner & Smith, Inc. | 4,358,876 | 4,358,876 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 10,887,146 | $ | 10,887,146 | $ | — | $ | — | |||||||||||||
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|
|
|
|
CRM Funds | ||||
57 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
Repurchase Agreements | Fair Value of Non-cash Collateral Received1 | Cash Collateral Received | Net Amount2 | |||||||||||||||||
Small/Mid Cap Value Fund | ||||||||||||||||||||
Citigroup Global Markets, Inc. | $ | 3,577,896 | $ | 3,577,896 | $ | — | $ | — | ||||||||||||
HSBC Securities USA, Inc. | 5,513,732 | 5,513,732 | — | — | ||||||||||||||||
Merill Lynch Pierce Fenner & Smith, Inc. | 5,513,732 | 5,513,732 | — | — | ||||||||||||||||
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|
| |||||||||||||
$ | 14,605,360 | $ | 14,605,360 | $ | — | $ | — | |||||||||||||
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| |||||||||||||
Mid Cap Value Fund | ||||||||||||||||||||
Citigroup Global Markets, Inc. | $ | 3,576,236 | $ | 3,576,236 | $ | — | $ | — | ||||||||||||
HSBC Securities USA, Inc. | 3,576,236 | 3,576,236 | — | — | ||||||||||||||||
JP Morgan Securities LLC | 215,964 | 215,964 | — | — | ||||||||||||||||
Merill Lynch Pierce Fenner & Smith, Inc. | 3,576,236 | 3,576,236 | — | — | ||||||||||||||||
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| |||||||||||||
$ | 10,944,672 | $ | 10,944,672 | $ | — | $ | — | |||||||||||||
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| |||||||||||||
All Cap Value Fund | ||||||||||||||||||||
HSBC Securities USA, Inc. | $ | 483,140 | $ | 483,140 | $ | — | $ | — | ||||||||||||
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International Opportunity Fund | ||||||||||||||||||||
HSBC Securities USA, Inc. | $ | 472,541 | $ | 472,541 | $ | — | $ | — | ||||||||||||
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1 | The collateral value shown is limited by the amount of the repurchase agreement. |
2 | Net Amount represents the net amount receivable due from the counterparty in the event of default. |
Distributions to Shareholders. Dividends and distributions to shareholders are recorded on the ex-dividend date. Distributions from net investment income and net realized gains, if any, will be declared and paid annually.
Use of Estimates in the Preparation of Financial Statements. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
3. | Advisory Fees and Other Transactions with Affiliates. Cramer Rosenthal McGlynn, LLC (“CRM”) serves as investment adviser to the Funds. CRM receives an advisory fee from Small Cap Value Fund, Small/Mid Cap Value Fund, Mid Cap Value Fund and Large Cap Opportunity Fund of 0.75% of each Fund’s first $1 billion of average daily net assets; 0.70% of each Fund’s next $1 billion of average daily net assets; and 0.65% of each Fund’s average daily net assets in excess of $2 billion. For its advisory services to All Cap Value Fund, CRM receives 0.95% for the first $1 billion of average daily net assets; 0.90% of the next $1 billion of average daily net assets; and 0.85% in excess of $2 billion of average daily net assets. For its advisory services to the International Opportunity Fund, CRM receives 0.90% for the first $2 billion of average daily net assets and 0.85% in excess of $2 billion of average daily net assets. |
CRM Funds | ||||
58 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
CRM has contractually agreed to waive its fees and reimburse certain operating expenses (excluding taxes, extraordinary expenses, brokerage commissions, acquired fund fees and expenses and interest) (i) with respect to each of Small Cap Value Fund, Small/Mid Cap Value Fund, Mid Cap Value Fund, All Cap Value Fund, and International Opportunity Fund, in an amount that will limit annual operating expenses to not more than 1.50% and 1.25% of average daily net assets for the Investor Shares and Institutional Shares, respectively; and (ii) with respect to Large Cap Opportunity Fund, in an amount that will limit annual operating expenses to not more than 1.15% and 0.90% of average daily net assets for Investor Shares and Institutional Shares, respectively. These undertakings will remain in place until November 1, 2017.
CRM provides compliance services to the Trust. The Chief Compliance Officer (“CCO”) is an employee of CRM. The Trust reimburses CRM for the portion of his salary allocated to his duties as the CCO of the Trust at a rate of $75,000 per year which is allocated on a pro-rata basis amongst the series of the Trust based on relative net assets.
Compensation of Trustees and Officers. Except for the CCO of the Funds, trustees and officers of the Funds who are interested persons of CRM, as defined in the 1940 Act, receive no compensation from the Funds.
Trustees of the Funds who are not interested persons of CRM, as defined in the 1940 Act (each an “Independent Trustee”), receive compensation and reimbursement of expenses. Each Independent Trustee receives aggregate annual compensation from the Trust at an annual rate of $75,000 which is allocated on a pro-rata basis amongst the series of the Trust based on relative net assets. Under a Deferred Compensation Plan (the “Plan”) adopted August 12, 2005, an Independent Trustee may elect to defer receipt of all, or a portion, of his annual compensation. If an Independent Trustee opts for deferral, then the deferred amounts are credited to an Independent Trustee’s deferral account and invested and reinvested in Institutional Shares of one or more of the Funds until such amounts are distributed in accordance with the Plan. No Independent Trustee deferred their compensation earned for the six months ended December 31, 2016. Trustees’ fees reflected in the accompanying financial statements include total compensation earned, which were paid in cash. Each trustee serves during the continued lifetime of the Funds, or the earlier of when his or her successor is elected or qualified, the officer dies, resigns, is removed or becomes disqualified.
Shareholder Servicing Fees. The Board has adopted a Shareholder Servicing Plan which allows each Fund to obtain, for its Investor Shares, the services of CRM and other qualified financial institutions to act as shareholder servicing agents for its shareholders. Under the Shareholder Servicing Plan, each Fund may pay shareholder servicing agents, including CRM, monthly fees at an annual rate not to exceed 0.25% of the Fund’s average daily net assets attributable to its Investor Shares.
Sub-Transfer Agent Fees. Institutional Shares of each Fund are sold through certain intermediaries that provide accounting, recordkeeping, and/or other services to shareholders. The Board of Trustees has approved payment of the fees charged by these intermediaries for providing these sub-transfer agency services from the assets of the Institutional Shares of each Fund provided these fees do not exceed the charges the Fund would bear for these services if they were provided directly by the Funds’ transfer agent. CRM, as the Funds’ agent, remits these payments to the intermediaries. In some cases, where the sub-transfer agency fees of an intermediary are greater than the amounts paid to CRM by the Funds for that intermediary, CRM will pay the balance of those fees itself.
CRM Funds | ||||
59 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
4. | Investment Securities Transactions. The cost of investments purchased and the proceeds from investments sold (excluding short-term investments) for the six months ended December 31, 2016, were as follows: |
Purchases | Sales | |||||||||
Small Cap Value Fund | $ | 237,365,909 | $ | 256,897,942 | ||||||
Small/Mid Cap Value Fund | $ | 211,169,995 | $ | 289,658,991 | ||||||
Mid Cap Value Fund | 204,299,848 | 289,615,078 | ||||||||
Large Cap Opportunity Fund | 58,417,859 | 46,302,688 | ||||||||
All Cap Value Fund | 10,462,116 | 12,724,250 | ||||||||
International Opportunity Fund | 5,419,531 | 6,636,671 |
5. | Securities Lending Agreement. The Funds may lend their securities pursuant to a securities lending agreement (“Lending Agreement”) with The Bank of New York Mellon. Security loans made pursuant to the Lending Agreement are required at all times to be secured by cash collateral at least equal to 102% (105% in the case of foreign securities) of the market value of the securities loaned. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board of Trustees, is invested in short-term fixed income securities rated in the highest rating category by nationally recognized statistical rating organizations (or of comparable quality if unrated) with a maturity date of 397 days or less, including corporate obligations and money market mutual funds. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. The Bank of New York Mellon and the lender retain a portion of the earnings from the collateral investments, with the remainder being retained by the Fund. The Funds record securities lending income net of such allocations. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, The Bank of New York Mellon has agreed to pay the amount of the shortfall to the Funds, or at its discretion, replace the loaned securities. In the event of default or bankruptcy by The Bank of New York Mellon, realization and/or retention of the collateral may be subject to legal proceedings. |
At December 31, 2016, the following Funds had securities on loan:
Market Value | Cash Collateral | |||||||||
Small Cap Value Fund | $ | 26,872,139 | $ | 27,487,146 | ||||||
Small/Mid Cap Value Fund | 22,647,356 | 23,215,360 | ||||||||
Mid Cap Value Fund | 14,705,297 | 15,057,672 | ||||||||
All Cap Value Fund | 472,880 | 483,140 | ||||||||
International Opportunity Fund | 448,990 | 472,541 |
CRM Funds | ||||
60 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
6. | Capital Share Transactions. Transactions in shares of capital stock for six months ended December 31, 2016 and the year ended June 30, 2016 were as follows: |
For the Six Months | For the Year | |||||||||||||||
Ended December 31, 2016 | Ended June 30, 2016 | |||||||||||||||
Investor Shares | Institutional Shares | Investor Shares | Institutional Shares | |||||||||||||
Small Cap Value Fund | ||||||||||||||||
Sold | 242,022 | 1,140,241 | 165,672 | 7,035,791 | ||||||||||||
Issued on reinvestment of distributions | 261,516 | 1,073,996 | 759,377 | 2,993,901 | ||||||||||||
Redeemed | (303,183 | ) | (5,310,336 | ) | (750,632 | ) | (9,137,179 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 200,355 | (3,096,099 | ) | 174,417 | 892,513 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Small/Mid Cap Value Fund | ||||||||||||||||
Sold | 276,190 | 2,135,491 | 806,224 | 9,106,565 | ||||||||||||
Issued on reinvestment of distributions | 65,697 | 857,523 | 526,990 | 5,895,474 | ||||||||||||
Redeemed | (1,365,121 | ) | (6,949,547 | ) | (2,071,070 | ) | (25,107,533 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net (decrease) | (1,023,234 | ) | (3,956,533 | ) | (737,856 | ) | (10,105,494 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Value Fund | ||||||||||||||||
Sold | 947,077 | 981,558 | 1,621,643 | 2,684,209 | ||||||||||||
Issued on reinvestment of distributions | 636,811 | 384,302 | 5,542,660 | 8,097,151 | ||||||||||||
Redeemed | (4,289,437 | ) | (1,875,285 | ) | (5,945,747 | ) | (24,593,334 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (2,705,549 | ) | (509,425 | ) | 1,218,556 | (13,811,974 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Opportunity Fund | ||||||||||||||||
Sold | 4,415 | 2,042,806 | 70,259 | 5,348,239 | ||||||||||||
Issued on reinvestment of distributions | 17,825 | 32,185 | 113,805 | 190,851 | ||||||||||||
Redeemed | (111,472 | ) | (396,288 | ) | (124,010 | ) | (637,088 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (89,232 | ) | 1,678,703 | 60,054 | 4,902,002 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
All Cap Value Fund | ||||||||||||||||
Sold | 138,664 | 82 | 306,355 | 56,482 | ||||||||||||
Issued on reinvestment of distributions | 90,860 | 19,244 | 590,609 | 162,946 | ||||||||||||
Redeemed | (416,653 | ) | (14,374 | ) | (709,532 | ) | (373,148 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (187,129 | ) | 4,952 | 187,432 | (153,720 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
International Opportunity Fund | ||||||||||||||||
Sold | 591 | 23 | 81,674 | 112,779 | ||||||||||||
Issued on reinvestment of distributions | 5,603 | 3,689 | 59,114 | 24,419 | ||||||||||||
Redeemed | (25,183 | ) | (61,389 | ) | (44,825 | ) | (9,881 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (18,989 | ) | (57,677 | ) | 95,963 | 127,317 | ||||||||||
|
|
|
|
|
|
|
|
CRM Funds | ||||
61 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
7. | Federal Tax Information. Distributions to shareholders from net investment income and realized gains are determined in accordance with Federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Additionally, net short-term realized gains are treated as “ordinary income” for tax purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. |
The total cost of investments and net unrealized appreciation or depreciation for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, and related gross unrealized appreciation and depreciation of securities held by each Fund as of December 31, 2016 was as follows:
Tax Cost of | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation on Investments | |||||||||||||||||
Small Cap Value Fund | $ | 371,282,752 | $ | 94,926,032 | $ | (9,380,493 | ) | $ | 85,545,539 | |||||||||||
Small/Mid Cap Value Fund | 509,341,123 | 107,009,579 | (15,395,328 | ) | 91,614,251 | |||||||||||||||
Mid Cap Value Fund | 472,486,561 | 108,876,878 | (29,254,099 | ) | 79,622,779 | |||||||||||||||
Large Cap Opportunity Fund | 84,607,814 | 10,642,836 | (2,733,185 | ) | 7,909,651 | |||||||||||||||
All Cap Value Fund | 19,714,489 | 4,070,916 | (1,027,749 | ) | 3,043,167 | |||||||||||||||
International Opportunity Fund | 12,214,867 | 1,256,808 | (1,147,922 | ) | 108,886 |
8. | Contractual Obligations. The Funds enter into contracts in the normal course of business that contain a variety of indemnification obligations. The Funds’ maximum exposure under these arrangements is unknown. However, the Funds have not had prior claims or losses pursuant to these contracts. Management has reviewed the Funds’ existing contracts and expects the risk of liability for indemnity claims to be remote. |
9. | Temporary Borrowing. The Funds participate in a $25 million revolving line of credit to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions by shareholders. This line of credit agreement is with the Bank of New York Mellon. The Funds are charged an annual commitment fee, which is allocated across the Funds on the basis of each Fund’s allocation of the entire facility. Each Fund may borrow up to a maximum of one third of its net assets under the agreement, except that if a Fund has net assets of less than $100 million, such Fund may borrow up to a maximum of 20% of its net assets. The Trust is charged an annual 0.03% upfront fee as well as an annual fee of 0.21% of the commitment amount which is allocated proportionately to each Fund’s borrowing capabilities. For a Fund that utilizes the revolving line of credit, interest will be charged at a rate of 1.25% plus a negotiated alternative base rate, or overnight rate, depending upon the type of loan. The line of credit is scheduled to expire on October 6, 2017. The Funds had no amounts outstanding as of December 31, 2016 or at any time during the six months then ended. |
10. | Redemption Fees. Shareholders who sell or exchange shares of International Opportunity Fund within 30 days or less after the purchase date are charged a redemption fee of 1.50% of the total redemption amount which is payable to the Fund. The fees are designed to help offset the brokerage commissions, market impacts, and other costs associated with short-term shareholder trading. The fee is accounted for as an addition to paid-in-capital. |
CRM Funds | ||||
62 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Concluded)
11. | Subsequent Events. Management has evaluated the impact of all subsequent events on the Funds and has determined that there were no subsequent events that required recognition or disclosure in the financial statements. |
CRM Funds | ||||
63 |
CRM FUNDS
OTHER INFORMATION (Unaudited)
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year (quarters ended September 30 and March 31) on Form N-Q. The Trust’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Voting Proxies on Fund Portfolio Securities
A description of the policies and procedures that the Trust used to determine how to vote proxies relating to securities held in the Trust’s portfolios is available, without charge and upon request, by calling 800-CRM-2883 and on the SEC’s website at http://www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 is available without charge and upon request by calling 800-CRM-2883, and on the SEC’s website listed above.
Statement of Additional Information
The Statement of Additional Information (“SAI”) for the Funds includes additional information about the Trustees and is available upon request, without charge, by calling 800-CRM-2883 or by visiting the Funds’ website at http://www.crmfunds.com.
Privacy Notice
(THIS PRIVACY NOTICE IS BEING DELIVERED WITH THE FUNDS’ SHAREHOLDER REPORT BUT IS NOT DEEMED TO BE A PART OF THE FUNDS’ SHAREHOLDER REPORT)
Set forth below is the policy of CRM Mutual Fund Trust (the “Trust”) concerning the collection and disclosure of non-public personal information regarding investors and prospective investors in CRM Small Cap Value Fund, CRM Small/Mid Cap Value Fund, CRM Mid Cap Value Fund, CRM Large Cap Opportunity Fund, CRM All Cap Value Fund, and CRM International Opportunity Fund (the “Funds”) who are individuals investing for personal, family, or household purposes. The words “we” and “us” refers to the Trust and the Funds. The words “you” and “your” refers to investors and prospective investors in the Funds who are covered by this policy.
We use administrators, investment managers, custodians, transfer agents, securities brokers, and other third party businesses to conduct many aspects of our business, including processing initial investments, additional investments, redemptions, share transfers, and other transactions that you request. We refer to these third parties below as our “Service Agents.”
As we work together to achieve your investment goals, we will often share with our Service Agents personal and financial information, including, for example, your name, address and telephone number, your e-mail address, your purchases and redemptions of shares of the Funds, your banking arrangements, information on your family members, and your social security number. Our Service Agents may also receive these types of information from other firms that assist us in conducting our business. This information is collected in order to properly handle your account.
To protect the security of your personal and financial information, our Service Agents maintain physical, electronic, and procedural safeguards that meet the standards of applicable laws and regulations.
CRM Funds | ||||
64 |
CRM FUNDS
OTHER INFORMATION (Unaudited) (Concluded)
We may, and we may authorize our Service Agents to, use your personal and financial information and share it with us, other Service Agents, and affiliates of Service Agents in order to provide you with investment services, improve our services, make our procedures more efficient, implement security measures, and fight fraud.
We will not sell your personal and financial information to any outside party. We obtain from our Service Agents confidentiality agreements that prohibit them from selling or improperly using your personal or financial information.
On occasion, we and our Service Agents may be required to provide information about you and your transactions to governmental agencies, self-regulatory organizations, industry associations and similar bodies in order to fulfill legal and regulatory requirements. In addition, federal, state, and foreign laws give people involved in lawsuits and other legal proceedings the right under certain circumstances to obtain information from us and our Service Agents, including your personal and financial information. We and our Service Agents may make other disclosures to non-affiliated third parties as permitted by law.
CRM Funds | ||||
65 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
TRUSTEES
Louis Ferrante, CFA, CPA
Louis Klein, Jr.
Carlos A. Leal, CPA
Clement C. Moore, II
INVESTMENT ADVISER
Cramer Rosenthal McGlynn, LLC
520 Madison Avenue, 20th Floor
New York, NY 10022
DISTRIBUTOR
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
ADMINISTRATOR & TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
CUSTODIAN
The Bank of New York Mellon
2 Hanson Place, 7th Floor
Brooklyn, NY 11217
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
One Federal Street
Boston, MA 02110
Investor Information:
800-CRM-2883
www.crmfunds.com
This report is authorized for distribution only to shareholders and to others who have received current prospectuses of the CRM Funds.
SEMI-ANNUAL REPORT (Unaudited)
|
December 31, 2016
|
Dear Fellow Shareholders:
In spite of all the concern over Brexit1, sluggish first half economic growth, and the direction of interest rates, the equity markets enjoyed strong returns during the third quarter ending September 30, 2016. Larger capitalization stocks (S&P 5002) appreciated by 4% and smaller capitalization stocks climbed by an impressive 9% (Russell 20003). Technology was the best performing sector, followed by other cyclical sectors such as materials and industrials. In the specific case of technology shares, they were further propelled by merger & acquisition (M&A) activity. The semiconductor industry, in particular, was rapidly consolidating, continuing the trend of the past few years. Activist firms had targeted a number of small to mid-sized technology companies, advocating for sale processes and many such targets capitulated. Consumer staples lagged from the combination of the rotation away from bond surrogates, as well as weaker fundamentals. As economic expansion globally remained sluggish, revenue growth was hard to come by. This was exacerbated by increased deflation in agricultural and food related prices, which further pressured earnings. In the U.S., the backdrop for consumers was encouraging with better employment and wage trends. With that said, retail sales were good, not great, as household health care expenses continued to grow and consumers remained uneasy about the future during the volatile times.
The markets had come to accept continued political gridlock, slow growth, and periodic trepidation over deflation. In a matter of hours on the morning of November 9th, market participants began to discount the possibility of a different future. The prospects for aggressive fiscal stimulus with one party controlling both the executive and legislative branches led to a nearly instantaneous increase in inflation expectations, which pushed bond yields higher by 40 basis points4 over the course of only three trading days. Given the interplay of markets, the dollar began to strengthen and stocks that benefit from higher interest rates (i.e., banks) soared and those hurt by the stronger dollar generally faded. Stocks also viewed as reflation beneficiaries (i.e., deep cyclical/industrials) were likewise propelled higher. These were fairly typical responses, which the market has experienced in prior cyclical rallies.
One important differentiating catalyst post-election was the narrative around corporate tax reform. Both political parties had proposed some type of tax reform and repatriation holiday with proceeds used to fund a step up in infrastructure spending. However, a border adjustable tax or “import tax” that had been discussed in academic circles and among Republican policy makers became more front and center. It is complex and a radical change from existing laws, but in harmony with Trump’s policy goals of effectively punishing importers who have moved manufacturing jobs overseas. The objective is to thwart future jobs from leaving, incentivize bringing jobs back on shore, and help pay for the lower tax rates. The market’s knee jerk reaction was to perhaps confuse tax reform with tax cut and reward domestically oriented companies with high tax rates to the detriment of lower tax rate/multinational companies. Subsequently, the prospects for a border adjustable tax (taxing imports such that the company cannot deduct the cost of those goods and rewarding exporters by eliminating tax on goods manufactured in the U.S. and sold overseas) began to weigh on a broader group of companies, particularly retail and apparel companies.
| ||||
1 |
This triple catalyst of interest rates, exchange rates, and tax rates is what propelled certain sectors and subsectors to such extraordinary performance over a relatively short period of time. The returns on the S&P 500 from the election through calendar year-end were not so otherworldly - up 4.5% - and quite understandable given the passing of the election uncertainty. The range of performance among sectors, styles, and market caps, however, was truly astounding. Banks and other perceived beneficiaries of higher interest rates bounded 25% higher, many industrials appreciated by 10-20%+, and small cap value stocks were up 17%.
In the interest rate sensitive and perceived reflationary beneficiary stocks, the market is discounting a lot of policy achievement. The coming months will be important in determining whether there is sufficient policy success to meet these market expectations, net of any unintended consequences which might ensue. The offsets in both corporate and personal tax reform such as the elimination of certain deductions and credits will likely create winners and losers when the goal is deficit neutrality. The border adjustable tax is also a wildcard and what emerges from the legislative and lobbying process will likewise create some dislocations and ramifications. Academic theory posits currency rates will adjust such that importers will not need to pass on higher costs to their customers. If the real world does not comport with academic theory, the result could be a leap in inflation, effectively taxing consumers and possibly causing the Federal Reserve (“the Fed”) to become more aggressive with interest rate increases. Additionally, if currency rates do adjust, it could lead to a further strengthening of the dollar, which itself could be counterproductive for exports and multinational/S&P 500 earnings as well as emerging market economies and those with dollar denominated debt.
So, there is clearly a lot at stake as the legislative process gets under way with the new administration. The Fed has set forth its expectations for future interest rate hikes, but its decision making and the market’s expectations will take cues from the nature and magnitude of the fiscal initiatives. While so much of the market’s volatility in recent years has been due to events outside of the U.S., the post-election rally was very much domestically focused. Markets were challenged several times in 2016 by geopolitical/global macro events and each occasion was effectively a false alarm. This “recency bias” may have created some complacency for future events such as: the upcoming French, German, and other European Union national elections; China in terms of its economic growth, banking system health, currency as well as the potential for trade wars, and regional military forays; Russia’s efforts to re-establish itself as a superpower; North Korea, which many geopolitical strategists believe is the most dangerous of the global theaters; and OPEC (Organization of the Petroleum Exporting Countries)...can they honor the agreement?
The market tiering that has developed between the perceived beneficiaries of Trump policies and the rest has created numerous attractive opportunities. While the market indices look expensive, outside of these favored areas, we find valuations to be quite reasonable, particularly relative to their earnings growth and strategic initiatives. In the event the policy reality matches the policy promise, we expect to benefit from our holdings in banks and other apparent beneficiaries; however, the opportunity for more attractive relative reward at the moment seems to be most everywhere else. The restoration of business confidence is very favorable for our approach to investing and it will impact a broad array of companies including those which have thus far not been the obvious winners.
The following is a discussion of factors that influenced the performance of the CRM Long/Short Opportunities Fund for the period August 16, 2016 (the inception of the fund) through December 31, 2016.
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2 |
For the period August 16, 2016 through December 31, 2016, the CRM Long/Short Opportunities Fund returned -1.00% versus 3.61% for the S&P 500. During the period, our longs in the financial sectors contributed most to performance while the shorts in the industrial and financial sectors detracted from performance. In terms of exposure during the period, the Fund averaged approximately 90% gross long, 65% gross short, and 25% net long.
Top individual names that negatively impacted the long portfolio were clothing manufacturer G-III Apparel Group; pharmaceutical manufacturer, Allergan plc; and PVH Corporation, an apparel and footwear company. G-III reacted negatively to a weak second quarter earnings report. Shares of Allergan sold off in the fourth quarter around the Presidential election concerns. Investors sold all drug stocks on fears that a Clinton win would introduce more price pressure on the industry. The third quarter results from the company were strong with respect to new launches which are important for long-term growth. However, weakness in a few older legacy products dragged overall results down. PVH Corporation shares underperformed in December 2016 as investors became more concerned about foreign exchange risk and the potential for a border tax adjustment on imported goods.
The top contributors in the long portfolio were multimedia company, CBS Corporation; rail transportation provider Norfolk Southern Corporation; and Evercore Partners, Inc., an investment banking boutique. CBS Corporation reported strong earnings and benefitted as its peer, Time Warner, was the target of an acquisition by AT&T. Shares of Norfolk Southern Corporation rallied as volume comparisons became more favorable on a year-over-year basis with the anticipation of overall volumes turning positive in early 2017. Higher oil prices benefitted rail intermodal versus over-the-road trucking and higher natural gas prices improved prospects for the rail’s coal business. Evercore Partners reported better than expected third quarter earnings due to strong M&A advisory activity and the company ended the fourth quarter with a strong backlog. In addition, Evercore rallied post the presidential election due to the potential benefit from lower taxes for its business and to the broader M&A environment.
The top detractors in the short portfolio were a railcar leasing company, a regional bank, and a financial services firm. A railcar leasing company appreciated due to its characterization as a largely domestic, high tax payer that can potentially benefit from a cyclical recovery in rail traffic and demand for leased rail cars. Shares of a regional bank rallied following the presidential election on the expectation of higher interest rates, the potential for lower taxes, and less regulatory pressure. A financial services firm rallied following the November election results and potential changes in the regulatory environment.
Our leading short contributors included a medical technology company, a specialty retailer, and a biopharmaceutical company. Shares of the med tech company declined after reporting results below expectations. A mall based specialty retailer posted weak 2Q16 earnings results as both revenues and margins missed expectations. Shares of a European pharma company declined as fears emerged around patent loss for one of its main drugs.
Sincerely,
Ronald H. McGlynn
Chairman, Cramer Rosenthal McGlynn, LLC
President, CRM Mutual Fund Trust
1In June 2016, the U.K. population voted to leave the E.U. in the Brexit referendum vote.
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3 |
2S&P 500 Index is an index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500 is
designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. It is not possible to invest directly in an index.
3The Russell 2000 Index is an unmanaged, capitalization weighted index of 2,000 small cap U.S. companies. It is not possible to invest directly in an index.
4Basis point is a unit that is equal to 1/100th of 1%, and is used to denote the change in a financial instrument.
Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Fund is professionally managed, while the indices are unmanaged and are not available for investment. During the period, certain fees and expenses were waived by the Fund’s service providers. Without these waivers, total returns would have been lower. Additional performance figures for the Fund can be found in the Comparison of Change in Value section of this report.
Investments in small and mid capitalization companies generally are more volatile due to limited product lines, fewer capital resources and less depth of management than larger companies. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic values. Investments in foreign securities, including emerging markets, involve special risks such as greater social, economic, regulatory, and political uncertainties, and currency fluctuation.
This report must be preceded or accompanied by the current prospectus for the Fund. Before investing, you should carefully read the prospectus and consider the investment objectives, risks, charges and expenses of the Fund. Additional copies of the prospectus may be obtained at www.crmfunds.com or at 800-CRM-2883.
Distributed by ALPS Distributors, Inc.
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4 |
CRM LONG/SHORT OPPORTUNITIES FUND
EXPENSE DISCLOSURE (Unaudited)
DISCLOSURE OF FUND EXPENSES
The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of a Fund, you incur ongoing costs, including management fees, shareholder servicing fees and other Fund expenses. A Fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (July 1, 2016 through December 31, 2016).
The Expense Table below illustrates your Fund expenses in two ways.
• | Actual fund return. The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period. |
• | Hypothetical 5% return. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs that may be levied by other funds, such as sales charges (loads), redemption fees, or exchange fees, if any. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total cost of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The “Annualized Expense Ratio” reflects the actual expenses for the period indicated.
CRM Long/Short Opportunities Fund | ||||
5 |
CRM LONG/SHORT OPPORTUNITIES FUND
EXPENSE DISCLOSURE (Unaudited) (Concluded)
For the Six Months Ended December 31, 2016
Expense Table
Beginning Account Value 07/01/16 | Ending Account Value 12/31/16 | Annualized Expense Ratio(1) | Expenses Paid During Period(2) | |||||||||||||
Institutional Shares | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 990.00 | 2.65 | % | $ | 9.90 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,011.85 | 2.65 | % | $ | 13.44 |
(1) | The expense ratio includes the impact of dividend and interest expense on securities sold short. Excluding such dividend and interest expense, the Fund’s expense ratio would have been 1.60%. |
(2) | Expenses calculated on the Actual Fund Return are based on data since inception (August 16, 2016) and expenses calculated using the Hypothetical Fund Return assume that the share class has been in existence for 184 days, and are based on data since July 1, 2016. |
CRM Long/Short Opportunities Fund | ||||
6 |
CRM LONG/SHORT OPPORTUNITIES FUND
DISCLOSURE OF PORTFOLIO HOLDINGS
December 31, 2016 (Unaudited)
PORTFOLIO HOLDINGS
The following table presents a summary of the portfolio holdings of the Fund as a percentage of its net assets.
Sector Allocation | ||||
Common Stock | ||||
Consumer Discretionary | 23.6 | % | ||
Information Technology | 19.8 | |||
Industrials | 14.1 | |||
Health Care | 9.8 | |||
Materials | 8.9 | |||
Utilities. | 5.2 | |||
Energy | 3.4 | |||
Consumer Staples | 3.1 | |||
Financials | 2.0 | |||
Purchased Options | 0.1 | |||
Short-Term Investments | 12.9 | |||
Securities Sold Short | ||||
Common Stock | ||||
Energy | (0.7 | ) | ||
Financials | (2.0 | ) | ||
Consumer Staples | (4.4 | ) | ||
Materials | (4.6 | ) | ||
Information Technology | (7.2 | ) | ||
Health Care | (7.7 | ) | ||
Industrials | (11.0 | ) | ||
Consumer Discretionary | (13.6 | ) | ||
Exchange-Traded Funds Sold Short | (3.1 | ) | ||
Written Options | (0.1 | ) | ||
|
| |||
48.5 | % | |||
|
|
Portfolio holdings are subject to change at any time.
CRM Long/Short Opportunities Fund | ||||
7 |
CRM LONG/SHORT OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS
December 31, 2016 (Unaudited)
Shares | Value | |||||
Common Stock — 89.9% |
| |||||
Consumer Discretionary — 23.6% |
| |||||
Automobiles & Components — 0.3% |
| |||||
15,090 | Adient PLC1,2 | $ | 884,274 | |||
|
| |||||
Consumer Durables & Apparel — 6.8% | ||||||
121,273 | Deckers Outdoor Corp.2,3 | 6,717,312 | ||||
191,745 | G-III Apparel Group Ltd.2,3 | 5,667,982 | ||||
28,240 | Mohawk Industries, Inc.2,3 | 5,638,963 | ||||
66,550 | PVH Corp.3 | 6,005,472 | ||||
|
| |||||
24,029,729 | ||||||
|
| |||||
Consumer Services — 6.2% | ||||||
422,770 | Bloomin’ Brands, Inc.3 | 7,622,543 | ||||
258,100 | Hilton Worldwide Holdings, Inc.2 | 7,020,320 | ||||
43,910 | Vail Resorts, Inc.3 | 7,083,122 | ||||
|
| |||||
21,725,985 | ||||||
|
| |||||
Media — 3.5% | ||||||
193,950 | CBS Corp. — Class B3 | 12,339,099 | ||||
|
| |||||
Retailing — 6.8% | ||||||
14,083 | AutoZone, Inc.2 | 11,122,613 | ||||
104,860 | Dollar General Corp. | 7,766,980 | ||||
168,020 | Restoration Hardware Holdings, Inc.2,3 | 5,158,214 | ||||
|
| |||||
24,047,807 | ||||||
|
| |||||
Total Consumer Discretionary | 83,026,894 | |||||
|
| |||||
Consumer Staples — 3.1% | ||||||
Food, Beverage & Tobacco — 3.1% |
| |||||
367,805 | Flowers Foods, Inc. | 7,345,066 | ||||
48,830 | Mead Johnson Nutrition Co. | 3,455,211 | ||||
|
| |||||
Total Consumer Staples | 10,800,277 | |||||
|
| |||||
Energy — 3.4% | ||||||
Oil, Gas & Consumable Fuels — 3.4% |
| |||||
337,865 | Callon Petroleum Co.2,3 | 5,192,985 | ||||
38,215 | Pioneer Natural Resources Co.3 | 6,881,375 | ||||
|
| |||||
Total Energy | 12,074,360 | |||||
�� |
|
| ||||
Financials — 2.0% | ||||||
Insurance — 2.0% |
| |||||
148,125 | Hartford Financial Services Group, Inc. (The)3 | 7,058,156 | ||||
|
| |||||
Health Care — 9.8% | ||||||
Health Care Equipment & Services — 4.2% |
| |||||
91,230 | STERIS PLC1,3 | 6,147,990 | ||||
86,305 | Zimmer Biomet Holdings, Inc. | 8,906,676 | ||||
|
| |||||
15,054,666 | ||||||
|
| |||||
Pharmaceuticals, Biotechnology & Life Sciences — 5.6% |
| |||||
93,635 | Allergan PLC1,2,3 | 19,664,286 | ||||
|
| |||||
Total Health Care | 34,718,952 | |||||
|
|
Shares | Value | |||||
Industrials — 14.1% | ||||||
Capital Goods — 3.6% | ||||||
305,806 | Johnson Controls International PLC1,3 | $ | 12,596,149 | |||
|
| |||||
Commercial & Professional Services — 2.8% | ||||||
81,195 | Dun & Bradstreet Corp. (The)3 | 9,850,577 | ||||
|
| |||||
Transportation — 7.7% | ||||||
48,150 | Canadian Pacific Railway Ltd. | 6,874,376 | ||||
44,947 | FedEx Corp.3 | 8,369,131 | ||||
109,955 | Norfolk Southern Corp.3 | 11,882,837 | ||||
|
| |||||
27,126,344 | ||||||
|
| |||||
Total Industrials | 49,573,070 | |||||
|
| |||||
Information Technology — 19.8% | ||||||
Semiconductors & Semiconductor Equipment — 5.8% | ||||||
43,030 | Broadcom Ltd.3 | 7,606,413 | ||||
131,405 | NXP Semiconductors NV2,3 | 12,879,004 | ||||
|
| |||||
20,485,417 | ||||||
|
| |||||
Software & Services — 5.6% | ||||||
127,810 | Cornerstone OnDemand, Inc.2,3 | 5,407,641 | ||||
135,640 | PTC, Inc.2,3 | 6,276,063 | ||||
162,255 | Total System Services, Inc.3 | 7,955,362 | ||||
|
| |||||
19,639,066 | ||||||
|
| |||||
Technology Hardware & Equipment — 8.4% | ||||||
106,040 | Harris Corp.3 | 10,865,919 | ||||
467,770 | Hewlett Packard Enterprise Co.3 | 10,824,198 | ||||
62,740 | Palo Alto Networks, Inc.2,3 | 7,845,637 | ||||
|
| |||||
29,535,754 | ||||||
|
| |||||
Total Information Technology | 69,660,237 | |||||
|
| |||||
Materials — 8.9% | ||||||
Chemicals — 7.0% | ||||||
71,675 | Air Products & Chemicals, Inc.3 | 10,308,299 | ||||
76,210 | PPG Industries, Inc.3 | 7,221,660 | ||||
104,550 | W.R. Grace & Co. | 7,071,762 | ||||
|
| |||||
24,601,721 | ||||||
|
| |||||
Metals & Mining — 1.9% | ||||||
115,285 | Nucor Corp. | 6,861,763 | ||||
|
| |||||
Total Materials | 31,463,484 | |||||
|
| |||||
Utilities — 5.2% | ||||||
Utilities: Electrical — 2.6% | ||||||
76,450 | NextEra Energy, Inc.3 | 9,132,717 | ||||
|
| |||||
Utilities: Multi — 2.6% | ||||||
148,070 | Black Hills Corp.3 | 9,082,614 | ||||
|
| |||||
Total Utilities | 18,215,331 | |||||
|
| |||||
Total Common Stock | 316,590,761 | |||||
|
|
See accompanying notes. | CRM Long/Short Opportunities Fund | |||
8 |
CRM LONG/SHORT OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2016 (Unaudited)
Contracts | Value | |||||
Purchased Options — 0.1% |
| |||||
Call Option — 0.0% |
| |||||
795 | Mondelez International Corp., Strike Price $45.00, Expires 01/20/17 | $ | 80,295 | |||
|
| |||||
Put Options — 0.1% |
| |||||
1,013 | CBS Corp., Strike Price $60.00, Expires 03/17/17 | 174,236 | ||||
222 | FedEx Corp., Strike Price $190.00, Expires 01/20/17 | 130,980 | ||||
|
| |||||
305,216 | ||||||
|
| |||||
Total Purchased Options | 385,511 | |||||
|
| |||||
Shares | ||||||
Short-Term Investments — 12.9% |
| |||||
22,684,187 | Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 0.52%4 | 22,684,187 | ||||
22,684,187 | Federated Treasury Obligations Fund Institutional Series, 0.36%4 | 22,684,187 | ||||
|
| |||||
Total Short-Term Investments | 45,368,374 | |||||
|
| |||||
Total Investments in Securities — 102.9% | 362,344,646 | |||||
|
| |||||
Securities Sold Short — (54.3)% | ||||||
Common Stock Sold Short — (51.2)% | ||||||
Consumer Discretionary — (13.6)% | ||||||
Automobiles & Components — (1.6)% | ||||||
(15,090) | Adient PLC1 | (884,274 | ) | |||
(42,330) | Autoliv, Inc. | (4,789,640 | ) | |||
|
| |||||
(5,673,914 | ) | |||||
|
| |||||
Consumer Durables & Apparel — (4.7)% | ||||||
(33,810) | Hasbro, Inc. | (2,630,080 | ) | |||
(98,360) | VF Corp. | (5,247,506 | ) | |||
(19,490) | Whirlpool Corp. | (3,542,697 | ) | |||
(229,820) | Wolverine World Wide, Inc. | (5,044,549 | ) | |||
|
| |||||
(16,464,832 | ) | |||||
|
| |||||
Consumer Services — (2.8)% | ||||||
(49,375) | Darden Restaurants, Inc. | (3,590,550 | ) | |||
(25,805) | Hilton Grand Vacations, Inc.2 | (670,930 | ) | |||
(146,160) | ServiceMaster Global Holdings, Inc.2 | (5,505,847 | ) | |||
|
| |||||
(9,767,327 | ) | |||||
|
| |||||
Retailing — (4.5)% | ||||||
(75,165) | Best Buy Co., Inc. | (3,207,291 | ) | |||
(51,050) | Big Lots, Inc. | (2,563,220 | ) | |||
(232,950) | Chico’s FAS, Inc. | (3,352,151 | ) |
Shares | Value | |||||
Consumer Discretionary — (continued) | ||||||
Retailing — (continued) | ||||||
(95,445) | Target Corp. | $ | (6,893,992 | ) | ||
|
| |||||
(16,016,654 | ) | |||||
|
| |||||
Total Consumer Discretionary | (47,922,727 | ) | ||||
|
| |||||
Consumer Staples — (4.4)% | ||||||
Food & Staples Retailing — (1.0)% | ||||||
(118,000) | Metro, Inc. | (3,529,498 | ) | |||
|
| |||||
Food, Beverage & Tobacco — (2.3)% | ||||||
(96,010) | Brown-Forman Corp. — Class B | (4,312,769 | ) | |||
(110,520) | Hormel Foods Corp. | (3,847,201 | ) | |||
|
| |||||
(8,159,970 | ) | |||||
|
| |||||
Household & Personal Products — (1.1)% | ||||||
(84,400) | Church & Dwight Co., Inc. | (3,729,636 | ) | |||
|
| |||||
Total Consumer Staples | (15,419,104 | ) | ||||
|
| |||||
Energy — (0.7)% | ||||||
Energy Equipment & Services — (0.7)% | ||||||
(32,840) | Helmerich & Payne, Inc. | (2,541,816 | ) | |||
|
| |||||
Financials — (2.0)% | ||||||
Diversified Financials — (1.0)% | ||||||
(36,595) | Moody’s Corp. | (3,449,811 | ) | |||
|
| |||||
Insurance — (1.0)% | ||||||
(95,455) | First American Fnancial Corp. | (3,496,516 | ) | |||
|
| |||||
Total Financials | (6,946,327 | ) | ||||
|
| |||||
Health Care — (7.7)% | ||||||
Health Care Equipment & Services — (2.3)% | ||||||
(23,790) | ABIOMED, Inc.2 | (2,680,657 | ) | |||
(13,020) | ICU Medical, Inc.2 | (1,918,497 | ) | |||
(77,640) | LivaNova PLC1,2 | (3,491,471 | ) | |||
|
| |||||
(8,090,625 | ) | |||||
|
| |||||
Pharmaceuticals, Biotechnology & Life Sciences — (5.4)% | ||||||
(163,345) | Bruker Corp. | (3,459,647 | ) | |||
(43,380) | Johnson & Johnson | (4,997,810 | ) | |||
(38,686) | Roche Holding AG | (8,818,573 | ) | |||
(30,220) | UCB SA | (1,933,510 | ) | |||
|
| |||||
(19,209,540 | ) | |||||
|
| |||||
Total Health Care | (27,300,165 | ) | ||||
|
| |||||
Industrials — (11.0)% | ||||||
Capital Goods — (6.8)% | ||||||
(17,420) | Acuity Brands, Inc. | (4,021,581 | ) | |||
(59,425) | GATX Corp. | (3,659,392 | ) | |||
(65,020) | Owens Corning | (3,352,431 | ) | |||
(74,200) | Regal Beloit Corp. | (5,138,350 | ) | |||
(22,970) | Stanley Black &Decker, Inc. | (2,634,429 | ) | |||
(7,250) | TransDigm Group, Inc. | (1,804,960 | ) | |||
(122,805) | Triumph Group, Inc. | (3,254,333 | ) | |||
|
| |||||
(23,865,476 | ) | |||||
|
| |||||
Transportation — (4.2)% | ||||||
(401,050) | Deutsche Lufthansa AG | (5,169,846 | ) | |||
(698,080) | Royal Mail PLC1 | (3,968,183 | ) |
See accompanying notes. | CRM Long/Short Opportunities Fund | |||
9 |
CRM LONG/SHORT OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2016 (Unaudited)
Shares | Value | |||||
Industrials — (continued) | ||||||
Transportation — (continued) | ||||||
(54,980) | Union Pacific Corp. | $ | (5,700,326 | ) | ||
|
| |||||
(14,838,355 | ) | |||||
|
| |||||
Total Industrials | (38,703,831 | ) | ||||
|
| |||||
Information Technology — (7.2)% | ||||||
Semiconductors & Semiconductor Equipment — (1.0)% | ||||||
(55,910) | QUALCOMM, Inc. | (3,645,332 | ) | |||
|
| |||||
Software & Services — (6.2)% | ||||||
(149,407) | Fortinet, Inc.2 | (4,500,139 | ) | |||
(33,620) | International Business Machines Corp. | (5,580,584 | ) | |||
(76,690) | Workday, Inc. — Class A2 | (5,068,442 | ) | |||
(573,170) | Xerox Corp. | (5,003,774 | ) | |||
(302,950) | Xerox Corp. When Issued | (1,766,198 | ) | |||
|
| |||||
(21,919,137 | ) | |||||
|
| |||||
Total Information Technology | (25,564,469 | ) | ||||
|
| |||||
Materials — (4.6)% | ||||||
Chemicals — (1.0)% | ||||||
(13,300) | Sherwin-Williams Co. (The) | (3,574,242 | ) | |||
|
| |||||
Materials — (3.6)% | ||||||
(36,300) | International Flavors & Fragrances, Inc. | (4,277,229 | ) | |||
(28,960) | Praxair, Inc. | (3,393,823 | ) | |||
(102,805) | Worthington Industries, Inc. | (4,877,069 | ) | |||
|
| |||||
(12,548,121 | ) | |||||
|
| |||||
Total Materials | (16,122,363 | ) | ||||
|
| |||||
Total Common Stock Sold Short | (180,520,802 | ) | ||||
|
|
Shares | Value | |||||
Exchange-Traded Funds Sold Short — (3.1)% |
| |||||
(90,920) | iShares 20+ Year Treasury Bond ETF | |||||
(Proceeds $(10,792,218)) | $ | (10,831,300 | ) | |||
|
| |||||
Total Securities Sold Short | (191,352,102 | ) | ||||
|
| |||||
Contracts | ||||||
Written Options — (0.1)% |
| |||||
Call Option — (0.1)% | ||||||
(1,013) | CBS Corp., Strike Price $65.00, Expires 03/17/17 | (238,055 | ) | |||
Put Option — 0.0% | ||||||
(1,013) | CBS Corp., Strike Price $50.00, Expires 03/17/17 | (28,364 | ) | |||
|
| |||||
Total Written Options | (266,419 | ) | ||||
|
| |||||
Other Assets in Excess of Liabilities — 51.5% | 181,393,819 | |||||
|
| |||||
Total Net Assets — 100.0% | $ | 352,119,944 | ||||
|
|
See accompanying notes. | CRM Long/Short Opportunities Fund | |||
10 |
CRM LONG/SHORT OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2016 (Unaudited)
A summary of inputs used to value the Fund’s investments as of December 31, 2016 is as follows (see Note 2 in Notes to Financial Statements):
Investments in Securities (Value) | Level 1 Quoted Prices | Level 2 Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Assets | ||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||
Common Stock | $ | 316,590,761 | $ | 316,590,761 | $ | — | $ | — | ||||||||||||
Purchased Options | 385,511 | 385,511 | — | — | ||||||||||||||||
Short-Term Investments | 45,368,374 | 45,368,374 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Investments in Securities | $ | 362,344,646 | $ | 362,344,646 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments* | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 8,948 | $ | — | $ | 8,948 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Assets - Other Financial Instruments | $ | 8,948 | $ | — | $ | 8,948 | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Common Stock Sold Short | ||||||||||||||||||||
Consumer Discretionary | $ | (47,922,727 | ) | $ | (47,922,727 | ) | $ | — | $ | — | ||||||||||
Consumer Staples | (15,419,104 | ) | (15,419,104 | ) | — | — | ||||||||||||||
Energy | (2,541,816 | ) | (2,541,816 | ) | — | — | ||||||||||||||
Financials | (6,946,327 | ) | (6,946,327 | ) | — | — | ||||||||||||||
Health Care | (27,300,165 | ) | (16,548,082 | ) | (10,752,083 | ) | — | |||||||||||||
Industrials | (38,703,831 | ) | (29,565,802 | ) | (9,138,029 | ) | — | |||||||||||||
Information Technology | (25,564,469 | ) | (25,564,469 | ) | — | — | ||||||||||||||
Materials | (16,122,363 | ) | (16,122,363 | ) | — | — | ||||||||||||||
Exchange-Traded Funds Sold Short | (10,831,300 | ) | (10,831,300 | ) | — | — | ||||||||||||||
Written Options | (266,419 | ) | (266,419 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Investments in Securities | $ | (191,618,521 | ) | $ | (171,728,409 | ) | $ | (19,890,112 | ) | $ | — | |||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments* | ||||||||||||||||||||
Forward Foreign Currency Contracts | $ | (81,314 | ) | $ | — | $ | (81,314 | ) | $ | — | ||||||||||
Total Return Swap Agreements - Equity Contracts | (779,139 | ) | — | (779,139 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities - Other Financial Instruments | $ | (860,453 | ) | $ | — | $ | (860,453 | ) | $ | — | ||||||||||
|
|
|
|
|
|
|
|
* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as forward foreign currency contracts and total return swap agreements, which are recorded at fair value.
There were no transfers between Level 1, Level 2, and Level 3 during the period August 16, 2016 to December 31, 2016.
See accompanying notes. | CRM Long/Short Opportunities Fund | |||
11 |
CRM LONG/SHORT OPPORTUNITIES FUND
SCHEDULE OF INVESTMENTS (Concluded)
December 31, 2016 (Unaudited)
Forward foreign currency contracts outstanding at December 31, 2016:
Counterparty | Termination Date | Currency Purchase | Currency Sold | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Morgan Stanley | 03/15/17 | 1,221,831 | British Pound | 1,562,355 | United States Dollar | $(53,717 | ) | |||||||||||||||
Morgan Stanley | 03/15/17 | 700,000 | Canadian Dollar | 527,585 | United States Dollar | (5,764 | ) | |||||||||||||||
Morgan Stanley | 03/15/17 | 2,228,715 | Switzerland Franc | 2,220,807 | United States Dollar | (21,833 | ) | |||||||||||||||
Morgan Stanley | 03/15/17 | 801,450 | United States Dollar | 750,000 | Euro | 8,948 | ||||||||||||||||
Total Forward Foreign Currency Contracts |
| $(72,366 | ) |
Total return swap agreements outstanding at December 31, 2016:
Counterparty | Termination Date | Long (Short) Notional Amount | Description | Fair Value | Upfront Premiums Paid (Received) | Unrealized (Depreciation)(1) | |||||||||||||||||||||
Morgan Stanley | 03/06/17 | $ | (9,872,797 | ) | Pay or receive amounts based on market value fluctuation of the Canadian financial equity basket | $ | (87,248 | ) | $ | — | $ | (87,248 | ) | ||||||||||||||
Morgan Stanley | 02/24/17 | (5,409,833 | ) | Pay or receive amounts based on market value fluctuation of the insurance equity basket | (147,396 | ) | — | (147,396 | ) | ||||||||||||||||||
Morgan Stanley | 02/21/17 | (18,544,763 | ) | Pay or receive amounts based on market value fluctuation of the utility equity basket | (544,495 | ) | — | (544,495 | ) | ||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||
$ | (779,139 | ) | $ | — | $ | (779,139 | ) | ||||||||||||||||||||
|
|
|
|
|
|
(1) Upfront/recurring fees or commissions, as applicable, are included in the net unrealized (depreciation).
1 | PLC — Public Limited Company. |
2 | Non-income producing security. |
3 | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
4 | Rate represents an annualized yield at date of measurement. |
See accompanying notes. | CRM Long/Short Opportunities Fund | |||
12 |
CRM LONG/SHORT OPPORTUNITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2016 (Unaudited)
ASSETS: | ||||
Investments in securities | ||||
Investments in securities, at cost | $ | 363,138,353 | ||
Net unrealized depreciation | (793,707 | ) | ||
|
| |||
Total investments in securities, at value | 362,344,646 | |||
Cash | 1,819,714 | |||
Deposits with broker for securities sold short | 190,804,758 | |||
Receivable for fund shares sold | 237,497 | |||
Receivable for securities sold | 14,003,271 | |||
Unrealized appreciation on foreign currency exchange contracts | 8,948 | |||
Dividends receivable | 409,282 | |||
Other assets | 33,180 | |||
|
| |||
Total assets | 569,661,296 | |||
|
| |||
LIABILITIES: | ||||
Securities sold short, at value (proceeds $194,643,147) | 191,352,102 | |||
Written Options, at value (proceeds $196,916) | �� | 266,419 | ||
Unrealized depreciation on swap agreements | 779,139 | |||
Payable for fund shares redeemed | 785,970 | |||
Payable for securities purchased | 23,599,891 | |||
Unrealized depreciation on foreign currency exchange contracts | 81,314 | |||
Payable for dividends on securities sold short | 196,106 | |||
Interest payable | 28,024 | |||
Accrued advisory fee | 366,912 | |||
Trustees fees | 4,335 | |||
Audit and tax fees | 16,635 | |||
Other accrued expenses | 64,505 | |||
|
| |||
Total liabilities | 217,541,352 | |||
|
| |||
NET ASSETS | $ | 352,119,944 | ||
|
| |||
COMPONENTS OF NET ASSETS | ||||
Paid-in-capital | $ | 355,650,877 | ||
Accumulated net investment loss | (25,301 | ) | ||
Accumulated net realized loss on investments and foreign currency transactions | (4,986,266 | ) | ||
Net unrealized appreciation on investments and foreign currency | 1,480,634 | |||
|
| |||
NET ASSETS | $ | 352,119,944 | ||
|
| |||
NET ASSETS BY SHARE CLASS | ||||
Institutional Shares | $ | 352,119,944 | ||
|
| |||
SHARES OF BENEFICIAL INTEREST OUTSTANDING | 35,570,720 | |||
NET ASSET VALUE (OFFERING AND REDEMPTION PRICE PER SHARE) | ||||
Institutional Shares | $ | 9.90 |
See accompanying notes. | CRM Long/Short Opportunities Fund | |||
13 |
CRM LONG/SHORT OPPORTUNITIES FUND
STATEMENT OF OPERATIONS (Unaudited)
For the Period | |||||
August 16, 2016(1) | |||||
through | |||||
December 31, 2016 | |||||
INVESTMENT INCOME | |||||
Dividends | $ | 1,597,482 | |||
Foreign tax withheld | (5,060 | ) | |||
|
| ||||
Total investment income | 1,592,422 | ||||
|
| ||||
EXPENSES | |||||
Investment advisory fees | 914,885 | ||||
Administration and accounting fees | 19,581 | ||||
Custody fees | 21,541 | ||||
Transfer Agent fees | 51,036 | ||||
Shareholder reports | 4,891 | ||||
Trustee fees and expenses | 8,015 | ||||
Insurance fees | 2,267 | ||||
Registration fees | 13,015 | ||||
Audit and tax fees | 16,635 | ||||
Legal fees | 15,963 | ||||
Dividend and interest expense on securities sold short | 641,845 | ||||
Miscellaneous | 7,199 | ||||
|
| ||||
Total expenses | 1,716,873 | ||||
Expenses waived/reimbursed | (99,150 | ) | |||
|
| ||||
Net expenses | 1,617,723 | ||||
|
| ||||
NET INVESTMENT LOSS | (25,301 | ) | |||
|
| ||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY | |||||
Net realized gain (loss) from: | |||||
Investments | (544,977 | ) | |||
Purchased Options | (260,876 | ) | |||
Short sales | (3,053,575 | ) | |||
Swap agreements | (996,461 | ) | |||
Written Options | 76,052 | ||||
Foreign currency transactions | (206,429 | ) | |||
|
| ||||
Net realized gain (loss) | (4,986,266 | ) | |||
|
| ||||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (716,547 | ) | |||
Purchased Options | (77,160 | ) | |||
Short sales | 3,291,045 | ||||
Swap agreements | (779,139 | ) | |||
Written Options | (69,503 | ) | |||
Foreign currency transactions | (168,062 | ) | |||
|
| ||||
Net change in unrealized appreciation (depreciation) | 1,480,634 | ||||
|
| ||||
Net realized and unrealized gain (loss) on investments and foreign currency | (3,505,632 | ) | |||
|
| ||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (3,530,933 | ) | ||
|
|
(1) Inception date.
See accompanying notes. | CRM Long/Short Opportunities Fund | |||
14 |
CRM LONG/SHORT OPPORTUNITIES FUND
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
For the Period | |||||
August 16, 2016(1) | |||||
through | |||||
December 31, 2016 | |||||
NET ASSETS - BEGINNING OF PERIOD | $ | — | |||
|
| ||||
OPERATIONS | |||||
Net investment loss | (25,301 | ) | |||
Net realized loss from investments and foreign currency. | (4,986,266 | ) | |||
Net change in unrealized appreciation on investments and foreign currency | 1,480,634 | ||||
|
| ||||
Net decrease in net assets resulting from operations | (3,530,933 | ) | |||
|
| ||||
CAPITAL SHARE TRANSACTIONS | |||||
Sale of shares - Institutional Shares | 371,187,097 | ||||
Redemption of shares - Institutional Shares | (15,536,220 | ) | |||
|
| ||||
Net increase from capital share transactions | 355,650,877 | ||||
|
| ||||
Total increase in net assets | 352,119,944 | ||||
|
| ||||
NET ASSETS - END OF PERIOD | $ | 352,119,944 | |||
|
| ||||
Accumulated net investment loss | $ | (25,301 | ) | ||
|
|
(1) Inception date.
See accompanying notes. | CRM Long/Short Opportunities Fund | |||
15 |
CRM LONG/SHORT OPPORTUNITIES FUND
FINANCIAL HIGHLIGHTS (Unaudited)
The following table includes selected data for a share outstanding throughout the period and other performance information derived from the financial statements. The total return in the table represents the rate an investor would have earned or lost on an investment in the fund (assuming reinvestment of all dividends and distributions). This information should be read in conjunction with the financial statements and notes thereto.
For the Period | |||||
August 16, 2016 | |||||
through | |||||
December 31, 20161 | |||||
Net Asset Value — Beginning of Period | $ | 10.00 | |||
|
| ||||
Investment operations: | |||||
Net investment loss2 | — | 3 | |||
Net realized and unrealized loss on investments and foreign currency | (0.10 | ) | |||
|
| ||||
Total from investment operations | (0.10 | ) | |||
|
| ||||
Net Asset Value — End of Period | $ | 9.90 | |||
|
| ||||
Total Return | (1.00 | )% | |||
Ratios/Supplemental Data: | |||||
Ratios to average net assets: | |||||
Expenses, including waiver/reimbursement4 | 2.65 | % | |||
Expenses, excluding waiver/reimbursement | 2.81 | % | |||
Net investment loss, including waiver/reimbursement | (0.04 | )% | |||
Portfolio turnover rate | 229 | % | |||
Net Assets at the end of period (000’s omitted) | $ | 352,120 |
1 | Inception date was August 16, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized. |
2 | Calculated using the average shares outstanding method. |
3 | Amount represents less than $0.005. |
4 | Expense ratio includes dividend and interest expense related to securities sold short. Excluding such dividend and interest expense, the ratio of expenses to average net assets for the period August 16, 2016 through December 31, 2016 would have been 1.60%. |
See accompanying notes. | CRM Long/Short Opportunities Fund | |||
16 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited)
1. | Description of the Fund. CRM Long/Short Opportunities Fund (“Long/Short Opportunities Fund” or the “Fund”) is a series of the CRM Mutual Fund Trust (te “Trust”). A shareholder of one series of the Trust is not deemed to be a shareholder of any other series. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and was organized as a Delaware statutory trust on March 30, 2005. The Fund commenced operations on August 16, 2016. |
The Fund offers Institutional Shares. Shares are generally available for purchase and sale by registered investment advisers acting in a fiduciary capacity on behalf of their clients and by or through other qualified intermediaries and programs sponsored by such qualified financial intermediaries. Initial investments in the Fund are subject to a $100,000,000 minimum per registered investment adviser or qualified financial intermediary.
2. | Significant Accounting Policies. The Fund’s financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). The Fund is an investment company and therefore, the Fund follows the accounting and reporting requirements for investment companies under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, in accordance with FASB Accounting Standards update 2013-08. The following is a summary of the significant accounting policies of the Fund: |
Security Valuation. The Fund values its investment securities based on current market values when such values are available. These prices normally are supplied by a pricing service.
In valuing the Fund’s investment securities, a security listed on the New York Stock Exchange (the “Exchange”) (and not subject to restrictions against sale by the Fund on the Exchange) will be valued at its last sale price on the Exchange on the day the security is valued. Lacking any sales on such day, the security will be valued at the mean between the closing asked price and the closing bid price. Securities listed on other exchanges (and not subject to restriction against sale by the Fund on such exchanges) will be similarly valued, using quotations on the exchange on which the security is traded most extensively. Securities that are quoted on the NASDAQ Stock Market, for which there have been sales of such securities on such day, shall be valued at the last sale price reported on such system on the day the security is valued. If there are no such sales on such day, the value shall be the mean between the closing asked price and the closing bid price. The value of such securities quoted on the stock market system, but not listed on the national market system, shall be valued at the mean between the closing asked price and the closing bid price. Unlisted securities that are not quoted on the NASDAQ Stock Market and for which over-the-counter market quotations are readily available will be valued at the mean between the current bid and asked prices for such security in the over-the-counter market. Short-term investments with remaining maturities of less than 61 days are valued at amortized cost, provided such amount approximates fair value. The Fund’s currency valuations, if any, are also valued at the close of regular trading on the Exchange. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations provided by a third party pricing service. Option contracts are generally valued at the mean between the last bid and ask prices on the principal exchange where they are traded.
Securities that do not have a readily available current market value are valued in good faith by, or under the direction of, the Board of Trustees of the Trust (the “Board” or “Trustees”). In addition, the Fund may use fair value methodologies if it is determined that a significant event has occurred between the time at which
CRM Long/Short Opportunities Fund | ||||
17 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
a market price is determined and the time at which the Fund’s net asset value (“NAV”) is calculated and that may materially affect the value of the security. In particular, the value of foreign securities may be materially affected by events occurring after the close of the market on which they are valued, but before the Fund prices its shares. Securities trading in overseas markets present time zone arbitrage opportunities when events affecting portfolio security values occur after the close of the overseas market but prior to the close of the U.S. market. In addition, arbitrage opportunities may exist when trading in a portfolio security or securities is halted and does not resume before a fund calculates its NAV. These arbitrage opportunities may enable short-term traders to profit at the expense of long-term investors. Valuing securities using fair value methodologies involves greater reliance on judgment than valuing securities based on readily available market quotations. The Fund, when using fair value methodologies to price securities, may value those securities higher or lower than another fund using market quotations or its own fair value methodologies to price the same securities. There can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security.
The Fund discloses the value of its investments in a hierarchy based on the inputs used to value the investments. The disclosure hierarchy consists of three broad levels:
• | Level 1 — | quoted prices in active markets for identical securities |
Investments whose values are based on quoted market prices in active markets, and whose values are therefore classified as Level 1 prices, include active listed equity securities. The Fund does not adjust the quoted price for such investments, even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.
• | Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs are classified as Level 2 prices. These generally include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equity securities. As investments whose values are classified as Level 2 prices may include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.
• | Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not available for these securities, the Fund uses one or more valuation techniques for which sufficient and reliable data is available. The inputs used by the Fund in estimating the value of Level 3 prices may include the original transaction price, quoted prices for comparable companies or assets in active markets, completed or pending third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Fund in the absence of market information. Assumptions used by the Fund due to the lack of observable inputs may significantly impact the resulting value and therefore the Fund’s results of operations.
CRM Long/Short Opportunities Fund | ||||
18 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any inputs both individually and in the aggregate that is significant to the fair value measurement. The Fund’s policy is to recognize transfers among levels as of the beginning of the reporting period. There were no transfers between Level 1, Level 2 or Level 3 for the Fund during the period August 16, 2016 through December 31, 2016. A summary of the inputs used to value the Fund’s investments as of December 31, 2016 is included with the Fund’s Schedule of Investments.
Foreign Currency Translations. The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date. The value of all assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar daily. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of those investments. Such fluctuations are included with the net realized and unrealized gain or loss from investments that are disclosed within the Fund’s statement of operations, as applicable.
Federal Income Taxes. The Fund is treated as a separate entity for federal income tax purposes and intends to qualify as a “regulated investment company” (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of its taxable income to its shareholders. Therefore, no Federal income tax provision has been made.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Fund’s tax positions and has concluded that no provision for U.S. income tax is required in the Fund’s financial statements. On an ongoing basis, management monitors the Fund’s tax positions to determine if any adjustments to its conclusions are necessary.
The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the period August 16, 2016 through December 31, 2016, the Fund did not incur any interest or penalties.
Security Transactions and Investment Income. Investment security transactions are accounted for on a trade date basis for financial reporting purposes. The Fund uses the specific identification method for determining realized gains and losses on investments for both financial and federal income tax reporting purposes. Interest income is recorded on the accrual basis and includes the amortization of premium and the accretion of discount. Dividend income and expense are recorded on the ex-dividend date. The Fund records expenses as incurred.
Common expenses of the Trust are allocated on a pro-rata basis amongst the series of the Trust based on relative net assets.
The Fund’s investments in certain countries are subjected to additional capital gain taxes. Such taxes are due upon sale of individual securities. The Fund accrues for taxes on the capital gains throughout the holding period based on the unrealized gain of the underlying securities as applicable. There were no capital gains taxes for the period August 16, 2016 through December 31, 2016 in the Fund.
CRM Long/Short Opportunities Fund | ||||
19 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
Distributions to Shareholders. Dividends and distributions to shareholders are recorded on the ex-dividend date. Distributions from net investment income and net realized gains, if any, will be declared and paid annually.
Use of Estimates in the Preparation of Financial Statements. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
3. | Advisory Fees and Other Transactions with Affiliates. Cramer Rosenthal McGlynn, LLC (“CRM”) serves as investment adviser to the Fund. CRM receives an advisory fee from the Fund of 1.50% of the Fund’s average daily net assets. |
CRM has a contractual obligation to waive a portion of its fees and to assume certain expenses of the Fund to the extent that the total annual fund operating expenses, excluding taxes, extraordinary expenses, brokerage commissions, interest, dividend and interest expenses related to short sales, and acquired fund fees and expenses, exceed 1.60% of average daily net assets of the Fund. These expense limitations are in effect until November 1, 2017. Prior to that date, the arrangement may be terminated only by the vote of the Board of Trustees of the Fund.
CRM provides compliance services to the Trust. The Chief Compliance Officer (“CCO”) is an employee of CRM. The Trust reimburses CRM for the portion of his salary allocated to his duties as the CCO of the Trust at a rate of $75,000 per year which is allocated on a pro-rata basis amongst the series of the Trust based on relative net assets.
Compensation of Trustees and Officers. Except for the CCO of the Fund, trustees and officers of the Fund who are interested persons of CRM, as defined in the 1940 Act, receive no compensation from the Fund.
Trustees of the Fund who are not interested persons of CRM, as defined in the 1940 Act (each an “Independent Trustee”), receive compensation and reimbursement of expenses. Each Independent Trustee receives aggregate annual compensation from the Trust at an annual rate of $75,000 which is allocated on a pro-rata basis amongst the Series of the Trust based on relative net assets. Under a Deferred Compensation Plan (the “Plan”) adopted August 12, 2005, an Independent Trustee may elect to defer receipt of all, or a portion, of his annual compensation. If an Independent Trustee opts for deferral, then the deferred amounts are credited to an Independent Trustee’s deferral account and invested and reinvested in Institutional Shares of one or more of the Funds until such amounts are distributed in accordance with the Plan. No Independent Trustee deferred their compensation earned for the period August 16, 2016 through December 31, 2016. Trustees’ fees reflected in the accompanying financial statements include total compensation earned, which were paid in cash. Each trustee serves during the continued lifetime of the Fund, or the earlier of when his or her successor is elected or qualified, the officer dies, resigns, is removed or becomes disqualified.
CRM Long/Short Opportunities Fund | ||||
20 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
4. | Investment Securities Transactions. The cost of investments purchased and the proceeds from investments sold (excluding short-term investments) for the period August 16, 2016 through December 31, 2016, were as follows: |
Purchases | Sales | |
$505,652,685 | $187,819,930 | |
Purchases to | ||
Short Sales | Cover Shorts | |
$359,285,698 | $167,696,127 |
5. | Short Sale Transactions. In short sale transactions the Fund sells a security it does not hold in anticipation of a decline in the market price of that security. When the Fund makes a short sale, it will borrow the security sold short (borrowed bond) and deliver the security to the counterparty to which it sold the security short. An amount equal to the proceeds received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund is required to repay the counterparty any dividends declared on the security sold short and is also charged interest on the security borrowed, which are shown as dividend and interest expense in the Statement of Operations. The Fund is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain, is limited to the price at which the Fund sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that the Fund will be able to close out a short position at a particular time or at an acceptable price. |
Cash that has been pledged to secure the Fund’s obligation to cover the short positions is reported separately on the Statement of Assets and Liabilities as deposits with broker for securities sold short. Non-cash collateral pledged by the Fund is noted in the Schedule of Investments.
6. | Capital Share Transactions. Transactions in shares of capital stock for the period August 16, 2016 through December 31, 2016 was as follows: |
For the Period | |||||
August 16, 2016(1) | |||||
through | |||||
December 31, 2016 | |||||
Institutional | |||||
Shares | |||||
Sold | 37,124,282 | ||||
Redeemed | (1,553,562 | ) | |||
|
| ||||
Net increase | 35,570,720 | ||||
|
|
(1) Inception date.
CRM Long/Short Opportunities Fund | ||||
21 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
7. | Federal Tax Information. Distributions to shareholders from net investment income and realized gains are determined in accordance with Federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Additionally, net short-term realized gains are treated as “ordinary income” for tax purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. |
The total cost of investments and net unrealized appreciation or depreciation for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, and related gross unrealized appreciation and depreciation of securities held by the Fund as of December 31, 2016 were as follows:
Net Unrealized | ||||||||
Tax Cost of | Gross Unrealized | Gross Unrealized | Appreciation (Depreciation) | |||||
Investments | Appreciation | Depreciation | on Investments | |||||
$365,159,653 | $5,733,490 | $(8,548,497) | $(2,815,007) |
8. | Derivative Financial Instruments. The Fund may, but is not required to, invest in derivative contracts, such as swaps and options on securities and securities indices, for a variety of purposes, including: in an attempt to hedge against adverse changes in the market price of securities, interest rates or currency exchange rates; as a substitute for purchasing or selling securities, including short sales; to attempt to increase the Fund’s return as a non-hedging strategy that may be considered speculative; to manage portfolio characteristics; and as a cash flow management technique. Using swaps, options and other derivatives can increase Fund losses and reduce opportunities for gains when market prices, interest rates or the derivative instruments themselves behave in a way not anticipated by the Fund. Using derivatives may increase the volatility of the Fund’s net asset value and may not provide the result intended. Derivatives may have a leveraging effect on the Fund. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment. Changes in a derivative’s value may not correlate well with the referenced asset or metric. The Fund also may have to sell assets at inopportune times to satisfy its obligations. Derivatives may be difficult to sell, unwind or value, and the counterparty may default on its obligations to the Fund. |
Options. The Fund purchases and writes call and put options to increase or decrease its exposure to underlying instruments (including credit risk, equity risk, foreign currency exchange rate risk and/or interest rate risk) and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in the Statement of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying
CRM Long/Short Opportunities Fund | ||||
22 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
instrument. When an option expires, a realized gain or loss is recorded in the Statement of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statement of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Fund writes an option, such option is covered by cash in an amount sufficient to cover the obligation. In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Fund purchasing or selling a security when it otherwise would not, or at a price different from the current market value.
Transactions in options written during the period August 16, 2016 through December 31, 2016 were as follows:
Number of | Premium | |||||||||
Contracts | Received | |||||||||
Options outstanding at August 16, 2016(1) | — | $ | — | |||||||
|
|
|
| |||||||
Options written | 2,779 | 341,686 | ||||||||
Options repurchased | (668 | ) | (137,966 | ) | ||||||
Options expired. | (85 | ) | (6,804 | ) | ||||||
|
|
|
| |||||||
Options outstanding at December 31, 2016 | 2,026 | $ | 196,916 | |||||||
|
|
|
| |||||||
(1) Inception date |
Forward Foreign Currency Contracts. The Fund enters into forward foreign currency exchange contracts to gain or reduce exposure, to foreign currencies (foreign currency exchange rate risk). A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated and in some cases, may be used to obtain exposure to a particular market.
The contract is marked to market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.
Swaps. The Fund enters into swap contracts to manage exposure to issuers, markets and securities. Such contracts are agreements between the Fund and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, in the Statement of Assets and Liabilities and amortized over the term of the OTC swap. Payments received or made by the Fund for OTC swaps are recorded in the Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Fund will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
CRM Long/Short Opportunities Fund | ||||
23 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statement of Operations.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Total return basket swaps. The Fund enters into total return swaps to obtain exposure to a portfolio of long and short securities without owning such securities.
Under the terms of an agreement, the swap is designed to function as a portfolio of direct investments in long and short equity. This means that the Fund has the ability to trade in and out of long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions such as: capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.
Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Fund and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Statement of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.
In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA MA”) or similar agreement with its counterparties. An ISDA MA is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA MA, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the
CRM Long/Short Opportunities Fund | ||||
24 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
ISDA MA typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. For example, notwithstanding what contractual rights may be included in an ISDA MA, such laws may prohibit the Fund from setting off amounts owed to a defaulting counterparty under an ISDA MA against amounts owed to the Fund by affiliates of the defaulting counterparty. The insolvency regimes of many jurisdictions do, however, generally permit set-off of simultaneous payables and receivables under certain types of financial contracts between the same legal entity upon a default of the entity, regardless of the existence of a contractual set-off right in those contracts. In addition, certain ISDA MA allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA MA, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements. For derivatives traded under an ISDA MA, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Fund. Any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA MA, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from its counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
CRM Long/Short Opportunities Fund | ||||
25 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
The following is a summary of the location of derivatives on the Fund’s Statement of Assets and Liabilities as of December 31, 2016:
Location on the Statement of Assets and Liabilities | ||||
Derivative Type | Asset Derivatives | Liability Derivatives | ||
Foreign exchange contracts | Unrealized appreciation on foreign currency exchange contracts | Unrealized depreciation on foreign currency exchange contracts | ||
Equity contracts | Investments in securities, at value
Unrealized appreciation on swap agreements | Options written at value
Unrealized depreciation on swap agreements |
Asset Derivative Value | |||||||||||||||||||||||||
Total Value | Interest Rate Contracts | Currency Contracts | Credit Contracts | Equity Contracts | |||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 8,948 | $ | — | $ | 8,948 | $ | — | $ | — | |||||||||||||||
Purchased Options | 385,511 | — | — | — | 385,511 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
$ | 394,459 | $ | — | $ | 8,948 | $ | — | $ | 385,511 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Liability Derivative Value | |||||||||||||||||||||||||
Total Value | Interest Rate Contracts | Currency Contracts | Credit Contracts | Equity Contracts | |||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 81,314 | $ | — | $ | 81,314 | $ | — | $ | — | |||||||||||||||
Written Options | 266,419 | — | — | — | 266,419 | ||||||||||||||||||||
Swap Agreements | 779,139 | — | — | — | 779,139 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
$ | 1,126,872 | $ | — | $ | 81,314 | $ | — | $ | 1,045,558 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
CRM Long/Short Opportunities Fund | ||||
26 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
The following is a summary of the location of derivatives on the Fund’s Statement of Operations during the period August 16, 2016 through December 31, 2016:
Location on the Statement of Operations | ||||
Derivative Type | Net Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | ||
Foreign exchange contracts | Net realized gain (loss) from: Foreign currency transactions | Net change in unrealized appreciation (depreciation) on: Foreign currency transactions | ||
Equity contracts | Net realized gain (loss) from: Purchased Options
Net realized gain (loss) from: Swap Agreements
Net realized gain (loss) from: Written Options | Net change in unrealized appreciation (depreciation) on: Purchased Options
Net change in unrealized
Net change in unrealized |
Net Realized Gain (Loss) | |||||||||||||||||||||||||
Total Value | Interest Rate Contracts | Currency Contracts | Credit Contracts | Equity Contracts | |||||||||||||||||||||
Forward Foreign Currency Contracts | $ | (11,927 | ) | $ | — | $ | (11,927 | ) | $ | — | $ | — | |||||||||||||
Purchased Options | (260,876 | ) | — | — | — | (260,876 | ) | ||||||||||||||||||
Swap Agreements | (996,461 | ) | — | — | — | (996,461 | ) | ||||||||||||||||||
Written Options | 76,052 | — | — | — | 76,052 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
$ | (1,193,212 | ) | $ | — | $ | (11,927 | ) | $ | — | $ | (1,181,285 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Total Value | Interest Rate Contracts | Currency Contracts | Credit Contracts | Equity Contracts | |||||||||||||||||||||
Forward Foreign Currency Contracts | $ | (72,366 | ) | $ | — | $ | (72,366 | ) | $ | — | $ | — | |||||||||||||
Purchased Options | (77,160 | ) | — | — | — | (77,160 | ) | ||||||||||||||||||
Swap Agreements | (779,139 | ) | — | — | — | (779,139 | ) | ||||||||||||||||||
Written Options | (69,503 | ) | — | — | — | (69,503 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
$ | (998,168 | ) | $ | — | $ | (72,366 | ) | $ | — | $ | (925,802 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
CRM Long/Short Opportunities Fund | ||||
27 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
The table below summarizes the average balance of derivative holdings by the Fund during the period August 16, 2016 through December 31, 2016. The average balance of derivatives held is indicative of the trading volume of the Fund.
Long Derivative Volume | ||||
Currency | Purchased Option Contracts (Cost) | Swap Contracts (Notional Value) | ||
$1,436,916 | $154,224 | $— | ||
Short Derivative Volume | ||||
Currency | Written Option Contracts | Swap Contracts (Notional Value) | ||
$267,150 | $65,639 | $4,335,328 |
Offsetting of Financial and Derivative Assets and Liabilities. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
The following table presents derivative assets and liabilities net of amounts available for offset under an ISDA MA or similar agreement and, as applicable, the related collateral and potential loss exposure to the Fund as of December 31, 2016:
Assets | Liabilities | |||||||
Derivative Financial Instruments: | ||||||||
Forward Foreign Currency Contracts | $ | 8,948 | $ | 81,314 | ||||
Options | 385,511 | 266,419 | ||||||
Swap Agreements | — | 779,139 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 394,459 | 1,126,872 | ||||||
Derivatives not subject to an ISDA MA or similar agreement | 385,511 | 266,419 | ||||||
|
|
|
| |||||
Total assets and liabilities subject to an ISDA MA | $ | 8,948 | $ | 860,453 | ||||
|
|
|
|
At December 31, 2016, derivative assets and liabilities by counterparty net of amounts available for offset under a ISDA MA and net of the related collateral received by each Fund are as follows:
Counterparty | Derivative Assets Subject to an ISDA MA | Derivative Liabilities Subject to an ISDA MA | Value of Derivatives Subject to an ISDA MA | Collateral (Received)/ Pledged | Net Exposure | ||||||||||||||||||||
Morgan Stanley | $ | 8,948 | $ | (860,453 | ) | $ | (851,505 | ) | $ | — | $ | (851,505 | ) | ||||||||||||
|
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|
|
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|
|
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CRM Long/Short Opportunities Fund | ||||
28 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Continued)
9. | Risks. In the normal course of business, the Fund invests in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the issuers of securities owned by the Fund. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value. Similar to issuer credit risk, the Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that CRM believes have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately its value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund. |
A derivative contract may suffer mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. |
The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Fund. |
For OTC options purchased, the Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty, to perform. The Fund may be exposed to counterparty credit risk with respect to options written to the extent the Fund deposits collateral with its counterparty to a written option. With exchange-traded options purchased and centrally cleared swaps, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund. |
CRM Long/Short Opportunities Fund | ||||
29 |
CRM LONG/SHORT OPPORTUNITIES FUND
NOTES TO FINANCIAL STATEMENTS — December 31, 2016 (Unaudited) (Concluded)
10. | Contractual Obligations. The Fund enters into contracts in the normal course of business that contain a variety of indemnification obligations. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of liability for indemnity claims to be remote. |
11. | Subsequent Events. Management has evaluated the impact of all subsequent events on the Fund and has determined that there were no subsequent events that required recognition or disclosure in the financial statements. |
CRM Long/Short Opportunities Fund | ||||
30 |
CRM FUNDS
OTHER INFORMATION (Unaudited)
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year (quarters ended September 30 and March 31) on Form N-Q. The Trust’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Voting Proxies on Fund Portfolio Securities
A description of the policies and procedures that the Trust used to determine how to vote proxies relating to securities held in the Trust’s portfolios is available, without charge and upon request, by calling 800-CRM-2883 and on the SEC’s website at http://www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 is available without charge and upon request by calling 800-CRM-2883, and on the SEC’s website listed above.
Statement of Additional Information
The Statement of Additional Information (“SAI”) for the Fund includes additional information about the Trustees and is available upon request, without charge, by calling 800-CRM-2883 or by visiting the Fund’s website at http://www.crmfunds.com.
Privacy Notice
(THIS PRIVACY NOTICE IS BEING DELIVERED WITH THE FUND’S SHAREHOLDER REPORT BUT IS NOT DEEMED TO BE A PART OF THE FUND’S SHAREHOLDER REPORT)
Set forth below is the policy of CRM Mutual Fund Trust (the “Trust”) concerning the collection and disclosure of non-public personal information regarding investors and prospective investors in CRM Long/Short Opportunities Fund, (the “Fund”) who are individuals investing for personal, family, or household purposes. The words “we” and “us” refers to the Trust and the Fund. The words “you” and “your” refers to investors and prospective investors in the Fund who are covered by this policy.
We use administrators, investment managers, custodians, transfer agents, securities brokers, and other third party businesses to conduct many aspects of our business, including processing initial investments, additional investments, redemptions, share transfers, and other transactions that you request. We refer to these third parties below as our “Service Agents.”
As we work together to achieve your investment goals, we will often share with our Service Agents personal and financial information, including, for example, your name, address and telephone number, your e-mail address, your purchases and redemptions of shares of the Fund, your banking arrangements, information on your family members, and your social security number. Our Service Agents may also receive these types of information from other firms that assist us in conducting our business. This information is collected in order to properly handle your account.
To protect the security of your personal and financial information, our Service Agents maintain physical, electronic, and procedural safeguards that meet the standards of applicable laws and regulations.
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31 | CRM Funds |
CRM FUNDS
OTHER INFORMATION (Unaudited) (Concluded)
We may, and we may authorize our Service Agents to, use your personal and financial information and share it with us, other Service Agents, and affiliates of Service Agents in order to provide you with investment services, improve our services, make our procedures more efficient, implement security measures, and fight fraud.
We will not sell your personal and financial information to any outside party. We obtain from our Service Agents confidentiality agreements that prohibit them from selling or improperly using your personal or financial information.
On occasion, we and our Service Agents may be required to provide information about you and your transactions to governmental agencies, self-regulatory organizations, industry associations and similar bodies in order to fulfill legal and regulatory requirements. In addition, federal, state, and foreign laws give people involved in lawsuits and other legal proceedings the right under certain circumstances to obtain information from us and our Service Agents, including your personal and financial information. We and our Service Agents may make other disclosures to non-affiliated third parties as permitted by law.
CRM Funds | ||||
32 |
Discussion of Board Considerations in Approving Advisory Agreement with CRM regarding the CRM Long/Short Opportunities Fund
At meetings held on June 9, 2016, the Trustee Committee and Board considered the approval of the Investment Advisory Agreement with respect to CRM Long/Short Opportunities Fund, a new series of the Trust.
In determining whether to approve the Investment Advisory Agreement with respect to CRM Long/Short Opportunities Fund, the Board, including all of the Independent Trustees, reviewed and considered, among other items: (1) a memorandum from counsel setting forth the Board’s fiduciary duties under the 1940 Act and Delaware law and the factors the Board should consider in its evaluation of the Investment Advisory Agreement; and (2) a report based on information provided by Morningstar comparing the Fund’s proposed advisory fee and anticipated expenses to those of other mutual funds managed utilizing a long/short investment strategy. The Board also discussed and considered, with the assistance of independent counsel, reports of and presentations by CRM that described: (i) the nature, extent and quality of CRM’s services provided to the other Funds of the Trust and proposed to be provided to CRM Long/Short Opportunities Fund; (ii) the experience and qualifications of the personnel providing those services; (iii) CRM’s investment philosophies and processes; (iv) CRM’s assets under management; (v) CRM’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) the proposed advisory fee arrangements with CRM; and (vii) CRM’s compliance procedures.
The Board, including all of the Trustees, considered the following factors, none of which was determinative or controlling, and reached the following conclusions in determining whether to approve the Investment Advisory Agreement with respect to CRM Long/Short Opportunities Fund.
Nature, Extent and Quality of Services Provided
The Board examined the nature, extent and quality of services provided by CRM to the other Funds of the Trust, and the quality, size and experience of CRM’s professional portfolio management team. The Board considered CRM’s proposed investment approach and research process, including CRM’s capabilities and experience in the development and implementation of its proprietary value-oriented investment process. The Board considered the experience of CRM’s portfolio management team in managing long/short strategies through hedge funds, separately managed accounts and UCITs, in addition to the other Funds of the Trust. The Board also considered CRM’s compliance programs and compliance record, risk management philosophy, policies and procedures, marketing strategies, process for trade execution, CRM’s personnel and the Board’s dealings with CRM. Based on the foregoing, the Board determined that it was satisfied with the nature, extent and quality of the services proposed to be provided by CRM to the Fund.
Performance Information
The Board noted that CRM Long/Short Opportunities Fund was a newly-offered series of the Trust and did not have a performance history. However, the Board considered the history, experience, resources and strengths of CRM in developing and implementing the investment strategies of the existing series of the Trust. The Board also considered CRM’s deep expertise in managing CRM’s long/short strategies.
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33 |
Discussion of Board Considerations in Approving Advisory Agreement with CRM regarding the CRM Long/Short Opportunities Fund (Continued)
Fees and Expenses
In reaching its conclusions, the Board considered the fees and expenses to be paid by CRM Long/Short Opportunities Fund.
The Board considered the extensive research and analysis CRM proposed to conduct in order to identify compelling investment opportunities for the Funds. The Board noted that CRM relies heavily on its own proprietary research to successfully implement its value-oriented investment philosophy, and that the cost of preparing this research is significant. Accordingly, CRM’s reliance on this proprietary research might cause CRM’s research costs to exceed those of some other investment managers that largely rely upon research prepared by third parties. The Board considered CRM’s experience in implementing its distinctive value-oriented investment philosophy. The Board concluded that the costs of CRM’s proprietary research and CRM’s experience in implementing its distinctive investment philosophy may in some cases justify an investment advisory fee that is higher than the median advisory fees paid by other mutual funds with similar investment objectives and strategies.
The Board also compared the fees and expenses to be paid by CRM Long/Short Opportunities Fund with the fees and expenses paid by other mutual funds managed utilizing a long/short investment strategy. The Board noted that, based on the information provided, the proposed investment advisory fee for CRM Long/Short Opportunities Fund was somewhat higher than the median and average advisory fees paid by other mutual funds managed utilizing a long/short investment strategy. The Board also noted that the proposed advisory fee for CRM Long/Short Opportunities Fund was higher than the advisory fees being paid by the existing series of the Trust, which are operated using CRM’s traditional long-only investment strategies. The Board considered the additional work and analysis required to identify investments for the short selling component of CRM Long/Short Opportunities Fund’s investment strategy, the participation of CRM’s most experienced investment personnel in managing the Fund, and the additional execution and risk management costs of managing the Fund as compared to CRM’s traditional long-only investment strategies, would support charging a higher than average investment advisory fee.
The Board noted that, based on the information provided, the total annual operating expenses of CRM Long/Short Opportunities Fund were lower than the median and average gross expenses paid by other mutual funds managed utilizing a long/short investment strategy. The Board noted that, after taking into account amounts proposed to be waived under a contractual expense limitation agreement between CRM and the Trust, the net annual operating expenses of the Fund were somewhat higher than the gross and net expenses paid by other mutual funds managed utilizing a long/short investment strategy. The Board considered that the higher net expense ratio for the Fund was in large measure the result of having a higher than average investment advisory fee.
In view of the costs of CRM’s proprietary research and the comparative fee and expense information presented at the meeting, the Board determined that the proposed investment advisory fee for CRM Long/Short Opportunities Fund was reasonable in relation to the nature and quality of services to be provided by CRM.
Economies of Scale
The Board considered whether economies of scale would be realized by CRM as the assets of CRM Long/Short Opportunities Fund increased, and the extent to which such economies of scale were reflected in the fees
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34 |
Discussion of Board Considerations in Approving Advisory Agreement with CRM regarding the CRM Long/Short Opportunities Fund (Continued)
charged under the Investment Advisory Agreement. The Board noted that expense subsidization, investment by CRM in proprietary research, and CRM’s commitment and resource allocation to the Fund may be relevant in considering the sharing of economies of scale, and that profitability also may be an indicator of the existence of any economies of scale. Accordingly, the Board concluded that economies of scale, if any, would be appropriately shared with the Fund.
Profitability
The Board did not consider CRM’s profitability with respect to the management of the Fund in approving the Investment Advisory Agreement because the Fund was newly-offered and profitability information was not available.
Other Benefits
The Board considered the other potential benefits which CRM may receive from its relationship with CRM Long/Short Opportunities Fund. The Board considered how CRM uses “soft” commission dollars and the ways in which it proposes to conduct portfolio transactions for the Fund and select brokers. The Board determined that any other benefits to be derived by CRM from managing CRM Long/Short Opportunities Fund were reasonable and reflected in the fees under the Investment Advisory Agreement.
General Conclusion
Based on the foregoing considerations, the Board, including all of the Independent Trustees voting separately, determined that the terms of the Investment Advisory Agreement, including the fees payable thereunder, are fair and reasonable, and voted to approve the Investment Advisory Agreement with respect to CRM Long/Short Opportunities Fund.
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35 |
TRUSTEES
Louis Ferrante, CFA, CPA
Louis Klein, Jr.
Carlos A. Leal, CPA
Clement C. Moore, II
INVESTMENT ADVISER
Cramer Rosenthal McGlynn, LLC
520 Madison Avenue, 20th Floor
New York, NY 10022
DISTRIBUTOR
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
ADMINISTRATOR & TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
CUSTODIAN
The Bank of New York Mellon
2 Hanson Place, 7th Floor
Brooklyn, NY 11217
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
One Federal Street
Boston, MA 02110
Investor Information:
800-CRM-2883
www.crmfunds.com
This report is authorized for distribution only to shareholders and to others who have received the current prospectus.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s Principal Executive and Principal Financial Officers have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))) are effective based on the evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report. |
(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 (17 CFR 270.30a-3(d))) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are 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) | CRM Mutual Fund Trust |
By (Signature and Title)* | /s/ Ronald H. McGlynn | |||
Ronald H. McGlynn, President and Chief Executive Officer (Principal Executive Officer) |
Date | 3/08/2017 |
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. McGlynn | |||
Ronald H. McGlynn, President and Chief Executive Officer (Principal Executive Officer) |
Date | 3/08/2017 |
By (Signature and Title)* | /s/ Carlos A. Leal | |||
Carlos A. Leal, Treasurer and Chief Financial Officer (Principal Financial Officer) |
Date | 3/08/2017 |
* Print the name and title of each signing officer under his or her signature.