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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 811-21317
---------
PMFM Investment Trust
---------------------
(Exact name of registrant as specified in charter)
1061 Cliff Dawson Road Watkinsville, Georgia 30677
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Tina H. Bloom, Esq.
Ultimus Fund Solutions, LCC 225 Pictoria Drive, Suite 450 Cincinnati, Ohio 45246
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (706) 583-5207
--------------
Date of fiscal year end: May 31, 2007
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Date of reporting period: May 31, 2007
------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
ANNUAL REPORT 2007
PMFM TACTICAL PRESERVATION PORTFOLIO TRUST
PMFM MANAGED PORTFOLIO TRUST
PMFM CORE ADVANTAGE PORTFOLIO TRUST
MAY 31, 2007
PMFM
FUNDS
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the PMFM Funds ("Funds"). This report
is not authorized for distribution to prospective investors in the Funds unless
preceded or accompanied by an effective prospectus. Mutual fund shares are not
deposits or obligations of, or guaranteed by, any depository institution. Shares
are not insured by the FDIC, Federal Reserve Board or any other agency, and are
subject to investment risks, including possible loss of principal amount
invested. Neither the Funds nor the Funds' distributor is a bank.
Distributor: Ultimus Fund Distributors, LLC, Phone 1-866-383-7636.
PMFM INVESTMENT TRUST
LETTER TO SHAREHOLDERS
================================================================================
July 21, 2007
Dear PMFM Shareholder,
Enclosed for your review is the annual report for the fiscal year ended May 31,
2007 for the PMFM Tactical Preservation Portfolio Trust, the PMFM Managed
Portfolio Trust, and the PMFM Core Advantage Portfolio Trust, each a series of
the PMFM Investment Trust (the "Funds"). In managing each Fund, we use our
proprietary quantitatively driven asset allocation models to assess the risk of
being invested or not being invested in the market. As explained below, this
past year was a challenging market environment for the Funds, primarily because
during this period we were in fully defensive positions on two occasions because
of downside market action. On both occasions, that downside market action
triggered our risk adverse approach to managing money.
MARKET OVERVIEW
During this past fiscal year, the market averages were positive, with the Nasdaq
Composite Index up +20.4%, the Russell 2000 up +18.9%, the S&P 500 up +22.8%,
and the Dow Industrial Average up +24.8%. During this same period, the Tactical
Preservation Portfolio was up +13.6%, the Managed Portfolio was up +13.6%, and
the Core Advantage Portfolio was up +16.8%. The beginning of this period was
characterized by a downward market into the late spring of 2006, followed in
early August with a definitive upward move that lasted until late in the year.
From early December until late January the market traded in a sideways move
without significant gain or loss. In late February a sharp and quick downward
spike occurred which averaged about -6% and lasted only about 3-4 weeks,
depending upon which market measure you use. From there (early April 2007) the
market made good gains through the end of this reporting period. These two
periods turned out to be whipsaws (periods in which our model told us to reduce
exposure because of market action) which are usually resolved by missing some of
the percentage gains. While this is painful in hindsight, it is an approach that
pays off well when the market does decline with any significance. During this
fiscal year, large cap issues dominated, but small cap issues were not far
behind. Short-term interest rates continued to rise during the early months even
though the Federal Reserve Board stopped its steady increase in the Fed Funds
rate in the summer of 2006. Rates started to drop in March of 2007 and continued
to decline into the summer of 2007. The current bull market, which began in late
2003, is becoming a record in duration, but an under performer in returns. As a
bull market matures, gains become harder and harder to come by, volatility
increases, and many times topping action is identified by a blow-off phase where
aggressive speculation becomes the norm. We believe we are considerably closer
to the end of this bull market than the beginning, but our trend following
measures are intended to keep the Funds on the proper side when the time comes.
1
PMFM INVESTMENT TRUST
LETTER TO SHAREHOLDERS (CONTINUED)
================================================================================
PMFM ACTIVE MANAGEMENT STRATEGY
Our Funds are managed using an active or tactical management strategy; however
the Core Advantage Portfolio uses a core-satellite approach where the core
portion is strategically managed and is discussed below. Active management means
that we assess the risks of the market by using a quantitatively driven asset
allocation technical model. We determine the amount of assets to commit to the
equity market using this rules-based decision process. We invest in the markets
when, based on our models, we have a positive expectancy for profit. Our
portfolio investment vehicles generally include Exchange Traded Funds (ETFs),
cash, and cash equivalents. This active strategy will take us into defensive
positions when the trends of the market are not favorable. To select investments
we utilize our proprietary technical ranking system which looks at the
individual performance measures of each ETF, the ETF's relative performance to
the overall market, and its performance relative to its associated market
sector. Once we hold an issue, we manage it based upon its performance; due to
stop-loss protections built into our models, we generally will not continue to
hold an asset that is not performing. This approach helps to limit losses during
significant market declines. This approach is defensive in nature and adheres to
our overall philosophy that we can try to win by not losing.
PMFM TACTICAL PRESERVATION PORTFOLIO
This Fund was the most conservative of the three Funds. On July 20, 2007, the
Funds' Board of Trustees determined to discontinue the operations of the
Tactical Preservation Fund based on, among other factors, our belief that it
would be in the best interests of the Fund and its shareholders.
PMFM MANAGED PORTFOLIO
This Fund is our moderate portfolio, which means it is more aggressive than the
Tactical Preservation Portfolio and will generally become invested sooner and
initially has more market exposure than the Tactical Preservation Portfolio. It
is still managed based upon our rules-based technical model but with slightly
more aggressive rules in order to try to catch up trends sooner and get out of
down trends sooner. While this Fund takes a moderate approach in an effort to
achieve equity-like returns, it may take a fully defensive position as
determined by our models.
PMFM CORE ADVANTAGE PORTFOLIO
This Fund is our growth portfolio and is set up in a core-satellite structure.
This means that 50% of the Fund (satellite) is actively managed using our
tactical models, while the remaining 50% (core) is strategically managed and
remains fully invested at all times. The core portion is invested in large-cap,
mid-cap, small-cap, and international issues. The percentages of holdings of
each are determined by the relative strength of those asset classes. The
satellite portion is actively managed primarily using market sectors as the
guiding methodology. Historically, each year a few market sectors will
outperform the general market and the goal for this portion of the Core
Advantage
2
PMFM INVESTMENT TRUST
LETTER TO SHAREHOLDERS (CONTINUED)
================================================================================
Portfolio is to capitalize on that performance using our technical ranking
system which is geared to not only performance, but also relative performance.
This Fund may be appropriate for those who want approximately half of their
investment positioned in the market at all times, with the remainder being
actively managed using our tactical models that take defensive positions during
down markets.
Thank you for your continued support and allowing us to serve you and the Funds.
Please feel free to contact us with any questions or concerns.
Sincerely,
PMFM, Inc.
/s/ Tim Chapman
Tim Chapman
The views in this report were those of the Funds' investment adviser as of the
date of this Report and may not reflect their views on the date this report is
first published or anytime thereafter. These views are intended to assist
shareholders in understanding their investment in the Fund and do not constitute
investment advice.
THE PERFORMANCE INFORMATION QUOTED ABOVE REPRESENTS PAST PERFORMANCE AND PAST
PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE DATA QUOTED. PERFORMANCE
DATA, CURRENT TO THE MOST RECENT MONTH END, MAY BE OBTAINED BY CALLING
1-800-222-7636. AN INVESTOR SHOULD CONSIDER A FUND'S INVESTMENT OBJECTIVES,
RISKS, AND CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. THE FUNDS'
PROSPECTUSES CONTAIN THIS AND OTHER IMPORTANT INFORMATION. FOR INFORMATION ON
THE FUNDS' EXPENSE RATIOS PLEASE SEE THE FINANCIAL HIGHLIGHTS TABLES FOUND
WITHIN THIS REPORT.
3
PMFM TACTICAL PRESERVATION PORTFOLIO TRUST
PORTFOLIO ALLOCATION (% OF NET ASSETS)
MAY 31, 2007 (UNAUDITED)
================================================================================
[PIE CHART OMITTED]
Exchange-Traded Funds 87.5%
Short-Term Investments and Liabilities in Excess of Other Assets 12.5%
PMFM MANAGED PORTFOLIO TRUST
PORTFOLIO ALLOCATION (% OF NET ASSETS)
MAY 31, 2007 (UNAUDITED)
================================================================================
[PIE CHART OMITTED]
Exchange-Traded Funds 88.2%
Short-Term Investments and Liabilities in Excess of Other Assets 11.8%
4
PMFM CORE ADVANTAGE PORTFOLIO TRUST
PORTFOLIO ALLOCATION (% OF NET ASSETS)
MAY 31, 2007 (UNAUDITED)
================================================================================
[PIE CHART OMITTED]
Exchange-Traded Funds 91.6%
Short-Term Investments and Liabilities in Excess of Other Assets 8.4%
5
PMFM TACTICAL PRESERVATION PORTFOLIO TRUST
PERFORMANCE INFORMATION
MAY 31, 2007
================================================================================
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE PMFM TACTICAL
PRESERVATION PORTFOLIO TRUST (a), THE S&P 500 INDEX AND 60% S&P 500 INDEX/40%
LEHMAN BROTHERS U.S. AGGREGATE BOND INDEX
[LINE GRAPH OMITTED]
PMFM Tactical 60% S&P 500 Index/
Preservation 40% Lehman Brothers
Portfolio Trust S&P 500 Index U.S. Aggregate Bond Index
----------------- ------------- ---------------------------------
03/25/04 $ 10,000 $ 10,000 $ 10,000
05/31/04 9,820 10,134 9,944
08/31/04 9,730 10,030 10,022
11/30/04 9,920 10,710 10,442
02/28/05 9,850 11,031 10,670
05/31/05 9,720 10,969 10,716
08/31/05 9,870 11,289 10,942
11/30/05 9,970 11,614 11,071
02/28/06 10,111 11,958 11,325
05/31/06 9,960 11,916 11,244
08/31/06 10,171 12,292 11,597
11/30/06 10,692 13,267 12,275
02/28/07 10,770 13,389 12,388
05/31/07 11,311 14,632 13,067
AVERAGE ANNUAL TOTAL RETURNS(b)
(FOR PERIODS ENDED MAY 31, 2007)
SINCE
1 YEAR INCEPTION(c)
- ----------------------------------------------------------------------------------------
PMFM Tactical Preservation Portfolio Trust - Investor Class 13.56% 3.95%
PMFM Tactical Preservation Portfolio Trust - Class A N/A 10.94%(d)
S&P 500 Index 22.79% 12.70%
60% S&P 500 Index/40% Lehman Brothers U.S. Aggregate Bond Index 16.21% 8.77%
(a) The line graph above represents performance of Investor Class shares only,
which will vary from the performance of Class A shares based on the
difference in loads and fees paid by shareholders in the different
classes.
(b) Total return is a measure of the change in value of an investment in the
Fund over the period covered, which assumes any dividends or capital gains
distributions are reinvested in shares of the Fund. Returns do not reflect
the deduction of taxes a shareholder would pay on Fund distributions or
the redemption of Fund shares.
(c) The initial public offering of Investor Class shares commenced on March
25, 2004 and the initial public offering of Class A shares commenced on
September 15, 2006.
(d) Not annualized.
6
PMFM MANAGED PORTFOLIO TRUST
PERFORMANCE INFORMATION
MAY 31, 2007
================================================================================
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE PMFM MANAGED
PORTFOLIO TRUST(a), THE S&P 500 INDEX AND 80% S&P 500 INDEX/20% LEHMAN BROTHERS
U.S. AGGREGATE BOND INDEX
[LINE GRAPH OMITTED]
80% S&P 500 Index/
PMFM Managed 20% Lehman Brothers
Portfolio Trust S&P 500 Index U.S. Aggregate Bond Index
---------------- ------------- ----------------------------------
06/30/03 $ 10,000 $ 10,000 $ 10,000
08/31/03 9,780 10,375 10,249
11/30/03 10,080 10,941 10,736
02/28/04 10,619 11,889 11,543
05/31/04 10,147 11,684 11,332
08/31/04 9,987 11,563 11,318
11/30/04 10,538 12,347 11,938
02/28/05 10,563 12,718 12,248
05/31/05 10,380 12,646 12,240
08/31/05 10,401 13,015 12,548
11/30/05 10,166 13,390 12,802
02/28/06 10,445 13,787 13,138
05/31/06 10,445 13,738 13,068
08/31/06 10,445 14,171 13,479
11/30/06 11,081 15,296 14,408
02/28/07 11,074 15,437 14,541
05/31/07 11,862 16,870 15,614
AVERAGE ANNUAL TOTAL RETURNS(b)
(FOR PERIODS ENDED MAY 31, 2007)
SINCE
1 YEAR INCEPTION(c)
- ----------------------------------------------------------------------------------------
PMFM Managed Portfolio Trust - Investor Class 13.57% 4.45%
PMFM Managed Portfolio Trust - Class A N/A 12.53%(d)
S&P 500 Index 22.79% 14.27%
80% S&P 500 Index/20% Lehman Brothers U.S. Aggregate Bond Index 19.48% 12.04%
(a) The line graph above represents performance of Investor Class shares only,
which will vary from the performance of Class A shares based on the
difference in loads and fees paid by shareholders in the different
classes.
(b) Total return is a measure of the change in value of an investment in the
Fund over the period covered, which assumes any dividends or capital gains
distributions are reinvested in shares of the Fund. Returns do not reflect
the deduction of taxes a shareholder would pay on Fund distributions or
the redemption of Fund shares.
(c) The initial public offering of Investor Class shares commenced on June 30,
2003 and the initial public offering of Class A shares commenced on
September 15, 2006.
(d) Not annualized.
7
PMFM CORE ADVANTAGE PORTFOLIO TRUST
PERFORMANCE INFORMATION
MAY 31, 2007
================================================================================
COMPARISON OF THE CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE PMFM CORE
ADVANTAGE PORTFOLIO TRUST(a), THE S&P 500 INDEX AND 80% S&P 500 INDEX/20% LEHMAN
BROTHERS U.S. AGGREGATE BOND INDEX
[LINE GRAPH OMITTED]
PMFM Core 80% S&P 500 Index/
Advantage 20% Lehman Brothers
Portfolio Trust S&P 500 Index U.S. Aggregate Bond Index
--------------- ------------- -------------------------
01/27/04 $ 10,000 $ 10,000 $ 10,000
02/28/04 10,020 10,029 10,045
05/31/04 9,520 9,856 9,861
08/31/04 9,360 9,754 9,849
11/30/04 9,700 10,415 10,389
02/28/05 9,690 10,728 10,658
05/31/05 9,540 10,668 10,651
08/31/05 9,720 10,979 10,919
11/30/05 9,920 11,295 11,140
02/28/06 10,180 11,630 11,433
05/31/06 10,210 11,589 11,372
08/31/06 10,290 11,954 11,730
11/30/06 11,010 12,902 12,538
02/28/07 11,000 13,022 12,654
05/31/07 11,920 14,230 13,588
AVERAGE ANNUAL TOTAL RETURNS(b)
(FOR PERIODS ENDED MAY 31, 2007)
SINCE
1 YEAR INCEPTION(c)
- ----------------------------------------------------------------------------------------
PMFM Core Advantage Portfolio Trust - Investor Class 16.75% 5.40%
PMFM Core Advantage Portfolio Trust - Class A N/A 15.51%(d)
S&P 500 Index 22.79% 11.13%
80% S&P 500 Index/20% Lehman Brothers U.S. Aggregate Bond Index 19.48% 7.91%
(a) The line graph above represents performance of Investor Class shares only,
which will vary from the performance of Class A shares based on the
difference in loads and fees paid by shareholders in the different
classes.
(b) Total return is a measure of the change in value of an investment in the
Fund over the period covered, which assumes any dividends or capital gains
distributions are reinvested in shares of the Fund. Returns do not reflect
the deduction of taxes a shareholder would pay on Fund distributions or
the redemption of Fund shares.
(c) The initial public offering of Investor Class shares commenced on January
27, 2004 and the initial public offering of Class A shares commenced on
September 15, 2006.
(d) Not annualized.
8
PMFM TACTICAL PRESERVATION PORTFOLIO TRUST
PORTFOLIO OF INVESTMENTS
MAY 31, 2007
================================================================================
SHARES EXCHANGE-TRADED FUNDS -- 87.5% VALUE
- --------------------------------------------------------------------------------
10,650 DIAMONDS Trust, Series I $ 1,451,489
6,300 iShares Dow Jones U.S. Energy Sector Index Fund 743,904
7,550 iShares Morningstar Mid Growth Index Fund 728,877
6,240 iShares S&P GSSI Natural Resources Index Fund 745,118
3,630 iShares S&P Latin American 40 Index Fund 764,296
15,170 PowerShares QQQ 719,210
23,480 SPDR Trust Series 1 3,599,954
28,110 Vanguard European ETF 2,153,226
19,624 Vanguard Small-Cap Growth ETF 1,462,969
-----------
TOTAL EXCHANGE-TRADED FUNDS (Cost $11,671,828) $12,369,043
-----------
================================================================================
SHARES SHORT-TERM INVESTMENTS -- 12.6% VALUE
- --------------------------------------------------------------------------------
1,788,964 Merrimac Cash Series Fund (Cost $1,788,964) $ 1,788,964
-----------
TOTAL INVESTMENTS AT VALUE -- 100.1% (Cost $13,460,792) $14,158,007
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.1%) (16,557)
-----------
TOTAL NET ASSETS -- 100.0% $14,141,450
===========
See accompanying notes to financial statements.
9
PMFM MANAGED PORTFOLIO TRUST
PORTFOLIO OF INVESTMENTS
MAY 31, 2007
================================================================================
SHARES EXCHANGE-TRADED FUNDS -- 88.2% VALUE
- --------------------------------------------------------------------------------
100,740 Energy Select Sector SPDR Fund $ 6,880,542
199,390 iShares Dow Jones U.S. Telecommunications
Sector Index Fund 6,904,876
60,340 iShares MSCI Brazil Index Fund 3,577,559
95,650 iShares S&P Europe 350 Index Fund 11,229,310
28,690 iShares S&P GSSI Natural Resources Index Fund 3,425,873
16,720 iShares S&P Latin American 40 Index Fund 3,520,396
69,780 PowerShares QQQ 3,308,270
86,430 SPDR Trust Series 1 13,251,447
260,070 Technology Select Sector SPDR Fund 6,670,795
-----------
TOTAL EXCHANGE-TRADED FUNDS (Cost $54,473,875) $58,769,068
-----------
================================================================================
SHARES SHORT-TERM INVESTMENTS -- 12.3% VALUE
- --------------------------------------------------------------------------------
8,219,700 Merrimac Cash Series Fund (Cost $8,219,700) $ 8,219,700
-----------
TOTAL INVESTMENTS AT VALUE -- 100.5% (Cost $62,693,575) $66,988,768
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.5%) (328,974)
-----------
TOTAL NET ASSETS -- 100.0% $66,659,794
===========
See accompanying notes to financial statements.
10
PMFM CORE ADVANTAGE PORTFOLIO TRUST
PORTFOLIO OF INVESTMENTS
MAY 31, 2007
================================================================================
SHARES EXCHANGE-TRADED FUNDS -- 91.6% VALUE
- --------------------------------------------------------------------------------
24,320 Energy Select Sector SPDR Fund $ 1,661,056
13,990 iShares Dow Jones U.S. Energy Sector Index Fund 1,651,939
96,280 iShares Dow Jones U.S. Telecommunications
Sector Index Fund 3,334,176
58,140 iShares MSCI Brazil Index Fund 3,447,121
31,468 iShares MSCI EAFE Index Fund 2,549,852
38,228 iShares Russell 2000 Index Fund 3,218,798
27,151 Midcap SPDR Trust Series 1 4,534,217
37,566 SPDR Trust Series 1 5,759,619
49,960 Vanguard European ETF 3,826,936
-----------
TOTAL EXCHANGE-TRADED FUNDS (Cost $26,007,319) $29,983,714
-----------
================================================================================
SHARES SHORT-TERM INVESTMENTS - 8.4% VALUE
- --------------------------------------------------------------------------------
2,737,591 Merrimac Cash Series Fund (Cost $2,737,591) $ 2,737,591
-----------
TOTAL INVESTMENTS AT VALUE -- 100.0% (Cost $28,744,910) $32,721,305
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.0%) (9,401)
-----------
TOTAL NET ASSETS -- 100.0% $32,711,904
===========
See accompanying notes to financial statements.
11
PMFM INVESTMENT TRUST
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 2007
====================================================================================================
TACTICAL CORE
PRESERVATION MANAGED ADVANTAGE
PORTFOLIO PORTFOLIO PORTFOLIO
TRUST TRUST TRUST
- ----------------------------------------------------------------------------------------------------
ASSETS
Investments in Securities:
At acquisition cost $13,460,792 $62,693,575 $ 28,744,910
=========== =========== ============
At value (Note 2) $14,158,007 $66,988,768 $ 32,721,305
Dividends receivable 7,056 11,472 4,145
Receivable for capital shares sold 50 10,000 --
Receivable from Advisor (Note 5) -- 2,152 --
Other assets 7,340 10,279 13,477
----------- ----------- ------------
TOTAL ASSETS 14,172,453 67,022,671 32,738,927
----------- ----------- ------------
LIABILITIES
Payable for capital shares redeemed 3,840 319,856 1,656
Accrued investment advisory fees (Note 5) 4,035 -- 72
Accrued distribution fees (Note 5) 3,242 17,520 6,851
Other accrued expenses 19,886 25,501 18,444
----------- ----------- ------------
TOTAL LIABILITIES 31,003 362,877 27,023
----------- ----------- ------------
NET ASSETS $14,141,450 $66,659,794 $ 32,711,904
=========== =========== ============
NET ASSETS CONSIST OF:
Paid-in capital $12,587,314 $59,246,360 $ 29,576,991
Accumulated undistributed net investment income -- 336,365 --
Accumulated net realized gains (losses)
from security transactions 856,921 2,781,876 (841,482)
Net unrealized appreciation on investments 697,215 4,295,193 3,976,395
----------- ----------- ------------
NET ASSETS $14,141,450 $66,659,794 $ 32,711,904
=========== =========== ============
PRICING OF INVESTOR CLASS SHARES
Net assets applicable to Investor Class shares $14,022,799 $66,124,038 $ 32,670,892
=========== =========== ============
Shares of beneficial interest outstanding
(unlimited number of shares authorized, no par value) 1,277,966 6,315,725 2,739,875
=========== =========== ============
Net asset value, offering price and
redemption price per share (Note 2) $ 10.97 $ 10.47 $ 11.92
=========== =========== ============
PRICING OF CLASS A SHARES
Net assets applicable to Class A shares $ 118,651 $ 535,756 $ 41,012
=========== =========== ============
Shares of beneficial interest outstanding
(unlimited number of shares authorized, no par value) 10,972 51,802 3,421
=========== =========== ============
Net asset value and redemption price per share (Note 2) $ 10.81 $ 10.34 $ 11.99
=========== =========== ============
Maximum offering price per share (Note 2) $ 11.47 $ 10.97 $ 12.72
=========== =========== ============
See accompanying notes to financial statements.
12
PMFM INVESTMENT TRUST
STATEMENTS OF OPERATIONS
YEAR ENDED MAY 31, 2007
====================================================================================================
TACTICAL CORE
PRESERVATION MANAGED ADVANTAGE
PORTFOLIO PORTFOLIO PORTFOLIO
TRUST TRUST TRUST
- ----------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 432,846 $ 1,722,480 $ 505,512
----------- ----------- -----------
EXPENSES
Investment advisory fees (Note 5) 169,598 747,083 297,087
Distribution expenses, Investor Class (Note 5) 33,634 148,112 59,384
Distribution expenses, Class A (Note 5) 196 870 34
Distribution expenses, Advisor Class (Note 1 and 5) 341 1,664 --
Administration fees (Note 5) 39,944 118,350 55,280
Fund accounting fees (Note 5) 37,357 41,977 35,686
Registration fees 36,778 28,045 29,704
Professional fees 25,945 34,824 28,113
Transfer agent fees (Note 5) 27,000 27,000 23,000
Compliance fees (Note 5) 15,250 15,250 15,250
Custodian fees 5,198 14,535 7,715
Shareholder servicing expenses 3,002 8,521 6,144
Report printing 1,106 5,911 3,195
Trustees' fees and expenses 3,099 3,099 3,099
Other expenses 15,665 35,681 15,583
----------- ----------- -----------
Total expenses 414,113 1,230,922 579,274
Less fees waived by Advisor (Note 5) (71,836) (60,829) (7,014)
Less fees waived by Administrator (Note 5) (3,000) (3,000) (3,000)
----------- ----------- -----------
Net expenses 339,277 1,167,093 569,260
----------- ----------- -----------
NET INVESTMENT INCOME (LOSS) 93,569 555,387 (63,748)
----------- ----------- -----------
REALIZED AND UNREALIZED GAINS ON INVESTMENTS
Net realized gains from security transactions 955,478 2,801,905 725,091
Net change in unrealized appreciation/
depreciation on investments 697,215 4,295,193 3,514,312
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS 1,652,693 7,097,098 4,239,403
----------- ----------- -----------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 1,746,262 $ 7,652,485 $ 4,175,655
=========== =========== ===========
See accompanying notes to financial statements.
13
PMFM INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
=============================================================================================================================
TACTICAL PRESERVATION MANAGED CORE ADVANTAGE
PORTFOLIO TRUST PORTFOLIO TRUST PORTFOLIO TRUST
------------------------- --------------------------- --------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31,
2007 2006 2007 2006 2007 2006
- -----------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment
income (loss) $ 93,569 $ (15,516) $ 555,387 $ 224,271 $ (63,748) $ (33,280)
Net realized gains from
security transactions 955,478 571,885 2,801,905 1,443,890 725,091 242,323
Net change in unrealized
appreciation/depreciation
on investments 697,215 (846) 4,295,193 (1,635,463) 3,514,312 363,887
----------- ----------- ------------ ------------ ----------- -----------
Net increase in net
assets from operations 1,746,262 555,523 7,652,485 32,698 4,175,655 572,930
----------- ----------- ------------ ------------ ----------- -----------
FROM DISTRIBUTIONS
TO SHAREHOLDERS
Dividends from net investment income:
Investor Class (94,309) -- (440,832) (223,521) -- --
Class A (349) -- (2,460) -- -- --
Distributions from net realized gains:
Investor Class (281,990) (49,899) (1,451,782) (4,989,337) -- --
Class A (2,370) -- (12,145) -- -- --
Advisor Class -- (2,111) -- (85,564) -- --
----------- ----------- ------------ ------------ ----------- -----------
Decrease in net assets
from distributions
to shareholders (379,018) (52,010) (1,907,219) (5,298,422) -- --
----------- ----------- ------------ ------------ ----------- -----------
FROM CAPITAL SHARE
TRANSACTIONS (NOTE 6)
INVESTOR CLASS
Proceeds from shares sold 2,490,741 2,031,472 23,745,126 19,946,321 25,327,883 11,539,947
Net asset value of shares
issued in reinvestment
of distributions to
shareholders 376,300 49,899 1,890,983 5,197,569 -- --
Payments for shares redeemed (3,786,584) (9,476,975) (26,420,009) (74,974,738) (10,580,056) (8,748,211)
----------- ----------- ------------ ------------ ----------- -----------
Net increase (decrease)
in net assets from
Investor Class transactions (919,543) (7,395,604) (783,900) (49,830,848) 14,747,827 2,791,736
----------- ----------- ------------ ------------ ----------- -----------
14
PMFM INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
====================================================================================================================
TACTICAL PRESERVATION MANAGED CORE ADVANTAGE
PORTFOLIO TRUST PORTFOLIO TRUST PORTFOLIO TRUST
------------------------- -------------------------- -------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, MAY 31, MAY 31, MAY 31, MAY 31, MAY 31,
2007 2006 2007 2006 2007 2006
- --------------------------------------------------------------------------------------------------------------------
CLASS A
Proceeds from shares sold $ 115,127 $ -- $ 688,060 $ -- $ 38,445 $ --
Net asset value of shares
issued in reinvestment
of distributions to
shareholders 2,719 -- 14,605 -- -- --
Payments for shares redeemed (8,218) -- (213,185) -- -- --
----------- ----------- ----------- ------------ ----------- -----------
Net increase in net
assets from Class A
transactions 109,628 -- 489,480 -- 38,445 --
----------- ----------- ----------- ------------ ----------- -----------
ADVISOR CLASS
Proceeds from shares sold -- 974,885 14,562 870,457 -- --
Net asset value of shares
issued in reinvestment of
distributions to shareholders -- 2,041 -- 62,993 -- --
Payments for shares redeemed (118,051) (1,229,461) (629,802) (1,321,308) -- --
----------- ----------- ----------- ------------ ----------- -----------
Net decrease in net assets
from Advisor Class
transactions (118,051) (252,535) (615,240) (387,858) -- --
----------- ----------- ----------- ------------ ----------- -----------
TOTAL INCREASE
(DECREASE) IN
NET ASSETS 439,278 (7,144,626) 4,835,606 (55,484,430) 18,961,927 3,364,666
NET ASSETS
Beginning of year 13,702,172 20,846,798 61,824,188 117,308,618 13,749,977 10,385,311
----------- ----------- ----------- ------------ ----------- -----------
End of year $14,141,450 $13,702,172 $66,659,794 $ 61,824,188 $32,711,904 $13,749,977
=========== =========== =========== ============ =========== ===========
ACCUMULATED
UNDISTRIBUTED
NET INVESTMENT
INCOME $ -- $ -- $ 336,365 $ 224,270 $ -- $ --
=========== =========== =========== ============ =========== ===========
See accompanying notes to financial statements.
15
PMFM TACTICAL PRESERVATION PORTFOLIO TRUST
FINANCIAL HIGHLIGHTS
=====================================================================================================
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -----------------------------------------------------------------------------------------------------
INVESTOR CLASS CLASS A
---------------------------------------------------------
PERIODS ENDED 5/31/07 5/31/06 5/31/05 5/31/04 (a) 5/31/07 (b)
- -----------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 9.93 $ 9.72 $ 9.82 $ 10.00 $ 9.98
------- ------- ------- ------- ----------
Income (loss) from investment operations:
Net investment income (loss) 0.07 (0.01) (0.04) (0.03) 0.04
Net realized and unrealized gains
(losses) on securities 1.26 0.25 (0.06) (0.15) 1.04
------- ------- ------- ------- ----------
Total income (loss) from
investment operations 1.33 0.24 (0.10) (0.18) 1.08
------- ------- ------- ------- ----------
Less distributions:
Dividends from net investment income (0.07) -- -- -- (0.03)
Distributions from net realized gains (0.22) (0.03) -- -- (0.22)
------- ------- ------- ------- ----------
Total distributions (0.29) (0.03) -- -- (0.25)
------- ------- ------- ------- ----------
Net asset value, end of period $ 10.97 $ 9.93 $ 9.72 $ 9.82 $ 10.81
======= ======= ======= ======= ==========
Total return (c) 13.56% 2.47% (1.02%) (1.80%)(d) 10.94%(d)
======= ======= ======= ======= ==========
Ratios/Supplemental data:
Net assets, end of period (000) $14,023 $13,587 $20,494 $21,643 $ 119
======= ======= ======= ======= ==========
Ratio of gross expenses to average
net assets (e) (f) 3.05% 2.74% 2.54% 3.59%(g) 3.07%(g)
Ratio of net expenses to average
net assets (e) 2.50% 2.50% 2.43% 2.46%(g) 2.50%(g)
Ratio of net investment income (loss)
to average net assets 0.69% (0.08%) (0.33%) (1.61%)(g) 0.53%(g)
Portfolio turnover rate 232% 302% 814% 401%(d) 232%
(a) Represents the period from March 25, 2004 (date of initial public
offering) through May 31, 2004.
(b) Represents the period from September 15, 2006 (date of initial public
offering) through May 31, 2007.
(c) Total return is a measure of the change in value of an investment in the
Fund over the period covered, which assumes any dividends or capital gains
distributions are reinvested in shares of the Fund. Returns shown do not
reflect the deduction of taxes a shareholder would pay on Fund
distributions of the redemption of Fund shares. For Class A shares, total
return does not reflect the payment of sales charge.
(d) Not annualized.
(e) The ratios of expenses to average net assets do no reflect the Fund's
proportionate share of expenses of the underlying investment companies in
which the Fund invested.
(f) The expense ratios listed reflect total expenses prior to any fee waivers
and/or expense reimbursements by the Advisor and Administrator.
(g) Annualized.
See accompanying notes to financial statements.
16
PMFM MANAGED PORTFOLIO TRUST
FINANCIAL HIGHLIGHTS
========================================================================================================
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------------------------------
INVESTOR CLASS CLASS A
----------------------------------------------------------
PERIODS ENDED 5/31/07 5/31/06 5/31/05 5/31/04 (a) 5/31/07 (b)
- --------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 9.51 $ 10.18 $ 10.12 $ 10.00 $ 9.47
------- ------- -------- -------- ------
Income from investment operations:
Net investment income 0.09 0.04 0.04 -- 0.05
Net realized and unrealized
gains on securities 1.19 0.01 0.20 0.15 1.12
------- ------- -------- -------- ------
Total income from investment operations 1.28 0.05 0.24 0.15 1.17
------- ------- -------- -------- ------
Less distributions:
Dividends from net investment income (0.07) (0.02) (0.02) (0.03) (0.05)
Distributions from net realized gains (0.25) (0.70) (0.16) -- (0.25)
------- ------- -------- -------- ------
Total distributions (0.32) (0.72) (0.18) (0.03) (0.30)
------- ------- -------- -------- ------
Net asset value, end of period $ 10.47 $ 9.51 $ 10.18 $ 10.12 $10.34
======= ======= ======== ======== ======
Total return (c) 13.69% 0.51% 2.30% 1.47%(d) 12.53(d)
======= ======= ======== ======== ======
Ratios/Supplemental data:
Net assets, end of period (000) $66,124 $61,212 $116,229 $223,699 $ 536
======= ======= ======== ======== ======
Ratio of gross expenses to average
net assets (e) (f) 2.06% 1.94% 1.80% 1.87%(g) 2.06%(g)
Ratio of net expenses to average
net assets (e) 1.95% 1.94% 1.80% 1.85%(g) 1.95%(g)
Ratio of net investment income (loss)
to average net assets 0.93% 0.27% 0.26% (0.12%)(g) 0.71%(g)
Portfolio turnover rate 346% 871% 930% 422%(d) 346%
(a) Represents the period from June 30, 2003 (date of initial public offering)
through May 31, 2004.
(b) Represents the period from September 15, 2006 (date of initial public
offering) through May 31, 2007.
(c) Total return is a measure of the change in value of an investment in the
Fund over the period covered, which assumes any dividends or capital gains
distributions are reinvested in shares of the Fund. Returns shown do not
reflect the deduction of taxes a shareholder would pay on Fund
distributions of the redemption of Fund shares. For Class A shares, total
return does not reflect the payment of sales charge.
(d) Not annualized.
(e) The ratios of expenses to average net assets do no reflect the Fund's
proportionate share of expenses of the underlying investment companies in
which the Fund invested.
(f) The expense ratios listed reflect total expenses prior to any fee waivers
and/or expense reimbursements by the Advisor and Administrator.
(g) Annualized.
See accompanying notes to financial statements.
17
PMFM CORE ADVANTAGE PORTFOLIO TRUST
FINANCIAL HIGHLIGHTS
=======================================================================================================
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- -------------------------------------------------------------------------------------------------------
INVESTOR CLASS CLASS A
-----------------------------------------------------------
PERIODS ENDED 5/31/07 5/31/06 5/31/05 5/31/04 (a) 5/31/07 (b)
- -------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 10.21 $ 9.54 $ 9.52 $ 10.00 $10.38
------- ------- ------- ------- ------
Income (loss) from investment operations:
Net investment loss (0.02) (0.02) (0.05) (0.04) (0.01)
Net realized and unrealized gains
(losses) on securities 1.73 0.69 0.07 (0.44) 1.62
------- ------- ------- ------- ------
Total income (loss) from
investment operations 1.71 0.67 0.02 (0.48) 1.61
------- ------- ------- ------- ------
Net asset value, end of period $ 11.92 $ 10.21 $ 9.54 $ 9.52 $11.99
======= ======= ======= ======= ======
Total return (c) 16.75% 7.02% 0.21% (4.80%)(d) 15.51%(d)
======= ======= ======= ======= ======
Ratios/Supplemental data:
Net assets, end of period (000) $32,671 $13,750 $10,385 $33,196 $ 41
======= ======= ======= ======= ======
Ratio of gross expenses to average
net assets (e)(f) 2.43% 3.20% 2.48% 2.44%(g) 2.39%(g)
Ratio of net expenses to average
net assets (e) 2.39% 2.50% 2.35% 2.44%(g) 2.37%(g)
Ratio of net investment loss
to average net assets (0.28%) (0.35%) (0.23%) (1.19%)(g) (0.31%)(g)
Portfolio turnover rate 291% 473% 912% 397%(d) 291%
(a) Represents the period from January 27, 2004 (date of initial public
offering) through May 31, 2004.
(b) Represents the period from September 15, 2006 (date of initial public
offering) through May 31, 2007.
(c) Total return is a measure of the change in value of an investment in the
Fund over the period covered, which assumes any dividends or capital gains
distributions are reinvested in shares of the Fund. Returns shown do not
reflect the deduction of taxes a shareholder would pay on Fund
distributions of the redemption of Fund shares. For Class A shares, total
return does not reflect the payment of sales charge.
(d) Not annualized.
(e) The ratios of expenses to average net assets do no reflect the Fund's
proportionate share of expenses of the underlying investment companies in
which the Fund invested.
(f) The expense ratios listed reflect total expenses prior to any fee waivers
and/or expense reimbursements by the Advisor and Administrator.
(g) Annualized.
See accompanying notes to financial statements.
18
PMFM INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
MAY 31, 2007
================================================================================
1. ORGANIZATION
The PMFM Tactical Preservation Portfolio Trust, The PMFM Managed Portfolio Trust
and The PMFM Core Advantage Portfolio Trust (individually, a "Fund," and,
collectively, the "Funds") are each a non-diversified series of The PMFM
Investment Trust (the "Trust"), a Delaware Statutory Trust registered under the
Investment Company Act of 1940 (the "1940 Act"), as amended, as an open-end
management investment company.
The PMFM Tactical Preservation Portfolio Trust commenced operations on March 25,
2004. The investment objective of the Fund is to achieve a balance between
long-term capital appreciation and capital preservation through investments in
exchange-traded funds and in cash or cash equivalents.
The PMFM Managed Portfolio Trust commenced operations on June 30, 2003. The
investment objective of the Fund is to seek long-term capital appreciation,
while maintaining a secondary emphasis on capital preservation, through
investments in exchange-traded funds and in cash or cash equivalent positions.
The PMFM Core Advantage Portfolio Trust commenced operations on January 27,
2004. The investment objective of the Fund is to seek capital appreciation
through investments in exchange-traded funds and in cash or cash equivalent
positions.
Each Fund currently offers two classes of shares: Class A shares (sold subject
to a maximum front-end sales load of 5.75% and a distribution fee of up to 0.25%
of the average daily net assets attributable to Class A shares) and Investor
Class shares (sold without any sales loads but with a distribution fee of up to
0.25% of the average daily net assets attributable to Investor Class shares).
Each class of shares represents an interest in the same assets of the Funds, has
the same rights and is identical in all material respects except that (1) the
classes bear differing levels of sales loads; (2) certain other class specific
expenses will be borne solely by the class to which such expenses are
attributable; and (3) each class has exclusive voting rights with respect to
matters relating to its own distribution arrangements. Prior to September 15,
2006, a third class, Advisor Class shares, was also offered for The PMFM
Tactical Preservation Portfolio Trust and The PMFM Managed Portfolio Trust.
Advisor Class shares were sold without any sales loads and had an annual
distribution fee of up to 1.00% of the average daily net assets attributable to
Advisor Class shares. On September 15, 2006, the Advisor Class shares were
liquidated in exchange for Class A shares.
2. ACCOUNTING POLICIES
The following is a summary of the Funds' significant accounting policies used in
the preparation of its financial statements. The policies are in conformity with
accounting principles generally accepted in the United States of America.
SECURITY VALUATION: The Funds' investments in securities are carried at value.
Securities listed on an exchange or quoted on a national market system are
valued at the last sales price as of 4:00 p.m. Eastern Time. Securities traded
in the NASDAQ over-the-counter market are generally valued at the NASDAQ
Official Closing Price. Other securities traded in the over-the-counter market
and listed securities for which no sale was reported on that date are valued at
the most recent bid price. Securities and
19
PMFM INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 2007
================================================================================
assets for which representative market quotations are not readily available or
which cannot be accurately valued using the Funds' normal pricing procedures are
valued at fair value as determined in good faith under policies approved by the
Trustees. Fair value pricing may be used, for example, in situations where (i) a
portfolio security is so thinly traded that there have been no transactions for
that security over an extended period of time; (ii) an event occurs after the
close of the exchange on which a portfolio security is principally traded that
is likely to have changed the value of the portfolio security prior to the
Funds' net asst value calculation; (iii) the exchange on which the portfolio
security is principally traded closes early; or (iv) trading of the portfolio
security is halted during the day and does not resume prior to the Funds' net
asset value calculation. A portfolio security's "fair value" price may differ
from the price next available for that portfolio security using the Funds'
normal pricing procedures. Instruments with maturities of 60 days or less are
valued at amortized cost, which approximates market value.
SHARE VALUATION: The net asset value per share of each class of shares of each
Fund is determined daily by dividing the total value of the assets attributable
to each class, less liabilities attributable to that class, by the number of
shares of that class outstanding. The offering price per share of the Investor
Class shares of the Funds is equal to the net asset value per share. The maximum
offering price per share of Class A shares of the Funds is equal to the net
asset value per share plus a sales load equal to 6.10% of the net asset value
(or 5.75% of the offering price).
SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Security transactions are
accounted for on trade date. Gains and losses on securities sold are determined
on a specific identification basis. Dividend income is recorded on the
ex-dividend date. Interest income is accrued as earned.
DISTRIBUTIONS TO SHAREHOLDERS: Dividends arising from net investment income, if
any, are declared and paid quarterly to shareholders of each Fund. Net realized
gains, if any, are distributed at least once each year. The amount of
distributions from net investment income and net realized gains are determined
in accordance with federal income tax regulations which may differ from
accounting principles generally accepted in the United States of America. These
"book/tax" differences are either temporary or permanent in nature and are
primarily due to losses deferred due to wash sales and net investment losses.
Dividends and distributions are recorded on the ex-dividend date.
COMMON EXPENSES: Common expenses of the Trust are allocated among the Funds
based on relative net assets of each Fund or the nature of the services
performed and the relative applicability to each Fund.
USE OF ESTIMATES: The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates.
FEDERAL INCOME TAXES: It is each Fund's policy to comply with the special
provisions of Subchapter M of the Internal Revenue Code applicable to regulated
investment companies. As provided therein, in any fiscal year in which a Fund so
qualifies and distributes at least 90% of its taxable net income, the Fund (but
not the shareholders)
20
PMFM INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 2007
================================================================================
will be relieved of federal income tax on the income distributed. Accordingly,
no provision for income taxes has been made.
In order to avoid imposition of the excise tax applicable to regulated
investment companies, it is also each Fund's intention to declare as dividends
in each calendar year at least 98% of its net investment income (earned during
the calendar year) and 98% of its net realized capital gains (earned during the
twelve months ended October 31) plus undistributed amounts from prior years.
3. SECURITY TRANSACTIONS
During the year ended May 31, 2007, cost of purchases and proceeds from sales
and maturities of investment securities, other than short-term investments and
U.S. government securities, amounted to $37,784,077 and $27,067,727,
respectively, for The PMFM Tactical Preservation Portfolio Trust; $219,923,946
and $168,251,976, respectively, for The PMFM Managed Portfolio Trust; and
$73,106,378 and $53,821,471, respectively, for The PMFM Core Advantage Portfolio
Trust.
4. TAX MATTERS
The tax character of distributions paid during the years ended May 31, 2007 and
2006 was as follows:
YEARS ORDINARY TOTAL
ENDED INCOME DISTRIBUTIONS
- ----------------------------------------------------------------------------------
PMFM TACTICAL PRESERVATION PORTFOLIO TRUST
Investor Class 05/31/07 $ 376,299 $ 376,299
Class A 05/31/07 $ 2,719 $ 2,719
Investor Class 05/31/06 $ 49,899 $ 49,899
Advisor Class 05/31/06 $ 2,111 $ 2,111
PMFM MANAGED PORTFOLIO TRUST
Investor Class 05/31/07 $1,892,614 $1,892,614
Class A 05/31/07 $ 14,605 $ 14,605
Investor Class 05/31/06 $5,212,858 $5,212,858
Advisor Class 05/31/06 $ 85,564 $ 85,564
- ----------------------------------------------------------------------------------
There were no distributions paid during the years ended May 31, 2007 and 2006
for The PMFM Core Advantage Portfolio Trust.
The tax character of distributable earnings at May 31, 2007 was as follows:
TACTICAL CORE
PRESERVATION MANAGED ADVANTAGE
PORTFOLIO PORTFOLIO PORTFOLIO
TRUST TRUST TRUST
- --------------------------------------------------------------------------------
Tax cost of portfolio investments $13,460,792 $62,693,575 $28,744,910
=========== =========== ===========
Gross unrealized appreciation $ 697,215 $ 4,295,193 $ 3,976,395
Gross unrealized depreciation -- -- --
----------- ----------- -----------
Net unrealized appreciation 697,215 4,295,193 3,976,395
Undistributed ordinary income 856,921 3,118,241 --
Capital loss carryforward -- -- (841,482)
----------- ----------- -----------
Total distributable earnings $ 1,554,136 $ 7,413,434 $ 3,134,913
=========== =========== ===========
- -------------------------------------------------------------------------------
21
PMFM INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 2007
================================================================================
As of May 31, 2007, The PMFM Core Advantage Portfolio Trust had a capital loss
carryforward of $841,482, of which $780,051 expires on May 31, 2012 and $61,431
expires on May 31, 2013. These capital loss carryforwards may be utilized in
future years to offset net realized capital gains, if any, prior to distributing
such gains to shareholders.
During the year ended May 31, 2007, The PMFM Core Advantage Portfolio Trust
utilized capital loss carryforwards of $725,091 to offset current year realized
gains.
For the year ended May 31, 2007, The PMFM Tactical Preservation Portfolio Trust
reclassified distributions in excess of net investment income of $1,089 against
undistributed net realized gains from security transactions on the Statement of
Assets and Liabilities. Additionally, The PMFM Core Advantage Portfolio Trust
reclassified net investment loss of $63,748 against paid-in capital on the
Statement of Assets and Liabilities. Such reclassifications, the result of
permanent differences between the financial statement and income tax reporting
requirements, has no effect on each Fund's net assets or net asset value per
share.
5. TRANSACTIONS WITH AFFILIATES
Certain Trustees and officers of the Trust are also officers of PMFM, Inc. (the
"Advisor") or of Ultimus Fund Solutions, LLC, the Funds' administrator, transfer
agent and fund accounting services agent, or Ultimus Fund Distributors, LLC, the
Funds' principal underwriter (the "Distributor"). During the year ended May 31,
2007, certain officers of the Trust were also officers of The Nottingham Company
("TNC") and Capital Investment Group, Inc. ("CIG"), the former administrator and
distributor to the Trust, respectively.
INVESTMENT ADVISORY AGREEMENTS
Each Fund's investments are managed by the Advisor under the terms of an
Investment Advisory Agreement (the "Advisory Agreements"). Under the Advisory
Agreements, each Fund has agreed to pay the Advisor an investment advisory fee
at an annual rate of 1.25% of its average daily net assets.
The Advisor has entered into an Expense Limitation Agreement with respect to
each Fund under which it has agreed to waive or reduce its fees and to assume
other expenses of the Funds, if necessary, in an amount that limits each Fund's
annual operating expenses to not more than 2.50%, 1.95% and 2.50%, respectively,
of the average net assets of The PMFM Tactical Preservation Portfolio Trust, The
PMFM Managed Portfolio Trust and The PMFM Core Advantage Portfolio Trust. For
the year ended May 31, 2007, the Advisor waived investment advisory fees of
$71,836, $60,829 and $7,014, respectively, for The PMFM Tactical Preservation
Portfolio Trust, The PMFM Managed Portfolio Trust and The PMFM Core Advantage
Portfolio Trust.
COMPLIANCE SERVICES
During the year ended May 31, 2007, The Nottingham Compliance Services, LLC, a
fully owned affiliate of TNC, provided services which assisted the Trust's Chief
Compliance Officer in monitoring and testing the policies and procedures of the
Trust in relation to requirements under Rule 38a-1 of the Securities and
Exchange Commission. It received compensation of $15,250 from each Fund for this
service during the year ended May 31, 2007.
22
PMFM INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 2007
================================================================================
ADMINISTRATOR
During the year ended May 31, 2007, each Fund paid a monthly administration fee
to TNC calculated at an annual rate of 0.175% of its average daily net assets up
to $50 million; 0.15% of such assets from $50 million to $100 million; 0.125% of
such assets from $100 million to $150 million; 0.10% of such assets from $150
million to $200 million; and 0.075% of such assets in excess of $200 million,
subject to a minimum monthly fee of $2,000. TNC also received a fee to procure
and pay the custodian for the Funds. For these services, TNC was paid by each
Fund at an annual rate of 0.02% of its average daily net assets up to $100
million; and 0.009% of such assets in excess of $100 million, subject to a
minimum monthly fee of $400. TNC also received additional compensation for fund
accounting and recordkeeping services and for certain costs involved with the
daily valuation of securities and as reimbursement for out-of-pocket expenses.
For these services, TNC was paid a base fee of $2,250 per month plus $750 per
month for each additional class of shares by each Fund, plus an asset base fee
of 0.01% of each Fund's average daily net assets. Additionally, each Fund paid
TNC an annual blue sky admistration fee of $150 per state, per class. For the
period February 1, 2007 to May 31, 2007, TNC voluntarily waived fund accounting
fees of $750 per month per Fund for a total waiver of $3,000 per Fund.
TRANSFER AGENT
During the year ended May 31, 2007, North Carolina Shareholder Services, LLC
("NCSS") served as transfer, dividend paying, and shareholding servicing agent
for the Funds. NCSS received compensation for its services at the rate of $15
per shareholder account per year, subject to a minimum fee of $1,750 per month
plus $500 per month for each additional class of shares.
Effective June 1, 2007, the compliance services, administration, transfer
agency, and fund accounting agreements with TNC and affiliates were terminated,
and similar agreements were entered into with Ultimus Fund Solutions, LLC.
DISTRIBUTION PLAN
The Trust has adopted plans of distribution under which each class of shares of
the Funds may directly incur or reimburse the Funds' principal underwriter for
certain expenses related to the distribution of its shares. The annual
limitation for payment of expenses pursuant to the Investor Class Plan and the
Class A Plan is 0.25% of each Fund's average daily net assets attributable to
Investor Class shares and Class A shares, respectively. During the year ended
May 31, 2007, The PMFM Tactical Preservation Portfolio Trust incurred
distribution related expenses of $33,364 and $196 for the Investor Class shares
and Class A shares, respectively; The PMFM Managed Portfolio Trust incurred
distribution related expenses of $148,112 and $870 for the Investor Class shares
and Class A shares, respectively; and The PMFM Core Advantage Portfolio Trust
incurred distribution related expenses of $59,384 and $34 for the Investor Class
shares and Class A shares, respectively. Prior to September 15, 2006, the
Advisor Class shares of The PMFM Tactical Preservation Portfolio Trust and The
PMFM Managed Portfolio Trust had adopted plans of distribution under which the
Advisor Class shares could directly incur certain expenses related to the
distribution of its shares. The annual limitation for payment of expenses
pursuant to the Advisor Class Plan was 1.00% of each Fund's average daily net
assets attributable to Advisor Class shares. For the year ended May
23
PMFM INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 2007
================================================================================
31, 2007, the Advisor Class shares of The PMFM Tactical Preservation Portfolio
Trust and The PMFM Managed Portfolio Trust incurred $341 and $1,664,
respectively.
During the year ended May 31, 2007, CIG served as the Fund's principal
underwriter. CIG received compensation of $5,000 per Fund for such services.
6. CAPITAL SHARE TRANSACTIONS
Proceeds and payments on capital shares as shown in the Statements of Changes in
Net Assets are the result of the following capital share transactions for the
periods shown:
YEAR YEAR
ENDED ENDED
MAY 31, MAY 31,
2007 2006
- ----------------------------------------------------------------------------------------
PMFM TACTICAL PRESERVATION PORTFOLIO TRUST - INVESTOR CLASS
Shares sold 237,500 202,011
Shares issued in reinvestment of distributions to shareholders 35,497 5,020
Shares redeemed (362,938) (947,347)
---------- ----------
Net decrease in shares outstanding (89,941) (740,316)
Shares outstanding, beginning of year 1,367,907 2,108,223
---------- ----------
Shares outstanding, end of year 1,277,966 1,367,907
========== ==========
PMFM TACTICAL PRESERVATION PORTFOLIO TRUST - CLASS A
Shares sold 11,535 --
Shares issued in reinvestment of distributions to shareholders 260 --
Shares redeemed (823) --
---------- ----------
Net increase in shares outstanding 10,972 --
Shares outstanding, beginning of year -- --
---------- ----------
Shares outstanding, end of year 10,972 --
========== ==========
PMFM TACTICAL PRESERVATION PORTFOLIO TRUST - ADVISOR CLASS
Shares sold -- 98,712
Shares issued in reinvestment of distributions to shareholders -- 208
Shares redeemed (11,829) (123,644)
---------- ----------
Net decrease in shares outstanding (11,829) (24,724)
Shares outstanding, beginning of year 11,829 36,553
---------- ----------
Shares outstanding, end of year -- 11,829
========== ==========
PMFM MANAGED PORTFOLIO TRUST - INVESTOR CLASS
Shares sold 2,390,815 2,028,871
Shares issued in reinvestment of distributions to shareholders 189,966 550,122
Shares redeemed (2,698,662) (7,559,974)
---------- ----------
Net decrease in shares outstanding (117,881) (4,980,981)
Shares outstanding, beginning of year 6,433,606 11,414,587
---------- ----------
Shares outstanding, end of year 6,315,725 6,433,606
========== ==========
PMFM MANAGED PORTFOLIO TRUST - CLASS A
Shares sold 71,851 --
Shares issued in reinvestment of distributions to shareholders 1,482 --
Shares redeemed (21,531) --
---------- ----------
Net increase in shares outstanding 51,802 --
Shares outstanding, beginning of year -- --
---------- ----------
Shares outstanding, end of year 51,802 --
========== ==========
24
PMFM INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 2007
================================================================================
YEAR YEAR
ENDED ENDED
MAY 31, MAY 31,
2007 2006
- --------------------------------------------------------------------------------------
PMFM MANAGED PORTFOLIO TRUST - ADVISOR CLASS
Shares sold 1,547 86,710
Shares issued in reinvestment of distributions to shareholders -- 6,752
Shares redeemed (66,727) (134,995)
--------- ---------
Net decrease in shares outstanding (65,180) (41,533)
Shares outstanding, beginning of year 65,180 106,713
--------- ---------
Shares outstanding, end of year -- 65,180
========= =========
PMFM CORE ADVANTAGE PORTFOLIO TRUST - INVESTOR CLASS
Shares sold 2,377,664 1,148,128
Shares redeemed (984,180) (889,789)
--------- ---------
Net increase in shares outstanding 1,393,484 258,339
Shares outstanding, beginning of year 1,346,391 1,088,052
--------- ---------
Shares outstanding, end of year 2,739,875 1,346,391
========= =========
PMFM CORE ADVANTAGE PORTFOLIO TRUST - CLASS A
Shares sold 3,421 --
--------- ---------
Net increase in shares outstanding 3,421 --
Shares outstanding, beginning of year -- --
--------- ---------
Shares outstanding, end of year 3,421 --
========= =========
- --------------------------------------------------------------------------------------
7. COMMITMENTS AND CONTINGENCIES
The Funds indemnify the Trust's officers and Trustees for certain liabilities
that might arise from their performance of their duties to the Funds.
Additionally, in the normal course of business, the Funds enter into contracts
that contain a variety of representations and warranties and which provide
general indemnifications. The Funds' maximum exposure under these arrangements
is unknown, as this would involve future claims that may be made against the
Funds that have not yet occurred. However, based on experience, the Funds expect
the risk of loss to be remote.
8. ACCOUNTING PRONOUNCEMENTS
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 (FIN 48) "Accounting for Uncertainty in Income Taxes." FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken in the course of preparing each Fund's tax
returns to determine whether the tax positions are "more-likely-than-not" of
being sustained by the applicable tax authority. Tax positions not deemed to
meet the more-likely-than-not threshold would be recorded as a tax benefit or
expense in the current year. Adoption of FIN 48 is required for fiscal years
beginning after December 15, 2006 and is to be applied to all open tax years as
of the effective date. Recent SEC guidance allows implementing FIN 48 in a
Fund's calculation of net asset value per share as late as the Fund's last such
calculation in the first required financial statement period. As a result, the
Funds
25
PMFM INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 2007
================================================================================
will incorporate FIN 48 in their Semi-Annual Report on November 30, 2007. At
this time management is evaluating the implications of FIN 48 and does not
expect its adoption to impact the amounts reported in the financial statements.
In September 2006, the Financial Accounting Standards Board issued Statement on
Financial Accounting Standards (SFAS) No. 157, "Fair Value Measurements." This
standard establishes a single authoritative definition of fair value, sets out a
framework for measuring fair value and requires additional disclosures about
fair value measurements. SFAS No. 157 applies to fair value measurements already
required or permitted by existing standards. SFAS No. 157 is effective for
financial statements issued for fiscal years beginning after November 15, 2007
and interim periods within those fiscal years. The changes to current generally
accepted accounting principles from the application of this Statement relate to
the definition of fair value, the methods used to measure fair value, and the
expanded disclosures about fair value measurements. As of May 31, 2007, the
Funds do not believe the adoption of SFAS No. 157 will impact the amounts
reported in the financial statements. However, additional disclosures may be
required about the inputs used to develop the measurements and the effect of the
measurements reported on the statement of changes in net assets for a fiscal
period.
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
On May 18, 2005, the Board of Trustees engaged Briggs, Bunting & Dougherty, LLP
("BBD") as the Trust's new independent public accounting firm, effective upon
the completion by Deloitte & Touche LLP ("Deloitte") of the May 31, 2005 audit.
At no time preceding the engagement of BBD did the Funds consult the firm
regarding either (i) the application of accounting principles to a specified
transaction, either completed or proposed, or the type of audit opinion that
might be rendered on the Funds' financial statements, or (ii) any matter that
was either subject of a disagreement or a reportable event, as such terms are
defined in Item 304 of Regulation S-K.
Deloitte served as the independent registered public accounting firm for the
Trust and issued reports on the Funds' financial statements as of May 31, 2005
and 2004. Such reports did not contain an adverse opinion or a disclaimer of
opinion, nor were they qualified or modified as to uncertainty, audit scope, or
accounting principles.
At no time preceding the removal of Deloitte were there any disagreements with
Deloitte on any matter of accounting principles or practices, financial
statement disclosure, or auditing scope or procedure, which disagreements, if
not resolved to the satisfaction of Deloitte, would have caused it to make
reference to the subject matter of the disagreements in connection with its
report. At no time preceding the removal of Deloitte did any of the events
enumerated in paragraphs (1)(v)(A) through (D) of Item 304(a) of Regulation S-K
occur.
10. SUBSEQUENT EVENT
At a meeting held on June 14, 2007, the Board of Trustees of the Trust decided
to discontinue operations of The PMFM Tactical Preservation Portfolio Trust as
of July 20, 2007. The Advisor will continue to waive fees and reimburse expenses
of the Fund, as necessary, in order to maintain fees and expenses at their
current level.
26
PMFM INVESTMENT TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
================================================================================
To the Board of Trustees of PMFM Investment Trust
and the Shareholders of the PMFM Tactical Preservation
Portfolio Trust, the PMFM Managed Portfolio Trust and
the PMFM Core Advantage Portfolio Trust
We have audited the accompanying statements of assets and liabilities of the
PMFM Tactical Preservation Portfolio Trust, the PMFM Managed Portfolio Trust and
the PMFM Core Advantage Portfolio Trust, each a series of the PMFM Investment
Trust (the "Funds"), including the portfolios of investments, as of May 31,
2007, and the related statements of operations for the year then ended, and the
statements of changes in net assets and the financial highlights for each of the
two years in the period then ended. These financial statements and financial
highlights are the responsibility of the Funds' management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits. The financial highlights for each of the two years or
periods in the period ended May 31, 2005 were audited by other auditors whose
reports dated July 8, 2005 each expressed an unqualified opinion on such
financial highlights.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audits to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the amounts
and disclosures in the financial statements. Our procedures included
confirmation of securities owned as of May 31, 2007 by correspondence with the
custodian. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
PMFM Tactical Preservation Portfolio Trust, the PMFM Managed Portfolio Trust and
the PMFM Core Advantage Portfolio Trust as of May 31, 2007, the results of their
operations for the year then ended, and the changes in their net assets and
their financial highlights for each of the two years in the period then ended,
in conformity with accounting principles generally accepted in the United States
of America.
/s/ BRIGGS, BUNTING & DOUGHERTY, LLP
BRIGGS, BUNTING & DOUGHERTY, LLP
Philadelphia, Pennsylvania
July 6, 2007
27
PMFM INVESTMENT TRUST
ABOUT YOUR FUNDS' EXPENSES (UNAUDITED)
================================================================================
We believe it is important for you to understand the impact of costs on your
investment. All mutual funds have operating expenses. As a shareholder of the
Funds, you may incur two types of costs: (1) transaction costs, possibly
including front-end sales loads; and (2) ongoing costs, including management
fees, distribution (12b-1) fees and other Fund expenses. The following examples
are intended to help you understand your ongoing costs (in dollars) of investing
in the Funds and to compare these costs with the ongoing costs of investing in
other mutual funds.
A mutual fund's ongoing costs are expressed as a percentage of its average net
assets. This figure is known as the expense ratio. The expenses in the tables
are based on an investment of $1,000 made at the beginning of the most recent
semi-annual period (December 1, 2006) and held until the end of the period (May
31, 2007).
The tables that follow illustrate the Funds' costs in two ways:
ACTUAL FUND RETURN - This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from each
Fund's actual return, and the third column shows the dollar amount of operating
expenses that would have been paid by an investor who started with $1,000 in the
Fund. You may use the information here, together with the amount you invested,
to estimate the expenses that you paid over the period.
To do so, 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
given for the Fund under the heading "Expenses Paid During Period."
HYPOTHETICAL 5% RETURN - This section is intended to help you compare the Funds'
costs with those of other mutual funds. It assumes that each Fund had an annual
return of 5% before expenses during the period shown, but that the expense ratio
is unchanged. In this case, because the return used is not the Funds' actual
returns, the results do not apply to your investment. The example is useful in
making comparisons because the Securities and Exchange Commission requires all
mutual funds to calculate expenses based on a 5% return. You can assess each
Fund's costs by comparing this hypothetical example with the hypothetical
examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The calculations assume no shares were bought or
sold during the period. Your actual costs may have been higher or lower,
depending on the amount of your investment and the timing of any purchases or
redemptions.
More information about each Fund's expenses, including annualized expense
ratios, can be found in this report. For additional information on operating
expenses and other shareholder costs, please refer to the Funds' prospectus.
28
PMFM INVESTMENT TRUST
ABOUT YOUR FUNDS' EXPENSES (UNAUDITED) (CONTINUED)
================================================================================
PMFM TACTICAL PRESERVATION PORTFOLIO TRUST
INVESTOR CLASS
- --------------------------------------------------------------------------------
BEGINNING ENDING
ACCOUNT ACCOUNT EXPENSES
VALUE VALUE PAID DURING
DEC. 1, 2006 MAY 31, 2007 PERIOD*
- --------------------------------------------------------------------------------
Based on Actual Fund Return $1,000.00 $1,057.80 $12.83
Based on Hypothetical 5% Return
(before expenses) $1,000.00 $1,012.47 $12.54
- --------------------------------------------------------------------------------
* Expenses are equal to Investor Class' annualized expense ratio of 2.50%
for the period, multiplied by the average account value over the period,
multiplied by 182/365 (to reflect the one-half year period).
PMFM TACTICAL PRESERVATION PORTFOLIO TRUST
CLASS A
- --------------------------------------------------------------------------------
BEGINNING ENDING
ACCOUNT ACCOUNT EXPENSES
VALUE VALUE PAID DURING
DEC. 1, 2006 MAY 31, 2007 PERIOD*
- --------------------------------------------------------------------------------
Based on Actual Fund Return $1,000.00 $1,055.50 $12.81
Based on Hypothetical 5% Return
(before expenses) $1,000.00 $1,012.47 $12.54
- --------------------------------------------------------------------------------
* Expenses are equal to Class A's annualized expense ratio of 2.50% for the
period, multiplied by the average account value over the period,
multiplied by 182/365 (to reflect the one-half year period).
PMFM MANAGED PORTFOLIO TRUST
INVESTOR CLASS
- --------------------------------------------------------------------------------
BEGINNING ENDING
ACCOUNT ACCOUNT EXPENSES
VALUE VALUE PAID DURING
DEC. 1, 2006 MAY 31, 2007 PERIOD*
- --------------------------------------------------------------------------------
Based on Actual Fund Return $1,000.00 $1,070.50 $10.07
Based on Hypothetical 5% Return
(before expenses) $1,000.00 $1,015.21 $ 9.80
- --------------------------------------------------------------------------------
* Expenses are equal to Investor Class' annualized expense ratio of 1.95%
for the period, multiplied by the average account value over the period,
multiplied by 182/365 (to reflect the one-half year period).
PMFM MANAGED PORTFOLIO TRUST
CLASS A
- --------------------------------------------------------------------------------
BEGINNING ENDING
ACCOUNT ACCOUNT EXPENSES
VALUE VALUE PAID DURING
DEC. 1, 2006 MAY 31, 2007 PERIOD*
- --------------------------------------------------------------------------------
Based on Actual Fund Return $1,000.00 $1,066.80 $10.05
Based on Hypothetical 5% Return
(before expenses) $1,000.00 $1,015.21 $ 9.80
- --------------------------------------------------------------------------------
* Expenses are equal to Class A's annualized expense ratio of 1.95% for the
period, multiplied by the average account value over the period,
multiplied by 182/365 (to reflect the one-half year period).
29
PMFM INVESTMENT TRUST
ABOUT YOUR FUNDS' EXPENSES (UNAUDITED) (CONTINUED)
================================================================================
PMFM CORE ADVANTAGE PORTFOLIO TRUST
INVESTOR CLASS
- --------------------------------------------------------------------------------
BEGINNING ENDING
ACCOUNT ACCOUNT EXPENSES
VALUE VALUE PAID DURING
DEC. 1, 2006 MAY 31, 2007 PERIOD*
- --------------------------------------------------------------------------------
Based on Actual Fund Return $1,000.00 $1,082.70 $11.99
Based on Hypothetical 5% Return
(before expenses) $1,000.00 $1,013.41 $11.60
- --------------------------------------------------------------------------------
* Expenses are equal to Investor Class' annualized expense ratio of 2.31%
for the period, multiplied by the average account value over the period,
multiplied by 182/365 (to reflect the one-half year period).
PMFM CORE ADVANTAGE PORTFOLIO TRUST
CLASS A
- --------------------------------------------------------------------------------
BEGINNING ENDING
ACCOUNT ACCOUNT EXPENSES
VALUE VALUE PAID DURING
DEC. 1, 2006 MAY 31, 2007 PERIOD*
- --------------------------------------------------------------------------------
Based on Actual Fund Return $1,000.00 $1,086.10 $12.01
Based on Hypothetical 5% Return
(before expenses) $1,000.00 $1,013.41 $11.60
- --------------------------------------------------------------------------------
* Expenses are equal to Class A's annualized expense ratio of 2.31% for the
period, multiplied by the average account value over the period,
multiplied by 182/365 (to reflect the one-half year period).
OTHER INFORMATION (UNAUDITED)
================================================================================
The Trust files a complete listing of portfolio holdings for the Funds with the
Securities and Exchange Commission (SEC) as of the end of the first and third
quarters of each fiscal year on Form N-Q. The filings are available free of
charge, upon request, by calling 1-866-383-PMFM. Furthermore, you may obtain a
copy of these filings on the SEC's website at http://www.sec.gov. The Trust's
Forms N-Q may also be reviewed and copied at the SEC's Public Reference Room in
Washington, DC, and information on the operation of the Public Reference Room
may be obtained by calling (800) SEC-0330.
A description of the policies and procedures that the Funds use to determine how
to vote proxies relating to portfolio securities is available without charge
upon request by calling toll-free 1-866-383-PMFM, or on the SEC's website at
http://www.sec.gov. Information regarding how the Funds voted proxies relating
to portfolio securities during the most recent 12-month period ended June 30 is
also available without charge upon request by calling toll-free 1-866-383-PMFM,
or on the SEC's website at http://www.sec.gov.
30
PMFM INVESTMENT TRUST
BOARD OF TRUSTEES AND EXECUTIVE OFFICERS (UNAUDITED)
================================================================================
The Board of Trustees has overall responsibility for management of the Trust's
affairs. The Trustees serve during the lifetime of Trust and until its
termination, or until death, resignation, retirement or removal. The Trustees,
in turn, elect the officers of the Trust to actively supervise its day-to-day
operations. The officers have been elected for an annual term. The following are
the Trustees and executive officers of the Trust:
DISINTERESTED (INDEPENDENT) TRUSTEES
- ----------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF DIRECTORSHIPS
POSITION(S) OFFICE & FUNDS OF PUBLIC
NAME, AGE HELD WITH LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN COMPANIES
& ADDRESS THE TRUST TIME SERVED DURING PAST 5 YEARS BY TRUSTEE HELD BY TRUSTEE
- ----------------------------------------------------------------------------------------------------------------------------
Gregory L. Morris Trustee, Indefinite APortfolio Manager of the Advisor 3 None
1061 Cliff Dawson Road Chairman since joining the Advisor in
Watkinsville, GA Since May, November 2004 President of G.
30677 2007 Morris Advisors, Inc. (consulting)
Age: 59 since January, 2004. Previously
Consultant of StockCharts.com
(Web-based charting service) from
October, 2002 to September, 2006;
Principal of MurphyMorris Money
Management Co. (an investment
advisory firm and an affiliate of
the Advisor) from March, 2000 to
June, 2005; Captain of Delta Air
Lines from August, 1978 to May,
2004; and Chief Executive Officer
of MurphyMorris, Inc. (market
analysis) from June, 1996 to
October, 2002.
- ----------------------------------------------------------------------------------------------------------------------------
James M. Baker Trustee Indefinite President of Baker & Lassiter, Inc. 3 Community
1061 Cliff Dawson Road (real estate development and Capital Bank (a
Watkinsville, GA Since June, management) since 1993. closely held
30677 2003 chartered bank)
Age: 55
- ----------------------------------------------------------------------------------------------------------------------------
Norman A. McLean Trustee Indefinite Director of Marketing/Public 3 None
1061 Cliff Dawson Road Relations for St. Mary's Health
Watkinsville, GA Since June, Care System (health care) since
30677 2003 September, 2005. Previously
Age: 53 Associate Athletic Director for
Marketing and Promotions at the
University of Georgia Athletic
Association, Inc. from July, 1981
until July, 2004.
- ----------------------------------------------------------------------------------------------------------------------------
31
PMFM INVESTMENT TRUST
BOARD OF TRUSTEES AND EXECUTIVE OFFICERS (UNAUDITED)
(CONTINUED)
================================================================================
EXECUTIVE OFFICERS
- ----------------------------------------------------------------------------------------------------------------
POSITION(S)
NAME, AGE HELD WITH LENGTH OF TIME PRINCIPAL OCCUPATION(S)
& ADDRESS THE TRUST SERVED DURING PAST 5 YEARS
- ----------------------------------------------------------------------------------------------------------------
Judson P. Doherty President (Principal Since June, 2006 Executive Vice President and Chief
Age: 37 Executive Officer), Financial Officer of the Advisor
Chief Compliance Since October, 2004 since December, 2000, and the Chief
Officer Compliance Officer of the Advisor
since October, 2004. He is also a
member of the Funds' portfolio
management team.
- ----------------------------------------------------------------------------------------------------------------
Timothy A. Chapman Treasurer Since June, 2006 Secretary, Treasurer and portfolio
1061 Cliff Dawson Road manager of the Advisor since
Watkinsville, GA February, 1993. President of
30677 Financial Toolbox, Inc. (website
Age: 46 publishing firm) since 2000.
- ----------------------------------------------------------------------------------------------------------------
John F. Splain Secretary Since May, 2007 Managing Director of Ultimus Fund
225 Pictoria Drive, Suite 450 Solutions, LLC, transfer agent,
Cincinnati, OH fund accountant and administrator
45246 to the Trust; Managing Director of
Age: 50 Ultimus Fund Distributors, LLC, a
registered broker- dealer.
- ----------------------------------------------------------------------------------------------------------------
Robert G. Dorsey Vice President Since May, 2007 Managing Director of Ultimus Fund
225 Pictoria Drive, Suite 450 Solutions, LLC, transfer agent,
Cincinnati, OH fund accountant and administrator
45246 to the Trust; Managing Director of
Age: 50 Ultimus Fund Distributors, LLC, a
registered broker- dealer.
- ----------------------------------------------------------------------------------------------------------------
Additional information about members of the Board of Trustees and executive
officers is available in the Statement of Additional Information (SAI). To
obtain a free copy of the SAI, please call 1-866-383-7636.
32
PMFM INVESTMENT TRUST
RESULTS OF SPECIAL MEETING OF SHAREHOLDERS
MARCH 21, 2007 (UNAUDITED)
================================================================================
On March 21, 2007, a Special Meeting of Shareholders of the PMFM Tactical
Preservation Portfolio Trust, the PMFM Managed Portfolio Trust and the PMFM Core
Advantage Portfolio Trust was held (1) to approve or disapprove a new Investment
Advisory Agreement on behalf of each Fund with PMFM, Inc. and (2) to elect James
M. Baker, Norman A. McLean and Timothy A. Chapman to be members of the Board of
Trustees of the Trust. The number of shares of the Funds present and voting at
the Special Meeting, either in person or by proxy, represented the following
percentages of the total shares entitled to vote at the meeting:
PMFM Tactical Preservation Portfolio Trust 58.18%
PMFM Managed Portfolio Trust 54.71%
PMFM Core Advantage Portfolio Trust 51.05%
Both of the proposals were approved by shareholders.
The results of the voting for or against the proposal to approve a new
Investment Advisory Agreement for each Fund were as follows:
- --------------------------------------------------------------------------------
NUMBER OF SHARES
-------------------
FUND FOR ABSTAIN
- --------------------------------------------------------------------------------
PMFM Tactical Preservation Portfolio Trust 756,529 0
- --------------------------------------------------------------------------------
PMFM Managed Portfolio Trust 3,295,396 9,069
- --------------------------------------------------------------------------------
PMFM Core Advantage Portfolio Trust 1,256,739 0
- --------------------------------------------------------------------------------
The results of the voting to elect James M. Baker, Norman A. McLean and Timothy
A. Chapman to be members of the Board of Trustees were as follows:
- --------------------------------------------------------------------------------
NUMBER OF SHARES
-------------------
FUND FOR ABSTAIN
- --------------------------------------------------------------------------------
PMFM Investment Trust 5,317,732 0
- --------------------------------------------------------------------------------
33
PMFM
FUNDS
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a
code of ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller, or
persons performing similar functions, regardless of whether these individuals
are employed by the registrant or a third party. Pursuant to Item 12(a)(1), a
copy of registrant's code of ethics has been filed with the Commission. During
the period covered by this report, the code of ethics has not been amended, and
the registrant has not granted any waivers, including implicit waivers, from the
provisions of the code of ethics.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's board of trustees has determined that the registrant does not
have an audit committee financial expert serving on its audit committee. At this
time, the registrant believes that the collective experience provided by the
members of the audit committee together offer the registrant adequate oversight
for the registrant's level of financial complexity.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) AUDIT FEES. The aggregate fees billed for professional services
rendered by the principal accountant for the audit of the
registrant's annual financial statements or for services that are
normally provided by the accountant in connection with statutory and
regulatory filings or engagements were $38,000 and $50,000 with
respect to the registrant's fiscal years ended May 31, 2007 and
2006, respectively.
(b) AUDIT-RELATED FEES. No fees were billed in either of the last two
fiscal years for assurance and related services by the principal
accountant that are reasonably related to the performance of the
audit of the registrant's financial statements and are not reported
under paragraph (a) of this Item.
(c) TAX FEES. The aggregate fees billed for professional services
rendered by the principal accountant for tax compliance, tax advice,
and tax planning were $6,000 with respect to each of the
registrant's fiscal years ended May 31, 2007 and 2006, respectively.
The services comprising these fees are the preparation of the
registrant's federal and state income and federal excise tax
returns, and assistance with distribution calculations.
(d) ALL OTHER FEES. No fees were billed in the fiscal year ended May 31,
2007 for products and services provided by the principal accountant,
other than the services reported in paragraphs (a) through (c) of
this Item. During the fiscal year ended May 31, 2006, aggregate fees
of $1,200 were billed for products and services by the principal
accountant, other than the services reported in paragraphs (a)
through (c) of this Item. The services comprising these fees were
for the principal accountant's consent in connection with additional
post-effective amendments to the registrant's registration
statement.
(e)(1) The audit committee has not adopted pre-approval policies and
procedures described in paragraph (c)(7) of Rule 2-01 of Regulation
S-X.
(e)(2) None of the services described in paragraph (b) through (d) of this
Item were approved by the audit committee pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Less than 50% of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the
most recent fiscal year were attributed to work performed by persons
other than the principal accountant's full-time, permanent
employees.
(g) During the fiscal years ended May 31, 2007 and 2006, aggregate
non-audit fees of $6,000 and $7,200, respectively, were billed by
the registrant's accountant for services rendered to the registrant.
No non-audit fees were billed in either of the last two fiscal years
by the registrant's accountant for services rendered to the
registrant's investment adviser (not including any sub-adviser whose
role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling,
controlled by, or under common control with the adviser that
provides ongoing services to the registrant.
(h) The principal accountant has not provided any non-audit services to
the registrant's investment adviser (not including any sub-adviser
whose role is primarily portfolio management and is subcontracted
with or overseen by another investment adviser), and any entity
controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the registrant.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable [schedule filed with Item 1]
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.
The registrant does not have procedures in place to consider nominees
recommended by shareholders. The registrant's nominating committee generally
will not consider nominees recommended by shareholders.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940) as of a date within 90 days of the filing date of this report, the
registrant's principal executive officer and principal financial officer have
concluded that such disclosure controls and procedures are reasonably designed
and are operating effectively to ensure that material information relating to
the registrant, including its consolidated subsidiaries, is made known to them
by others within those entities, particularly during the period in which this
report is being prepared, and that the information required in filings on Form
N-CSR is recorded, processed, summarized, and reported on a timely basis.
(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)
that occurred during the second fiscal quarter of the period covered by this
report that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form. Letter or number the
exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Incorporated
herein by reference to registrant's form N-CSR filed on August 10, 2006
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Act (17 CFR 270.30a-2(a)): Attached hereto
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the Act (17 CFR 270.23c-1) sent or given during the period covered by the report
by or on behalf of the registrant to 10 or more persons: Not applicable
(b) Certifications required by Rule 30a-2(b) under the Act (17 CFR
270.30a-2(b)): Attached hereto
Exhibit 99.CODE ETH Code of Ethics
Exhibit 99.CERT Certifications required by Rule 30a-2(a) under the Act
Exhibit 99.906CERT Certifications required by Rule 30a-2(b) under the Act
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) PMFM Investment Trust
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By (Signature and Title)* /s/ Judson P. Doherty
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Judson P. Doherty,
President and Principal Executive Officer
Date July 30, 2007
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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/ Judson P. Doherty
-----------------------------------------------------
Judson P. Doherty,
President and Principal Executive Officer
Date July 30, 2007
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By (Signature and Title)* /s/ Timothy A. Chapman
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Timothy A. Chapman,
Treasurer and Principal Financial Officer
Date July 30, 2007
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* Print the name and title of each signing officer under his or her
signature.