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
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PMFM INVESTMENT TRUST
---------------------
(Exact name of registrant as specified in charter)
1551 Jennings Mill Road, Suite 2400-A, Bogart, Georgia 30622
------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Julian G. Winters
116 South Franklin Street, Post Office Box 69, Rocky Mount, North Carolina 27802
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 252-972-9922
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Date of fiscal year end: May 31
------
Date of reporting period: May 31, 2005
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Item 1. REPORTS TO STOCKHOLDERS.
Annual Report 2005
Tactical Preservation Portfolio Trust
Managed Portfolio Trust
Tactical Opportunities Portfolio Trust
May 31, 2005
PMFM INC.
Personal Mutual Fund Management
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: Capital Investment Group, Inc., 116 S. Franklin Street, Rocky
Mount, NC 27802,Phone 1-800-773-3863.
- --------------------------------------------------------------------------------
Statements in this Annual Report that reflect projections or expectations of
future financial or economic performance of the PMFM Funds ("Funds") and of the
market in general and statements of the Funds' plans and objectives for future
operations are forward-looking statements. No assurance can be given that actual
results or events will not differ materially from those projected, estimated,
assumed or anticipated in any such forward-looking statements. Important factors
that could result in such differences, in addition to the other factors noted
with such forward-looking statements, include, without limitation, general
economic conditions such as inflation, recession and interest rates. Past
performance is not a guarantee of future results.
Investments in the PMFM Funds ("Funds") are subject to investment risks,
including the possible loss of some or the entire principal amount invested.
There can be no assurance that the Funds will be successful in meeting its
investment objective. Investment in the Funds is also subject to the following
risks: market risk, management style risks, "Fund of Funds" structure
limitations and expenses risks, sector risks, fixed income risks, tracking
risks, ETF net asset value and market price risks, foreign securities risk,
portfolio turnover risks, small capitalization companies risk, non-diversified
fund risk, aggressive investment techniques risk, derivative instruments risk,
swaps risk and leverage risk. More information about these risks and other risks
can be found in the Fund's prospectus.
The performance information quoted in this Annual report represents past
performance, which is not a guarantee of 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. An investor
may obtain performance data current to the most recent month-end by visiting
www.nottinghamco.com.
An investor should consider the investment objectives, risks, and charges and
expenses of the Funds carefully before investing. The prospectus contains this
and other information about the Funds. A copy of the prospectus is available at
www.nottinghamco.com or by calling Shareholder Services at 1-866-383-7636. The
prospectus should be read carefully before investing.
- --------------------------------------------------------------------------------
Stated performance in the aforementioned funds was achieved at some or all
points during the year by waiving or reimbursing part of those funds' total
expenses to ensure shareholders did not absorb expenses significantly greater
than the industry norm.
This Annual Report was first distributed to shareholders on or about July 28,
2005.
The PMFM Funds
________________________________________________________________________________
July 18, 2005
Dear PMFM Shareholder,
Enclosed for your review is the annual report for the fiscal year ending
May 31, 2005 for the PMFM Managed Portfolio Trust, the PMFM Tactical
Preservation Portfolio Trust and the PMFM Tactical Opportunities Portfolio
Trust, each a series of the Family of Funds (the "Funds"). In managing each
Fund, we use our proprietary, quantitatively driven asset allocation model to
assess market risk and make determinations on when and to what degree to be "in"
or "out" of various markets. As explained below, this past year was a
challenging market environment for the Funds, primarily because the up and down
movements in the stock markets made it difficult for our models to identify
trends.
Market Overview. During this past fiscal year, the stock market averages
were positive, including an 8.2% gain in the S&P 500 Index, a 9.8% rise in the
Russell 2000, and appreciation of 4.1% from the NASDAQ. For the same period the
Managed Portfolio gained 2.3% and the Tactical Preservation Portfolio lost
1.0%.^1 Similar to the prior fiscal year, these 12 months were characterized by
several distinct periods: a consistent uptrend through the end of 2004, a
volatile non-trending market with a downward bias for the first 4 months of
2005, and a strong reversal in May. In particular, during the first 4 months of
2005, the stock market experienced an astounding eighteen reversals of direction
(as measured by a 10 day simple moving average). Since the near term low in the
stock market on April 25th, the market has been on a generally consistent
uptrend with just 3 reversals of direction. Despite a strong 4th quarter, the
vast majority of the gains from the market occurred during the month of May
2005, when the S&P 500 rose 4.2%, the Russell 2000 gained 6.4% and the NASDAQ
led the way with a gain of 8.6%. Following are some specific comments regarding
the performance of the PMFM Funds during this period:
PMFM Managed and PMFM Tactical Preservation Portfolios:
These Funds are actively managed primarily among Exchange Traded Funds
(ETFs) and cash equivalents. We use a proprietary technical ranking system to
measure the overall level of risk in the market, and we increase or decrease
equity exposure in the Funds based on this risk assessment. The PMFM Tactical
Preservation Portfolio is more conservative then the PMFM Managed Fund, which
means that it generally will be quicker to sell interests in markets or market
sectors when our models suggests that markets have become or are becoming risky,
and generally will be slower to purchase interests in markets or market sectors
when our models suggests markets have become or are becoming low risk and likely
to appreciate. Our goal is to participate in the equity market when we deem the
risk levels to be reasonable and to avoid equities when the risk levels are
unacceptable.
While our model has been historically successful in protecting from
losses during severe market declines, our safety measures may cause our
portfolios to underperform during rising markets. This past year was no
exception. For example, during the period June 1, 2004 through December 31,
2004, the Managed Portfolio returned 6.9% and the Tactical Preservation
Portfolio gained 3.5%. During this period, the NASDAQ returned 9.3% and the S&P
500 Index returned 8.1%. The Tactical Preservation Portfolio's conservative bias
kept us out of the market for longer than the Managed Portfolio, which caused it
to lag further behind.
As mentioned earlier, the first five months of 2005 were a challenging
market environment. Not only were most of the market averages down during this
time period, but the market did not have a clear trend. As a result, our
exposure to the markets was more limited throughout the period and our risk
measures twice dictated a defensive cash equivalent position. For the period
from January 1, 2005 to May 31, 2005, the Managed Portfolio returned -4.5% and
the Tactical Preservation Portfolio returned -4.3%. While these returns were
better than the Russell 2000 Index (-5.5% in the same period) and the Nasdaq
(-4.9% in the same period), they underperformed the S&P 500 Index (-1.7% in the
same period).
____________________
^1 The Tactical Opportunities Portfolio was not in existence for the entire
fiscal year ending May 31, 2005. The Fund's return for the period September 27,
2004 (date of inception) through May 31, 2005 was -4.9%.
PMFM Tactical Opportunities Portfolio:
The Tactical Opportunities Portfolio began operations on September 27,
2004. While the Tactical Opportunities Portfolio is our most aggressive Fund, it
was invested in cash equivalents until December 3, 2004 as we waited for assets
in the Fund to grow and to implement our investment strategy. During this period
of time, the equity market rose sharply, led by the Nasdaq (up 15.5%), the
Russell 2000 (up 15.0%) and the S&P 500 (up 7.9%). We invested the Tactical
Opportunities Portfolio in the markets beginning in early December; however, the
markets and the Fund were down over that period. Subsequent to December 3rd
through the end of May 2005, the Portfolio was down 2.3%, outperforming the
Russell 2000 (-4.0%) and the Nasdaq (-3.7%), but trailing the S&P 500 (0.0%). As
with our other Funds, the Tactical Opportunities Portfolio is designed around
our models. The success of our models has generally depended on their ability to
identify trends in the market, and the up-and-down market movements from January
to April 2005 did not offer any sustained trends. We expect this Portfolio will
perform well during uptrends in the market, and the month of May was no
exception. The Tactical Opportunities Portfolio gained 5.6% in May during a
significant uptrend, which compared favorably to the returns of the Russell 2000
(up 6.4%), Nasdaq (up 7.6%) and the S&P 500 (up 3.0%).
PMFM Changes. We also wanted to notify you of a couple of changes that have
affected our PMFM Funds family. First, we are excited about the recent merger of
the MurphyMorris ETF Fund with and into our newest fund, the PMFM Core Advantage
Portfolio Trust (the "Merger"). The Merger was effective June 1, 2005.
Information about the Core Advantage Portfolio is available in the new fund's
prospectus. Please call us at 1-800-773-3863 if you would like more information.
Second, we wanted to let you know that PMFM recently offered its clients
with account values of more than $500,000 a new separately managed account
option. Many PMFM clients have moved assets from the PMFM funds to this new
management option, which caused the assets of the Funds to decline significantly
during the last fiscal year.
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
PMFM Tactical Preservation Portfolio Trust Investor Class Shares
Performance Update - $10,000 Investment
For the period from March 25, 2004 (Date of Initial Public Investment)
to May 31, 2005
- ------------------------------------------------------------------------------------------------------------------------------------
[LINE GRAPHN HERE]
60% S&P 500 Total Return Performance Returns for the periods ended May 31, 2005
S&P 500 Index/40% Lehman Brothers -----------------------------------------------------------
Investor Class Total Return Index Aggregate Bond Index Average Annual Total
-------------- ------------------ ------------------- Returns One Year Since Inception*
3/25/2004 $10,000 $10,000 $10,000 -----------------------------------------------------------
3/31/2004 10,000 10,156 10,079 Investor Class Shares (1.02)% (2.37)%
5/31/2004 9,820 10,134 9,936 -----------------------------------------------------------
7/31/2004 9,740 9,989 9,915 Cumulative Total Since Final Value of
9/30/2004 9,730 10,138 10,098 Investment Returns Inception* $10,000 Investment
11/30/2004 9,920 10,710 10,442 -----------------------------------------------------------
1/31/2005 9,800 10,804 10,567 Investor Class Shares (2.80)% $9,720
3/31/2005 9,720 10,836 10,537 ------------------------------------------------------------
5/31/2005 9,720 10,969 10,725 S&P 500 Total Return Index 9.69% $10,969
------------------------------------------------------------
60% S&P 500 Total Return
Index / 40% Lehman Brothers
Aggregate Bond Index 7.25% $10,725
------------------------------------------------------------
*Investor class inception date - March 25, 2004 (Date of
Initial Public Investment).
- ------------------------------------------------------------------------------------------------------------------------------------
The graph assumes an initial $10,000 investment at March 25, 2004 for Investor
Class (Date of Initial Public Investment). All dividends and distributions are
reinvested. This graph depicts the performance of PMFM Tactical Preservation
Portfolio Trust (the "Fund") Investor Class shares versus the S&P 500 Total
Return Index and a combined index of 60% S&P 500 Total Return Index and 40%
Lehman Brothers Aggregate Bond Index. It is important to note that the Fund is a
professionally managed mutual fund while the indices are not available for
investment and are unmanaged. The comparison is shown for illustrative purposes
only.
- --------------------------------------------------------------------------------
Performance quoted above represents past performance, which is no guarantee of
future results. Investment return and principal value will fluctuate so that
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. An
Investor may obtain performance data, current to the most recent month-end, by
visiting www.nottinghamco.com.
The graph and table do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. Average annual
total returns are historical in nature and measure net investment income and
capital gain or loss from portfolio investments assuming reinvestments of
dividends.
Fund Expenses
________________________________________________________________________________
As a shareholder of the Fund, you incur ongoing costs, including management
fees; distribution (12b-1) fees; and other Fund expenses. This example is
intended to help you understand your ongoing costs (in dollars) of investing in
the Fund and to compare these costs with the ongoing costs of investing in other
mutual funds. The example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire period as indicated below.
Actual Expenses - The first line of the table below provides information about
the actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over the period. Simply divide your account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number in the first line under the heading entitled "Expenses Paid
During Period" to estimate the expenses you paid on your account during this
period.
Hypothetical Example for Comparison Purposes - The last line of the table below
provides information about hypothetical account values and hypothetical expenses
based on the Fund's actual expense ratio and an assumed annual rate of return of
5% before expenses, which is not the Fund's actual return. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the Fund and other
funds by comparing this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of other funds.
Beginning Account Ending Account Expenses Paid
Expense Example Value June 1, 2004 Value May 31, 2005 During Period*
- -------------------------------------------------- ----------------------- ---------------------------- ----------------------------
Actual $1,000.00 $ 989.80 $24.18
- -------------------------------------------------- ----------------------- ---------------------------- ----------------------------
Hypothetical (5% annual return before expenses) $1,000.00 $1,025.70 $24.61
- -------------------------------------------------- ----------------------- ---------------------------- ----------------------------
* Expenses are equal to the Fund's annualized expense ratio 2.43% multiplied by
the average account value over the period.
PMFM Tactical Preservation Portfolio Trust Advisor Class Shares
Performance Update - $10,000 Investment
For the period from April 30, 2004 Advisor Class (Date of Initial Public
Investment) to May 31, 2005
- ------------------------------------------------------------------------------------------------------------------------------------
[LINE GRAPH HERE]
60% S&P 500 Total Return Performance Returns for the periods ended May 31, 2005
S&P 500 Index/40% Lehman Brothers ------------------------------------------------------------
Advisor Class Total Return Index Aggregate Bond Index Average Annual Total
------------- ------------------ -------------------- Returns One Year Since Inception*
4/30/2004 $10,000 $10,000 $10,000 ------------------------------------------------------------
5/31/2004 9,990 10,137 10,065 Advisor Class Shares (1.83)% (1.78)%
7/31/2004 9,888 9,992 10,046 ------------------------------------------------------------
9/30/2004 9,868 10,141 10,232 Cumulative Total Since Final Value of
11/30/2004 10,051 10,713 10,577 Investment Returns Inception* $10,000 Investment
1/31/2005 9,919 10,807 10,704 ------------------------------------------------------------
3/31/2005 9,827 10,840 10,672 Advisor Class Shares (1.93)% $9,807
5/31/2005 9,807 10,972 10,863 ------------------------------------------------------------
S&P 500 Total Return Index 9.72% $10,972
------------------------------------------------------------
60% S&P 500 Total Return
Index / 40% Lehman Brothers
Aggregate Bond Index 7.93% $10,863
------------------------------------------------------------
*Advisor class inception date - April 30, 2004 (Date of
Initial Public Investment).
- ------------------------------------------------------------------------------------------------------------------------------------
The graph assumes an initial $10,000 investment at April 30, 2004 for Advisor
Class (Date of Initial Public Investment). All dividends and distributions are
reinvested. This graph depicts the performance of PMFM Tactical Preservation
Portfolio Trust (the "Fund") Advisor Class shares versus the S&P 500 Total
Return Index and a combined index of 60% S&P 500 Total Return Index and 40%
Lehman Brothers Aggregate Bond Index. It is important to note that the Fund is a
professionally managed mutual fund while the indices are not available for
investment and are unmanaged. The comparison is shown for illustrative purposes
only.
- --------------------------------------------------------------------------------
Performance quoted above represents past performance, which is no guarantee of
future results. Investment return and principal value will fluctuate so that
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. An
Investor may obtain performance data, current to the most recent month-end, by
visiting www.nottinghamco.com.
The graph and table do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. Average annual
total returns are historical in nature and measure net investment income and
capital gain or loss from portfolio investments assuming reinvestments of
dividends.
Fund Expenses
________________________________________________________________________________
As a shareholder of the Fund, you incur ongoing costs, including management
fees; distribution (12b-1) fees; and other Fund expenses. This example is
intended to help you understand your ongoing costs (in dollars) of investing in
the Fund and to compare these costs with the ongoing costs of investing in other
mutual funds. The example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire period as indicated below.
Actual Expenses - The first line of the table below provides information about
the actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over the period. Simply divide your account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number in the first line under the heading entitled "Expenses Paid
During Period" to estimate the expenses you paid on your account during this
period.
Hypothetical Example for Comparison Purposes - The last line of the table below
provides information about hypothetical account values and hypothetical expenses
based on the Fund's actual expense ratio and an assumed annual rate of return of
5% before expenses, which is not the Fund's actual return. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the Fund and other
funds by comparing this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of other funds.
Beginning Account Ending Account Expenses Paid
Expense Example Value June 1, 2004 Value May 31, 2005 During Period*
- ------------------------------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $ 981.70 $31.81
- ------------------------------------------------------------------------------------------------------------------------------------
Hypothetical (5% annual return before expenses) $1,000.00 $1,017.90 $32.39
- ------------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's annualized expense ratio 3.21% multiplied by
the average account value over the period.
PMFM Tactical Preservation Portfolio Trust
Schedule of Investments
As of May 31, 2005
- ------------------------------------------------------------------------------------------------------------------------------------
Market Value
Shares (Note 1)
- ------------------------------------------------------------- -------------------------------------------------------------------
EXCHANGE TRADED FUNDS - 94.22% Summary of Investments by Industry
% of Net
iShares Russell Midcap Value Industry Assets Value
-------------------------------------------------------------------
Index Fund 27,200 $ 3,121,200
iShares Russell 1000 Growth Exchange Traded Funds 94.22% $ 19,642,507
Index Fund 42,600 2,058,006 Investment Company 35.20% 7,337,958
MidCap SPDR Trust Series 1 16,900 2,071,095 Private Investment Company 14.44% 3,009,444
Nasdaq 100 Index Tracking -------------------------------------------------------------------
Stock 81,700 3,111,136 Total 143.86% $29,989,909
SPDR Trust Series 1 51,700 6,177,116
Vanguard Total Stock Market
VIPERs 26,600 3,103,954
-----------
Total Exchange Traded Funds
(Cost $19,641,661) 19,642,507
-----------
INVESTMENT COMPANY - 35.20%
Merrimac Cash Series Nottingham Shares
(Cost $7,337,958) 7,337,958 7,337,958
-----------
PRIVATE INVESTMENT COMPANY - 14.44%
(B) Pamlico Enhanced Cash Trust
(Cost $3,009,444) 3,009,444 3,009,444
-----------
Total Investments (Cost $29,989,063) - 143.86% 29,989,909
Liabilities in Excess of Other Assets - (43.86%) (9,143,111)
-----------
Net Assets - 100.0% $20,846,798
===========
* Non-income producing investment.
(B) Restricted security - A restricted security cannot be
resold to the general public without prior registration under
the Securities Act of 1933. Restricted securities are valued
according to the guidelines and procedures adopted by the
Board of Trustees. The Fund currently holds 3,009,444 shares
of Pamlico Enhanced Cash Trust at a cost of $3,009,444. The
sale of this investment has been restricted and has been
valued in accordance with the guidelines adopted by the Board
of Trustees. The total fair value of this security at May 31,
2005 is $3,009,444, which represents 14.44% of net assets.
See Notes to Financial Statements
PMFM Managed Portfolio Trust Investor Class Shares
Performance Update - $10,000 Investment
For the period from June 30, 2003 Investor Class (Date of Initial Public
Investment) to May 31, 2005
- -----------------------------------------------------------------------------------------------------------------------------------
[LINE GRAPH HERE]
80% S&P 500 Total Return
S&P Total Index/20% Lehman Brothers Performance Returns for the periods ended May 31, 2005
Investor Class Return Index Aggregate Bond Index -------------------------------------------------------------
-------------- ------------ -------------------- Average Annual Total
6/30/2003 $10,000 $10,000 $10,000 Returns One Year Since Inception*
7/31/2003 9,820 10,176 10,067 -------------------------------------------------------------
9/30/2003 9,570 10,265 10,208 Investor Class Shares 2.30% 1.96%
11/30/2003 10,080 10,941 10,734 -------------------------------------------------------------
1/31/2004 10,498 11,726 11,402 Final Value of
3/31/2004 10,488 11,709 11,430 Cumulative Total Since $10,000
5/31/2004 10,147 11,684 11,342 Investment Returns Inception Investment
7/31/2004 9,997 11,517 11,242 -------------------------------------------------------------
9/30/2004 10,027 11,689 11,428 Investor Class Shares 3.80%* $10,380
11/30/2004 10,538 12,347 11,956 -------------------------------------------------------------
1/31/2005 10,431 12,456 12,078 S&P 500 Total Return Index 26.46% $12,646
3/31/2005 10,309 12,493 12,082 -------------------------------------------------------------
5/31/2005 10,380 12,646 12,261 80% S&P 500 Total Return
/20% Lehman Brothers
Aggregate Bond Index 22.61% $12,261
-------------------------------------------------------------
*The Fund's inception date - June 30, 2003 (Date of
Initial Public Investment).
- -----------------------------------------------------------------------------------------------------------------------------------
The graph assumes an initial $10,000 investment at June 30, 2003 (Date of
Initial Public Investment) for Investor Class. The deduction of the maximum
contingent deferred sales charge ("CDSC") is not reflected in the graph or the
return table above because the CDSC declines to 0% after the first year. All
dividends and distributions are reinvested. This graph depicts the performance
of PMFM Managed Portfolio Trust (the "Fund") Investor Class shares versus the
S&P 500 Total Return Index and a combined index of 80% S&P 500 Total Return
Index and 20% Lehman Brothers Aggregate Bond Index. It is important to note that
the Fund is a professionally managed mutual fund while the indices are not
available for investment and are unmanaged. The comparison is shown for
illustrative purposes only.
- --------------------------------------------------------------------------------
Performance quoted above represents past performance, which is no guarantee of
future results. Investment return and principal value will fluctuate so that
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. An
Investor may obtain performance data, current to the most recent month-end, by
visiting www.nottinghamco.com.
The graph and table do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. Average annual
total returns are historical in nature and measure net investment income and
capital gain or loss from portfolio investments assuming reinvestments of
dividends.
Fund Expenses
________________________________________________________________________________
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, which may include sales charges (loads) on purchase payments and (2)
ongoing costs, including management fees; distribution (12b-1) fees; and other
Fund expenses. This example is intended to help you understand your ongoing
costs (in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds. The example is based on an
investment of $1,000 invested at the beginning of the period and held for the
entire period as indicated below.
Actual Expenses - The first line of the table below provides information about
the actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over the period. Simply divide your account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number in the first line under the heading entitled "Expenses Paid
During Period" to estimate the expenses you paid on your account during this
period.
Hypothetical Example for Comparison Purposes - The last line of the table below
provides information about hypothetical account values and hypothetical expenses
based on the Fund's actual expense ratio and an assumed annual rate of return of
5% before expenses, which is not the Fund's actual return. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the Fund and other
funds by comparing this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) on purchase payments. Therefore, the last line of the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
During Period*
Investor Class Shares Beginning Account Ending Account Expenses Paid
Expense Example Value June 1, 2004 Value May 31, 2005 During Period*
- ---------------------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $1,023.00 $18.21
- ---------------------------------------------------------------------------------------------------------------------------
Hypothetical (5%annual return before
expenses) $1,000.00 $1,032.00 $18.29
- ---------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's annualized expense ratio of 1.80% for the
Investor Class multiplied by the average account value over the period.
PMFM Managed Portfolio Trust Advisor Class Shares
Performance Update - $10,000 Investment
For the period from April 30, 2004 Advisor Class (Date of Initial Public
Investment) to May 31, 2005
- ------------------------------------------------------------------------------------------------------------------------------------
[LINE GRAPH HERE]
80% S&P 500 Total Return ------------------------------------------------------------
S&P 500 Total Index/20% Lehman Brothers Performance Returns for the periods ended May 31, 2005
Advisor Class Return Index Aggregate Bond Index ------------------------------------------------------------
------------- ------------ -------------------- Average Annual Total
4/30/2004 $10,000 $10,000 $10,000 Returns One Year Since Inception*
5/31/2004 10,000 10,137 10,101 ------------------------------------------------------------
7/31/2004 9,832 9,992 10,019 Advisor Class Shares 1.50% 1.38%
9/30/2004 9,852 10,141 10,187 ------------------------------------------------------------
11/30/2004 10,336 10,713 10,645 Final Value of
1/31/2005 10,220 10,807 10,756 Cumulative Total Since $10,000
3/31/2005 10,090 10,840 10,756 Investment Returns Inception Investment
5/31/2005 10,150 10,972 10,918 ------------------------------------------------------------
Advisor Class Shares 1.50%* $10,150
------------------------------------------------------------
S&P 500 Total Return Index 9.72% $10,972
------------------------------------------------------------
80% S&P 500 Total Return
/20% Lehman Brothers
Aggregate Bond Index 9.18% $10,918
------------------------------------------------------------
* The Advisor class inception date-April 30, 2004
(Date of Initial Public Offering).
- ------------------------------------------------------------------------------------------------------------------------------------
The graph assumes an initial $10,000 investment at April 30, 2004 for Advisor
Class (Date of Initial Public Investment). The deduction of the maximum
contingent deferred sales charge ("CDSC") is not reflected in the graph or
return table above because the CDSC for the Advisor Class shares declines to 0%
after the first year. All dividends and distributions are reinvested. This graph
depicts the performance of PMFM Managed Portfolio Trust (the "Fund") Advisor
Class shares versus the S&P 500 Total Return Index and a combined index of 80%
S&P 500 Total Return Index and 20% Lehman Brothers Aggregate Bond Index. It is
important to note that the Fund is a professionally managed mutual fund while
the indices are not available for investment and are unmanaged. The comparison
is shown for illustrative purposes only.
- --------------------------------------------------------------------------------
Performance quoted above represents past performance, which is no guarantee of
future results. Investment return and principal value will fluctuate so that
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. An
Investor may obtain performance data, current to the most recent month-end, by
visiting www.nottinghamco.com.
The graph and table do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. Average annual
total returns are historical in nature and measure net investment income and
capital gain or loss from portfolio investments assuming reinvestments of
dividends.
Fund Expenses
________________________________________________________________________________
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, which may include sales charges (loads) on purchase payments and (2)
ongoing costs, including management fees; distribution (12b-1) fees; and other
Fund expenses. This example is intended to help you understand your ongoing
costs (in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds. The example is based on an
investment of $1,000 invested at the beginning of the period and held for the
entire period as indicated below.
Actual Expenses - The first line of the table below provides information about
the actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over the period. Simply divide your account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number in the first line under the heading entitled "Expenses Paid
During Period" to estimate the expenses you paid on your account during this
period.
Hypothetical Example for Comparison Purposes - The last line of the table below
provides information about hypothetical account values and hypothetical expenses
based on the Fund's actual expense ratio and an assumed annual rate of return of
5% before expenses, which is not the Fund's actual return. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the Fund and other
funds by comparing this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) on purchase payments. Therefore, the last line of the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
Advisor Class Shares Beginning Account Ending Account Expenses Paid
Expense Example Value June 1, 2004 Value May 31, 2005 During Period*
- ----------------------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $1,015.00 $25.99
- ----------------------------------------------------------------------------------------------------------------------------
Hypothetical (5%annual return before $1,000.00 $1,024.20 $26.11
expenses)
- ----------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's annualized expense ratio of 2.58% for the Advisor Class multiplied by the average
account value over the period.
PMFM Managed Portfolio Trust
Schedule of Investments
As of May 31, 2005
- -----------------------------------------------------------------------------------------------------------------------------------
Market Value
Shares (Note 1)
- ------------------------------------------------------------------- ---------------------------------------------------------------
EXCHANGE TRADED FUNDS - 95.47% Summary of Investments by Industry
Biotech HOLDRs Trust 57,173 $ 9,636,509 % of Net
iShares Dow Jones US Healthcare Industry Assets Value
---------------------------------------------------------------
Sector Index Fund 190,700 11,689,910
iShares Russell 1000 Growth Exchange Traded Funds 95.47% $ 111,990,903
Index Fund 148,000 7,149,880 Investment Company 3.23% 3,794,739
iShares S&P MidCap 400 Private Investment Company 1.33% 1,556,298
---------------------------------------------------------------
BARRA Growth Index Fund 66,800 9,108,180 Total 100.03% $ 117,341,940
Midcap SPDR Trust Series 1 144,600 17,720,730
Nasdaq-100 Index
Tracking Stock 622,725 23,713,368
Rydex S&P Equal Weight ETF 61,200 9,416,844
SPDR Trust Series 1 197,150 23,555,482
-------------
Total ETFs (Cost $110,355,440) 111,990,903
-------------
INVESTMENT COMPANY - 3.23%
Merrimac Cash Series Nottingham Shares
(Cost $3,794,739) 3,794,739 3,794,739
-------------
PRIVATE INVESTMENT COMPANY - 1.33%
(B) Pamlico Enhanced Cash Trust
(Cost $1,556,298) 1,556,298 1,556,298
-------------
Total Investments (Cost $115,706,477) - 100.03% 117,341,940
Liabilities in Excess of Other Assets - (0.03%) (33,322)
-------------
Net Assets - 100.0% $ 117,308,618
=============
* Non-income producing investment.
(B) Restricted security - A restricted security cannot be resold to
the general public without prior registration under the Securities
Act of 1933. Restricted securities are valued according to the
guidelines and procedures adopted by the Board of Trustees. The
Fund currently holds 1,556,298 shares of Pamlico Enhanced Cash
Trust at a cost of $1,556,298. The sale of this investment has been
restricted and has been valued in accordance with the guidelines
adopted by the Board of Trustees. The total fair value of this
security at May 31, 2005 is $1,556,298, which represents 1.33% of
net assets.
See Notes to Financial Statements
PMFM Tactical Opportunities Portfolio Trust
Performance Update - $10,000 Investment
For the period from September 27, 2004 (Date of Initial Public Investment for
Investor Class and Advisor Class) to May 31, 2005
- ------------------------------------------------------------------------------------------------------------------------------------
[LINE GRAPH HERE]
40% Russell / 20% S&P 500
Investor Advisor S&P 500 Total Total Return/20% DJIA/20% Performance Returns for the period ended May 31, 2005
Class Class Return Index Nasdaq 100 --------------------------------------------------------
----- ----- ------------ ---------- Cumulative Total
9/27/2004 $10,000 $10,000 $10,000 $10,000 Returns Since Inception*
10/31/2004 9,990 9,990 10,257 10,388 --------------------------------------------------------
11/30/2004 9,980 9,960 10,672 11,031 Investor Class Shares (4.91)%
12/31/2004 10,071 10,043 11,036 11,374 Advisor Class Shares (6.33)%
1/31/2005 9,730 9,692 10,767 10,918 --------------------------------------------------------
2/28/2005 9,630 9,592 10,993 11,078 Final Value of
3/31/2005 9,419 9,382 10,799 10,809 Cumulative Total Since $10,000
4/30/2005 9,008 8,961 10,594 10,361 Investment Returns Inception* Investment
5/31/2005 9,509 9,367 10,931 10,927 --------------------------------------------------------
Investor Class Shares (4.91)% $9,509
Advisor Class Shares (6.33)% $9,367
--------------------------------------------------------
S&P 500 Total Return Index 9.31% $10,931
--------------------------------------------------------
40% Russell 2000 / 20% S&P
500 Total Return Index / 20%
DJIA / 20% Nasdaq 100 9.27% $10,927
--------------------------------------------------------
*The Fund's inception date - September 27, 2004 (Date o
Initial Public Investment).
- ------------------------------------------------------------------------------------------------------------------------------------
The graph assumes an initial $10,000 investment at September 27, 2004 for
Investor Class and for the Advisor Class (Date of Initial Public Investment).
The deduction of the maximum contingent deferred sales charge ("CDSC") is
reflected in the graph because the Advisor Class shares has been in operation
for less than one year, but declines to 0% after the first year. The CDSC is
also reflected in the return table above as applicable. All dividends and
distributions are reinvested. This graph depicts the performance of PMFM
Tactical Opportunities Portfolio Trust (the "Fund") Investor Class shares and
Advisor Class shares versus the S&P 500 Total Return Index and a combined index
of 40% Russell 2000, 20% S&P 500 Total Return Index, 20% DJIA, and 20% Nasdaq
100. It is important to note that the Fund is a professionally managed mutual
fund while the indices are not available for investment and are unmanaged. The
comparison is shown for illustrative purposes only.
- --------------------------------------------------------------------------------
Performance quoted above represents past performance, which is no guarantee of
future results. Investment return and principal value will fluctuate so that
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. An
Investor may obtain performance data, current to the most recent month-end, by
visiting www.nottinghamco.com.
The graph and table do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. Total returns
are historical in nature and measure net investment income and capital gain or
loss from portfolio investments assuming reinvestments of dividends.
Fund Expenses
________________________________________________________________________________
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, which may include sales charges (loads) on purchase payments and (2)
ongoing costs, including management fees; distribution (12b-1) fees; and other
Fund expenses. This example is intended to help you understand your ongoing
costs (in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds. The example is based on an
investment of $1,000 invested at the beginning of the period and held for the
entire period as indicated below.
Actual Expenses - The first line of the table below provides information about
the actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over the period. Simply divide your account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number in the first line under the heading entitled "Expenses Paid
During Period" to estimate the expenses you paid on your account during this
period.
Hypothetical Example for Comparison Purposes - The last line of the table below
provides information about hypothetical account values and hypothetical expenses
based on the Fund's actual expense ratio and an assumed annual rate of return of
5% before expenses, which is not the Fund's actual return. The hypothetical
account values and expenses may not be used to estimate the actual ending
account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the Fund and other
funds by comparing this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) on purchase payments. Therefore, the last line of the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
Investor Class Shares Beginning Account Ending Account Expenses Paid
Expense Example Value September 27, 2004 Value May 31, 2005 During Period*
- ---------------------------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $ 950.90 $16.50
- ---------------------------------------------------------------------------------------------------------------------------------
Hypothetical (5%annual return before expenses) $1,000.00 $1,016.92 $17.06
- ---------------------------------------------------------------------------------------------------------------------------------
Advisor Class Shares Beginning Account Ending Account Expenses Paid
Expense Example Value September 27, 2004 Value May 31, 2005 During Period*
- ---------------------------------------------------------------------------------------------------------------------------------
Actual $1,000.00 $ 936.70 $21.30
- ---------------------------------------------------------------------------------------------------------------------------------
Hypothetical (5%annual return before expenses) $1,000.00 $1,011.84 $22.12
- ---------------------------------------------------------------------------------------------------------------------------------
* Expenses are equal to the Fund's annualized expense ratio (2.50% and 3.25% for the Investor Class and Advisor Class,
respectively) multiplied by the average net asset value over the period.
PMFM Tactical Opportunities Portfolio Trust
Schedule of Investments
As of May 31, 2005
- -----------------------------------------------------------------------------------------------------------------------------------
Market Value
Shares (Note 1)
- --------------------------------------------------------------- -----------------------------------------------------------------
EXCHANGE TRADED FUNDS - 77.77% * Non-income producing investment.
iShares Russell 2000 (B) Restricted security - A restricted security cannot be resold
Index Fund 36,785 $ 4,513,152 to the general public without prior registration under the
Nasdaq 100 Index Tracking Securities Act of 1933. Restricted securities are valued
Stock 59,145 2,252,242 according to the guidelines and procedures adopted by the Board
SPDR Trust Series 1 of Trustees. The Fund currently holds 4,569 shares of Pamlico
Index Fund 18,800 2,246,224 Enhanced Cash Trust at a cost of $4,569. The sale of this
------------ investment has been restricted and has been valued in accordance
with the guidelines adopted by the Board of Trustees. The total
Total Exchange Traded Funds fair value of this security at May 31, 2005 is $4,569, which
(Cost $9,029,222) 9,011,618 represents 0.04% of net assets.
------------
INVESTMENT COMPANY - 0.10% Summary of Investments by Industry
Merrimac Cash Series Nottingham Shares
(Cost $11,140) 11,140 11,140 % of Net
------------ Industry Assets Value
----------------------------------------------------------------
PRIVATE INVESTMENT COMPANY - 0.04%
Exchange Traded Funds 77.77% $ 9,011,618
(B) Pamlico Enchanced Cash Trust
(Cost $4,569) 4,569 4,569 Investment Company 0.10% 11,140
------------ Private Investment Company 0.04% 4,569
----------------------------------------------------------------
Total Investments (Cost $9,044,931) - 77.91% 9,027,327 Total 77.91% $9,027,327
Other Assets Less Liabilities - 22.08% 2,559,795
------------
Net Assets - 100.00% $ 11,587,122
============
Cumulative
FUTURES - LONG Contracts Appreciation
- -------------------------------------------------------------
* Nasdaq 100 E-Mini Future,
expires June 2005,
principal amount $2,046,967,
value $2,040,720 66 $ (6,247)
* Russell Mini Future,
expires June 2005,
principal amount $3,969,438,
value $4,132,560 67 163,122
* S&P 500 E-Mini Future,
expires March 2005,
principal amount $1,965,899,
value $2,026,825 34 60,926
------------
Total Cumulative Appreciation $ 217,801
------------
See Notes to Financial Statements
PMFM Funds
Statements of Assets and Liabilities
Tactical Preservation Managed Tactical Opportunities
As of May 31, 2005 Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Assets:
Investments, at cost .............................................. $ 29,989,063 $115,706,477 $ 9,044,931
Investments, at value (note 1) .................................... $ 29,989,909 $117,341,940 $ 9,245,128
Cash .............................................................. 3,023 2,805 2,540,836
Receivables:
Investments sold .............................................. -- -- 6,300
Fund shares sold .............................................. 243,941 349,100 7,109
Income, at value (note 1) ..................................... 27,230 93,779 4,643
Prepaid expenses .................................................. 18,133 16,601 17,432
------------ ------------ ------------
Total Assets ...................................................... 30,282,236 117,804,225 11,821,448
Liabilities:
Payables:
Investments purchased ......................................... 9,318,667 -- 199,884
Fund shares repurchased ....................................... 88,410 435,842 6,000
Accrued expenses .................................................. 28,361 59,765 28,442
------------ ------------ ------------
Total Liabilities ................................................. 9,435,438 495,607 234,326
Net Assets .............................................................. $ 20,846,798 $117,308,618 $ 11,587,122
============ ============ ============
Net Assets Consist of:
Capital (par value and paid in surplus) ........................... 21,163,419 110,357,999 12,637,755
Undistributed net investment income ............................... -- 240,247 --
Undistributed net realized gain (loss) on investments ............. (317,467) 5,074,909 (1,250,830)
Unrealized appreciation of investments ............................ 846 1,635,463 200,197
Total Net Assets .................................................. $ 20,846,798 $117,308,618 $ 11,587,122
Investor Shares Outstanding, $0.001 par value
(unlimited shares authorized) ................................. 2,108,223 11,414,587 1,182,976
Net Assets - Investor Shares ...................................... $ 20,494,280 $116,228,630 $ 11,227,992
Net Asset Value Per Investor Share ................................ $ 9.72 $ 10.18 $ 9.49
Advisor Shares Outstanding, $0.001 par value
(unlimited shares authorized) ................................. 36,553 106,713 38,012
Net Assets - Advisor Shares ....................................... $ 352,518 $ 1,079,988 $ 359,130
Net Asset Value Per Advisor Share ................................. $ 9.64 $ 10.12 $ 9.45
See Notes to Financial Statements
PMFM Funds
Statements of Operations
Tactical Preservation Managed Tactical Opportunities
For the fiscal year or period ended May 31, 2005 Fund Fund Fund (a)
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Income:
Interest ........................................................... $ 269,621 $ -- $ 18,345
Dividends .......................................................... 231,501 3,983,304 73,220
Other income ....................................................... -- 6,174 --
----------- ----------- -----------
Total Income ....................................................... 501,122 3,989,478 91,565
Expenses:
Advisory fees (note 2) ............................................. 298,573 2,423,307 90,963
Administration fees (note 2) ....................................... 41,800 268,865 12,735
Transfer agent fees (note 2) ....................................... 27,000 27,000 10,600
Fund accounting fees (note 2) ...................................... 38,389 55,386 25,028
Custody fees (note 2) .............................................. 4,927 32,163 4,053
Compliance services fees (note 2) .................................. 4,719 3,864 3,886
Other accounting fees (note 2) ..................................... -- -- 5,946
Distribution and service fees - Investor Shares (note 3) ........... 59,523 482,778 17,723
Distribution and service fees - Advisor Shares (note 3) ............ 765 7,535 2,175
Registration and filing administration fees (note 2) ............... 15,853 15,853 18,225
Compliance officer fees ............................................ 5,726 6,559 6,559
Legal fees ......................................................... 17,110 17,195 10,501
Audit and tax preparation fees ..................................... 22,289 22,289 23,050
Registration and filing expenses ................................... 49,792 64,490 34,184
Shareholder servicing expenses ..................................... 3,855 20,178 1,868
Printing expenses .................................................. 678 8,198 1,912
Trustees' fees and expenses ........................................ 4,784 5,457 5,258
Securities pricing fees ............................................ 379 456 250
Other operating expenses ........................................... 11,391 36,664 11,136
Total Expenses ..................................................... 607,553 3,498,237 286,052
----------- ----------- -----------
Expenses reimbursed by Advisor (note 2) ............................ -- -- (33,017)
Advisory fees waived (note 2) ...................................... (26,472) -- (68,737
----------- ----------- -----------)
Net Expenses ....................................................... 581,081 3,498,237 184,298
Net Investment Income (Loss) ............................................. (79,959) 491,241 (92,733)
Net Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) from investment transactions .............. 6,162 5,074,868 (377,346)
Net realized gain (loss) from future contracts ..................... -- -- (873,484)
Change in unrealized appreciation on investments ................... 846 1,635,463 200,197
----------- ----------- -----------
Net Realized and Unrealized Gain (Loss) on Investments ................... 7,008 6,710,331 (1,050,633)
Net Increase (Decrease) in Net Assets
Resulting from Operations .......................................... $ (72,951) $ 7,201,572 $(1,143,366)
=========== =========== ===========
(a) For the period from September 27, 2004 (Date of Initial Public Investment) to May 31, 2005
See Notes to Financial Statements
PMFM Funds
Statements of Changes in Net Assets
Tactical Preservation Fund Managed Fund
For the fiscal year and period ended May 31, 2005 2004 (a) 2005 2004 (b)
- ------------------------------------------------------------------------------------------------------------------------------------
Operations:
Net investment (loss) gain $ (79,959) $ (58,208) $ 491,241 $ (169,234)
Net realized gain (loss) from investments 6,162 (323,629) 5,074,868 3,543,557
Change in unrealized appreciation
of investments 846 - 1,635,463 -
------------ ------------ ------------ -------------
Net (Decrease) Increase in Net Assets (72,951) (381,837) 7,201,572 3,374,323
Resulting from Operations
Distributions to Shareholders: (note 5)
Net Investment income - Investor Shares - - (250,994) (469,488)
Net realized gain from investment transactions-
Investor Shares - - (2,930,231) -
Advisor Shares - - (11,390) -
------------ ------------ ------------ -------------
Net Decrease from Distributions - - (3,192,615) (469,488)
Capital Share Transactions: (Note 6)
Investor Shares
Shares sold 25,597,196 22,746,134 100,711,961 256,788,307
Reinvested dividends and distributions - - 3,175,901 469,488
Shares repurchased (26,673,406) (721,216) (215,369,852) (36,463,902)
Advisor Shares
Shares sold 352,908 2,500 (c) 909,854 233,699 (c)
Reinvested dividends and distributions - - (c) 9,821 - (c)
Shares repurchased (2,530) - (c) (70,451) - (c)
------------ ------------ ------------ -------------
Net (Decrease) Increase from Capital
Share Transactions (725,832) 22,027,418 (110,632,766) 221,027,592
Net (Decrease) Increase in Net Assets (798,783) 21,645,581 (106,623,809) 223,932,427
============ ============ ============ =============
Net Assets:
Beginning of Period 21,645,581 - 223,932,427 -
End of Period $ 20,846,798 $ 21,645,581 $ 117,308,618 $ 223,932,427
Undistributed Net Investment Income $ - $ - $ 240,247 $ -
(a) For the period from March 25, 2004 (Date of Initial Public Investment) through May 31, 2004.
(b) For the period from June 30, 2003 (Date of Initial Public Investment) through May 31, 2004.
(c) For the period from April 30, 2004 (Date of Initial Public Investment) through May 31, 2004.
(Continued)
PMFM Funds
Statements of Changes in Net Assets
Tactical Opportunities Fund
For the period ended May 31, 2005 (a)
- ------------------------------------------------------------------------------------------------------------------------------------
Operations:
Net investment loss $ (92,733)
Net realized loss from investments (377,346)
Net realized loss from future contracts (873,484)
Change in unrealized appreciation of investments 200,197
-----------
Net Decrease in Net Assets Resulting from Operations (1,143,366)
Distributions to Shareholders: (note 5)
In excess of net investment income - Investor Shares (11,051)
In excess of net investment income - Advisor Shares (42)
-----------
Net Decrease from Distributions (11,093)
Capital Share Transactions: (note 6)
Investor Shares
Shares sold 28,423,087
Reinvested dividends and distributions 11,052
Shares repurchased (16,078,538)
Advisor Shares
Shares sold 718,662
Reinvested dividends and distributions 32
Shares repurchased (332,714)
-----------
Net Increase from Capital Share Transactions 12,741,581
Net Increase in Net Assets 11,587,122
===========
Net Assets:
Beginning of Period -
End of Period $ 11,587,122
Undistributed Net Investment Income $ -
(a) For the period from September 27, 2004 (Date of Initial Public Investment) to May 31, 2005.
See Notes to Financial Statements
PMFM Funds
Financial Highlights Tactical Preservation Fund
For a share outstanding during the Investor Class Shares Advisor Class Shares
fiscal year or period ended May 31, 2005 2004 (a) 2005 2004 (b)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 9.82 $ 10.00 $ 9.82 $ 9.83
Income from Investment Operations:
Net investment loss (0.04) (0.03) (0.02) (0.02)
Net realized and unrealized (loss) gain on securities (0.06) (0.15) (0.16) 0.01
--------- --------- --------- ---------
Total from Investment Operations (0.10) (0.18) (0.18) (0.01)
========= ========= ========= =========
Net Asset Value, End of Period $ 9.72 $ 9.82 $ 9.64 $ 9.82
Total Return (1.02%) (1.80%) (1.83%) (0.10%)
Net Assets, End of Year (in thousands) $ 20,494 $ 21,643 $ 353 $ 2
Average Net Assets for the Year (in thousands) $ 23,809 $ 19,166 $ 76 $ 2
Ratio of Gross Expenses to Average Net Assets 2.54% 3.59% (d) 3.34% 4.61% (d)
Ratio of Net Expenses to Average Net Assets 2.43% 2.46% (d) 3.21% 3.25% (d)
Ratio of Net Investment Loss to Average Net Assets (0.33%) (1.61%)(d) (0.84%) (2.20%)(d)
Portfolio Turnover Rate 813.64% 400.93% 813.64% 400.93%
Managed Fund
For a share outstanding during the Investor Class Shares Advisor Class Shares
fiscal year or period ended May 31, 2005 2004 (c) 2005 2004 (b)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.12 $ 10.00 $ 10.12 $ 10.12
Income from Investment Operations:
Net investment income (loss) 0.04 - (0.03) -
Net realized and unrealized gain on securities 0.20 0.15 0.19 -
--------- --------- --------- ---------
Total from Investment Operations 0.24 0.15 0.16 -
Less Distributions:
Dividends (from net investment income) (0.02) (0.03) - -
Distributions (from capital gains) (0.16) - (0.16) -
--------- --------- --------- ---------
Total Distributions (0.18) (0.03) (0.16) -
Net Asset Value, End of Period $ 10.18 $ 10.12 $ 10.12 $ 10.12
========= ========= ======== =========
Total Return 2.30% 1.47% 1.50% 0.00%
Net Assets, End of Year (in thousands) $ 116,229 $ 223,699 $ 1,080 $ 234
Average Net Assets for the Year (in thousands) $ 193,111 $ 149,975 $ 754 $ 40
Ratio of Gross Expenses to Average Net Assets 1.80% 1.87% (d) 2.58% 2.65% (d)
Ratio of Net Expenses to Average Net Assets 1.80% 1.85% (d) 2.58% 2.65% (d)
Ratio of Net Investment Income (Loss) to Average Net Assets 0.26% (0.12%)(d) (0.36%) (1.74%)(d)
Portfolio Turnover Rate 929.50% 421.74% 929.50% 421.74%
(a) For the period from March 25, 2004 (Date of Initial Public Investment) through May 31, 2004.
(b) For the period from April 30, 2004 (Date of Initial Public Investment) through May 31, 2004.
(c) For the period from June 30, 2003 (Date of Initial Public Investment) through May 31, 2004.
(d) Annualized.
See Notes to Financial Statements (Continued)
PMFM Funds
Financial Highlights Tactical Opportunities Fund
Advisor Class Investor Class
For a share outstanding during the Shares Shares
period ended May 31, 2005 (a) 2005 (a)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $ 10.00 $ 10.00
Income from Investment Operations:
Net investment loss (0.06) (0.11)
Net realized and unrealized loss on securities (0.43) (0.43)
--------- ---------
Total from Investment Operations (0.49) (0.54)
Less Distributions:
Dividends (from net investment income) (0.02) (0.01)
--------- ---------
Total Distributions (0.02) (0.01)
Net Asset Value, End of Period $ 9.49 $ 9.45
========= =========
Total Return (4.91%) (5.38%)
Net Assets, End of Period (in thousands) $ 11,228 $ 359
Average Net Assets for the Period (in thousands) $ 10,476 $ 321
Ratio of Gross Expenses to Average Net Assets 3.89% (b) 4.62% (b)
Ratio of Net Expenses to Average Net Assets 2.50% (b) 3.25% (b)
Ratio of Net Investment Loss to Average Net Assets (1.24%)(b) (2.06%)(b)
Portfolio Turnover Rate 123.69% 123.69%
(a) For the period from September 27, 2004 (Date of Initial Public Investment) to May 31, 2005.
(b) Annualized.
See Notes to Financial Statements
The PMFM Funds
Notes to Financial Statements
________________________________________________________________________________
1. Organization and Significant The following accounting policies have
Accounting Policies been consistently followed by the
Funds and are in conformity with
The PMFM Tactical Preservation accounting principles generally
Portfolio Trust, The PMFM Managed accepted in the United States of
Portfolio Trust and The PMFM Tactical America in the investment company
Opportunities Portfolio Trust industry.
(collectively the "Funds" and
individually the "Tactical Investment Valuation
Preservation Fund", "Managed Fund" and The Funds' investments in securities
"Tactical Opportunities Fund" are carried at value. Securities
respectively) are series funds. The listed on an exchange or quoted on a
Funds are part of The PMFM Investment national market system are valued at
Trust (the "Trust"), which was the last sales price as of 4:00 p.m.
organized as a Delaware Statutory Eastern Time. Other securities traded
Trust and is registered under the in the over-the-counter market and
Investment Company Act of 1940 (the listed securities for which no sale
"1940 Act"), as amended, as an was reported on that date are valued
open-ended management investment at the most recent bid price.
company. Each of the Funds in this Securities and assets for which
report is classified as representative market quotations are
non-diversified as defined in the 1940 not readily available (e.g., if the
Act. exchange on which the portfolio
security is principally traded closes
The PMFM Tactical Preservation early or if trading of the particular
Portfolio Trust, formerly known as the portfolio security is halted during
PMFM Moderate Portfolio Trust, the day and does not resume prior to
commenced operations on March 25, the Funds' net asset value
2004. The investment Fobjective of the calculation) or which cannot be
Fund is to achieve a balance between accurately valued using the Funds'
long-term capital appreciation and normal pricing procedures are valued
capital preservation through at fair value as determined in good
investments in exchange-traded funds faith under policies approved by the
and in cash or cash equivalent Trustees. A portfolio security's "fair
positions. value" price may differ from the price
next available for that portfolio
The PMFM Managed Portfolio, formerly security using the Funds' normal
known as the PMFM ETF Portfolio Trust, pricing procedures. Instruments with
commenced operations on June 30, 2003. maturities of 60 days or less are
The investment objective of the Fund valued at amortized cost, which
is to seek long-term capital approximates market value.
appreciation, while maintaining a
secondary emphasis on capital Investment Transactions and Investment
preservation through investments in Income
exchange-traded funds and in cash or Investment transactions are accounted
cash equivalent positions. for as of the date purchased or sold
(trade date). Dividend income is
The PMFM Tactical Opportunities recorded on the ex-dividend date.
Portfolio Trust commenced operations Certain dividends from foreign
on September 27, 2004. The investment securities will be recorded as soon as
objective of the Fund is to seek the Trust is informed of the dividend
long-term capital appreciation if such information is obtained
principally through investments in subsequent to the ex-dividend date.
exchange-traded funds and in cash or Interest income is recorded on the
cash equivalent positions. accrual basis and includes
amortization of discounts and
The Funds offer two classes of shares premiums. Gains and losses are
(Advisor Shares and Investor Shares). determined on the identified cost
Each class of shares has equal rights basis, which is the same basis used
as to assets of the Fund, and the for federal income tax purposes.
classes are identical except for
differences in their sales charge Expenses
structures and ongoing distribution Each Fund bears expenses incurred
and service fees. Income, expenses, specifically on its behalf as well as
and realized and unrealized gains or a portion of general expenses, which
losses on investments are allocated to are allocated according to methods
each class of shares based upon its approved annually by the Trustees.
relative net assets. Both classes have
equal voting privileges, except where Restricted Security Transactions
otherwise required by law or when the Restricted securities held by the Fund
Board of Trustees (the "Trustees") may not be sold unless registered
determines that the matter to be voted pursuant to an effective registration
on affects only the interests of the statement filed under the Securities
shareholders of a particular class. Act of 1933, as amended (the
(Continued)
The PMFM Funds
Notes to Financial Statements
________________________________________________________________________________
"Securities Act") or offered pursuant Proxy Voting Policies and Voting
to an exemption from, or in a Record (Unaudited)
transaction not subject to, the A copy of the Trust's Proxy Voting and
registration requirements of the Disclosure Policy and the Advisor's
Securities Act. The risk of investing Proxy Voting and Disclosure Policy are
in such securities is generally included as Appendix B to the Fund's
greater than the risk of investing in Statement of Additional Information
the securities of publicly traded and is available, without charge, upon
companies. Lack of a secondary market request, by calling 1-866-383-7636.
and resale restrictions may result in Information regarding how the Fund
the inability of the Fund to sell a voted proxies relating to portfolio
security at a fair price and may securities during the most recent
substantially delay the sale of the 12-month period ended June 30 will be
security it seeks to sell. In available (1) without charge, upon
addition, restricted securities may request, by calling the Fund at the
exhibit greater price volatility than number above and (2) on the SEC's
securities for which secondary markets website at http://www.sec.gov.
exist.
Quarterly Portfolio Holdings (Unaudited)
Dividend Distributions The Fund files its complete schedule
Each of the Funds may declare and of portfolio holdings with the SEC for
distribute dividends from net the first and third quarters of each
investment income (if any) at the end fiscal year on Form N-Q. The Fund's
of each calendar quarter. Forms N-Q are available on the SEC's
Distributions from capital gains (if website at http://www.sec.gov. You may
any) are generally declared and review and make copies at the SEC's
distributed annually. Public Reference Room in Washington,
D.C. You may also obtain copies after
Estimates paying a duplicating fee by writing
The preparation of financial the SEC's Public Reference Section,
statements in conformity with Washington, D.C. 20549-0102 or by
accounting principles generally electronic request to
accepted in the United States of publicinfo@sec.gov, and is available
America requires management to make without charge, upon request, by
estimates and assumptions that affect calling the fund at 1-866-383-7636.
the amount of assets, liabilities, Information on the operation of the
expenses and revenues reported in the Public Reference Room may be obtained
financial statements. Actual results by calling the SEC at 202-942-8090.
could differ from those estimates.
Federal Income Taxes 2. Agreements
No provision for income taxes is
included in the accompanying financial Advisor
statements, as the Funds intend to Each Fund pays a monthly advisory fee
distribute to shareholders all taxable to PMFM, Inc. (the "Advisor") based
investment income and realized gains upon the average daily net assets of
and otherwise comply with Subchapter M the Fund and calculated at the annual
of the Internal Revenue Code rates as shown in the schedule
applicable to regulated investment provided on the following page. The
companies. Advisor has entered into contractual
agreements ("Expense Limitation
Indemnifications Agreement") with the Funds under which
Under the Funds' organizational it has agreed to waive or reduce its
documents, its officer and Trustees fees and to assume other expenses of
are indemnified against certain the Funds, if necessary, in amounts
liabilities arising out of the that limit the Funds' total operating
performance of their duties to the expenses (exclusive of interest,
Funds. In addition, in the normal taxes, brokerage fees and commissions,
course of business, the Funds enter extraordinary expenses, and payments,
into contracts with their vendors and if any, under a Rule 12b-1 Plan) to
others that provide for general not more than a specified percentage
indemnifications. The funds' maximum of the average daily net assets of
exposure under these arrangements is each Fund for the current fiscal year.
unknown as this would involve future
claims that may be made against the The expense limitation percentages, as
Funds. The Funds expect that risk of well as the Advisory fees waived and
loss to be remote. expenses reimbursed for the current
fiscal year are included in the
schedule on the following page.
(Continued)
The PMFM Funds
Notes to Financial Statements
________________________________________________________________________________
- -----------------------------------------------------------------------------------------------------------------------------------
Advisor Fees
Average Net Expense Limitation Expenses
Fund Assets Rate Ratio Advisor Fees Waived Reimbursed
- -----------------------------------------------------------------------------------------------------------------------------------
Tactical Preservation Fund On all assets 1.25% Class level $26,472 -
Advisor Shares 3.25%
Investor Shares 2.50%
- -----------------------------------------------------------------------------------------------------------------------------------
Managed Fund On all assets 1.25% Class level - -
Advisor Shares 2.70%
Investor Shares 1.95%
- -----------------------------------------------------------------------------------------------------------------------------------
Tactical Opportunities Fund On all assets 1.25% Class level $68,737 $33,017
Advisor Shares 3.25%
Investor Shares 2.50%
- -----------------------------------------------------------------------------------------------------------------------------------
Administrator
Each Fund pays a monthly procure and pay the custodian for the
administration fee to The Nottingham funds, additional compensation for
Company ("the Administrator) based fund accounting and recordkeeping
upon the average daily net assets of services and for certain costs
the Fund and calculated at the annual involved with the daily valuation of
rates which are subject to a minimum securities and as reimbursement for
of $2,000 per month per fund. The out-of-pocket expenses (which are
Administrator also receives a fee to immaterial in amount). A breakdown of
fees paid to the Administrator is
provided below.
- -----------------------------------------------------------------------------------------------------------------------------------
Fund Fund
Administration Fees Custody Fees Accounting Accounting Blue Sky
Average Net Annual Average Net Annual Fees Fees (on all Administration Fees
Assets Rate Assets Rate (monthly) assets) (annual)
- -----------------------------------------------------------------------------------------------------------------------------------
All Funds First $50 million 0.175% First $100 million 0.02% $2,250 (1) 0.01% $150 per state
Next $50 million 0.150% $750 (1)
Next $50 million 0.125%
Next $50 million 0.100%
Over $200 million 0.075% Over $100 million 0.009%
- -----------------------------------------------------------------------------------------------------------------------------------
(1) These fees are based on the number of classes of shares for each Fund. Each Fund pays $2,250 per month for the
initial class of shares and $750 per month for each additional class of shares.
Compliance Services Transfer Agent
The Nottingham Compliance Services, North Carolina Shareholder Services,
LLC, a fully owned affiliate of The LLC ("Transfer Agent" serves as
Nottingham Company, provides services transfer, dividend paying, and
which assists the Trust's Chief shareholder servicing agent for the
Compliance Officer in monitoring and Funds. It receives compensation for
testing the policies and procedures of its services based upon a $15 per
the Trust in relation to requirements shareholder per year, subject to a
under Rule 38a-1 of the Securities and minimum fee of $1,500 per month per
Exchange Commission. It receives Fund and $500 per month per Fund for
compensation for this service at an each additional class of shares.
annual rate of $7,750 for each fund.
Certain Trustees and officers of the
Trust are also officers of the
Advisor, the Distributor or the
Administrator.
(Continued)
The PMFM Funds
Notes to Financial Statements
________________________________________________________________________________
3. Distribution and Service Fees 4. Purchases and Sales of Investment
Securities
The Trustees, including the Trustees
who are not "interested persons" of
the Trust as defined in the Act For the fiscal year ended May 31,
adopted a distribution and service 2005, the aggregate cost of purchases
plan pursuant to Rule 12b-1 of the Act and proceeds from sales of investment
(the "Plan"). The Act regulates the securities (excluding short-term
manner in which a regulated investment securities) were as follows:
company may assume costs of
distributing and promoting the sales ----------------------------------------------------
of its shares and servicing of its Proceeds from
shareholder accounts. Purchases of Sales of
Fund Securities Securities
The Plan provides that the Funds may ----------------------------------------------------
incur certain costs, which may not Tactical
exceed 0.25% and 1.00% per annum of Preservation Fund $80,599,001 $60,963,502
the average daily net assets of Managed Fund $773,706,503 $668,425,930
Investor shares and Advisor shares, Tactical
respectively, for each year elapsed Opportunities Fund $18,690,389 $9,283,821
subsequent to adoption of the Plan, ----------------------------------------------------
for payment to the Distributor and
others for items such as advertising There were no purchases or sales of
expenses, selling expenses, long-term U.S. Government Obligations
commissions, travel, or other expenses for any of the funds during the fiscal
reasonably intended to result in sales year.
of Investor Class shares and Advisor
Class shares in the Fund or support 5. Federal Income Tax
servicing of Investor Class and
Advisor Class shareholder accounts. The tax components of capital shown in
Such expenditures incurred as service the table below represent: (1)
fees may not exceed 0.25% per annum of distribution requirements the Funds
the Funds' average annual net asset must satisfy under the income tax
value for each class of shares of each regulations, (2) losses or deductions
Fund. For the fiscal year ended May the Funds may be able to offset
31, 2005, the Tactical Preservation against income and gains realized in
Fund incurred $59,523 and $765 for the future years, and (3) unrealized
Investor Class and Advisor Class, appreciation or depreciation of
respectively, the Managed Fund investments for federal income tax
incurred $482,778 and $7,535 for the purposes.
Investor Class and Advisor Class,
respectively, and the Tactical Accumulated capital losses noted below
Opportunities Fund incurred $17,723 represent net capital loss carryovers
and $2,175 for the Investor Class and as of May 31, 2005 that may be
Advisor Class, respectively, in available to offset future realized
distribution and service fees under capital gains and thereby reduce
the Plans. future taxable gain distributions.
Other book tax differences in the
current year primarily consist of
deferred post-October losses.
- -----------------------------------------------------------------------------------------------------------------------------------
Fund Undistributed Undistributed Net Tax
Ordinary Long-Term Accumulated Other Book to Tax Appreciation/
Income Gains Capital Losses Differences (Depreciation)
- -----------------------------------------------------------------------------------------------------------------------------------
Tactical Preservation Fund (1) - - $317,467 - $846
Managed Fund (1) $5,315,156 - - - $1,635,463
Tactical Opportunities Fund (1) - - - $967,642 $(82,991)
- -----------------------------------------------------------------------------------------------------------------------------------
(1) Capital loss carry-forwards subject to annual limitations.
Accumulated capital losses noted on and thereby reduce future taxable
the following page represent net gains distributions. The following
capital loss carry-forwards, as of May table shows the expiration dates of
31, 2005, that may be available to the carryovers.
offset future realized capital gains
(Continued)
The PMFM Funds
Notes to Financial Statements
________________________________________________________________________________
Fund May 31, 2007 May 31, 2010 May 31, 2011 May 31, 2012
- --------------------------------------------------------------------------------------------------------------------------
Tactical Preservation Fund(1) $ - $ - $ - $317,467
Managed Fund (1) $ - $ - $ - $ -
Tactical Opportunities Fund (1) $ - $ - $ - $ -
- --------------------------------------------------------------------------------------------------------------------------
(1) Capital loss carry-forwards subject to annual limitations.
The aggregate cost of investments and exclude appreciation/depreciation on
the composition of unrealized foreign currency translations. The
appreciation and depreciation of primary difference between book and
investment securities for federal tax appreciation/(depreciation) of
income tax purposes as of May 31, 2005 investments is wash sale loss
are noted below. Unrealized deferrals.
appreciation and unrealized
depreciation in the table below
- -----------------------------------------------------------------------------------------------------------------------------
Aggregate Gross Aggregate Gross
Fund Federal Tax Cost Unrealized Appreciation Unrealized Depreciation
- -----------------------------------------------------------------------------------------------------------------------------
Tactical Preservation Fund $29,989,063 $24,161 $23,314
Managed Fund $115,706,477 $1,645,826 $10,636
Tactical Opportunities Fund $9,328,119 $270,309 $353,300
- -----------------------------------------------------------------------------------------------------------------------------
The amount of dividends and short-term gains, deferral of wash
distributions from net investment sale losses, foreign currency
income and net realized capital gains transactions, net investment losses
are determined in accordance with and capital loss carry-forwards.
federal income tax regulations which Certain permanent differences such as
may differ from generally accepted tax returns of capital and net
accounting principles. These investment losses noted below have
differences are due to differing been reclassified against capital.
treatments for items such as net
- -------------------------------------------------------------------------------------------------------------------------------
For the fiscal year ended March 31, 2005 Distributions from
Ordinary Long-Term Tax Return of Net Investment
Fund Income Capital Gains Capital Loss
- -------------------------------------------------------------------------------------------------------------------------------
Tactical Preservation Fund - - - $79,959
Managed Fund - - - -
Investor Shares $250,994 $2,930,231 - -
Advisor Shares - $11,390 - -
Tactical Opportunities Fund - - - $92,733
Investor Shares $11,051 - - -
Advisor Shares $42 - - -
- -------------------------------------------------------------------------------------------------------------------------------
6. Capital Share Transactions
- ------------------------------------------------------------------------------------------------------------------------------
Tactical Preservation Fund
Investor Class Advisor Class
For the fiscal years ended May 31, 2005 2004 2005 2004
- --------------------------------------------- ------------------ -------------------- -------------------- --------------------
Transactions in Fund Shares
Shares sold 2,612,138 2,275,986 36,560 254
Reinvested distributions - - - -
Shares repurchased (2,707,209) (72,692) (261) -
Net Increase (Decrease) in Capital Share
Transactions (95,071) 2,203,294 36,299 254
Shares Outstanding, Beginning of Period 2,203,294 - 254 -
Shares Outstanding, End of Period 2,108,223 2,203,294 36,553 254
- --------------------------------------------- ------------------ -------------------- -------------------- --------------------
(Continued)
The PMFM Funds
Notes to Financial Statements
________________________________________________________________________________
6. Capital Share Transactions (Continued)
- --------------------------------------------------------------------------------------------------------------------------------
Managed Fund
Investor Class Advisor Class
For the fiscal years ended May 31, 2005 2004 2005 2004
- --------------------------------------------- ------------------ -------------------- -------------------- ----------------------
Transactions in Fund Shares
Shares sold 9,964,477 22,528,290 89,685 23,093
Reinvested distributions 305,526 - 947 -
Shares repurchased (20,952,900) (430,806) (7,012) -
Net Increase (Decrease) in Capital Share
Transactions (10,682,897) 22,097,484 83,620 23,093
Shares Outstanding, Beginning of Period 22,097,484 - 23,093 -
Shares Outstanding, End of Period 11,414,587 22,097,484 106,713 23,093
- --------------------------------------------- ------------------ -------------------- -------------------- ----------------------
- -------------------------------------------------------------------------------------------
Tactical Opportunities Fund
Investor Class Advisor Class
For the fiscal year ended May 31, 2005 2005
- --------------------------------------------- ---------------------- ----------------------
Transactions in Fund Shares
Shares sold 2,883,399 73,599
Reinvested distributions 1,100 3
Shares repurchased (1,701,523) (35,590)
Net Increase in Capital Share Transactions 1,182,976 38,012
Shares Outstanding, Beginning of Period - -
Shares Outstanding, End of Period 1,182,976 38,012
- --------------------------------------------- ---------------------- ----------------------
(Continued)
The PMFM Funds
Additional Information (Unaudited)
________________________________________________________________________________
7. Information about Trustees and
Officers
The business and affairs of the Funds charge, upon request by calling the
and the Trust are managed under the Funds toll-free at 1-866-383-7636. The
direction of the Trustees. Information address of each Trustee and officer,
concerning the Trustees and officers unless otherwise indicated below, is
of the Trust and Funds is set forth 1551 Jennings Mill Road - Suite 2400A,
below. Generally, each Trustee and Bogart, Georgia 30622. The Independent
officer serves an indefinite term or Trustees received aggregate
until certain circumstances such as compensation of $10,400 during the
their resignation, death, or otherwise fiscal year ended May 31, 2005 from
as specified in the Trust's the Funds ($3,800 from each of the
organizational documents. Any Trustee PMFM Tactical Preservation Portfolio
may be removed at a meeting of Trust and the PMFM Managed Portfolio
shareholders by a vote meeting the Trust and $2,800 from the PMFM
requirements of the Trust's Tactical Opportunities Portfolio
organizational documents. The Trust) for their services to the Funds
Statement of Additional Information of and Trust. The Interested Trustee and
the Funds includes additional officers did not receive compensation
information about the Trustees and from the Funds for their services to
officers and is available, without the Funds and Trust.
- --------------------------- ------------- --------- -------------------------------------- -------------- -------------------------
Number of
Portfolios
in Fund
Position(s) Length Complex
Name, Age and held with of Time Principal Occupation(s) Overseen by Other Directorships
Address Fund/Trust Served During Past 5 Years Trustee Held by Trustee
- --------------------------- ------------- --------- -------------------------------------- -------------- -------------------------
Independent Trustees
- --------------------------- ------------- --------- -------------------------------------- -------------- -------------------------
James M. Baker (53) Trustee Since Mr. Baker has been the President of 4 Mr. Baker serves as a
6/2003 Baker & Lassiter, Inc. (real estate director of Community
development and management) since Capital Bank, a closely
1993. held state chartered
bank.
- --------------------------- ------------- --------- -------------------------------------- -------------- -------------------------
Norman A. McLean (51) Trustee Since Mr. McLean has been retired since 4 None
6/2003 July, 2004. Mr. McLean was
previously the Associate Athletic
Director for Marketing and
Promotions at the University of
Georgia Athletic Association, Inc.
("UGAA") since June, 2000. Mr.
McLean was also the Assistant
Athletic Director at UGAA.
- --------------------------- ------------- --------- -------------------------------------- -------------- -------------------------
Interested Trustee*
- --------------------------- ------------- --------- -------------------------------------- -------------- -------------------------
Donald L. Beasley (63) Trustee, Since Mr. Beasley has been the President 4 None
Treasurer 6/2003 of the Advisor since March, 1991.
- --------------------------- ------------- --------- -------------------------------------- -------------- -------------------------
* The Interested Trustee is an Interested Trustee because he is an officer and employee of the Advisor.
- -----------------------------------------------------------------------------------------------------------------------------------
OTHER OFFICERS
- --------------------------- ------------- ---------- ------------------------------------- -------------- -------------------------
Timothy A. Chapman (44) President Since Mr. Chapman has been the Secretary n/a n/a
6/2003 and Treasurer of the Advisor since
February, 1993. Mr. Chapman has
been a Vice President of the
MurphyMorris Money Management Co.
(investment advisory firm) since
March, 2000. Mr. Chapman has also
been the President of Financial
Toolbox, Inc. (website publishing
firm) since 2000.
- --------------------------- ------------- ---------- ------------------------------------- -------------- -------------------------
(Continued)
The PMFM Funds
Additional Information (Unaudited)
________________________________________________________________________________
- --------------------------- ------------- --------- -------------------------------------- -------------- -------------------------
Number of
Portfolios
in Fund
Position(s) Length Complex
Name, Age and held with of Time Principal Occupation(s) Overseen by Other Directorships
Address Fund/Trust Served During Past 5 Years Trustee Held by Trustee
- --------------------------- ------------- --------- -------------------------------------- -------------- -------------------------
Judson P. Doherty (36) Chief Since Mr. Doherty has been the Chief n/a n/a
Compliance 10/2004 Financial Officer of the Advisor
Officer since December 2000. Mr. Doherty
was previously an investment
consultant with Aon Consulting
since June, 1999.
- --------------------------- ------------- ---------- ------------------------------------- -------------- -------------------------
Tracey L. Hendricks (37) Asst. Since Ms. Hendricks has been the n/a n/a
The Nottingham Company Secretary 11/2004 Vice-President of Financial
116 South Franklin Street and Asst. Reporting, Tax, Internal Audit and
Post Office Box 69 Treasurer Compliance of The Nottingham
Rocky Mount, NC 27802 Company (the Fund's administrator)
since 2004. Ms. Hendricks
previously was Vice President of
Special Projects of The Nottingham
Company from 2000 and Manager of
Fund Accounting from 1994.
- --------------------------- ------------- ---------- ------------------------------------- -------------- -------------------------
Julian G. Winters (36) Secretary Since Mr. Winters has been the Vice n/a n/a
The Nottingham Company 11/2004 President of Compliance
116 South Franklin Street Administration at The Nottingham
Post Office Box 69 Company since March, 1998.
Rocky Mount, NC 27802
- --------------------------- ------------- ---------- ------------------------------------- -------------- -------------------------
8. Approval of Advisory Agreements
During the Period
The Advisor supervises each Fund's To aid it in its review, the Board
investments pursuant to Investment reviewed various informational
Advisory Agreements (each an "Advisory materials including, without
Agreement"). During the Funds' most limitation, copies of the Advisory
recent fiscal half-year, the Advisory Agreements and Expense Limitation
Agreements for the PMFM Tactical Agreements for each Fund; a memorandum
Preservation Portfolio Trust and the from the Advisor to the Board
PMFM Managed Portfolio Trust came up including information about the
for renewal. The Trust's Board of Advisor, its business, its finances,
Trustees unanimously approved the its personnel, its services to the
renewal of these Advisory Agreements Funds and comparative expense ratio
for another year at a Board Meeting on information for other mutual funds
May 18, 2005. with similar strategies as the Funds
(the "Advisor Memo"); and a memorandum
In considering whether to renew each from Kilpatrick Stockton LLP (counsel
Advisory Agreement, the Board reviewed to the Trust) to the Board regarding
and considered such information as the considerations relevant to a review of
Board deemed reasonably necessary, investment advisory contracts by
including the following material investment company trustees.
factors: (i) the nature, extent, and
quality of the services to be provided In considering the nature, extent, and
by the Advisor to the Fund; (ii) the quality of the services provided by
investment performance of the Fund and the Advisor, the Board considered the
the Advisor, (iii) the costs of the responsibilities the Advisor would
services to be provided and profits to have under each Advisory Agreement.
be realized by the Advisor and its The Board reviewed the services being
affiliates from the relationship with provided by the Advisor to each Fund
the Fund, including any benefits including, without limitation, its
derived or to be derived by the investment advisory services since the
Advisor from the relationship with the Fund's inception, its efforts during
Fund; and (iv) the extent to which the Fund's start-up phase, its
economics of scale would be realized coordination of services for the Fund
as the Fund grows and whether advisory among the Fund's service providers,
fee levels reflect these economies of and its efforts to promote the Fund
scale for the benefits of the Fund's and assist in its distribution. The
investors. Board also noted that the Trust's
(Continued)
The PMFM Funds
Additional Information (Unaudited)
________________________________________________________________________________
chief compliance officer, principal other funds comparable to the Fund in
executive officer, and principal terms of the type of fund, the style
financial officer are employees of the of investment management, the size of
Advisor, and serve the Trust without fund and the nature of its investment
additional compensation. After strategy, among other factors.
reviewing the foregoing information Specifically, the Board determined
and further information in the Advisor that, while each Fund's maximum
Memorandum (e.g., descriptions of the management fees were lower than some
Advisor's business, the Fund's and of the comparable funds and it was
Advisor's compliance programs and the higher than others. In addition, the
Advisor's Form ADV), the Board Board determined that each Fund's net
concluded that the nature, extent, and expense ratio was lower than some of
quality of the services provided by its comparable funds and higher than
the Advisor were satisfactory and others. Following this comparison and
adequate for each of the Funds. upon further consideration and
discussion of the foregoing, the Board
In considering the investment concluded that the fees to be paid to
performance of each Fund and the the Advisor by each Fund were fair and
Advisor, the Board compared the reasonable.
performance of the Fund with the
performance of its benchmark index, In considering the extent to which
comparable funds with similar economies of scale would be realized
objectives and size managed by other as each Fund grows and whether the
Advisors and comparable peer group advisory fee levels reflect these
indices (e.g., Morningstar category economies of scale for the benefits of
averages). The Board also considered the Fund's investors, the Board
the consistency of the Advisor's considered that the Fund's fee
management of the Fund with the Fund's arrangements with the Advisor involved
investment objective and policies. both the management fee and the
After reviewing the short and Expense Limitation Agreement. The
long-term investment performance of Board determined that, while the
the Fund, the Advisor's experience management fee would remain the same
managing the Fund and separate at all asset levels, each Fund had
accounts, the Advisor's historical experienced benefits from the Expense
investment performance, and other Limitation Agreement. For the PMFM
factors, the Board concluded that the Tactical Preservation Portfolio Trust,
investment performance of each Fund the Board noted that due to its size,
and Advisor had been satisfactory. this Fund was likely to continue to
experience benefits from the Expense
In considering the costs of the Limitation Agreement until the Fund's
services to be provided and profits to assets grow to a level where the
be realized by the Advisor and its Fund's expenses fall below the cap set
affiliates from the relationship with by the Expense Limitation Agreement
each Fund, the Board considered the and the Advisor begins receiving its
Advisor's staffing, personnel, and full fees. For the PMFM Managed
methods of operating; the financial Portfolio Trust, the Board noted that
condition of the Advisor and the level the Advisor had agreed to the lowering
of commitment to the Fund and the of the fees and expenses cap under the
Advisor by the principals of the Expense Limitation Agreement from
Advisor; the asset levels of the Fund; 2.25% at the Fund's inception in June
the Advisor's payment of startup costs 2003 to 1.70% beginning April 2004.
for the Trust; and the overall The Board noted that, due to this
expenses of the Fund, including reduction, the Fund would receive
certain past fee waivers and benefits from the Expense Limitation
reimbursements by the Advisor on Agreement if its assets were to
behalf of the Fund. The Board also decrease or the Fund's expenses
considered the Advisor's use of its increased beyond the cap set by the
proprietary models in managing the Expense Limitation Agreement.
Fund. The Board reviewed the Fund's Following further discussion of the
Expense Limitation Agreement with the Funds' asset levels, expectations for
Advisor, and discussed the Advisor's growth and levels of fees, the Board
past fee waivers under the Expense determined that each Fund's fee
Limitation Agreement in detail. The arrangements were fair and reasonable,
Board also considered potential and that each Fund's Expense
benefits for the Advisor in managing Limitation Agreement provided
the Funds, including promotion of the potential savings or protection for
Advisor's name, the ability for the shareholders based on the Funds' asset
Advisor to place small accounts into levels.
the Funds, and the potential for the
Advisor to generate soft dollars from Based upon all of the foregoing
the Funds' trades that may benefit the considerations, the Board, including a
Advisor's clients other than the majority of the Trust's independent
Funds. The Board then compared the trustees, approved the renewal of the
fees and expenses of each Fund Advisory Agreement for the PMFM
(including the management fee) to Tactical Preservation Portfolio Trust
and the PMFM Managed Portfolio Trust.
(This page was intentionally left blank.)
Deloitte & Touche LLP
Two World Financial Center
New York, New York 10281-1414
Tel: + 212 436-2000
Fax: + 212 436-5000
www.deloitte.com
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of PMFM Investment Trust and Shareholders of PMFM
Managed Portfolio Trust, PMFM Tactical Opportunities Portfolio Trust,
and PMFM Tactical Preservation Portfolio Trust:
We have audited the accompanying statements of assets and liabilities of PMFM
Managed Portfolio Trust, PMFM Tactical Opportunities Portfolio Trust, and PMFM
Tactical Preservation Portfolio Trust (the "Funds"), including the portfolios of
investments, as of May 31, 2005, and the related statements of operations for
the year then ended, the statements of changes in net assets for each of the
periods presented, and the financial highlights for each of the periods
presented. 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.
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 audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Funds
are not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Funds' internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of May 31, 2005, by correspondence with the custodian and
brokers. 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 PMFM
Managed Portfolio Trust, PMFM Tactical Opportunities Portfolio Trust, and PMFM
Tactical Preservation Portfolio Trust as of May 31, 2005, the results of its
operations for the year then ended, the changes in net assets for each of the
periods presented, and the financial highlights for each of the periods
presented, in conformity with accounting principles generally accepted in the
United States of America.
/s/ Deloitte & Touche LLP
July 8, 2005
Member of
Deloitte Touche Tohmatsu
The PMFM Mutual Funds
are a series of the
PMFM Investment Trust
For Shareholder Service Inquiries: For Investment Advisor Inquiries:
Documented: Documented:
NC Shareholder Services PMFM, Inc.
116 South Franklin Street 1551 Jennings Mill Road
Post Office Drawer 4365 Suite 2400A
Rocky Mount, North Carolina 27802-0069 Bogart, Georgia 30622
Toll-Free Telephone: Toll-Free Telephone:
1-800-773-3863 1-866-ETF-PMFM, 1-866-383-7636
World Wide Web @: World Wide Web @:
nottinghamco.com.com pmfmfunds.com
PMFM INC.
Personal Mutual Fund Management
Item 2. CODE OF ETHICS.
(a) The registrant, as of the end of the period covered by this report, has
adopted a code of ethics that applies to its Principal Executive
Officer, Principal Financial Officer, and Principal Accounting
Officer(s), or persons performing similar functions, regardless of
whether these individuals are employed by the registrant or a third
party.
(c) There have been no amendments during the period covered by this report.
(d) The registrant has not granted, during the period covered by this
report, any waivers, including an implicit waiver.
(e) Not applicable.
(f)(1) A copy of the code of ethics that applies to the registrant's Principal
Executive Officer and Principal Financial Officer is filed pursuant to
Item 11(a)(1) below.
Item 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) The registrant does not have an audit committee financial expert
serving on its audit committee.
(a)(2) Not applicable.
(a)(3) 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 - Audit fees billed for the registrant for the last two
fiscal years are described in the table below. These amounts represent
aggregate fees billed by the registrants' independent accountant,
Deloitte & Touche LLP ("Accountant"), in connection with the annual
audit of the registrant's financial statements and for services
normally provided by the Accountant in connection with the statutory
and regulatory filings.
------------------------------------------------ -------------- -------------
Fund 2004 2005
------------------------------------------------ -------------- -------------
PMFM Tactical Preservation Portfolio Trust $ 14,250 $ 15,500
------------------------------------------------ -------------- -------------
PMFM Managed Portfolio Trust $ 13,500 $ 16,500
------------------------------------------------ -------------- -------------
PMFM Tactical Opportunities Portfolio Trust n/a* $ 16,500
------------------------------------------------ -------------- -------------
*This fund did not commence operations until September 27, 2004.
(b) Audit-Related Fees - There were no additional fees billed in the fiscal
years ended March 31, 2004 and March 31, 2005 for assurance and related
services by the Accountant that were reasonably related to the
performance of the audit of the registrant's financial statements that
were not reported under paragraph (a) of this Item.
(c) Tax Fees - The tax fees billed in each of the last two fiscal years for
professional services rendered by the principal accountant for tax
compliance, tax advice, and tax planning are described in the table
below. These services were for the completion of each fund's federal,
state, and excise tax returns.
------------------------------------------------ -------------- -------------
Fund 2004 2005
------------------------------------------------ -------------- -------------
PMFM Tactical Preservation Portfolio Trust $ 0 $ 5,900
------------------------------------------------ -------------- -------------
PMFM Managed Portfolio Trust $ 1,025 $ 5,900
------------------------------------------------ -------------- -------------
PMFM Tactical Opportunities Portfolio Trust n/a $ 1,050
------------------------------------------------ -------------- -------------
(d) All Other Fees - The registrant was billed a fee of $1,500 in the
fiscal year ended May 31, 2004 which was associated with the initial
balance sheet audit and procedures by the Accountant of the seed
capital used to capitalize the registrant's inception of its initial
fund, the PMFM Managed Portfolio Trust (formerly, the PMFM ETF
Portfolio Trust). There were no other fees paid to the Accountant which
were not disclosed in Items (a) through (c) above during the fiscal
year ended May 31, 2005.
(e)(1) The registrant's board of trustees pre-approved the engagement of the
Accountant for the last two fiscal years at audit committee meetings of
board of trustees called for such purpose and will pre-approve the
Accountant for each fiscal year thereafter at audit committee meetings
called for such purpose. The charter of the audit committee states that
the audit committee should pre-approve any audit services and, when
appropriate, evaluate and pre-approve any non-audit services provided
by the Accountant to the registrant and to pre-approve, when
appropriate, any non-audit services provided by the Accountant to the
registrant's investment adviser, or any entity controlling, controlled
by, or under common control with the investment adviser that provides
ongoing services to the registrant if the engagement relates directly
to the operations and financial reporting of the registrant.
(2) There were no services as described in each of paragraph (b) through
(d) of this Item that were approved by the audit committee pursuant to
paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not Applicable.
(g) There were no non-audit fees billed by the Accountant for services
rendered to the registrant, the registrant's investment advisers, or
any other entity controlling, controlled by, or under common control
with the registrant's investment advisers.
(h) Not applicable.
Item 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
Item 6. SCHEDULE OF INVESTMENTS.
A copy of the schedule of investments of unaffiliated issuers as of
the close of the reporting period is included as part of the report to
shareholders filed under Item 1 of this Form N-CSR.
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 SECURITYHOLDERS.
None.
Item 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officers and principal financial
officer have concluded that the registrant's disclosure controls and
procedures are effective based on their evaluation of these disclosure
controls and procedures as of a date within 90 days of the filing of
this report.
(b) There were no changes in the registrant's internal controls over
financial reporting that occurred during the second fiscal quarter of
the period covered by this report that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting.
Item 12. EXHIBITS.
(a)(1) Code of Ethics required by Item 2 of Form N-CSR is filed herewith as
Exhibit 12.(a)(1).
(a)(2) Certifications required by Item 12.(a)(2) of Form N-CSR are filed
herewith as Exhibit 12.(a)(2).
(a)(3) Not applicable.
(b) Certifications required by Item 12.(b) of Form N-CSR are filed herewith
as Exhibit 12.(b).
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.
PMFM Investment Trust
By: (Signature and Title) /s/ Timothy A. Chapman
________________________________
Timothy A. Chapman
President and Principal Executive Officer
Date: July 27, 2005
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/ Timothy A. Chapman
________________________________
Timothy A. Chapman
President and Principal Executive Officer
PMFM Investment Trust
Date: July 27, 2005
By: (Signature and Title) /s/ Donald L. Beasley
_______________________________
Donald L. Beasley
Trustee, Chairman, Treasurer and Principal
Financial Officer
PMFM Investment Trust
Date: July 25, 2005