UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21749
CRM Mutual Fund Trust
(Exact name of registrant as specified in charter)
c/o Cramer Rosenthal McGlynn, LLC.
28 Havemeyer Place
Greenwich, CT 06830
(Address of principal executive offices) (Zip code)
Corporation Service Company
2711 Centerville Road Suite 400
Wilmington, DE 19808
(Name and address of agent for service)
Copy to:
Lea Anne Copenhefer
Morgan, Lewis & Bockius LLP
One Federal Street
Boston, MA 02110
Registrant’s telephone number, including area code: 212-326-5300
Date of fiscal year end: June 30
Date of reporting period: December 31, 2020
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
SEMI-ANNUAL REPORT (Unaudited) | December 31, 2020 |
President’s Message | |
Dear Fellow Shareholders:
Should we all be shopping for flapper dresses? As the world begins to contemplate life beyond COVID-19, we search historical periods that can provide a blueprint for the future. Interestingly, we can draw many parallels between today and another time in U.S. history - “The Roaring Twenties.” The preamble to that period and today has many similarities, but hopefully not the same conclusion. By the early 1920s, the U.S. was emerging from an economic depression, the country had endured the horrors of World War I, there were deep cultural divides in the country, and the period was capped off by the “Spanish Flu” global pandemic from 1918-1919. The country was ready for a rebirth.
As we hopefully begin life post-COVID-19, there will be an initial phase of uncertainty. But people are social creatures and enjoy being around others. We want to go outside and have experiences beyond our home. We believe the consumer savings built up during the pandemic and the “stay at home” orders will convert into higher spending in 2021 and 2022 and propel U.S. GDP to growth rates not seen in over two decades. The post-traumatic stress response from the 2008 financial crisis has conditioned investors to expect a slow, painful recovery from this recession. However, the current economic slowdown couldn’t be more different than 2008. We believe the one-two jolts of fiscal and monetary stimulus will jump start the recovery. Vaccines should help us control or even possibly eradicate this terrible virus. In addition, the policy change by the Federal Reserve to target average inflation should allow the Fed to drive inflation comfortably above 2%, which in turn should cause the economy to overshoot to the upside, so we do not fall victim to the economic and inflation undershooting that occurred after the 2008 financial crisis. Consensus expectations forecast 2021 U.S. GDP of 4% but the bull case could be closer to 6% growth given the current and expected fiscal stimulus and the positive effects of the vaccines. This compares to the decade post the 2008 slowdown when GDP only averaged 2.2%.
We look for a resurgence in employment over the next few years. As Morgan Stanley indicated in a recent report, “unemployment cost U.S. households $330 billion in wage income, but consumers have already received $1 trillion in aggregate in transfers, a figure that will rise as the second round of fiscal stimulus kicks in. The excess saving of about $1.4 trillion will provide the fuel for pent-up demand to drive a sharp rebound in growth once economies fully reopen”. Something to consider once the vaccine is fully distributed, about 80% of U.S. job losses have come in COVID-19-sensitive sectors, which we believe should rapidly rebound once the economy fully reopens.
We also look for a renaissance in value stock earnings. The COVID-19 induced recession disproportionally negatively impacted value and cyclical companies’ earnings in 2020, however, we expect this to be a tailwind in future periods. We anticipate small and mid-cap value companies to grow earnings approximately 50-60% in 2021, which is nearly double the pace expected for small and mid-cap growth stocks. This pace of earnings growth for value and cyclical companies will barely get them back to the 2019 levels. We think there will be plenty of gas in the tank to continue to propel value companies’ earnings into 2022 and beyond.
As excited as we are about the future, we must also be vigilant when market sentiment is so positive and liquidity is so abundant, as bubbles form within pockets of the market. One area we are monitoring closely is Special Purpose Acquisitions Corporations (SPACs). This structure has been around for a long time as a way for companies to go public. However, we witnessed a 6x increase in the amount of capital raised by SPACs in 2020 as compared to 2019 and a 7x increase compared to the next largest year ever. SPACs raise our risk antenna as this structure does not afford investors that same level of financial disclosures and protections as a traditional Initial Public Offering (IPO). This area of the market coupled with the rapid growth in retail day trading enabled by social media platforms, harken us back to the hysteria of the dotcom days.
We are encouraged by the healthy absolute returns in the fourth quarter of 2020, particularly from the holdings that had been our top detractors earlier in 2020. We were also pleased to see the rotation towards small and mid-cap stocks in the fourth quarter 2020 following large-cap leadership during the early stage of the pandemic. We continue to see tremendous upside in highly underappreciated/neglected value stocks as the economy reopens and vaccines become widely distributed in 2021. This coupled with the stimulus provided by Congress and the Federal Reserve should be highly supportive to the markets and value stocks. We believe we are on the cusp of a market rotation and extended period of outperformance for value and cyclical stocks given their favorable earnings outlook, attractive valuations, and the improved forecast for the economy. As we have seen throughout history, recessions tend to lead to changes in leadership. We believe the small to mid-cap value part of the market is still meaningfully underinvested. As we have seen in the past, you need to be there in advance of the move or else you will be chasing it for years. As gut wrenching and anxiety filled as this year has been, we need to appreciate the full range of possible outcomes and welcome the long-term value in non-consensus views.
The following is a discussion of factors that influenced the performance of each of the CRM Funds during the six-month period ended December 31, 2020.
CRM Small Cap Value Fund returned 31.74% and 31.63% for the Institutional and Investor Share classes, respectively, in the period, as compared to 36.77% and 37.85% for the Russell 2000 Value Index and the Russell 2000 Index, respectively1. Despite strong performance during the period, the Fund lagged the benchmark due to stock selection in the Consumer Discretionary, Industrials, Materials, and Real Estate sectors. Stock selection in Health Care, Energy, and Information Technology acted as a tailwind to performance. Leading contributors to performance for this period included (i) branded apparel company, G-III Apparel Group, Ltd.; (ii) BankUnited, Inc., a regional bank based in Florida and New York; and (iii) Valmont Industries, Inc., a manufacturer of poles and towers for infrastructure, communications, and utility end-markets as well as agricultural irrigation equipment. G-III Apparel Group responded positively to vaccine news throughout November as well as a better-than-expected third quarter 2020 earnings report. BankUnited reported better-than-expected third quarter 2020 earnings due to improved credit quality. In addition, the company guided to a stabilizing net interest margin given its ability to lower deposit costs. Finally, the company continues to make solid progress on implementing cost savings from its BankUnited 2.0 profitability initiative. Valmont Industries reported stronger quarterly results during the period following greater optimism over its irrigation business. This came as corn and global crop prices improved along with the outlook for farm income and agricultural capital.
Individual holdings that negatively impacted performance included (i) PAE Incorporated, a defense and government services contractor; (ii) Bank of Hawaii Corporation, a regional bank based in Hawaii; and (iii) Natus Medical Incorporated, a leading medical device and diagnostic manufacturer focused on neurosurgery, newborn care, and audiology. PAE Incorporated was a detractor in the most recent period, as the company had
to revise its revenue guidance for the year based on pandemic impacts to its non-labor component of revenue. The defense contractor sector similarly underperformed going in to the 2020 presidential election and federal spending pressures given rising pandemic stimulus costs, impacting future budget pressures. Bank of Hawaii came under pressure due to a combination of credit concerns related to the pandemic coupled with earnings pressure from the low-interest-rate environment. We exited our position to reinvest in more compelling risk/reward opportunities within this portfolio. Natus Medical reported weaker-than-expected earnings due to COVID-19’s negative impact on capital equipment spending at hospitals. We exited our position to invest in greater risk/reward opportunities.
CRM Small/Mid Cap Value Fund returned 37.41% and 37.23% for the Institutional and Investor Share classes, respectively, in the period, as compared to 33.06% and 34.90% for the Russell 2500 Value Index and the Russell 2500 Index, respectively2. Key drivers of strong absolute performance, and relative outperformance versus both benchmarks, in the Fund during the period were stock selection in the Industrials, Information Technology, and Consumer Discretionary sectors. Individual holdings that were leading contributors to performance included (i) Sunrun, Inc., the leading residential solar installer in the U.S.; (ii) Envista Holdings Corporation, a provider of dental consumables, equipment, and services to dental professionals; and (iii) RH, a high-end home furnishings business. Sunrun announced the acquisition of Vivint Solar during the period. We view this as a transformative deal, which we believe makes the new entity the most significant player in a fast-growing market. Solar is benefitting from several accelerating trends: customer desire to take control of energy usage, to capture monthly savings against monthly utility bills, the nesting dynamic, and the home as a business and educational hub for students. Sunrun provides users better continuity of service vs. traditional grid services, which are increasingly being interrupted by storms and grid failure. Global dental volumes continued to sequentially improve from the April 2020 trough period. Domestically, volumes remain below the prior year period, but Envista’s profits are outperforming expectations as improving mix and managing costs brings profits closer to prior year results. Several dental industry peers have similarly reported improved profitability results, as dental offices have remained open during the most recent COVID-19 surges. RH reflected both better-than-expected top line trends as well as a significant margin beat.
Individual holdings that negatively affected performance included (i) MultiPlan Corporation, a healthcare transaction processor focused on reducing waste, fraud, and abuse; (ii) TreeHouse Foods, Inc., the leading U.S. private label food manufacturer; and (iii) Equity Commonwealth, a real estate investment trust (REIT). MultiPlan underperformed during the period due to accusations surfacing from a short seller during the fourth quarter 2020. We believe the allegations are baseless and overlook many of the reasons MultiPlan has become a durable high margin and dominant player. In addition, given its multi-decade relationship with UnitedHealth, we expect revenues to continue to grow with this large customer for the foreseeable future. In addition, we expect continued strong results above expectations, continued enabling tuck-in acquisitions, and the substantial valuation discount to narrow over time. Treehouse Foods underperformed as more defensive names underperformed other more pro-cyclical areas of the market. In addition, given weaker private label category performance relative to branded within packaged food, Treehouse’s private label categories began to lose share, adding to concerns the company would not be able to accelerate its relatively poor organic growth performance over the next year or two. Equity Commonwealth underperformed following outperformance earlier during the pandemic. The company sold most of its real estate portfolio and held the majority of its assets in net cash, which can be deployed into future investment opportunities. We think this conservative positioning likely caused the stock to underperform other REIT stocks that are more geared to the economy reopening.
CRM Mid Cap Value Fund returned 29.25% and 29.12% for the Institutional and Investor Share classes, respectively, in the six-month period, as compared to 28.14% and 28.86% for the Russell Midcap Value Index and the Russell Midcap Index, respectively3. Strong stock selection in the Information Technology, Energy, and Financials sectors contributed to the Fund’s relative outperformance versus both indices, and strong absolute performance. Individual holdings that contributed positively to performance during the period included (i) Envista Holdings Corporation, a provider of dental consumables, equipment, and services to dental professionals; (ii) BankUnited, Inc., a regional bank based in Florida and New York; and (iii) financial data service, Morningstar, Inc. Global dental volumes continued to sequentially improve from the April 2020 trough period. Domestically, volumes remain below the prior year period, but Envista’s profits are outperforming expectations as improving mix and managing costs brings profits closer to prior year results. Several dental industry peers have similarly reported improved profitability results, as dental offices have remained open during the most recent COVID-19 surges. BankUnited reported better-than-expected third quarter 2020 earnings due to improved credit quality. In addition, the company guided to a stabilizing net interest margin given its ability to lower deposit costs. Finally, the company continues to make solid progress on implementing cost savings from its BankUnited 2.0 profitability initiative. Morningstar’s organic revenue growth rebounded strongly in the third quarter, as the impacts of COVID-19 waned. In addition, operating margins continued to expand as the company progressed further in its integration of the rating agency, DBRS.
Holdings that detracted from Fund performance during the fiscal year included (i) MultiPlan Corporation, a healthcare transaction processor focused on reducing waste, fraud, and abuse; (ii) Mohawk Industries, Inc., a U.S. flooring manufacturer; and (iii) Diamondback Energy, Inc., a U.S. oil producer. MultiPlan underperformed during the period due to accusations surfacing from a short seller during the fourth quarter 2020. We believe the allegations are baseless and overlook many of the reasons MultiPlan has become a durable high margin and dominant player. In addition, given its multi-decade relationship with UnitedHealth, we expect revenues to continue to grow with this large customer for the foreseeable future. In addition, we expect continued strong results above expectations, continued enabling tuck-in acquisitions, and the substantial valuation discount to narrow over time. Mohawk Industries traded down amid the release of a detailed research report highlighting alleged aggressive accounting practices. In addition, the company reported it received subpoenas from the U.S. Attorney’s Office and SEC over related allegations. We sold the stock as these events called into question the recovery from self-inflicted execution mistakes over the last few years and housing related earnings recovery potential. Shares of Diamondback underperformed in early July alongside other oil and gas exploration and production companies.
CRM All Cap Value Fund returned 33.29% and 33.21% for the Institutional and Investor Share classes, respectively, during the period, as compared to 23.56% and 25.24% for the Russell 3000 Value Index and the Russell 3000 Index, respectively4. Strong performance in the Fund during the period was due to positive stock selection across all sectors, with the exception of Materials and Real Estate. Stock selection in the Information Technology, Consumer Discretionary, and Energy sectors was a particularly strong tailwind to performance. Leading contributors to Fund performance were (i) Valmont Industries, Inc., a manufacturer of poles and towers for infrastructure, communications, and utility end-markets as well as agricultural irrigation equipment; (ii) BankUnited, Inc., a regional bank based in Florida and New York; and (iii) RH, a high-end home furnishings business. Valmont Industries reported stronger quarterly results during the period following greater optimism over its irrigation business. This came as corn and global crop prices improved along with the outlook for farm income and agricultural capital. BankUnited reported better-than-expected third quarter 2020 earnings due to improved credit quality. In addition, the company guided to a stabilizing net interest margin given its ability to lower deposit costs. Finally, the company continues to make solid progress on implementing
cost savings from its BankUnited 2.0 profitability initiative. RH reflected both better-than-expected top line trends as well as a significant margin beat.
Individual holdings that negatively impacted performance included (i) MultiPlan Corporation, a healthcare transaction processor focused on reducing waste, fraud, and abuse; (ii) Associated Banc-Corp, a Midwest regional bank; and (iii) Atmos Energy Corporation, a natural gas utility. MultiPlan underperformed during the period due to accusations surfacing from a short seller during the fourth quarter 2020. We believe the allegations are baseless and overlook many of the reasons MultiPlan has become a durable high margin and dominant player. In addition, given its multi-decade relationship with UnitedHealth, we expect revenues to continue to grow with this large customer for the foreseeable future. In addition, we expect continued strong results above expectations, continued enabling tuck-in acquisitions, and the substantial valuation discount to narrow over time. Associated Banc-Corp came under pressure due to a combination of credit concerns related to the pandemic coupled with earnings pressure from the low-interest-rate environment. We exited our position to reinvest in more compelling risk/reward opportunities within this portfolio. While Atmos managed through COVID-19 with no revisions to their earnings, they saw their multiples contract as the Biden presidential win put pressure on all fossil fuel related companies.
CRM Long/Short Opportunities Fund returned 18.36% in the first half of the fiscal year as compared to 22.16% for the S&P 5005. During the six-month period ended December 31, 2020, our long book contributed to the strong performance of the Fund, while performance in our short book was a headwind. In the short book, performance in the Industrials, Consumer Discretionary, and Information Technology sectors weighed on performance. In terms of exposure during the period, the Fund averaged approximately 100% gross long, 48% gross short, and 52% net long.
The top contributors in the long portfolio were (i) Sunrun, Inc., the leading residential solar installer in the U.S.; (ii) Tenable Holdings, Inc., a cybersecurity company; and (iii) branded apparel company, G-III Apparel Group, Ltd. Sunrun announced the acquisition of Vivint Solar during the period. We view this as a transformative deal, which we believe makes the new entity the most significant player in a fast-growing market. Solar is benefitting from several accelerating trends: customer desire to take control of energy usage, to capture monthly savings against monthly utility bills, the nesting dynamic, and the home as a business and educational hub for students. Sunrun provides users better continuity of service vs. traditional grid services, which are increasingly being interrupted by storms and grid failure. Tenable Holdings reported strong second-quarter 2020 results and turned profitable for the first time as a public company. The company also benefited from the SolarWinds cyberattack, which created significant awareness around cybersecurity vulnerabilities. G-III Apparel Group responded positively to vaccine news throughout November as well as a better-than-expected third quarter 2020 earnings report.
Top individual names that negatively impacted the long portfolio included (i) MultiPlan Corporation, a healthcare transaction processor focused on reducing waste, fraud, and abuse; (ii) Kirby Corporation, an inland barge, coastal tanker, and onshore Oil and Gas equipment supplier; and (iii) JAMF Holding Corporation, the parent corporation of JAMF Software, the leader in Apple device management. MultiPlan underperformed due to accusations surfacing from a short seller during the fourth quarter 2020. We believe the allegations are baseless and overlook many of the reasons MultiPlan has become a durable high margin and dominant player. In addition, given its multi-decade relationship with UnitedHealth, we expect revenues to continue to grow with this large customer for the foreseeable future. In addition, we expect continued strong results above expectations, continued enabling tuck-in acquisitions, and the substantial valuation discount to narrow over time. As a result of COVID-19 related shut-ins, Kirby Corporation declined on low customer utilization
levels in the black oil and petrochemicals industry. This declining customer utilization has put pressure on spot pricing contracts and paused the company’s ability to do more consolidating M&A. While JAMF Holding Corporation reported strong results in the third quarter 2020, its largest shareholder issued a secondary offering in the fourth quarter 2020, which pressured shares.
Our leading short contributors included (i) an infrastructure software provider; (ii) a large grocer; and (iii) a large food company. While an infrastructure software provider delivered in-line second quarter 2020 results, the transition to a subscription model took a step back as a large, early customer failed to renew their agreement. Shares of a large grocer were under pressure as revenue continued to exceed expectations but commensurate profit flow through is weak. A large food company posted in-line earnings but a growing concern regarding an increase in future promotions dwarfed recent results.
The top detractors in the short portfolio were (i) a solar inverter company; (ii) a fuel cell manufacturer; and (iii) an LED components and fixtures manufacturer. A leading solar inverter company appreciated despite significantly lowering fourth quarter 2020 guidance and announcing further delays in its storage product. Even with this news, clean energy ETFs and retail investors purchased the stock indiscriminately. A fuel cell manufacturer appreciated despite significantly lowering fourth quarter 2020 guidance and laying out 2021 guidance below expectations. A leading LED components and fixtures manufacturer appreciated on optimism around Green building retrofits in the U.S. and Europe and hopes around a UV technology that could be used to zap the Coronavirus in retail and commercial settings.
Sincerely,
Ronald H. McGlynn
Trustee and President, CRM Mutual Fund Trust
1Russell 2000 Value Index is the Fund’s benchmark. The Russell 2000 Value Index measures the performance of those companies in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth values. The Russell 2000 Index is an unmanaged, capitalization weighted index of 2,000 small cap U.S. companies. It is not possible to invest directly in an index.
2Russell 2500 Value Index is the Fund’s benchmark. The Russell 2500 Value Index is an unmanaged index that measures the performance of those companies in the Russell 2500 Index with lower price-to-book ratios and lower forecasted growth values. The Russell 2500 Index is an unmanaged index that measures the performance of the 2,500 smallest companies in the Russell 3000 Index. It is not possible to invest directly in an index.
3Russell Midcap Value Index is the Fund’s benchmark. The Russell Midcap Value Index measures the performance of those companies in the Russell Midcap Index with lower price-to-book ratios and lower forecasted growth values. The Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000 Index, which represents the performance of the 1,000 largest companies in the U.S. equity market. It is not possible to invest directly in an index.
4Russell 3000 Value Index is the Fund’s benchmark. The Russell 3000 Value Index measures the performance of those companies in the Russell 3000 Index with lower price-to-book ratios and lower forecasted growth values. The Russell 3000 Index is an unmanaged, capitalization weighted index of the 3,000 largest U.S. companies, which represent approximately 98% of the investable U.S. equity market. It is not possible to invest directly in an index.
5S&P 500 Index is an index of 500 companies chosen for market size, liquidity and industry grouping, among other factors. The S&P 500 is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe.
Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. During the period, certain fees and expenses were waived by the Funds’ service providers. Without these waivers, total returns would have been lower.
Fund holdings and sector allocations are subject to change at any time and are not recommendations to buy or sell any security. Please refer to the Schedules of Investments for a complete list of Fund holdings. The information contained herein is not a complete analysis of every aspect of any market, industry, security, or Fund. Opinions expressed herein are as of December 31, 2020 and are subject to change at any time, are not guaranteed, and should not be considered investment advice.
Investments in small and mid capitalization companies generally are more volatile due to limited product lines, fewer capital resources and less depth of management than larger companies. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic values or that the investment has not been undervalued by the market. Investments in foreign securities, including emerging markets, involve special risks such as greater social, economic, regulatory, and political uncertainties, and currency fluctuation.
The Long/Short Opportunities Fund will hold long equity securities that the Fund’s adviser has identified as undervalued and take short positions (through short sales) in equity securities that the Fund’s adviser has identified as overvalued or poised for underperformance. Short sales involve significant risks, including the risk that the Fund may have to cover its short position at a higher price than the short sale price, resulting in a loss. Short sales involve borrowing securities and then selling them, which may cause the value of the Fund’s shares to be more volatile than if the Fund did not borrow.
This report must be preceded or accompanied by the current prospectus for the Funds. Before investing, you should carefully read the prospectus and consider the investment objectives, risks, charges and expenses of the Funds. Additional copies of the prospectus may be obtained at www.crmfunds.com or at 800-CRM-2883.
Distributed by ALPS Distributors, Inc.
CRM FUNDS EXPENSE DISCLOSURE (Unaudited)
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DISCLOSURE OF FUND EXPENSES
The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of a Fund, you incur ongoing costs, including management fees, shareholder servicing fees and other Fund expenses. A Fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (July 1, 2020 through December 31, 2020). The “Annualized Expense Ratio” reflects the actual expenses, net of fee waivers, where applicable, for the six-month period July 1, 2020 to December 31, 2020.
The Expense Tables below illustrate your Fund’s expenses in two ways.
| | ● | Actual fund return. The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period. |
| | ● | Hypothetical 5% return. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. |
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs that may be levied by other funds, such as sales charges (loads), redemption fees, or exchange fees, if any. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total cost of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The “Annualized Expense Ratio” reflects the actual expenses for the period indicated.
CRM FUNDS EXPENSE DISCLOSURE (Unaudited) (Concluded)
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For the Six Months Ended December 31, 2020
Expense Table
Fund/Class | | Beginning
Account Value
07/01/20 | | | Ending
Account Value
12/31/20 | | | Annualized
Expense
Ratio(1) | | | Expenses
Paid
During
Period(2) | |
CRM Small Cap Value Fund - Investor Shares | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 1,316.30 | | | | 1.18 | % | | $ | 6.89 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.26 | | | | 1.18 | % | | $ | 6.01 | |
| | | | | | | | | | | | | | | | | |
CRM Small Cap Value Fund - Institutional Shares | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 1,317.40 | | | | 0.94 | % | | $ | 5.49 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.47 | | | | 0.94 | % | | $ | 4.79 | |
| | | | | | | | | | | | | | | | | |
CRM Small/Mid Cap Value Fund - Investor Shares | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 1,372.30 | | | | 1.17 | % | | $ | 7.00 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.31 | | | | 1.17 | % | | $ | 5.96 | |
| | | | | | | | | | | | | | | | | |
CRM Small/Mid Cap Value Fund - Institutional Shares | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 1,374.10 | | | | 0.96 | % | | $ | 5.74 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.37 | | | | 0.96 | % | | $ | 4.89 | |
| | | | | | | | | | | | | | | | | |
CRM Mid Cap Value Fund - Investor Shares | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 1,291.20 | | | | 1.18 | % | | $ | 6.81 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.26 | | | | 1.18 | % | | $ | 6.01 | |
| | | | | | | | | | | | | | | | | |
CRM Mid Cap Value Fund - Institutional Shares | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 1,292.50 | | | | 0.97 | % | | $ | 5.61 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.32 | | | | 0.97 | % | | $ | 4.94 | |
| | | | | | | | | | | | | | | | | |
CRM All Cap Value Fund - Investor Shares | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 1,332.10 | | | | 1.38 | % | | $ | 8.11 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.25 | | | | 1.38 | % | | $ | 7.02 | |
| | | | | | | | | | | | | | | | | |
CRM All Cap Value Fund - Institutional Shares | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 1,332.90 | | | | 1.13 | % | | $ | 6.64 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.51 | | | | 1.13 | % | | $ | 5.75 | |
| | | | | | | | | | | | | | | | | |
CRM Long/Short Opportunities Fund - Institutional Shares | | | | | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | | $ | 1,183.60 | | | | 2.26 | % | | $ | 12.44 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,013.81 | | | | 2.26 | % | | $ | 11.47 | |
(1) | The expense ratio for CRM Long/Short Opportunities Fund includes the impact of dividend expense and net interest expense (when applicable), on securities sold short. Excluding such expenses, the ratio of expenses to average net assets would have been 1.60%. |
(2) | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 184/ 365 (to reflect the most recent one-half year period). |
CRM FUNDS DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited)
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PORTFOLIO HOLDINGS
December 31, 2020
The following tables present a summary of the portfolio holdings of each of the CRM Funds as a percentage of their total investments, before short-term investments held as collateral for loaned securities.
CRM Small Cap Value Fund-Sector Allocation | |
Common Stock | |
Financials | 24.5% |
Industrials | 22.9 |
Consumer Discretionary | 14.3 |
Technology | 9.9 |
Consumer Staples | 7.4 |
Real Estate | 4.4 |
Utilities | 3.8 |
Health Care | 3.7 |
Energy | 3.2 |
Materials | 3.1 |
Communications | 1.9 |
Short-Term Investments | 0.9 |
| | 100.0% |
CRM Small/Mid Cap Value Fund-Sector Allocation | |
Common Stock | |
Industrials | 22.8% |
Financials | 19.9 |
Consumer Discretionary | 11.2 |
Technology | 9.2 |
Materials | 9.1 |
Health Care | 6.0 |
Consumer Staples | 5.5 |
Real Estate | 5.4 |
Energy | 4.9 |
Utilities | 3.5 |
Short-Term Investments | 2.5 |
| | 100.0% |
CRM Mid Cap Value Fund - Sector Allocation | |
Common Stock | |
Industrials | 24.0% |
Financials | 15.5 |
Technology | 13.2 |
Health Care | 9.5 |
Materials | 7.9 |
Consumer Discretionary | 7.2 |
Utilities | 7.0 |
Real Estate | 5.0 |
Energy | 3.9 |
Consumer Staples | 3.5 |
Short-Term Investments | 3.3 |
| | 100.0% |
CRM All Cap Value Fund-Sector Allocation | |
Common Stock | |
Financials | 20.9% |
Industrials | 18.9 |
Technology | 16.7 |
Health Care | 10.3 |
Consumer Discretionary | 9.4 |
Consumer Staples | 6.9 |
Utilities | 3.8 |
Real Estate | 3.7 |
Energy | 2.2 |
Communications | 1.8 |
Materials | 1.7 |
Short-Term Investments | 3.7 |
| | 100.0% |
CRM FUNDS DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) (Concluded)
|
The following table presents a summary of the portfolio holdings of the CRM Long/Short Opportunities Fund as a percentage of its total net assets.
CRM Long/Short Opportunities Fund - Sector Allocation | |
Common Stock | |
Industrials | 20.9% |
Technology | 16.8 |
Consumer Discretionary | 16.5 |
Consumer Staples | 12.1 |
Health Care | 8.9 |
Financials | 7.1 |
Energy | 4.2 |
Utilities | 3.6 |
Communications | 3.1 |
Real Estate | 2.6 |
Materials | 1.2 |
Short-Term Investments | 5.0 |
Common Stock Sold Short | |
Real Estate | (0.3) |
Financials | (0.4) |
Energy | (1.6) |
Consumer Discretionary | (3.3) |
Health Care | (3.7) |
Communications | (4.5) |
Consumer Staples | (5.4) |
Technology | (5.7) |
Industrials | (9.5) |
| | 67.6% |
Portfolio holdings are subject to change at any time.
CRM FUNDS CRM SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS December 31, 2020 (Unaudited) |
| | Shares | | | | Value | |
COMMON STOCK — 98.8% |
Communications — 1.9% |
Telecommunications — 1.9% |
| | | 409,325 | | Vonage Holdings Corp.1 | | $ | 5,270,059 | |
Consumer Discretionary — 14.3% | | | | |
Apparel & Textile Products — 2.9% | | | | |
| | | 227,680 | | Steven Madden Ltd. | | | 8,041,658 | |
Consumer Services — 4.4% | | | | |
| | | 1,328,068 | | Regis Corp.1 | | | 12,204,945 | |
Home Construction — 3.3% | | | | |
| | | 218,630 | | JELD-WEN Holding, Inc.1 | | | 5,544,457 | |
| | | 119,200 | | Skyline Champion Corp.1 | | | 3,688,048 | |
| | | | | | | | 9,232,505 | |
Wholesale - Discretionary — 3.7% | | | | |
| | | 441,795 | | G-III Apparel Group Ltd.1 | | | 10,488,213 | |
Total Consumer Discretionary | | | 39,967,321 | |
Consumer Staples — 7.3% | | | | |
Beverages — 3.2% | | | | |
| | | 577,222 | | Primo Water Corp. | | | 9,050,841 | |
Household Products — 4.1% | | | | |
| | | 146,405 | | Clearwater Paper Corp.1 | | | 5,526,789 | |
| | | 243,912 | | elf Beauty, Inc.1 | | | 6,144,143 | |
| | | | | | | | 11,670,932 | |
Total Consumer Staples | | | 20,721,773 | |
Energy — 3.2% | | | | |
Oil & Gas Services & Equipment — 3.2% | | | | |
| | | 581,597 | | ChampionX Corp.1 | | | 8,898,434 | |
Financials — 24.4% | | | | |
Banking — 19.3% | | | | |
| | | 260,589 | | Amalgamated Bank, Class A | | | 3,580,493 | |
| | | 497,744 | | Associated Banc-Corp | | | 8,486,535 | |
| | | 314,585 | | BancorpSouth Bank | | | 8,632,212 | |
| | | 302,635 | | BankUnited, Inc. | | | 10,525,646 | |
| | | 350,540 | | Capitol Federal Financial, Inc. | | | 4,381,750 | |
| | | 272,935 | | Hancock Whitney Corp.1 | | | 9,285,250 | |
| | | 865,784 | | Investors Bancorp, Inc. | | | 9,142,679 | |
| | | | | | | | 54,034,565 | |
Institutional Financial Services — 2.1% | | | | |
| | | 126,773 | | Moelis & Co., Class A | | | 5,927,905 | |
Insurance — 1.7% | | | | |
| | | 98,116 | | James River Group Holdings, Ltd. | | | 4,822,401 | |
| | Shares | | | | Value | |
Financials — (continued) | | | | |
Specialty Finance — 1.3% | | | | |
| | | 73,974 | | Stewart Information Services Corp. | | $ | 3,577,383 | |
Total Financials | | | 68,362,254 | |
Health Care — 3.7% | | | | |
Medical Equipment & Devices — 3.7% | | | | |
| | | 310,458 | | Envista Holdings Corp.1 | | | 10,471,748 | |
Industrials — 22.8% | | | | |
Aerospace & Defense — 3.0% | | | | |
| | | 146,716 | | Kaman Corp. | | | 8,381,885 | |
Commercial Support Services — 2.9% | | | | |
| | | 107,384 | | Clean Harbors, Inc.1 | | | 8,171,922 | |
Electrical Equipment — 3.5% | | | | |
| | | 180,829 | | SPX Corp.1 | | | 9,862,414 | |
Engineering & Construction — 2.0% | | | | |
| | | 102,568 | | Arcosa, Inc. | | | 5,634,060 | |
Industrial Intermediate Products — 4.2% | | | | |
| | | 66,804 | | Valmont Industries, Inc. | | | 11,686,024 | |
Industrial Support Services — 2.4% | | | | |
| | | 84,781 | | Applied Industrial Technologies, Inc. | | | 6,612,070 | |
Machinery — 2.0% | | | | |
| | | 457,702 | | Mueller Water Products, Inc. - Series A | | | 5,666,351 | |
Transportation & Logistics — 2.8% | | | | |
| | | 154,093 | | Kirby Corp.1 | | | 7,986,640 | |
Total Industrials | | | 64,001,366 | |
Materials — 3.1% | | | | |
Chemicals — 3.1% | | | | |
| | | 131,228 | | GCP Applied Technologies, Inc.1 | | | 3,103,542 | |
| | | 35,228 | | Rogers Corp.1 | | | 5,470,556 | |
Total Materials | | | 8,574,098 | |
Real Estate — 4.4% | | | | |
Office — 4.4% | | | | |
| | | 227,409 | | American Assets Trust, Inc. | | | 6,567,572 | |
| | | 218,398 | | Corporate Office Properties Trust | | | 5,695,820 | |
Total Real Estate | | | 12,263,392 | |
Technology — 9.9% | | | | |
Software — 5.4% | | | | |
| | | 136,373 | | Agilysys, Inc.1 | | | 5,233,996 | |
| | | 156,592 | | Brightcove, Inc.1 | | | 2,881,293 | |
| | | 40,180 | | Envestnet, Inc.1 | | | 3,306,412 | |
| | | 296,300 | | Tufin Software Technologies Ltd.1 | | | 3,697,824 | |
| | | | | | | | 15,119,525 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 12 | |
CRM FUNDS CRM SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
| | Shares | | | | Value | |
Technology — (continued) | | | | |
Technology (Services) — 4.5% | | | | |
| | | 138,077 | | Open Lending Corp.1 | | $ | 4,827,172 | |
| | | 855,022 | | PAE, Inc.1,2 | | | 7,849,102 | |
| | | | | | | | 12,676,274 | |
Total Technology | | | 27,795,799 | |
Utilities — 3.8% | | | | |
Electric Utilities — 2.0% | | | | |
| | | 93,148 | | Black Hills Corp. | | | 5,723,944 | |
Gas & Water Utilities — 1.8% | | | | |
| | | 49,855 | | SJW Group | | | 3,457,943 | |
| | | 25,716 | | Southwest Gas Holdings, Inc. | | | 1,562,247 | |
| | | | | | | | 5,020,190 | |
Total Utilities | | | 10,744,134 | |
TOTAL COMMON STOCK (Cost $223,860,891) | | | 277,070,378 | |
| | | | | | | | | |
SHORT-TERM INVESTMENTS — 0.9% | | | | |
| | | 1,229,181 | | Blackrock Liquidity Funds Temp Cash Portfolio, Institutional Series, 0.01%3 | | | 1,229,181 | |
| | | 1,229,183 | | Federated Hermes Treasury Obligations Fund, Institutional Series, 0.01%3 | | | 1,229,183 | |
SHORT-TERM INVESTMENTS (Cost $2,458,364) | | | 2,458,364 | |
Total Investments Before Short-Term Investments Held As Collateral For Loaned Securities – 99.7% (Cost $226,319,255) | | | 279,528,742 | |
| | | | | | | | | |
| | Shares | | | | Value | |
SHORT-TERM INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES— 0.0%4 |
| | | 964 | | With Citibank NA: at 0.05%, dated 12/31/20, to be repurchased on 1/4/21, repurchase price $964 (collateralized by US Treasury Securities, par values ranging from $1 - $636, coupon rates ranging from 0.00% to 2.63%, 6/30/21 - 12/31/25; total market value $983) | | $ | 964 | |
TOTAL SHORT-TERM INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES (Cost $964) | | | 964 | |
| | | | | | | | | |
TOTAL INVESTMENTS — 99.7% (Cost $226,320,219) | | | 279,529,706 | 5 |
OTHER ASSETS IN EXCESS OF LIABILITIES- 0.3% | | | 888,086 | |
TOTAL NET ASSETS — 100.0% | | $ | 280,417,792 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 13 | |
CRM FUNDS CRM SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS (Concluded) December 31, 2020 (Unaudited) |
A Summary of inputs used to value the Fund’s investments as of December 31, 2020 is as follows (See Note 2 in Notes to Financial Statements):
| | Investments
in Securities
(Value) | | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | |
Investments in Securities: | | | | | | | | | | | | |
Common Stock | | $ | 277,070,378 | | | $ | 277,070,378 | | | | — | | | | — | |
Short-Term Investments | | | 2,458,364 | | | | 2,458,364 | | | | — | | | | — | |
Short-Term Investments Held As Collateral For Loaned Securities | | | 964 | | | | — | | | $ | 964 | | | | — | |
Total Investments in Securities | | $ | 279,529,706 | | | $ | 279,528,742 | | | $ | 964 | | | | — | |
There were no transfers into or out of Level 3 related to securities held at December 31, 2020.
1 | Non-income producing security. |
2 | Security partially or fully on loan. |
3 | Rate disclosed is the seven day effective yield as of December 31, 2020. |
4 | Percentage rounds to less than 0.1%. |
5 | At December 31, 2020, the market value of securities on loan for CRM Small Cap Value Fund was $918. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities. |
See accompanying notes to financial statements. | | CRM Funds |
| | 14 | |
CRM FUNDS CRM SMALL/MID CAP VALUE FUND SCHEDULE OF INVESTMENTS December 31, 2020 (Unaudited) |
| | Shares | | | | Value | |
COMMON STOCK — 97.6% | | | | |
Consumer Discretionary — 11.2% | | | | |
Home Construction — 1.5% | | | | |
| | | 149,350 | | Skyline Champion Corp.1 | | $ | 4,620,889 | |
Retail - Discretionary — 2.0% | | | | |
| | | 13,138 | | RH1 | | | 5,879,518 | |
Wholesale - Discretionary — 7.7% | | | | |
| | | 471,831 | | G-III Apparel Group Ltd.1 | | | 11,201,268 | |
| | | 333,395 | | LKQ Corp.1 | | | 11,748,840 | |
| | | | | | | | 22,950,108 | |
Total Consumer Discretionary | | | 33,450,515 | |
Consumer Staples — 5.5% | | | | |
Beverages — 3.2% | | | | |
| | | 617,681 | | Primo Water Corp. | | | 9,685,238 | |
Food — 2.3% | | | | |
| | | 269,085 | | Nomad Foods Ltd.1 | | | 6,840,141 | |
Total Consumer Staples | | | 16,525,379 | |
Energy — 4.9% | | | | |
Oil & Gas Producers — 1.9% | | | | |
| | | 401,542 | | Parsley Energy, Inc., Class A | | | 5,701,896 | |
Oil & Gas Services & Equipment — 1.8% | | | | |
| | | 358,104 | | ChampionX Corp.1 | | | 5,478,991 | |
Renewable Energy — 1.2% | | | | |
| | | 50,415 | | Sunrun, Inc.1 | | | 3,497,793 | |
Total Energy | | | 14,678,680 | |
Financials — 19.9% | | | | |
Banking — 12.7% | | | | |
| | | 406,784 | | Associated Banc-Corp | | | 6,935,667 | |
| | | 249,241 | | BancorpSouth Bank | | | 6,839,173 | |
| | | 215,816 | | BankUnited, Inc. | | | 7,506,080 | |
| | | 994,115 | | Investors Bancorp, Inc. | | | 10,497,854 | |
| | | 353,263 | | TFS Financial Corp. | | | 6,228,027 | |
| | | | | | | | 38,006,801 | |
Institutional Financial Services — 2.0% | | | | |
| | | 129,902 | | Moelis & Co., Class A | | | 6,074,218 | |
Insurance — 5.2% | | | | |
| | | 125,767 | | American Financial Group, Inc. | | | 11,019,705 | |
| | | 68,624 | | W.R. Berkley Corp. | | | 4,558,006 | |
| | | | | | | | 15,577,711 | |
Total Financials | | | 59,658,730 | |
| | Shares | | | | Value | |
Health Care — 6.0% | | | | |
Medical Equipment & Devices — 6.0% | | | | |
| | | 9,131 | | Bio-Rad Laboratories, Inc., Class A1 | | $ | 5,322,825 | |
| | | 377,148 | | Envista Holdings Corp.1 | | | 12,721,202 | |
| | | | | | | | 18,044,027 | |
Industrials — 22.8% | | | | |
Aerospace & Defense — 4.1% | | | | |
| | | 139,290 | | Kaman Corp. | | | 7,957,637 | |
| | | 11,073 | | Teledyne Technologies, Inc.1 | | | 4,340,395 | |
| | | | | | | | 12,298,032 | |
Commercial Support Services — 7.1% | | | | |
| | | 133,649 | | Clean Harbors, Inc.1 | | | 10,170,689 | |
| | | 182,911 | | Terminix Global Holdings, Inc.1 | | | 9,330,290 | |
| | | 23,006 | | TriNet Group, Inc.1 | | | 1,854,284 | |
| | | | | | | | 21,355,263 | |
Industrial Intermediate Products — 4.2% | | | | |
| | | 71,575 | | Valmont Industries, Inc. | | | 12,520,615 | |
Industrial Support Services — 2.3% | | | | |
| | | 88,561 | | Applied Industrial Technologies, Inc. | | | 6,906,872 | |
Machinery — 3.3% | | | | |
| | | 80,947 | | Regal-Beloit Corp. | | | 9,941,101 | |
Transportation & Logistics — 1.8% | | | | |
| | | 103,558 | | Kirby Corp.1 | | | 5,367,411 | |
Total Industrials | | | 68,389,294 | |
Materials — 9.1% | | | | |
Chemicals — 4.0% | | | | |
| | | 114,546 | | GCP Applied Technologies, Inc.1 | | | 2,709,013 | |
| | | 102,627 | | RPM International, Inc. | | | 9,316,479 | |
| | | | | | | | 12,025,492 | |
Construction Materials — 5.1% | | | | |
| | | 62,311 | | Carlisle Cos., Inc. | | | 9,731,731 | |
| | | 52,733 | | Eagle Materials, Inc. | | | 5,344,490 | |
| | | | | | | | 15,076,221 | |
Total Materials | | | 27,101,713 | |
Real Estate — 5.4% | | | | |
Office — 5.4% | | | | |
| | | 242,481 | | Corporate Office Properties Trust | | | 6,323,904 | |
| | | 205,255 | | Cousins Properties, Inc. | | | 6,876,043 | |
| | | 106,133 | | Equity Commonwealth | | | 2,895,308 | |
| | | | | | | | 16,095,255 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 15 | |
CRM FUNDS CRM SMALL/MID CAP VALUE FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
| | Shares | | | | Value | |
Technology — 9.3% | | | | |
Semiconductors — 1.5% | | | | |
| | | 42,698 | | Cree, Inc.1 | | $ | 4,521,718 | |
Software — 5.9% | | | | |
| | | 168,386 | | Clarivate PLC1,2 | | | 5,002,748 | |
| | | 52,774 | | PTC, Inc.1 | | | 6,312,298 | |
| | | 120,483 | | Tenable Holdings, Inc.1 | | | 6,296,442 | |
| | | | | | | | 17,611,488 | |
Technology Services — 1.9% | | | | |
| | | 693,795 | | Multiplan Corp.1,3 | | | 5,543,422 | |
Total Technology | | | 27,676,628 | |
Utilities — 3.5% | | | | |
Electric Utilities — 1.2% | | | | |
| | | 60,032 | | Black Hills Corp. | | | 3,688,966 | |
Gas & Water Utilities — 2.3% | | | | |
| | | 296,329 | | Nisource, Inc. | | | 6,797,788 | |
Total Utilities | | | 10,486,754 | |
TOTAL COMMON STOCK (Cost $207,423,238) | | | 292,106,975 | |
| | | | | | | | | |
SHORT-TERM INVESTMENTS — 2.4% | | | | |
| | | 3,661,459 | | Blackrock Liquidity Funds Temp Cash Portfolio, Institutional Series, 0.01%4 | | | 3,661,459 | |
| | | 3,661,459 | | Federated Hermes Treasury Obligations Fund, Institutional Series, 0.01%4 | | | 3,661,459 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $7,322,918) | | | 7,322,918 | |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES – 100.0% (Cost $214,746,156) | | | 299,429,893 | |
SHORT-TERM INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES — 2.0% |
MONEY MARKET FUNDS — 0.3% | | | | |
| | | 482,000 | | Goldman Sachs Financial Square Government Fund | | | 482,000 | |
| | | 482,000 | | JPMorgan U.S. Government Money Market Fund | | | 482,000 | |
TOTAL MONEY MARKET FUNDS (Cost $964,000) | | | 964,000 | |
| | Principal | | | | | Value | |
| REPURCHASE AGREEMENTS — 1.7% | | | |
| $ | 1,430,627 | | | With Bank of America Securities, Inc.: at 0.06%, dated 12/31/20, to be repurchased on 1/4/21, repurchase price $1,430,637 (collateralized by US Treasury Securities, par values ranging from $53,375 - $293,319, coupon rates ranging from 0.25% to 2.88%, 6/30/21 - 5/15/30; total market value $1,455,827) | | $ | 1,430,627 | |
| | 767,805 | | | With Citibank NA: at 0.05%, dated 12/31/20, to be repurchased on 1/4/21, repurchase price $767,809 (collateralized by US Treasury Securities, par values ranging from $1 - $506,759, coupon rates ranging from 0.25% to 2.63%, 3/25/21 - 1/15/28; total market value $782,879) | | | 767,805 | |
| | 1,430,627 | | | With JP Morgan Securities LLC: at 0.06%, dated 12/31/20, to be repurchased on 1/4/21, repurchase price $1,430,637 (collateralized by US Treasury Securities, par values ranging from $677,734 - $713,294, coupon rates ranging from 1.88% to 2.50%, 5/31/22 - 8/15/23; total market value $1,451,470) | | | 1,430,627 | |
| | 1,430,627 | | | With Mizuho Securities USA, LLC.: at 0.05%, dated 12/31/20, to be repurchased on 1/4/21, repurchase price $1,430,635 (collateralized by US Treasury Securities, par values ranging from $4 - $326,562, coupon rates ranging from 0.25% to 2.75%, 7/31/21 - 12/31/25; total market value $1,454,055) | | | 1,430,627 | |
| | TOTAL REPURCHASE AGREEMENTS (Cost $5,059,686) | | | 5,059,686 | |
| | TOTAL SHORT-TERM INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES (Cost $6,023,686) | | | 6,023,686 | |
| | | | | | | | | |
| | TOTAL INVESTMENTS — 102.0% (Cost $220,769,842) | | | 305,453,579 | 5 |
| | LIABILITIES IN EXCESS OF OTHER ASSETS — (2.0)% | | | (5,916,382 | ) |
| | NET ASSETS — 100.0% | | $ | 299,537,197 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 16 | |
CRM FUNDS CRM SMALL/MID CAP VALUE FUND SCHEDULE OF INVESTMENTS (Concluded) December 31, 2020 (Unaudited) |
A Summary of inputs used to value the Fund’s investments as of December 31, 2020 is as follows (See Note 2 in Notes to Financial Statements):
| | Investments
in Securities
(Value) | | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | |
Investments in Securities: | | | | | | | | | | | | |
Common Stock | | $ | 292,106,975 | | | $ | 292,106,975 | | | | — | | | | — | |
Short-Term Investments | | | 7,322,918 | | | | 7,322,918 | | | | — | | | | — | |
Short-Term Investments Held As Collateral For Loaned Securities | | | 6,023,686 | | | | 964,000 | | | $ | 5,059,686 | | | | — | |
Total Investments in Securities | | $ | 305,453,579 | | | $ | 300,393,893 | | | $ | 5,059,686 | | | | — | |
There were no transfers into or out of Level 3 related to securities held at December 31, 2020.
1 | Non-income producing security. |
2 | PLC - Public Limited Company. |
3 | Security partially or fully on loan. |
4 | Rate disclosed is the seven day effective yield as of December 31, 2020. |
5 | At December 31, 2020, the market value of securities on loan for CRM Small/Mid Cap Value Fund was $5,543,422. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities. |
See accompanying notes to financial statements. | | CRM Funds |
| | 17 | |
CRM FUNDS CRM MID CAP VALUE FUND SCHEDULE OF INVESTMENTS December 31, 2020 (Unaudited) |
| | Shares | | | | Value | |
COMMON STOCK — 98.0% |
Consumer Discretionary — 7.3% |
Apparel & Textile Products — 3.2% |
| | | 370,926 | | Steven Madden Ltd. | | $ | 13,101,106 | |
Wholesale - Discretionary — 4.1% |
| | | 480,681 | | LKQ Corp.1 | | | 16,939,199 | |
Total Consumer Discretionary | | | 30,040,305 | |
Consumer Staples — 3.6% |
Food — 3.6% | | | | |
| | | 385,548 | | Nomad Foods Ltd.1 | | | 9,800,630 | |
| | | 115,651 | | TreeHouse Foods, Inc.1 | | | 4,914,011 | |
| | | | | | | | 14,714,641 | |
Energy — 3.9% |
Oil & Gas Producers — 1.8% |
| | | 64,979 | | Pioneer Natural Resources Co. | | | 7,400,458 | |
Oil & Gas Services & Equipment — 2.1% |
| | | 562,385 | | ChampionX Corp.1 | | | 8,604,491 | |
Total Energy | | | 16,004,949 | |
Financials — 15.6% |
Banking — 7.5% |
| | | 320,139 | | BancorpSouth Bank | | | 8,784,614 | |
| | | 374,097 | | BankUnited, Inc. | | | 13,011,094 | |
| | | 852,350 | | Investors Bancorp, Inc. | | | 9,000,816 | |
| | | | | | | | 30,796,524 | |
Institutional Financial Services — 2.2% |
| | | 125,907 | | State Street Corp. | | | 9,163,511 | |
Insurance — 5.9% |
| | | 180,577 | | American Financial Group, Inc. | | | 15,822,157 | |
| | | 126,860 | | W.R. Berkley Corp. | | | 8,426,041 | |
| | | | | | | | 24,248,198 | |
Total Financials | | | 64,208,233 | |
Health Care — 9.6% |
Medical Equipment & Devices — 9.6% |
| | | 457,136 | | Avantor, Inc.1 | | | 12,868,378 | |
| | | 13,018 | | Bio-Rad Laboratories, Inc., Class A1 | | | 7,588,713 | |
| | | 563,684 | | Envista Holdings Corp.1 | | | 19,013,062 | |
| | | | | | | | 39,470,153 | |
Industrials — 24.4% |
Aerospace & Defense — 1.5% |
| | | 15,859 | | Teledyne Technologies, Inc.1 | | | 6,216,411 | |
Commercial Support Services — 3.9% |
| | | 260,169 | | Terminix Global Holdings, Inc.1 | | | 13,271,220 | |
| | Shares | | | | Value | |
Industrials — (continued) | | | | |
Commercial Support Services — (continued) | | | | |
| | | 33,258 | | TriNet Group, Inc.1 | | $ | 2,680,595 | |
| | | | | | | | 15,951,815 | |
Diversified Industrials — 2.9% |
| | | 93,881 | | Dover Corp. | | | 11,852,476 | |
Electrical Equipment — 5.4% |
| | | 77,486 | | AMETEK, Inc. | | | 9,371,157 | |
| | | 187,178 | | Otis Worldwide Corp. | | | 12,643,875 | |
| | | | | | | | 22,015,032 | |
Industrial Intermediate Products — 4.3% |
| | | 101,396 | | Valmont Industries, Inc. | | | 17,737,202 | |
Industrial Support Services — 2.5% |
| | | 128,079 | | Applied Industrial Technologies, Inc. | | | 9,988,881 | |
Machinery — 3.9% |
| | | 131,365 | | Regal-Beloit Corp. | | | 16,132,936 | |
Total Industrials | | | 99,894,753 | |
Materials — 8.0% |
Chemicals — 3.4% |
| | | 154,938 | | RPM International, Inc. | | | 14,065,272 | |
Construction Materials — 4.6% |
| | | 83,394 | | Carlisle Cos., Inc. | | | 13,024,474 | |
| | | 38,902 | | Vulcan Materials Co. | | | 5,769,556 | |
| | | | | | | | 18,794,030 | |
Total Materials | | | 32,859,302 | |
Real Estate — 5.1% |
Office — 3.6% |
| | | 287,067 | | Cousins Properties, Inc. | | | 9,616,745 | |
| | | 180,340 | | Equity Commonwealth | | | 4,919,675 | |
| | | | | | | | 14,536,420 | |
Specialized — 1.5% |
| | | 8,830 | | Equinix, Inc. | | | 6,306,209 | |
| | | | | | | | | |
Total Real Estate | | | 20,842,629 | |
Technology — 13.4% |
Semiconductors — 2.5% | | | | |
| | | 73,163 | | Microchip Technology, Inc. | | | 10,104,542 | |
Software — 6.0% |
| | | 226,594 | | Clarivate PLC1,2 | | | 6,732,108 | |
| | | 73,102 | | PTC, Inc.1 | | | 8,743,730 | |
| | | 173,411 | | Tenable Holdings, Inc.1 | | | 9,062,458 | |
| | | | | | | | 24,538,296 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 18 | |
CRM FUNDS CRM MID CAP VALUE FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
| | Shares | | | | Value | |
Technology — (continued) |
Technology Services — 4.9% |
| | | 51,946 | | Morningstar, Inc. | | $ | 12,029,136 | |
| | | 997,663 | | Multiplan Corp.1,3 | | | 7,971,327 | |
| | | | | | | | 20,000,463 | |
Total Technology | | | 54,643,301 | |
Utilities — 7.1% |
Electric Utilities — 2.3% |
| | | 156,313 | | Black Hills Corp. | | | 9,605,434 | |
Gas & Water Utilities — 4.8% |
| | | 84,218 | | Atmos Energy Corp. | | | 8,036,924 | |
| | | 503,221 | | Nisource, Inc. | | | 11,543,889 | |
| | | | | | | | 19,580,813 | |
Total Utilities | | | 29,186,247 | |
TOTAL COMMON STOCK (Cost $283,156,304) | | | 401,864,513 | |
| | | | | | | | | |
SHORT-TERM INVESTMENTS — 3.4% |
| | | 6,873,575 | | Blackrock Liquidity Funds Temp Cash Portfolio, Institutional Series, 0.01%4 | | | 6,873,575 | |
| | | 6,873,576 | | Federated Hermes Treasury Obligations Fund, Institutional Series, 0.01%4 | | | 6,873,576 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $13,747,151) | | | 13,747,151 | |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES – 101.4% (Cost $296,903,455) | | | 415,611,664 | |
| | | | | | | | | |
COLLATERAL FOR SECURITIES LOANED — 1.3% |
MONEY MARKET FUNDS — 0.2% |
| | | 436,000 | | Goldman Sachs Financial Square Government Fund | | | 436,000 | |
| | | 281,000 | | JPMorgan U.S. Government Money Market Fund | | | 281,000 | |
TOTAL MONEY MARKET FUNDS (Cost $717,000) | | | 717,000 | |
| | | | | | | | | |
| | Principal | | | | | Value | |
| | REPURCHASE AGREEMENTS — 1.1% | | | | |
| $ | 1,292,071 | | | With Bank of America Securities, Inc.: at 0.06%, dated 12/31/20, to be repurchased on 1/4/21, repurchase price $1,292,080 (collateralized by US Treasury Securities, par values ranging from $48,205 - $264,911, coupon rates ranging from 0.25% to 2.88%, 6/30/21 - 5/15/30; total market value $1,314,830) | | $ | 1,292,071 | |
| | 847,078 | | | With Citigroup Global Markets, Inc.: at 0.05%, dated 12/31/20, to be repurchased on 1/4/21, repurchase price $847,083 (collateralized by US Treasury Securities, par values ranging from $1 - $737,252, coupon rates ranging from 0.25% to 2.75%, 4/30/25 - 2/15/50; total market value $863,144) | | | 847,078 | |
| | 1,292,071 | | | With JP Morgan Securities LLC: at 0.06%, dated 12/31/20, to be repurchased on 1/4/21, repurchase price $1,292,080 (collateralized by US Treasury Securities, par values ranging from $612,096 - $644,212, coupon rates ranging from 1.88% to 2.50%, 5/31/22 - 8/15/23; total market value $1,310,896) | | | 1,292,071 | |
| | 1,292,071 | | | With Mizuho Securities USA, LLC.: at 0.05%, dated 12/31/20, to be repurchased on 1/4/21, repurchase price $1,292,078 (collateralized by US Treasury Securities, par values ranging from $4 - $294,935, coupon rates ranging from 0.25% to 2.75%, 7/31/21 - 12/31/25; total market value $1,313,230) | | | 1,292,071 | |
| | TOTAL REPURCHASE AGREEMENTS (Cost $4,723,291) | | | 4,723,291 | |
| | TOTAL SHORT-TERM INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES (Cost $5,440,291) | | | 5,440,291 | |
| | | | | | | | | |
| | TOTAL INVESTMENTS — 102.7% (Cost $302,343,746) | | | 421,051,955 | 5 |
| | LIABILITIES IN EXCESS OF OTHER ASSETS — (2.7)% | | | (10,950,175 | ) |
| | NET ASSETS — 100.0% | | $ | 410,101,780 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 19 | |
CRM FUNDS CRM MID CAP VALUE FUND SCHEDULE OF INVESTMENTS (Concluded) December 31, 2020 (Unaudited) |
A Summary of inputs used to value the Fund’s investments as of December 31, 2020 is as follows (See Note 2 in Notes to Financial Statements):
| | Investments
in Securities
(Value) | | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | |
Investments in Securities: | | | | | | | | | | | | |
Common Stock | | $ | 401,864,513 | | | $ | 401,864,513 | | | | — | | | | — | |
Short-Term Investments | | | 13,747,151 | | | | 13,747,151 | | | | — | | | | — | |
Short-Term Investments Held As Collateral For Loaned Securities | | | 5,440,291 | | | | 717,000 | | | $ | 4,723,291 | | | | — | |
Total Investments in Securities | | $ | 421,051,955 | | | $ | 416,328,664 | | | $ | 4,723,291 | | | | — | |
There were no transfers into or out of Level 3 related to securities held at December 31, 2020.
1 | Non-income producing security. |
2 | PLC - Public Limited Company. |
3 | Security partially or fully on loan. |
4 | Rate disclosed is the seven day effective yield as of December 31, 2020. |
5 | At December 31, 2020, the market value of securities on loan for CRM Mid Cap Value Fund was $4,967,535. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities. |
See accompanying notes to financial statements. | | CRM Funds |
| | 20 | |
CRM FUNDS CRM ALL CAP VALUE FUND SCHEDULE OF INVESTMENTS December 31, 2020 (Unaudited) |
| | Shares | | | | Value | |
COMMON STOCK — 95.5% | | | | |
Communications — 1.8% | | | | |
Telecommunications — 1.8% | | | | |
| | | 47,350 | | Vonage Holdings Corp.1 | | $ | 609,631 | |
Consumer Discretionary — 9.4% | | | | |
Apparel & Textile Products — 2.9% | | | | |
| | | 27,938 | | Steven Madden Ltd. | | | 986,770 | |
Retail - Discretionary — 1.8% | | | | |
| | | 1,388 | | RH1 | | | 621,158 | |
Wholesale - Discretionary — 4.7% | | | | |
| | | 28,788 | | G-III Apparel Group Ltd.1 | | | 683,427 | |
| | | 25,267 | | LKQ Corp.1 | | | 890,409 | |
| | | | | | | | 1,573,836 | |
Total Consumer Discretionary | | | 3,181,764 | |
Consumer Staples — 6.8% | | | | |
Beverages — 3.5% | | | | |
| | | 76,265 | | Primo Water Corp. | | | 1,195,836 | |
Household Products — 3.3% | | | | |
| | | 44,360 | | elf Beauty, Inc.1 | | | 1,117,428 | |
Total Consumer Staples | | | 2,313,264 | |
Energy — 2.2% | | | | |
Oil & Gas Services & Equipment — 2.2% | | | | |
| | | 48,377 | | ChampionX Corp.1 | | | 740,168 | |
Financials — 20.8% | | | | |
Banking — 9.2% | | | | |
| | | 21,542 | | BancorpSouth Bank | | | 591,112 | |
| | | 26,094 | | BankUnited, Inc. | | | 907,549 | |
| | | 71,839 | | Investors Bancorp, Inc. | | | 758,620 | |
| | | 6,867 | | JPMorgan Chase & Co. | | | 872,590 | |
| | | | | | | | 3,129,871 | |
Institutional Financial Services — 2.8% | | | | |
| | | 13,256 | | State Street Corp. | | | 964,772 | |
Insurance — 8.8% | | | | |
| | | 13,221 | | American Financial Group, Inc. | | | 1,158,423 | |
| | | 26,395 | | American International Group, Inc. | | | 999,315 | |
| | | 12,242 | | W.R. Berkley Corp. | | | 813,114 | |
| | | | | | | | 2,970,852 | |
Total Financials | | | 7,065,495 | |
Health Care — 10.2% | | | | |
Biotech & Pharma — 2.2% | | | | |
| | | 4,769 | | Johnson & Johnson | | | 750,545 | |
| | Shares | | | | Value | |
Health Care — (continued) | | | | |
Medical Equipment & Devices — 8.0% | | | | |
| | | 38,328 | | Avantor, Inc.1 | | $ | 1,078,934 | |
| | | 2,807 | | Danaher Corp. | | | 623,547 | |
| | | 29,776 | | Envista Holdings Corp.1 | | | 1,004,344 | |
| | | | | | | | 2,706,825 | |
Total Health Care | | | 3,457,370 | |
Industrials — 18.7% | | | | |
Aerospace & Defense — 4.0% | | | | |
| | | 23,949 | | Kaman Corp. | | | 1,368,206 | |
Commercial Support Services — 2.0% | | | | |
| | | 13,465 | | Terminix Global Holdings, Inc.1 | | | 686,850 | |
Electrical Equipment — 1.7% | | | | |
| | | 8,612 | | Otis Worldwide Corp. | | | 581,741 | |
Industrial Intermediate Products — 3.5% | | | | |
| | | 6,771 | | Valmont Industries, Inc. | | | 1,184,451 | |
Machinery — 4.1% | | | | |
| | | 11,236 | | Regal-Beloit Corp. | | | 1,379,893 | |
Transportation & Logistics — 3.4% | | | | |
| | | 22,613 | | Kirby Corp.1 | | | 1,172,032 | |
Total Industrials | | | 6,373,173 | |
Materials — 1.7% | | | | |
Chemicals — 1.7% | | | | |
| | | 6,454 | | RPM International, Inc. | | | 585,894 | |
Real Estate — 3.7% | | | | |
Office — 1.8% | | | | |
| | | 17,847 | | Cousins Properties, Inc. | | | 597,875 | |
Specialized — 1.9% | | | | |
| | | 931 | | Equinix, Inc. | | | 664,901 | |
Total Real Estate | | | 1,262,776 | |
Technology — 16.5% | | | | |
Semiconductors — 5.3% | | | | |
| | | 1,558 | | Broadcom, Inc. | | | 682,170 | |
| | | 5,044 | | Cree, Inc.1 | | | 534,160 | |
| | | 4,186 | | Microchip Technology, Inc. | | | 578,128 | |
| | | | | | | | 1,794,458 | |
Software — 7.6% | | | | |
| | | 19,066 | | Clarivate PLC1,2 | | | 566,451 | |
| | | 3,364 | | Microsoft Corp. | | | 748,221 | |
| | | 4,469 | | PTC, Inc.1 | | | 534,537 | |
| | | 14,479 | | Tenable Holdings, Inc.1 | | | 756,673 | |
| | | | | | | | 2,605,882 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 21 | |
CRM FUNDS CRM ALL CAP VALUE FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
| | Shares | | | | Value | |
Technology — (continued) | | | | |
Technology Services — 3.6% | | | | |
| | | 76,434 | | Multiplan Corp.1 | | $ | 610,708 | |
| | | 44,573 | | Paya Holdings, Inc.1 | | | 605,301 | |
| | | | | | | | 1,216,009 | |
Total Technology | | | 5,616,349 | |
Utilities — 3.7% | | | | |
Electric Utilities — 2.4% | | | | |
| | | 10,636 | | NextEra Energy, Inc. | | | 820,567 | |
Gas & Water Utilities — 1.3% | | | | |
| | | 4,713 | | Atmos Energy Corp. | | | 449,762 | |
Total Utilities | | | 1,270,329 | |
TOTAL COMMON STOCK (Cost $24,408,267) | | | 32,476,213 | |
| | Shares | | | | Value | |
SHORT-TERM INVESTMENTS — 3.7% | | | | |
| | | 628,338 | | Blackrock Liquidity Funds Temp Cash Portfolio, Institutional Series, 0.01%3 | | $ | 628,338 | |
| | | 628,337 | | Federated Hermes Treasury Obligations Fund, Institutional Series, 0.01%3 | | | 628,337 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $1,256,675) | | | 1,256,675 | |
TOTAL INVESTMENTS — 99.2% (Cost $25,664,942) | | | 33,732,888 | |
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8% | | | 257,540 | |
NET ASSETS — 100.0% | | $ | 33,990,428 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 22 | |
CRM FUNDS CRM ALL CAP VALUE FUND SCHEDULE OF INVESTMENTS (Concluded) December 31, 2020 (Unaudited) |
A summary of inputs used to value the Fund’s investments as of December 31, 2020 is as follows (See Note 2 in Notes to Financial Statements):
| | Investments
in Securities
(Value) | | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | |
Investments in Securities: | | | | | | | | | | | | |
Common Stock | | $ | 32,476,213 | | | $ | 32,476,213 | | | | — | | | | — | |
Short-Term Investments | | | 1,256,675 | | | | 1,256,675 | | | | — | | | | — | |
Total investments in Securities | | $ | 33,732,888 | | | $ | 33,732,888 | | | | — | | | | — | |
There were no transfers into or out of Level 3 related to securities held at December 31, 2020.
1 | Non-income producing security. |
2 | PLC - Public Limited Company. |
3 | Rate disclosed is the seven day effective yield as of December 31, 2020. |
See accompanying notes to financial statements. | | CRM Funds |
| | 23 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS December 31, 2020 (Unaudited) |
| | Shares | | | | Value | |
COMMON STOCK — 97.0% | | | | |
Communications — 3.1% | | | | |
Internet Media & Services — 3.1% | | | | |
| | | 1,272 | | Booking Holdings, Inc.1 | | $ | 2,833,087 | |
Consumer Discretionary — 16.5% | | | | |
Apparel & Textile Products — 3.0% | | | | |
| | | 78,114 | | Steven Madden Ltd. | | | 2,758,986 | |
Consumer Services — 2.5% | | | | |
| | | 246,851 | | Regis Corp.1 | | | 2,268,561 | |
Home Construction — 1.8% | | | | |
| | | 54,711 | | Skyline Champion Corp.1 | | | 1,692,758 | |
Retail - Discretionary — 1.9% | | | | |
| | | 3,892 | | RH1 | | | 1,741,748 | |
Wholesale - Discretionary — 7.3% | | | | |
| | | 136,811 | | G-III Apparel Group Ltd.1 | | | 3,247,893 | |
| | | 96,462 | | LKQ Corp.1 | | | 3,399,322 | |
| | | | | | | | 6,647,215 | |
Total Consumer Discretionary | | | 15,109,268 | |
Consumer Staples — 12.1% | | | | |
Beverages — 3.7% | | | | |
| | | 215,021 | | Primo Water Corp. | | | 3,371,529 | |
Food — 2.4% | | | | |
| | | 88,250 | | Nomad Foods Ltd.1 | | | 2,243,315 | |
Household Products — 6.0% | | | | |
| | | 49,445 | | Clearwater Paper Corp.1 | | | 1,866,549 | |
| | | 143,439 | | elf Beauty, Inc.1 | | | 3,613,228 | |
| | | | | | | | 5,479,777 | |
Total Consumer Staples | | | 11,094,621 | |
Energy — 4.2% | | | | |
Renewable Energy — 4.2% | | | | |
| | | 55,283 | | Sunrun, Inc.1 | | | 3,835,534 | |
Financials — 7.1% | | | | |
Banking — 5.8% | | | | |
| | | 38,539 | | Hancock Whitney Corp.1 | | | 1,311,097 | |
| | | 31,607 | | JPMorgan Chase & Co. | | | 4,016,301 | |
| | | | | | | | 5,327,398 | |
Specialty Finance — 1.3% | | | | |
| | | 24,253 | | Stewart Information Services Corp. | | | 1,172,875 | |
Total Financials | | | 6,500,273 | |
| | Shares | | | | Value | |
Health Care — 8.9% | | | | |
Medical Equipment & Devices — 8.9% | | | | |
| | | 86,276 | | Avantor, Inc.1 | | $ | 2,428,669 | |
| | | 8,779 | | Danaher Corp. | | | 1,950,167 | |
| | | 112,270 | | Envista Holdings Corp.1 | | | 3,786,868 | |
Total Health Care | | | 8,165,704 | |
Industrials — 20.9% | | | | |
Aerospace & Defense — 2.6% | | | | |
| | | 41,604 | | Kaman Corp. | | | 2,376,836 | |
Commercial Support Services — 5.3% | | | | |
| | | 35,851 | | Clean Harbors, Inc.1 | | | 2,728,260 | |
| | | 42,487 | | Terminix Global Holdings, Inc.1 | | | 2,167,262 | |
| | | | | | | | 4,895,522 | |
Electrical Equipment — 2.9% | | | | |
| | | 39,016 | | Otis Worldwide Corp. | | | 2,635,531 | |
Industrial Intermediate Products — 4.6% | | | | |
| | | 23,987 | | Valmont Industries, Inc. | | | 4,196,046 | |
Machinery — 3.1% | | | | |
| | | 22,785 | | Regal-Beloit Corp. | | | 2,798,226 | |
Transportation & Logistics — 2.4% | | | | |
| | | 42,412 | | Kirby Corp.1 | | | 2,198,214 | |
Total Industrials | | | 19,100,375 | |
Materials — 1.2% | | | | |
Construction Materials — 1.2% | | | | |
| | | 11,159 | | Eagle Materials, Inc. | | | 1,130,965 | |
Real Estate — 2.6% | | | | |
Specialized — 2.6% | | | | |
| | | 3,331 | | Equinix, Inc. | | | 2,378,934 | |
Technology — 16.8% | | | | |
Semiconductors — 1.7% | | | | |
| | | 10,185 | | QUALCOMM, Inc. | | | 1,551,583 | |
Software — 11.1% | | | | |
| | | 873 | | C3.ai, Inc.1 | | | 121,129 | |
| | | 64,562 | | Clarivate PLC1,2 | | | 1,918,137 | |
| | | 27,907 | | Jamf Holding Corp.1 | | | 834,977 | |
| | | 8,818 | | Microsoft Corp. | | | 1,961,300 | |
| | | 12,841 | | PTC, Inc.1 | | | 1,535,912 | |
| | | 73,815 | | Tenable Holdings, Inc.1 | | | 3,857,572 | |
| | | | | | | | 10,229,027 | |
Technology Services — 4.0% | | | | |
| | | 322,396 | | PAE, Inc.1 | | | 2,959,595 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 24 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
| | Shares | | | | Value | |
Technology — (continued) | | | | |
Technology Services — (continued) | | | | |
| | | 50,400 | | Paya Holdings, Inc.1 | | $ | 684,432 | |
| | | | | | | | 3,644,027 | |
Total Technology | | | 15,424,637 | |
Utilities — 3.6% | | | | |
Electric Utilities — 3.6% | | | | |
| | | 42,941 | | NextEra Energy, Inc. | | | 3,312,898 | |
TOTAL COMMON STOCK (Cost $65,067,153) | | | 88,886,296 | |
SHORT-TERM INVESTMENTS — 5.0% | | | | |
| | | 2,283,760 | | Blackrock Liquidity Funds Temp Cash Portfolio, Institutional Series, 0.01%3 | | | 2,283,760 | |
| | | 2,283,760 | | Federated Hermes Treasury Obligations Fund, Institutional Series, 0.01%3 | | | 2,283,760 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $4,567,520) | | | 4,567,520 | |
TOTAL INVESTMENTS IN SECURITIES – 102.0% (Cost $69,634,673) | | | 93,453,816 | |
COMMON STOCK SOLD SHORT— (34.4)% | | | | |
Communications — (4.5)% | | | | |
Advertising & Marketing — (0.6)% | | | | |
| | | (9,062 | ) | Omnicom Group, Inc. | | | (565,197 | ) |
Entertainment Content — (1.1)% | | | | |
| | | (36,306 | ) | Fox Corp., Class A | | | (1,057,231 | ) |
Publishing & Broadcasting — (0.9)% | | | | |
| | | (86,938 | ) | Pearson PLC2 | | | (797,951 | ) |
Telecommunications — (1.9)% | | | | |
| | | (59,566 | ) | AT&T, Inc. | | | (1,713,118 | ) |
Total Communications | | | (4,133,497 | ) |
Consumer Discretionary — (3.3)% | | | | |
Consumer Services — (1.3)% | | | | |
| | | (6,389 | ) | Adtalem Global Education, Inc. | | | (216,907 | ) |
| | | (9,945 | ) | Strategic Education, Inc. | | | (948,057 | ) |
| | | | | | | | (1,164,964 | ) |
Leisure Facilities & Services — (0.6)% | | | | |
| | | (6,536 | ) | Shake Shack, Inc., Class A | | | (554,122 | ) |
| | Shares | | | | Value | |
Consumer Discretionary — (continued) | | | | |
Retail — Discretionary — (1.4)% | | | | |
| | | (7,100 | ) | Canadian Tire Corp. Ltd. | | $ | (933,688 | ) |
| | | (15,602 | ) | Guess?, Inc. | | | (352,917 | ) |
| | | | | | | | (1,286,605 | ) |
Total Consumer Discretionary | | | (3,005,691 | ) |
Consumer Staples — (5.4)% | | | | |
Food — (3.2)% | | | | |
| | | (30,459 | ) | B&G Foods, Inc. | | | (844,628 | ) |
| | | (7,102 | ) | JM Smucker Co. (The) | | | (820,991 | ) |
| | | (20,137 | ) | Kellogg Co. | | | (1,253,126 | ) |
| | | | | | | | (2,918,745 | ) |
Retail — Consumer Staples — (2.2)% | | | | |
| | | (64,790 | ) | Kroger Co. (The) | | | (2,057,730 | ) |
Total Consumer Staples | | | (4,976,475 | ) |
Energy — (1.6)% | | | | |
Renewable Energy — (1.6)% | | | | |
| | | (4,711 | ) | SolarEdge Technologies, Inc. | | | (1,503,374 | ) |
Financials — (0.4)% | | | | |
Banking — (0.4)% | | | | |
| | | (6,900 | ) | National Bank of Canada | | | (388,485 | ) |
Health Care — (3.7)% | | | | |
Health Care Facilities & Services — (2.1)% | | | | |
| | | (13,747 | ) | HealthEquity, Inc. | | | (958,303 | ) |
| | | (2,325 | ) | Humana, Inc. | | | (953,878 | ) |
| | | | | | | | (1,912,181 | ) |
Medical Equipment & Devices — (1.6)% | | | | |
| | | (8,489 | ) | Integer Holdings Corp. | | | (689,222 | ) |
| | | (2,673 | ) | West Pharmaceutical Services, Inc. | | | (757,288 | ) |
| | | | | | | | (1,446,510 | ) |
Total Health Care | | | (3,358,691 | ) |
Industrials — (9.5)% | | | | |
Commercial Support Services — (1.9)% | | | | |
| | | (66,426 | ) | Harsco Corp. | | | (1,194,339 | ) |
| | | (9,117 | ) | Robert Half International, Inc. | | | (569,630 | ) |
| | | | | | | | (1,763,969 | ) |
Electrical Equipment — (3.9)% | | | | |
| | | (8,510 | ) | Acuity Brands, Inc. | | | (1,030,476 | ) |
| | | (14,903 | ) | Belden, Inc. | | | (624,436 | ) |
| | | (36,900 | ) | Bloom Energy Corporation | | | (1,057,554 | ) |
| | | (19,606 | ) | Signify NV | | | (823,146 | ) |
| | | | | | | | (3,535,612 | ) |
See accompanying notes to financial statements. | | CRM Funds |
| | 25 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
| | Shares | | | | Value | |
Industrials — (continued) | | | | |
Industrial Intermediate Prod — (1.0)% | | | | |
| | | (6,202 | ) | Proto Labs, Inc. | | $ | (951,387 | ) |
Industrial Support Services — (0.8)% | | | | |
| | | (32,558 | ) | Resideo Technologies, Inc. | | | (692,183 | ) |
Transportation Equipment — (1.9)% | | | | |
| | | (2,986 | ) | PACCAR, Inc. | | | (257,632 | ) |
| | | (18,362 | ) | Volvo AB, Class B | | | (434,727 | ) |
| | | (14,764 | ) | Westinghouse Air Brake Technologies Corp. | | | (1,080,725 | ) |
| | | | | | | | (1,773,084 | ) |
Total Industrials | | | (8,716,235 | ) |
Real Estate — (0.3)% | | | | |
Office — (0.3)% | | | | |
| | | (4,461 | ) | SL Green Realty Corp. | | | (265,786 | ) |
Technology — (5.7)% | | | | |
Software — (5.7)% | | | | |
| | | (88,586 | ) | BlackBerry Ltd. | | | (587,325 | ) |
| | | (7,991 | ) | Citrix Systems, Inc. | | | (1,039,629 | ) |
| | | (11,656 | ) | Guidewire Software, Inc. | | | (1,500,477 | ) |
| | | (10,877 | ) | Qualys, Inc. | | | (1,325,580 | ) |
| | | (32,574 | ) | Teradata Corporation | | | (731,938 | ) |
Total Technology | | | (5,184,949 | ) |
TOTAL COMMON STOCK SOLD SHORT — (Proceeds - $28,994,239) | | | (31,533,183 | ) |
OTHER ASSETS IN EXCESS OF LIABILITIES — 32.4% | | | 29,706,785 | |
NET ASSETS — 100.0% | | $ | 91,627,418 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 26 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
A Summary of inputs used to value the Fund’s investments as of December 31, 2020 is as follows (See Note 2 in Notes to Financial Statements):
| | Investments
in Securities
(Value) | | | Level 1
Quoted
Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | |
Assets: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Common Stock | | $ | 88,886,296 | | | $ | 88,886,296 | | | | — | | | | — | |
Short-Term Investments | | | 4,567,520 | | | | 4,567,520 | | | | — | | | | — | |
Total Assets – Investments in Securities | | $ | 93,453,816 | | | $ | 93,453,816 | | | | — | | | | — | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | |
Total Return Swap Agreements – Equity Contracts | | $ | 1,093,284 | | | | — | | | $ | 1,093,284 | | | | — | |
Total Assets – Other Financial Instruments | | $ | 1,093,284 | | | | — | | | $ | 1,093,284 | | | | — | |
Liabilities: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Common Stock Sold Short | | $ | (31,533,183 | ) | | $ | (31,533,183 | ) | | | — | | | | — | |
Total Assets – Investments in Securities | | $ | (31,533,183 | ) | | $ | (31,533,183 | ) | | | — | | | | — | |
Other Financial Instruments:* | | | | | | | | | | | | | | | | |
Total Return Swap Agreements – Equity Contracts | | $ | (289,315 | ) | | | — | | | $ | (289,315 | ) | | | — | |
Total Liabilities – Other Financial Instruments | | $ | (289,315 | ) | | | — | | | $ | (289,315 | ) | | | — | |
* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as total return swap agreements, which are recorded at fair value.
There were no transfers into or out of Level 3 related to securities held at December 31, 2020.
1 | Non-income producing security. |
2 | PLC - Public Limited Company. |
3 | Rate disclosed is the seven day effective yield as of December 31, 2020. |
See accompanying notes to financial statements. | | CRM Funds |
| | 27 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
OTC Total return swap agreements outstanding at December 31, 2020:
Counterparty | Financing
Rate(1) | | Termination
Date | | | Long (Short)
Notional
Amount(2) | | Reference
Entity | | Fair
Value | | | Upfront
Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Morgan Stanley | 0.74% (Fed Funds Rate + 0.65%) | | | 03/21/2022 | | | $ | 2,878,211 | | American International Group | | $ | (206,798 | ) | | $ | — | | | $ | (206,798 | ) |
Morgan Stanley | 0.74% (Fed Funds Rate + 0.65%) | | | 03/21/2022 | | | | 2,609,392 | | Canadian National Railway | | | (19,183 | ) | | | — | | | | (19,183 | ) |
Morgan Stanley | 0.74% (Fed Funds Rate + 0.65%) | | | 03/21/2022 | | | | 2,841,450 | | Walt Disney Company | | | 1,083,366 | | | | — | | | | 1,083,366 | |
Morgan Stanley | (0.36%) (Fed Funds Rate minus 0.45%) | | | 07/28/2021 | | | | (1,034,687 | ) | Morgan Stanley Custom Swap (MSCMS199) Index(3) | | | 1,649 | | | | — | | | | 1,649 | |
Morgan Stanley | (0.36%) (Fed Funds Rate minus 0.45%) | | | 07/28/2021 | | | | (1,046,517 | ) | Morgan Stanley Custom Swap (MSCMS200) Index(3) | | | (3,398 | ) | | | — | | | | (3,398 | ) |
Morgan Stanley | (0.36%) (Fed Funds Rate minus 0.45%) | | | 07/28/2021 | | | | (1,066,816 | ) | Morgan Stanley Custom Swap (MSCMS201) Index(3) | | | (1,773 | ) | | | — | | | | (1,773 | ) |
Morgan Stanley | (0.36%) (Fed Funds Rate minus 0.45%) | | | 07/28/2021 | | | | (1,069,674 | ) | Morgan Stanley Custom Swap (MSCMS202) Index(3) | | | 8,269 | | | | — | | | | 8,269 | |
Morgan Stanley | (0.36%) (Fed Funds Rate minus 0.45%) | | | 07/28/2021 | | | | (1,050,293 | ) | Morgan Stanley Custom Swap (MSCMS203) Index(3) | | | (25,779 | ) | | | — | | | | (25,779 | ) |
Morgan Stanley | (0.36%) (Fed Funds Rate minus 0.45%) | | | 07/28/2021 | | | | (1,068,999 | ) | Morgan Stanley Custom Swap (MSCMS204) Index(3) | | | (10,795 | ) | | | — | | | | (10,795 | ) |
Morgan Stanley | (0.36%) (Fed Funds Rate minus 0.45%) | | | 07/28/2021 | | | | (1,064,507 | ) | Morgan Stanley Custom Swap (MSCMS205) Index(3) | | | (6,730 | ) | | | — | | | | (6,730 | ) |
Morgan Stanley | (0.36%) (Fed Funds Rate minus 0.45%) | | | 07/28/2021 | | | | (1,069,696 | ) | Morgan Stanley Custom Swap (MSCMS206) Index(3) | | | (10,782 | ) | | | — | | | | (10,782 | ) |
Morgan Stanley | (0.36%) (Fed Funds Rate minus 0.45%) | | | 07/28/2021 | | | | (1,063,786 | ) | Morgan Stanley Custom Swap (MSCMS207) Index(3) | | | (1,463 | ) | | | — | | | | (1,463 | ) |
Morgan Stanley | (0.36%) (Fed Funds Rate minus 0.45%) | | | 07/28/2021 | | | | (1,085,628 | ) | Morgan Stanley Custom Swap (MSCMS208) Index(3) | | | (2,614 | ) | | | — | | | | (2,614 | ) |
Total Unrealized Appreciation | | | | | | | | | | | | | | | | | | | $ | 1,093,284 | |
Total Unrealized (Depreciation) | | | | | | | | | | | | | | | | | | | $ | (289,315 | ) |
Total | | | | | | | | | | | | $ | 803,969 | | | $ | — | | | $ | 803,969 | |
(2) | Morgan Stanley acts as the counterparty to the total return swap contracts listed above. The Fund either receives fees from, or pays fees to, the counterparty, depending upon the total return of the benchmark, and the agreed-upon floating rate financing rate. |
(3) | See the tables below for the swap constituents. |
See accompanying notes to financial statements. | | CRM Funds |
| | 28 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCMS199) Index total return swap with Morgan Stanley Bank as of December 31, 2020, termination date 7/28/21:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Align Technology, Inc. | | | 93 | | | $ | 49,533 | | | | 4.80 | % |
LyondellBasell Industries NV | | | 537 | | | | 49,193 | | | | 4.76 | % |
Stanley Black & Decker, Inc. | | | 274 | | | | 48,984 | | | | 4.74 | % |
Motorola Solutions, Inc. | | | 282 | | | | 47,912 | | | | 4.64 | % |
HCA Healthcare, Inc. | | | 291 | | | | 47,792 | | | | 4.63 | % |
Sherwin-Williams Company (The) | | | 65 | | | | 47,790 | | | | 4.63 | % |
Dollar General Corporation | | | 227 | | | | 47,663 | | | | 4.62 | % |
Agilent Technologies, Inc. | | | 400 | | | | 47,370 | | | | 4.59 | % |
McDonald’s Corporation | | | 221 | | | | 47,332 | | | | 4.58 | % |
NXP Semiconductors NV | | | 295 | | | | 46,908 | | | | 4.54 | % |
Fiserv, Inc. | | | 411 | | | | 46,840 | | | | 4.53 | % |
Amgen, Inc. | | | 204 | | | | 46,839 | | | | 4.53 | % |
Home Depot, Inc. (The) | | | 176 | | | | 46,752 | | | | 4.53 | % |
Emerson Electric Company | | | 581 | | | | 46,722 | | | | 4.52 | % |
Restaurant Brands International, Inc. | | | 763 | | | | 46,608 | | | | 4.51 | % |
VF Corporation | | | 545 | | | | 46,560 | | | | 4.51 | % |
Canadian Imperial Bank of Commerce | | | 538 | | | | 46,019 | | | | 4.46 | % |
Fidelity National Information Services, Inc. | | | 324 | | | | 45,851 | | | | 4.44 | % |
CVS Health Corporation | | | 670 | | | | 45,793 | | | | 4.43 | % |
Applied Materials, Inc. | | | 528 | | | | 45,583 | | | | 4.41 | % |
Walgreens Boots Alliance, Inc. | | | 1,127 | | | | 44,942 | | | | 4.35 | % |
Pfizer, Inc. | | | 1,192 | | | �� | 43,884 | | | | 4.25 | % |
| | | | | | | $ | 1,032,870 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCMS200) Index total return swap with Morgan Stanley Bank as of December 31, 2020, termination date 7/28/21:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Estee Lauder Companies, Inc. (The) | | | 85 | | | $ | 22,728 | | | | 2.17 | % |
Fiat Chrysler Automobiles NV | | | 1,239 | | | | 22,421 | | | | 2.14 | % |
Moody’s Corporation | | | 77 | | | | 22,370 | | | | 2.13 | % |
McCormick & Company, Inc. | | | 233 | | | | 22,272 | | | | 2.12 | % |
Align Technology, Inc. | | | 41 | | | | 22,128 | | | | 2.11 | % |
Constellation Brands, Inc. | | | 101 | | | | 22,065 | | | | 2.10 | % |
Eaton Corporation PLC | | | 183 | | | | 22,040 | | | | 2.10 | % |
LyondellBasell Industries NV | | | 240 | | | | 22,016 | | | | 2.10 | % |
PepsiCo, Inc. | | | 148 | | | | 21,901 | | | | 2.09 | % |
HCA Healthcare, Inc. | | | 133 | | | | 21,846 | | | | 2.08 | % |
Kroger Company (The) | | | 685 | | | | 21,770 | | | | 2.07 | % |
See accompanying notes to financial statements. | | CRM Funds |
| | 29 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Cognizant Technology Solutions Corporation | | | 265 | | | $ | 21,757 | | | | 2.07 | % |
Kellogg Company | | | 349 | | | | 21,725 | | | | 2.07 | % |
Rockwell Automation, Inc. | | | 86 | | | | 21,690 | | | | 2.07 | % |
Hershey Company (The) | | | 142 | | | | 21,678 | | | | 2.07 | % |
Cummins, Inc. | | | 95 | | | | 21,672 | | | | 2.06 | % |
Stanley Black & Decker, Inc. | | | 121 | | | | 21,650 | | | | 2.06 | % |
Church & Dwight Company, Inc. | | | 248 | | | | 21,645 | | | | 2.06 | % |
Motorola Solutions, Inc. | | | 127 | | | | 21,638 | | | | 2.06 | % |
Agilent Technologies, Inc. | | | 182 | | | | 21,545 | | | | 2.05 | % |
United Parcel Service, Inc. | | | 128 | | | | 21,537 | | | | 2.05 | % |
Realty Income Corporation | | | 346 | | | | 21,525 | | | | 2.05 | % |
WW Grainger, Inc. | | | 53 | | | | 21,524 | | | | 2.05 | % |
Caterpillar, Inc. | | | 118 | | | | 21,413 | | | | 2.04 | % |
3M Company | | | 122 | | | | 21,393 | | | | 2.04 | % |
General Motors Company | | | 513 | | | | 21,369 | | | | 2.04 | % |
Sysco Corporation | | | 288 | | | | 21,365 | | | | 2.04 | % |
Amgen, Inc. | | | 93 | | | | 21,323 | | | | 2.03 | % |
General Mills, Inc. | | | 362 | | | | 21,296 | | | | 2.02 | % |
Clorox Company (The) | | | 105 | | | | 21,262 | | | | 2.02 | % |
Duke Energy Corporation | | | 232 | | | | 21,252 | | | | 2.02 | % |
NXP Semiconductors NV | | | 134 | | | | 21,239 | | | | 2.02 | % |
Fiserv, Inc. | | | 186 | | | | 21,227 | | | | 2.02 | % |
Cisco Systems, Inc. | | | 478 | | | | 21,222 | | | | 2.02 | % |
Home Depot, Inc. (The) | | | 80 | | | | 21,191 | | | | 2.02 | % |
PACCAR, Inc. | | | 245 | | | | 21,132 | | | | 2.01 | % |
Hormel Foods Corporation | | | 452 | | | | 21,054 | | | | 2.01 | % |
Philip Morris International, Inc. | | | 254 | | | | 20,999 | | | | 2.00 | % |
Fastenal Company | | | 429 | | | | 20,951 | | | | 2.00 | % |
Canadian Imperial Bank of Commerce | | | 245 | | | | 20,917 | | | | 1.99 | % |
Applied Materials, Inc. | | | 242 | | | | 20,855 | | | | 1.99 | % |
Fidelity National Information Services, Inc. | | | 147 | | | | 20,845 | | | | 1.99 | % |
Emerson Electric Company | | | 259 | | | | 20,843 | | | | 1.99 | % |
Altria Group, Inc. | | | 507 | | | | 20,781 | | | | 1.98 | % |
Ecolab, Inc. | | | 96 | | | | 20,748 | | | | 1.98 | % |
Walgreens Boots Alliance, Inc. | | | 517 | | | | 20,630 | | | | 1.96 | % |
Ford Motor Company | | | 2,337 | | | | 20,538 | | | | 1.96 | % |
Lam Research Corporation | | | 43 | | | | 20,384 | | | | 1.94 | % |
Pfizer, Inc. | | | 552 | | | | 20,330 | | | | 1.94 | % |
| | | | | | | $ | 1,049,702 | | | | 100.00 | % |
See accompanying notes to financial statements. | | CRM Funds |
| | 30 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCMS201) Index total return swap with Morgan Stanley Bank as of December 31, 2020, termination date 7/28/21:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
ANSYS, Inc. | | | 49 | | | $ | 17,849 | | | | 1.67 | % |
Eaton Corporation PLC | | | 146 | | | | 17,556 | | | | 1.64 | % |
Maxim Integrated Products, Inc. | | | 197 | | | | 17,500 | | | | 1.64 | % |
Starbucks Corporation | | | 163 | | | | 17,464 | | | | 1.63 | % |
Align Technology, Inc. | | | 33 | | | | 17,448 | | | | 1.63 | % |
Moody’s Corporation | | | 60 | | | | 17,441 | | | | 1.63 | % |
Cognizant Technology Solutions Corporation | | | 213 | | | | 17,418 | | | | 1.63 | % |
McCormick & Company, Inc. | | | 182 | | | | 17,384 | | | | 1.63 | % |
Fiat Chrysler Automobiles NV | | | 961 | | | | 17,377 | | | | 1.63 | % |
Micron Technology, Inc. | | | 231 | | | | 17,365 | | | | 1.63 | % |
Estee Lauder Companies, Inc. (The) | | | 65 | | | | 17,348 | | | | 1.62 | % |
LyondellBasell Industries NV | | | 189 | | | | 17,347 | | | | 1.62 | % |
Target Corporation | | | 98 | | | | 17,334 | | | | 1.62 | % |
Mettler-Toledo International, Inc. | | | 15 | | | | 17,290 | | | | 1.62 | % |
Kroger Company (The) | | | 544 | | | | 17,289 | | | | 1.62 | % |
PepsiCo, Inc. | | | 116 | | | | 17,256 | | | | 1.61 | % |
Rockwell Automation, Inc. | | | 69 | | | | 17,207 | | | | 1.61 | % |
Costco Wholesale Corporation | | | 46 | | | | 17,194 | | | | 1.61 | % |
Constellation Brands, Inc. | | | 78 | | | | 17,191 | | | | 1.61 | % |
Cummins, Inc. | | | 76 | | | | 17,183 | | | | 1.61 | % |
Motorola Solutions, Inc. | | | 101 | | | | 17,176 | | | | 1.61 | % |
HCA Healthcare, Inc. | | | 104 | | | | 17,161 | | | | 1.61 | % |
Sherwin-Williams Company (The) | | | 23 | | | | 17,149 | | | | 1.60 | % |
Caterpillar, Inc. | | | 94 | | | | 17,095 | | | | 1.60 | % |
Hershey Company (The) | | | 112 | | | | 17,089 | | | | 1.60 | % |
Realty Income Corporation | | | 275 | | | | 17,084 | | | | 1.60 | % |
Kellogg Company | | | 274 | | | | 17,059 | | | | 1.60 | % |
NXP Semiconductors NV | | | 107 | | | | 17,044 | | | | 1.60 | % |
Duke Energy Corporation | | | 186 | | | | 17,036 | | | | 1.59 | % |
Agilent Technologies, Inc. | | | 144 | | | | 17,011 | | | | 1.59 | % |
Amgen, Inc. | | | 74 | | | | 16,968 | | | | 1.59 | % |
Church & Dwight Company, Inc. | | | 195 | | | | 16,968 | | | | 1.59 | % |
General Motors Company | | | 407 | | | | 16,948 | | | | 1.59 | % |
Sysco Corporation | | | 228 | | | | 16,945 | | | | 1.59 | % |
WW Grainger, Inc. | | | 41 | | | | 16,940 | | | | 1.59 | % |
McDonald’s Corporation | | | 79 | | | | 16,920 | | | | 1.58 | % |
Automatic Data Processing, Inc. | | | 96 | | | | 16,917 | | | | 1.58 | % |
Cintas Corporation | | | 48 | | | | 16,828 | | | | 1.57 | % |
General Mills, Inc. | | | 286 | | | | 16,824 | | | | 1.57 | % |
Fiserv, Inc. | | | 148 | | | | 16,813 | | | | 1.57 | % |
3M Company | | | 96 | | | | 16,799 | | | | 1.57 | % |
Stanley Black & Decker, Inc. | | | 94 | | | | 16,776 | | | | 1.57 | % |
See accompanying notes to financial statements. | | CRM Funds |
| | 31 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Dollar General Corporation | | | 80 | | | $ | 16,773 | | | | 1.57 | % |
PACCAR, Inc. | | | 194 | | | | 16,740 | | | | 1.57 | % |
Clorox Company (The) | | | 83 | | | | 16,733 | | | | 1.57 | % |
United Parcel Service, Inc. | | | 99 | | | | 16,687 | | | | 1.56 | % |
VF Corporation | | | 195 | | | | 16,671 | | | | 1.56 | % |
Emerson Electric Company | | | 207 | | | | 16,670 | | | | 1.56 | % |
Hormel Foods Corporation | | | 357 | | | | 16,641 | | | | 1.56 | % |
Fastenal Company | | | 341 | | | | 16,641 | | | | 1.56 | % |
Walgreens Boots Alliance, Inc. | | | 417 | | | | 16,625 | | | | 1.56 | % |
Restaurant Brands International, Inc. | | | 272 | | | | 16,617 | | | | 1.56 | % |
CVS Health Corporation | | | 243 | | | | 16,611 | | | | 1.55 | % |
Home Depot, Inc. (The) | | | 63 | | | | 16,610 | | | | 1.55 | % |
Fidelity National Information Services, Inc. | | | 117 | | | | 16,608 | | | | 1.55 | % |
Ecolab, Inc. | | | 77 | | | | 16,579 | | | | 1.55 | % |
Canadian Imperial Bank of Commerce | | | 193 | | | | 16,488 | | | | 1.54 | % |
Applied Materials, Inc. | | | 190 | | | | 16,430 | | | | 1.54 | % |
Pfizer, Inc. | | | 446 | | | | 16,400 | | | | 1.54 | % |
Ford Motor Company | | | 1,865 | | | | 16,393 | | | | 1.53 | % |
Philip Morris International, Inc. | | | 197 | | | | 16,300 | | | | 1.53 | % |
Best Buy Company, Inc. | | | 163 | | | | 16,254 | | | | 1.52 | % |
Altria Group, Inc. | | | 391 | | | | 16,037 | | | | 1.50 | % |
| | | | | | | $ | 1,068,499 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCMS202) Index total return swap with Morgan Stanley Bank as of December 31, 2020, termination date 7/28/21:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Micron Technology, Inc. | | | 2,114 | | | $ | 158,915 | | | | 14.97 | % |
McCormick & Company, Inc. | | | 1,615 | | | | 154,357 | | | | 14.54 | % |
NXP Semiconductors NV | | | 966 | | | | 153,661 | | | | 14.48 | % |
Sysco Corporation | | | 2,052 | | | | 152,374 | | | | 14.36 | % |
Applied Materials, Inc. | | | 1,746 | | | | 150,648 | | | | 14.19 | % |
Lam Research Corporation | | | 314 | | | | 148,354 | | | | 13.98 | % |
Zillow Group, Inc. | | | 1,103 | | | | 143,117 | | | | 13.48 | % |
| | | | | | | $ | 1,061,426 | | | | 100.00 | % |
See accompanying notes to financial statements. | | CRM Funds |
| | 32 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCMS203) Index total return swap with Morgan Stanley Bank as of December 31, 2020, termination date 7/28/21:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Sysco Corporation | | | 3,697 | | | $ | 274,545 | | | | 25.51 | % |
McCormick & Company, Inc. | | | 2,862 | | | | 273,607 | | | | 25.43 | % |
General Motors Company | | | 6,516 | | | | 271,330 | | | | 25.22 | % |
Zillow Group, Inc. | | | 1,977 | | | | 256,552 | | | | 23.84 | % |
| | | | | | | $ | 1,076,034 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCMS204) Index total return swap with Morgan Stanley Bank as of December 31, 2020, termination date 7/28/21:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Micron Technology, Inc. | | | 680 | | | $ | 51,123 | | | | 4.74 | % |
Maxim Integrated Products, Inc. | | | 570 | | | | 50,568 | | | | 4.69 | % |
Apple, Inc. | | | 379 | | | | 50,290 | | | | 4.66 | % |
Motorola Solutions, Inc. | | | 294 | | | | 50,024 | | | | 4.64 | % |
ANSYS, Inc. | | | 137 | | | | 49,672 | | | | 4.60 | % |
Cognizant Technology Solutions Corporation | | | 604 | | | | 49,494 | | | | 4.59 | % |
Fortinet, Inc. | | | 333 | | | | 49,456 | | | | 4.58 | % |
LyondellBasell Industries NV | | | 538 | | | | 49,283 | | | | 4.57 | % |
NXP Semiconductors NV | | | 309 | | | | 49,213 | | | | 4.56 | % |
Arista Networks, Inc. | | | 169 | | | | 49,160 | | | | 4.55 | % |
Amgen, Inc. | | | 214 | | | | 49,158 | | | | 4.55 | % |
Fidelity National Information Services, Inc. | | | 347 | | | | 49,138 | | | | 4.55 | % |
HCA Healthcare, Inc. | | | 298 | | | | 49,008 | | | | 4.54 | % |
Sherwin-Williams Company (The) | | | 67 | | | | 48,983 | | | | 4.54 | % |
Align Technology, Inc. | | | 92 | | | | 48,936 | | | | 4.53 | % |
Agilent Technologies, Inc. | | | 413 | | | | 48,815 | | | | 4.52 | % |
Mettler-Toledo International, Inc. | | | 43 | | | | 48,786 | | | | 4.52 | % |
Applied Materials, Inc. | | | 562 | | | | 48,538 | | | | 4.50 | % |
Cisco Systems, Inc. | | | 1,083 | | | | 48,069 | | | | 4.45 | % |
Pfizer, Inc. | | | 1,300 | | | | 47,859 | | | | 4.43 | % |
Lam Research Corporation | | | 101 | | | | 47,498 | | | | 4.40 | % |
Zillow Group, Inc. | | | 356 | | | | 46,248 | | | | 4.29 | % |
| | | | | | | $ | 1,079,319 | | | | 100.00 | % |
See accompanying notes to financial statements. | | CRM Funds |
| | 33 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) December 31, 2020 (Unaudited) |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCMS205) Index total return swap with Morgan Stanley Bank as of December 31, 2020, termination date 7/28/21:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Fidelity National Information Services, Inc. | | | 786 | | | $ | 111,250 | | | | 10.39 | % |
Amgen, Inc. | | | 480 | | | | 110,304 | | | | 10.30 | % |
LyondellBasell Industries NV | | | 1,180 | | | | 108,204 | | | | 10.10 | % |
Agilent Technologies, Inc. | | | 903 | | | | 106,860 | | | | 9.98 | % |
HCA Healthcare, Inc. | | | 649 | | | | 106,793 | | | | 9.97 | % |
Apple, Inc. | | | 804 | | | | 106,671 | | | | 9.96 | % |
Pfizer, Inc. | | | 2,886 | | | | 106,222 | | | | 9.91 | % |
Sherwin-Williams Company (The) | | | 144 | | | | 105,709 | | | | 9.87 | % |
Align Technology, Inc. | | | 198 | | | | 105,583 | | | | 9.86 | % |
Fortinet, Inc. | | | 697 | | | | 103,498 | | | | 9.66 | % |
| | | | | | | $ | 1,071,094 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCMS206) Index total return swap with Morgan Stanley Bank as of December 31, 2020, termination date 7/28/21:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Fidelity National Information Services, Inc. | | | 793 | | | $ | 112,204 | | | | 10.39 | % |
Amgen, Inc. | | | 479 | | | | 110,195 | | | | 10.20 | % |
Align Technology, Inc. | | | 204 | | | | 108,759 | | | | 10.07 | % |
Sherwin-Williams Company (The) | | | 147 | | | | 108,393 | | | | 10.03 | % |
Apple, Inc. | | | 816 | | | | 108,262 | | | | 10.02 | % |
LyondellBasell Industries NV | | | 1,179 | | | | 108,064 | | | | 10.00 | % |
Agilent Technologies, Inc. | | | 911 | | | | 107,761 | | | | 9.98 | % |
HCA Healthcare, Inc. | | | 644 | | | | 105,948 | | | | 9.81 | % |
Fortinet, Inc. | | | 711 | | | | 105,634 | | | | 9.78 | % |
Pfizer, Inc. | | | 2,854 | | | | 105,052 | | | | 9.72 | % |
| | | | | | | $ | 1,080,272 | | | | 100.00 | % |
See accompanying notes to financial statements. | | CRM Funds |
| | 34 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Concluded) December 31, 2020 (Unaudited) |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCMS207) Index total return swap with Morgan Stanley Bank as of December 31, 2020, termination date 7/28/21:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Amgen, Inc. | | | 475 | | | $ | 109,241 | | | | 10.26 | % |
Align Technology, Inc. | | | 201 | | | | 107,194 | | | | 10.06 | % |
LyondellBasell Industries NV | | | 1,169 | | | | 107,147 | | | | 10.06 | % |
Agilent Technologies, Inc. | | | 903 | | | | 106,814 | | | | 10.03 | % |
Apple, Inc. | | | 803 | | | | 106,498 | | | | 10.00 | % |
Fidelity National Information Services, Inc. | | | 752 | | | | 106,424 | | | | 9.99 | % |
Sherwin-Williams Company (The) | | | 144 | | | | 106,066 | | | | 9.96 | % |
HCA Healthcare, Inc. | | | 645 | | | | 106,062 | | | | 9.96 | % |
Fortinet, Inc. | | | 707 | | | | 105,029 | | | | 9.86 | % |
Pfizer, Inc. | | | 2,842 | | | | 104,613 | | | | 9.82 | % |
| | | | | | | $ | 1,065,088 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCMS208) Index total return swap with Morgan Stanley Bank as of December 31, 2020, termination date 7/28/21:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Micron Technology, Inc. | | | 695 | | | $ | 52,280 | | | | 4.81 | % |
Amgen, Inc. | | | 220 | | | | 50,514 | | | | 4.64 | % |
Align Technology, Inc. | | | 94 | | | | 50,412 | | | | 4.63 | % |
Maxim Integrated Products, Inc. | | | 568 | | | | 50,317 | | | | 4.63 | % |
Applied Materials, Inc. | | | 579 | | | | 49,964 | | | | 4.59 | % |
LyondellBasell Industries NV | | | 542 | | | | 49,711 | | | | 4.57 | % |
Fidelity National Information Services, Inc. | | | 350 | | | | 49,550 | | | | 4.56 | % |
Sherwin-Williams Company (The) | | | 67 | | | | 49,512 | | | | 4.55 | % |
Cognizant Technology Solutions Corporation | | | 604 | | | | 49,487 | | | | 4.55 | % |
NXP Semiconductors NV | | | 311 | | | | 49,397 | | | | 4.54 | % |
Mettler-Toledo International, Inc. | | | 43 | | | | 49,349 | | | | 4.54 | % |
Agilent Technologies, Inc. | | | 417 | | | | 49,332 | | | | 4.54 | % |
Motorola Solutions, Inc. | | | 290 | | | | 49,325 | | | | 4.53 | % |
HCA Healthcare, Inc. | | | 300 | | | | 49,274 | | | | 4.53 | % |
ANSYS, Inc. | | | 135 | | | | 49,147 | | | | 4.52 | % |
Pfizer, Inc. | | | 1,335 | | | | 49,123 | | | | 4.52 | % |
Arista Networks, Inc. | | | 169 | | | | 49,074 | | | | 4.51 | % |
Fortinet, Inc. | | | 329 | | | | 48,886 | | | | 4.49 | % |
Lam Research Corporation | | | 103 | | | | 48,741 | | | | 4.48 | % |
Cisco Systems, Inc. | | | 1,094 | | | | 48,557 | | | | 4.46 | % |
Zillow Group, Inc. | | | 370 | | | | 48,070 | | | | 4.42 | % |
Apple, Inc. | | | 359 | | | | 47,698 | | | | 4.39 | % |
| | | | | | | $ | 1,087,720 | | | | 100.00 | % |
See accompanying notes to financial statements. | | CRM Funds |
| | 35 | |
CRM FUNDS STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2020 (Unaudited) |
| | | CRM Small Cap
Value Fund | | | CRM Small/Mid
Cap Value Fund | | | CRM Mid Cap
Value Fund | |
ASSETS: | | | | | | | | | | | | |
Investments in securities | | | | | | | | | | | | |
Investments in securities, at cost | | $ | 226,320,219 | | | $ | 220,769,842 | | | $ | 302,343,746 | |
Net unrealized appreciation | | | 53,209,487 | | | | 84,683,737 | | | | 118,708,209 | |
Total investments in securities, at value1 | | | 279,529,706 | | | | 305,453,579 | | | | 421,051,955 | |
Receivable for fund shares sold | | | 4,465 | | | | 181,632 | | | | 90,908 | |
Dividends and interest receivable | | | 180,748 | | | | 270,654 | | | | 350,744 | |
Receivable for securities sold | | | 1,185,739 | | | | — | | | | — | |
Receivable for securities lending income | | | 39 | | | | 5,307 | | | | 6,317 | |
Other assets | | | 50,488 | | | | 60,855 | | | | 64,622 | |
Total Assets | | | 280,951,185 | | | | 305,972,027 | | | | 421,564,546 | |
| | | | | | | | | | | | | |
LIABILITIES: | | | | | | | | | | | | |
Obligation to return securities lending collateral | | | 964 | | | | 6,023,686 | | | | 5,440,291 | |
Payable for fund shares redeemed | | | 81,041 | | | | 88,768 | | | | 4,353,996 | |
Payable for securities purchased | | | 143,146 | | | | — | | | | 1,178,641 | |
Accrued advisory fee | | | 175,292 | | | | 187,185 | | | | 259,066 | |
Audit and tax fees | | | 10,905 | | | | 11,363 | | | | 14,666 | |
Accrued transfer agent fees | | | 38,263 | | | | 37,551 | | | | 54,069 | |
Other accrued expenses | | | 83,782 | | | | 86,277 | | | | 162,037 | |
Total Liabilities | | | 533,393 | | | | 6,434,830 | | | | 11,462,766 | |
NET ASSETS | | $ | 280,417,792 | | | $ | 299,537,197 | | | $ | 410,101,780 | |
COMPONENTS OF NET ASSETS | | | | | | | | | | | | |
Paid in capital | | $ | 229,186,931 | | | $ | 207,428,773 | | | $ | 281,055,789 | |
Total distributable earnings | | | 51,230,861 | | | | 92,108,424 | | | | 129,045,991 | |
NET ASSETS | | $ | 280,417,792 | | | $ | 299,537,197 | | | $ | 410,101,780 | |
NET ASSET VALUE PER SHARE | | | | | | | | | | | | |
INVESTOR CLASS SHARES | | | | | | | | | | | | |
Net assets | | $ | 35,215,393 | | | $ | 22,507,449 | | | $ | 170,591,144 | |
Shares of Beneficial Interest Outstanding ($0.01 par value, unlimited authorized shares) | | | 2,395,729 | | | | 1,790,556 | | | | 7,348,207 | |
Net asset value, offering and redemption price per share | | $ | 14.70 | | | $ | 12.57 | | | $ | 23.22 | |
INSTITUTIONAL CLASS SHARES | | | | | | | | | | | | |
Net assets | | $ | 245,202,399 | | | $ | 277,029,748 | | | $ | 239,510,636 | |
Shares of Beneficial Interest Outstanding ($0.01 par value, unlimited authorized shares) | | | 14,099,705 | | | | 21,373,285 | | | | 9,868,868 | |
Net asset value, offering and redemption price per share | | $ | 17.39 | | | $ | 12.96 | | | $ | 24.27 | |
| | | | | | | | | | | | | |
1 Includes securities loaned of: | | $ | 918 | | | $ | 5,543,422 | | | $ | 4,967,535 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 36 | |
CRM FUNDS STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2020 (Unaudited) |
| | | CRM All Cap
Value Fund | | | CRM Long/Short
Opportunities Fund | |
ASSETS: | | | | | | | | |
Investments in securities | | | | | | | | |
Investments in securities, at cost | | $ | 25,664,942 | | | $ | 69,634,673 | |
Net unrealized appreciation | | | 8,067,946 | | | | 23,819,143 | |
Total investments in securities, at value | | | 33,732,888 | | | | 93,453,816 | |
Foreign currencies held with broker for securities sold short (cost $0 and $2,403,193, respectively) | | | — | | | | 2,617,292 | |
Cash pledged with broker for securities sold short | | | — | | | | 26,878,767 | |
Receivable for fund shares sold | | | 10,000 | | | | 323,559 | |
Dividends and interest receivable | | | 36,362 | | | | 74,908 | |
Receivable for securities sold | | | 252,439 | | | | — | |
Receivable for securities lending income | | | 2,178 | | | | — | |
Unrealized appreciation on swap agreements | | | — | | | | 1,093,284 | |
Other assets | | | 24,874 | | | | 23,773 | |
Total Assets | | | 34,058,741 | | | | 124,465,399 | |
| | | | | | | | | |
LIABILITIES: | | | | | | | | |
Cash received from broker for swap agreements | | | — | | | | 770,015 | |
Securities sold short, at value (proceeds $0 and $28,994,239, respectively) | | | — | | | | 31,533,183 | |
Unrealized depreciation on swap agreements | | | — | | | | 289,315 | |
Payable for fund shares redeemed | | | — | | | | 29,809 | |
Payable for dividends on securities sold short | | | — | | | | 38,933 | |
Interest payable | | | — | | | | 18,267 | |
Accrued advisory fee | | | 19,740 | | | | 101,856 | |
Audit and tax fees | | | 4,731 | | | | 6,854 | |
Accrued transfer agent fee | | | 17,762 | | | | 12,630 | |
Other accrued expenses | | | 26,080 | | | | 37,119 | |
Total Liabilities | | | 68,313 | | | | 32,837,981 | |
NET ASSETS | | $ | 33,990,428 | | | $ | 91,627,418 | |
| | | | | | | | | |
COMPONENTS OF NET ASSETS | | | | | | | | |
Paid in capital | | $ | 26,284,396 | | | $ | 78,950,197 | |
Total distributable earnings | | | 7,706,032 | | | | 12,677,221 | |
NET ASSETS | | $ | 33,990,428 | | | $ | 91,627,418 | |
NET ASSET VALUE PER SHARE | | | | | | | | |
INVESTOR CLASS SHARES | | | | | | | | |
Net assets | | $ | 7,642,508 | | | $ | — | |
Shares of Beneficial Interest Outstanding ($0.01 par value, unlimited authorized shares) | | | 997,389 | | | | — | |
Net asset value, offering and redemption price per share | | $ | 7.66 | | | $ | — | |
INSTITUTIONAL CLASS SHARES | | | | | | | | |
Net assets | | $ | 26,347,920 | | | $ | 91,627,418 | |
Shares of Beneficial Interest Outstanding ($0.01 par value, unlimited authorized shares) | | | 3,350,847 | | | | 7,960,817 | |
Net asset value, offering and redemption price per share | | $ | 7.86 | | | $ | 11.51 | |
| | | | | | | | | |
| | | | | | | | |
See accompanying notes to financial statements. | | CRM Funds |
| | 37 | |
CRM FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 2020 (Unaudited) |
| | | CRM Small Cap
Value Fund | | | CRM Small/Mid
Cap Value Fund | | | CRM Mid Cap
Value Fund | |
INVESTMENT INCOME: | | | | | | | | | | | | |
Dividends and interest | | $ | 2,263,007 | | | $ | 2,936,930 | | | $ | 3,595,440 | |
Securities lending income | | | 4,013 | | | | 23,131 | | | | 25,603 | |
Foreign tax withheld | | | (12,780 | ) | | | (6,002 | ) | | | — | |
Total investment income | | | 2,254,240 | | | | 2,954,059 | | | | 3,621,043 | |
| | | | | | | | | | | | | |
EXPENSES: | | | | | | | | | | | | |
Investment advisory fees | | | 920,071 | | | | 1,013,280 | | | | 1,420,695 | |
Sub-Transfer agent fees - Institutional Shares | | | 11,419 | | | | 41,074 | | | | 49,839 | |
Shareholder Services - Investor Shares | | | 40,859 | | | | 23,289 | | | | 200,978 | |
Administration and accounting fees | | | 36,588 | | | | 39,287 | | | | 52,963 | |
Registration fees | | | 22,677 | | | | 22,773 | | | | 26,140 | |
Audit and tax fees | | | 10,659 | | | | 11,063 | | | | 14,474 | |
Custody fees | | | 9,738 | | | | 8,286 | | | | 14,005 | |
Shareholder reports | | | 13,122 | | | | 15,308 | | | | 26,281 | |
Legal fees | | | 14,618 | | | | 15,691 | | | | 22,662 | |
Transfer agent fees | | | 35,676 | | | | 35,369 | | | | 50,888 | |
Trustee fees and expenses | | | 22,821 | | | | 24,402 | | | | 35,533 | |
Insurance fees | | | 17,579 | | | | 18,143 | | | | 26,839 | |
Other expenses | | | 40,344 | | | | 42,943 | | | | 62,526 | |
Total expenses | | | 1,196,171 | | | | 1,310,908 | | | | 2,003,823 | |
NET INVESTMENT INCOME | | | 1,058,069 | | | | 1,643,151 | | | | 1,617,220 | |
| | | | | | | | | | | | | |
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS | | | | | | | | | | | | |
Net realized gain from: | | | | | | | | | | | | |
Investments | | | 11,206,408 | | | | 27,909,575 | | | | 24,555,255 | |
Net change in unrealized appreciation on | | | | | | | | | | | | |
investments | | | 57,171,232 | | | | 56,754,108 | | | | 71,035,176 | |
Net realized and unrealized gain on investments | | | 68,377,640 | | | | 84,663,683 | | | | 95,590,431 | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 69,435,709 | | | $ | 86,306,834 | | | $ | 97,207,651 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 38 | |
CRM FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 2020 (Unaudited) |
| | | CRM All Cap
Value Fund | | | CRM Long/Short
Opportunities Fund | |
INVESTMENT INCOME: | | | | | | | | |
Dividends and interest | | $ | 219,712 | | | $ | 214,951 | |
Securities lending income | | | 9,220 | | | | — | |
Foreign tax withheld | | | (1,482 | ) | | | (7,472 | ) |
Total investment income | | | 227,450 | | | | 207,479 | |
| | | | | | | | | |
EXPENSES: | | | | | | | | |
Investment advisory fees | | | 98,052 | | | | 546,774 | |
Dividend expense on securities sold short | | | — | | | | 238,737 | |
Sub-Transfer agent fees - Institutional Shares | | | 226 | | | | 6,890 | |
Shareholder Services - Investor Shares | | | 9,329 | | | | — | |
Administration and accounting fees | | | 9,643 | | | | 15,174 | |
Registration fees | | | 17,893 | | | | 19,465 | |
Audit and tax fees | | | 4,539 | | | | 6,933 | |
Custody fees | | | 2,740 | | | | 4,645 | |
Shareholder reports | | | 1,820 | | | | 9,645 | |
Legal fees | | | 1,640 | | | | 4,116 | |
Transfer agent fees | | | 15,664 | | | | 12,159 | |
Trustee fees and expenses | | | 2,561 | | | | 6,248 | |
Insurance fees | | | 1,941 | | | | 7,150 | |
Other expenses | | | 5,143 | | | | 8,792 | |
Total expenses | | | 171,191 | | | | 886,728 | |
Expenses waived/reimbursed | | | (3,660 | ) | | | (63,955 | ) |
Net expenses | | | 167,531 | | | | 822,773 | |
NET INVESTMENT INCOME (LOSS) | | | 59,919 | | | | (615,294 | ) |
| | | | | | | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON | | | | | | | | |
INVESTMENTS, DERIVATIVES AND FOREIGN CURRENCY | | | | | | | | |
Net realized gain/(loss) from: | | | | | | | | |
Investments | | | 2,704,386 | | | | 6,372,016 | |
Securities sold short | | | — | | | | (7,895,489 | ) |
Swap agreements | | | — | | | | (1,238,386 | ) |
Foreign currency transactions | | | — | | | | 139,617 | |
Net realized gain (loss) | | | 2,704,386 | | | | (2,622,242 | ) |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Investments | | | 5,297,996 | | | | 17,668,911 | |
Securities sold short | | | — | | | | (3,091,787 | ) |
Swap agreements | | | — | | | | 562,703 | |
Foreign currency transactions | | | — | | | | 189,984 | |
Net change in unrealized appreciation | | | 5,297,996 | | | | 15,329,811 | |
Net realized and unrealized gain on investments, derivatives and foreign currency | | | 8,002,382 | | | | 12,707,569 | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 8,062,301 | | | $ | 12,092,275 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 39 | |
CRM FUNDS STATEMENTS OF CHANGES IN NET ASSETS
|
| | | CRM Small Cap Value Fund | |
| | | Six Months Ended
December 31, 2020
(Unaudited) | | | Year Ended
June 30, 2020 | |
NET ASSETS - BEGINNING OF PERIOD | | $ | 232,115,097 | | | $ | 325,349,323 | |
| | | | | | | | | |
OPERATIONS | | | | | | | | |
Net investment income | | | 1,058,069 | | | | 1,380,602 | |
Net realized gain (loss) from investments | | | 11,206,408 | | | | (9,006,927 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 57,171,232 | | | | (55,588,689 | ) |
Net increase (decrease) in net assets resulting from operations | | | 69,435,709 | | | | (63,215,014 | ) |
| | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Investor Class | | | (168,344 | ) | | | (3,814,720 | ) |
Institutional Class | | | (1,454,839 | ) | | | (16,284,198 | ) |
Total distributions to shareholders | | | (1,623,183 | ) | | | (20,098,918 | ) |
| | | | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Sale of shares - Investor Shares | | | 126,714 | | | | 1,066,476 | |
Sale of shares - Institutional Shares | | | 11,902,888 | | | | 39,703,170 | |
Reinvestment of distributions - Investor Class | | | 156,487 | | | | 3,730,997 | |
Reinvestment of distributions - Institutional Class | | | 1,329,632 | | | | 14,870,115 | |
Redemption of shares - Investor Class | | | (7,374,067 | ) | | | (16,501,839 | ) |
Redemption of shares - Institutional Class | | | (25,651,485 | ) | | | (52,789,213 | ) |
Net decrease from capital share transactions | | | (19,509,831 | ) | | | (9,920,294 | ) |
Total increase (decrease) in net assets | | | 48,302,695 | | | | (93,234,226 | ) |
| | | | | | | | | |
NET ASSETS - END OF PERIOD | | $ | 280,417,792 | | | $ | 232,115,097 | |
| | | | | | | | | |
SHARE ACTIVITY | | | | | | | | |
Investor Class: | | | | | | | | |
Sold | | | 10,516 | | | | 84,946 | |
Issued on reinvestment of distributions | | | 10,867 | | | | 248,237 | |
Redeemed | | | (613,489 | ) | | | (1,178,420 | ) |
Net decrease | | | (592,106 | ) | | | (845,237 | ) |
| | | | | | | | | |
Institutional Class: | | | | | | | | |
Sold | | | 809,826 | | | | 2,680,745 | |
Issued on reinvestment of distributions | | | 78,076 | | | | 837,281 | |
Redeemed | | | (1,742,701 | ) | | | (3,408,561 | ) |
Net increase (decrease) | | | (854,799 | ) | | | 109,465 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 40 | |
CRM FUNDS STATEMENTS OF CHANGES IN NET ASSETS
|
| | | CRM Small/Mid Cap Value Fund | |
| | | Six Months Ended
December 31, 2020
(Unaudited) | | | Year Ended
June 30, 2020 | |
NET ASSETS - BEGINNING OF PERIOD | | $ | 237,177,963 | | | $ | 278,418,803 | |
| | | | | | | | | |
OPERATIONS | | | | | | | | |
Net investment income | | | 1,643,151 | | | | 1,056,057 | |
Net realized gain from investments | | | 27,909,575 | | | | 3,099,248 | |
Net change in unrealized appreciation (depreciation) on investments | | | 56,754,108 | | | | (31,855,774 | ) |
Net increase (decrease) in net assets resulting from operations | | | 86,306,834 | | | | (27,700,469 | ) |
| | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Investor Class | | | (1,231,736 | ) | | | (584,788 | ) |
Institutional Class | | | (15,385,614 | ) | | | (7,212,793 | ) |
Total distributions to shareholders | | | (16,617,350 | ) | | | (7,797,581 | ) |
| | | | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Sale of shares - Investor Shares | | | 1,775,937 | | | | 888,579 | |
Sale of shares - Institutional Shares | | | 13,007,589 | | | | 90,880,987 | |
Reinvestment of distributions - Investor Class | | | 1,205,802 | | | | 573,767 | |
Reinvestment of distributions - Institutional Class | | | 15,179,709 | | | | 7,193,058 | |
Redemption of shares - Investor Class | | | (1,455,207 | ) | | | (6,558,356 | ) |
Redemption of shares - Institutional Class | | | (37,044,080 | ) | | | (98,720,825 | ) |
Net decrease from capital share transactions | | | (7,330,250 | ) | | | (5,742,790 | ) |
Total increase (decrease) in net assets | | | 62,359,234 | | | | (41,240,840 | ) |
| | | | | | | | | |
NET ASSETS - END OF PERIOD | | $ | 299,537,197 | | | $ | 237,177,963 | |
| | | | | | | | | |
SHARE ACTIVITY | | | | | | | | |
Investor Class: | | | | | | | | |
Sold | | | 149,457 | | | | 86,082 | |
Issued on reinvestment of distributions | | | 98,272 | | | | 49,849 | |
Redeemed | | | (132,387 | ) | | | (612,599 | ) |
Net increase (decrease) | | | 115,342 | | | | (476,668 | ) |
| | | | | | | | | |
Institutional Class: | | | | | | | | |
Sold | | | 1,091,197 | | | | 8,402,157 | |
Issued on reinvestment of distributions | | | 1,199,977 | | | | 607,009 | |
Redeemed | | | (3,012,594 | ) | | | (8,621,471 | ) |
Net increase (decrease) | | | (721,420 | ) | | | 387,695 | |
See accompanying notes to financial statements. | | CRM Funds |
| | 41 | |
CRM FUNDS STATEMENTS OF CHANGES IN NET ASSETS
|
| | | CRM Mid Cap Value Fund | |
| | | Six Months Ended
December 31, 2020
(Unaudited) | | | Year Ended
June 30, 2020 | |
NET ASSETS - BEGINNING OF PERIOD | | $ | 355,358,590 | | | $ | 463,865,471 | |
| | | | | | | | | |
OPERATIONS | | | | | | | | |
Net investment income | | | 1,617,220 | | | | 2,100,108 | |
Net realized gain from investments | | | 24,555,255 | | | | 6,834,503 | |
Net change in unrealized appreciation (depreciation) on investments | | | 71,035,176 | | | | (55,329,119 | ) |
Net increase (decrease) in net assets resulting from operations | | | 97,207,651 | | | | (46,394,508 | ) |
| | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Investor Class | | | (3,324,082 | ) | | | (5,947,237 | ) |
Institutional Class | | | (4,771,658 | ) | | | (7,186,280 | ) |
Total distributions to shareholders | | | (8,095,740 | ) | | | (13,133,517 | ) |
| | | | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Sale of shares - Investor Shares | | | 3,338,595 | | | | 14,793,454 | |
Sale of shares - Institutional Shares | | | 15,323,968 | | | | 36,256,400 | |
Reinvestment of distributions - Investor Class | | | 3,272,938 | | | | 5,866,784 | |
Reinvestment of distributions - Institutional Class | | | 4,428,155 | | | | 6,739,194 | |
Redemption of shares - Investor Class | | | (26,216,683 | ) | | | (60,602,327 | ) |
Redemption of shares - Institutional Class | | | (34,515,694 | ) | | | (52,032,361 | ) |
Net decrease from capital share transactions | | | (34,368,721 | ) | | | (48,978,856 | ) |
Total increase (decrease) in net assets | | | 54,743,190 | | | | (108,506,881 | ) |
| | | | | | | | | |
NET ASSETS - END OF PERIOD | | $ | 410,101,780 | | | $ | 355,358,590 | |
| | | | | | | | | |
SHARE ACTIVITY | | | | | | | | |
Investor Class: | | | | | | | | |
Sold | | | 160,444 | | | | 735,472 | |
Issued on reinvestment of distributions | | | 145,335 | | | | 279,904 | |
Redeemed | | | (1,265,241 | ) | | | (3,073,764 | ) |
Net decrease | | | (959,462 | ) | | | (2,058,388 | ) |
| | | | | | | | | |
Institutional Class: | | | | | | | | |
Sold | | | 692,461 | | | | 1,816,297 | |
Issued on reinvestment of distributions | | | 188,112 | | | | 307,866 | |
Redeemed | | | (1,598,840 | ) | | | (2,540,884 | ) |
Net decrease | | | (718,267 | ) | | | (416,721 | ) |
See accompanying notes to financial statements. | | CRM Funds |
| | 42 | |
CRM FUNDS STATEMENTS OF CHANGES IN NET ASSETS
|
| | | CRM All Cap Value Fund | |
| | | Six Months Ended
December 31, 2020
(Unaudited) | | | Year Ended
June 30, 2020 | |
NET ASSETS - BEGINNING OF PERIOD | | $ | 25,200,275 | | | $ | 36,071,933 | |
| | | | | | | | | |
OPERATIONS | | | | | | | | |
Net investment income | | | 59,919 | | | | 119,207 | |
Net realized gain (loss) from investments | | | 2,704,386 | | | | (504,138 | ) |
Net change in unrealized appreciation (depreciation) on investments | | | 5,297,996 | | | | (2,490,038 | ) |
Net increase (decrease) in net assets resulting from operations | | | 8,062,301 | | | | (2,874,969 | ) |
| | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Investor Class | | | (201,693 | ) | | | (464,061 | ) |
Institutional Class | | | (732,769 | ) | | | (1,262,828 | ) |
Total distributions to shareholders | | | (934,462 | ) | | | (1,726,889 | ) |
| | | | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Sale of shares - Investor Shares | | | 244,164 | | | | 1,091,387 | |
Sale of shares - Institutional Shares | | | 5,395,255 | | | | 5,292,178 | |
Reinvestment of distributions - Investor Class | | | 169,619 | | | | 423,885 | |
Reinvestment of distributions - Institutional Class | | | 715,177 | | | | 1,226,157 | |
Redemption of shares - Investor Class | | | (1,613,586 | ) | | | (2,744,524 | ) |
Redemption of shares - Institutional Class | | | (3,248,315 | ) | | | (11,558,883 | ) |
Net increase (decrease) from capital share transactions | | | 1,662,314 | | | | (6,269,800 | ) |
Total increase (decrease) in net assets | | | 8,790,153 | | | | (10,871,658 | ) |
| | | | | | | | | |
NET ASSETS - END OF PERIOD | | $ | 33,990,428 | | | $ | 25,200,275 | |
| | | | | | | | | |
SHARE ACTIVITY | | | | | | | | |
Investor Class: | | | | | | | | |
Sold | | | 39,862 | | | | 183,256 | |
Issued on reinvestment of distributions | | | 22,737 | | | | 62,984 | |
Redeemed | | | (231,235 | ) | | | (404,933 | ) |
Net decrease | | | (168,636 | ) | | | (158,693 | ) |
| | | | | | | | | |
Institutional Class: | | | | | | | | |
Sold | | | 715,595 | | | | 829,319 | |
Issued on reinvestment of distributions | | | 93,487 | | | | 177,704 | |
Redeemed | | | (474,892 | ) | | | (1,737,300 | ) |
Net increase (decrease) | | | 334,190 | | | | (730,277 | ) |
See accompanying notes to financial statements. | | CRM Funds |
| | 43 | |
CRM FUNDS STATEMENTS OF CHANGES IN NET ASSETS
|
| | | CRM Long/Short Opportunities Fund | |
| | | Six Months Ended
December 31, 2020
(Unaudited) | | | Year Ended
June 30, 2020 | |
NET ASSETS - BEGINNING OF PERIOD | | $ | 56,540,273 | | | $ | 482,050,409 | |
| | | | | | | | | |
OPERATIONS | | | | | | | | |
Net investment loss | | | (615,294 | ) | | | (2,752,199 | ) |
Net realized gain (loss) from investments and foreign currency | | | (2,622,242 | ) | | | 63,260,399 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currency | | | 15,329,811 | | | | (49,747,612 | ) |
Net increase in net assets resulting from operations | | | 12,092,275 | | | | 10,760,588 | |
| | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Institutional Class | | | (4,340,824 | ) | | | (20,035,084 | ) |
Total distributions to shareholders | | | (4,340,824 | ) | | | (20,035,084 | ) |
| | | | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Sale of shares - Institutional Shares | | | 34,009,057 | | | | 51,524,409 | |
Reinvestment of distributions - Institutional Class | | | 4,329,863 | | | | 19,967,847 | |
Redemption of shares - Institutional Class | | | (11,003,226 | ) | | | (487,727,896 | ) |
Net increase (decrease) from capital share transactions | | | 27,335,694 | | | | (416,235,640 | ) |
Total increase (decrease) in net assets | | | 35,087,145 | | | | (425,510,136 | ) |
| | | | | | | | | |
NET ASSETS - END OF PERIOD | | $ | 91,627,418 | | | $ | 56,540,273 | |
| | | | | | | | | |
SHARE ACTIVITY | | | | | | | | |
Institutional Class: | | | | | | | | |
Sold | | | 3,029,436 | | | | 5,031,498 | |
Issued on reinvestment of distributions | | | 387,286 | | | | 1,988,830 | |
Redeemed | | | (981,851 | ) | | | (48,427,040 | ) |
Net increase (decrease) | | | 2,434,871 | | | | (41,406,712 | ) |
See accompanying notes to financial statements. | | CRM Funds |
| | 44 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the financial statements. The total returns in the tables represent the rate an investor would have earned or lost on an investment in the funds (assuming reinvestment of all dividends and distributions). This information should be read in conjunction with the financial statements and notes thereto.
| | | CRM Small Cap Value Fund — Investor Shares | |
| | | Six Months
Ended
December 31,
2020 | | | For the Years Ended June 30, | |
| | | (Unaudited)1 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value - Beginning of Period | | $ | 11.22 | | | $ | 15.34 | | | $ | 17.15 | | | $ | 18.06 | | | $ | 15.86 | | | $ | 19.98 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.04 | | | | 0.04 | | | | 0.02 | | | | 0.09 | 3 | | | (0.01 | ) | | | 0.08 | |
Net realized and unrealized gain (loss) on investments | | | 3.51 | | | | (3.07 | ) | | | (0.22 | ) | | | 1.87 | | | | 3.54 | | | | (0.66 | ) |
Total from investment operations | | | 3.55 | | | | (3.03 | ) | | | (0.20 | ) | | | 1.96 | | | | 3.53 | | | | (0.58 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.07 | ) | | | (0.03 | ) | | | (0.04 | ) | | | (0.09 | ) | | | (0.08 | ) | | | (0.03 | ) |
From net realized gain on investments | | | — | | | | (1.06 | ) | | | (1.57 | ) | | | (2.78 | ) | | | (1.25 | ) | | | (3.51 | ) |
Total distributions to shareholders | | | (0.07 | ) | | | (1.09 | ) | | | (1.61 | ) | | | (2.87 | ) | | | (1.33 | ) | | | (3.54 | ) |
Net Asset Value - End of Period | | $ | 14.70 | | | $ | 11.22 | | | $ | 15.34 | | | $ | 17.15 | | | $ | 18.06 | | | $ | 15.86 | |
Total return | | | 31.63 | % | | | (21.53 | )% | | | (0.17 | )% | | | 11.17 | % | | | 22.28 | % | | | (2.13 | )% |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.18 | % | | | 1.16 | % | | | 1.15 | % | | | 1.13 | % | | | 1.15 | % | | | 1.12 | % |
Net investment income (loss) | | | 0.64 | % | | | 0.27 | % | | | 0.12 | % | | | 0.52 | %3 | | | (0.07 | )% | | | 0.50 | % |
Portfolio turnover rate | | | 32 | % | | | 60 | % | | | 48 | % | | | 49 | % | | | 91 | % | | | 68 | % |
Net Assets at end of period (000’s omitted) | | $ | 35,215 | | | $ | 33,526 | | | $ | 58,787 | | | $ | 76,779 | | | $ | 72,472 | | | $ | 61,529 | |
(1) | For the six months ended December 31, 2020. All ratios for the period have been annualized. Total returns and portfolio turnover for the period have not been annualized. |
(2) | Calculated using the average shares outstanding method. |
(3) | For the year ended June 30, 2018, net investment income per share reflects special dividends which amount to $0.13 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been (0.22)%. |
See accompanying notes to financial statements. | | CRM Funds |
| | 45 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM Small Cap Value Fund — Institutional Shares | |
| | | Six Months
Ended
December 31,
2020 | | | For the Years Ended June 30, | |
| | | (Unaudited)1 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value - Beginning of Period | | $ | 13.28 | | | $ | 17.96 | | | $ | 19.77 | | | $ | 20.41 | | | $ | 17.78 | | | $ | 21.94 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | 0.07 | | | | 0.08 | | | | 0.07 | | | | 0.16 | 3 | | | 0.03 | | | | 0.13 | |
Net realized and unrealized gain (loss) on investments | | | 4.14 | | | | (3.63 | ) | | | (0.23 | ) | | | 2.11 | | | | 3.97 | | | | (0.70 | ) |
Total from investment operations | | | 4.21 | | | | (3.55 | ) | | | (0.16 | ) | | | 2.27 | | | | 4.00 | | | | (0.57 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.10 | ) | | | (0.07 | ) | | | (0.08 | ) | | | (0.13 | ) | | | (0.12 | ) | | | (0.08 | ) |
From net realized gain on investments | | | — | | | | (1.06 | ) | | | (1.57 | ) | | | (2.78 | ) | | | (1.25 | ) | | | (3.51 | ) |
Total distributions to shareholders | | | (0.10 | ) | | | (1.13 | ) | | | (1.65 | ) | | | (2.91 | ) | | | (1.37 | ) | | | (3.59 | ) |
Net Asset Value - End of Period | | $ | 17.39 | | | $ | 13.28 | | | $ | 17.96 | | | $ | 19.77 | | | $ | 20.41 | | | $ | 17.78 | |
Total return | | | 31.74 | % | | | (21.34 | )% | | | 0.11 | % | | | 11.44 | % | | | 22.51 | % | | | (1.89 | )% |
Ratios/Supplemental Data: | | | | | �� | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.94 | % | | | 0.92 | % | | | 0.91 | % | | | 0.89 | % | | | 0.91 | % | | | 0.89 | % |
Net investment income | | | 0.90 | % | | | 0.52 | % | | | 0.38 | % | | | 0.77 | %3 | | | 0.19 | % | | | 0.70 | % |
Portfolio turnover rate | | | 32 | % | | | 60 | % | | | 48 | % | | | 49 | % | | | 91 | % | | | 68 | % |
Net Assets at end of period (000’s omitted) | | $ | 245,202 | | | $ | 198,589 | | | $ | 266,562 | | | $ | 283,762 | | | $ | 348,689 | | | $ | 376,688 | |
(1) | For the six months ended December 31, 2020. All ratios for the period have been annualized. Total returns and portfolio turnover for the period have not been annualized. |
(2) | Calculated using the average shares outstanding method. |
(3) | For the year ended June 30, 2018, net investment income per share reflects special dividends which amount to $0.15 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.01%. |
See accompanying notes to financial statements. | | CRM Funds |
| | 46 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM Small/Mid Cap Value Fund — Investor Shares | |
| | | Six Months
Ended
December 31,
2020 | | | For the Years Ended June 30, | |
| | | (Unaudited)1 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value - Beginning of Period | | $ | 9.71 | | | $ | 11.36 | | | $ | 13.09 | | | $ | 14.54 | | | $ | 12.81 | | | $ | 15.41 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.06 | | | | 0.02 | | | | 0.03 | | | | (0.01 | ) | | | (0.01 | ) | | | 0.23 | 3 |
Net realized and unrealized gain (loss) on investments | | | 3.54 | | | | (1.35 | ) | | | (0.01 | ) | | | 2.15 | | | | 2.04 | | | | (1.36 | ) |
Total from investment operations | | | 3.60 | | | | (1.33 | ) | | | 0.02 | | | | 2.14 | | | | 2.03 | | | | (1.13 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.03 | ) | | | (0.03 | ) | | | — | | | | — | | | | (0.30 | ) | | | — | |
From net realized gain on investments | | | (0.71 | ) | | | (0.29 | ) | | | (1.75 | ) | | | (3.59 | ) | | | — | | | | (1.47 | ) |
Total distributions to shareholders | | | (0.74 | ) | | | (0.32 | ) | | | (1.75 | ) | | | (3.59 | ) | | | (0.30 | ) | | | (1.47 | ) |
Net Asset Value - End of Period | | $ | 12.57 | | | $ | 9.71 | | | $ | 11.36 | | | $ | 13.09 | | | $ | 14.54 | | | $ | 12.81 | |
Total return | | | 37.23 | % | | | (12.18 | )% | | | 1.91 | % | | | 16.75 | % | | | 15.87 | % | | | (6.91 | )% |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.17 | % | | | 1.17 | % | | | 1.15 | % | | | 1.13 | % | | | 1.14 | % | | | 1.12 | % |
Net investment income (loss) | | | 1.04 | % | | | 0.22 | % | | | 0.21 | % | | | (0.05 | )% | | | (0.05 | )% | | | 1.75 | %3 |
Portfolio turnover rate | | | 24 | % | | | 80 | % | | | 45 | % | | | 48 | % | | | 76 | % | | | 72 | % |
Net Assets at end of period (000’s omitted) | | $ | 22,507 | | | $ | 16,259 | | | $ | 24,455 | | | $ | 29,116 | | | $ | 36,626 | | | $ | 53,393 | |
(1) | For the six months ended December 31, 2020. All ratios for the period have been annualized. Total returns and portfolio turnover for the period have not been annualized. |
(2) | Calculated using the average shares outstanding method. |
(3) | For the year ended June 30, 2016, net investment income per share reflects special dividends which amounted to $0.19 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.24%. |
See accompanying notes to financial statements. | | CRM Funds |
| | 47 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM Small/Mid Cap Value Fund — Institutional Shares | |
| | | Six Months
Ended
December 31,
2020 | | | For the Years Ended June 30, | |
| | | (Unaudited)1 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value - Beginning of Period | | $ | 10.00 | | | $ | 11.70 | | | $ | 13.43 | | | $ | 14.80 | | | $ | 13.03 | | | $ | 15.62 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | 0.07 | | | | 0.05 | | | | 0.05 | | | | 0.02 | | | | 0.02 | | | | 0.25 | 3 |
Net realized and unrealized gain (loss) on investments | | | 3.65 | | | | (1.41 | ) | | | — | 4 | | | 2.20 | | | | 2.08 | | | | (1.37 | ) |
Total from investment operations | | | 3.72 | | | | (1.36 | ) | | | 0.05 | | | | 2.22 | | | | 2.10 | | | | (1.12 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.05 | ) | | | (0.05 | ) | | | (0.03 | ) | | | — | | | | (0.33 | ) | | | — | |
From net realized gain on investments | | | (0.71 | ) | | | (0.29 | ) | | | (1.75 | ) | | | (3.59 | ) | | | — | | | | (1.47 | ) |
Total distributions to shareholders | | | (0.76 | ) | | | (0.34 | ) | | | (1.78 | ) | | | (3.59 | ) | | | (0.33 | ) | | | (1.47 | ) |
Net Asset Value - End of Period | | $ | 12.96 | | | $ | 10.00 | | | $ | 11.70 | | | $ | 13.43 | | | $ | 14.80 | | | $ | 13.03 | |
Total return | | | 37.41 | % | | | (12.06 | )% | | | 2.13 | % | | | 17.03 | % | | | 16.19 | % | | | (6.74 | )% |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.96 | % | | | 0.95 | % | | | 0.94 | % | | | 0.91 | % | | | 0.93 | % | | | 0.90 | % |
Net investment income | | | 1.23 | % | | | 0.44 | % | | | 0.42 | % | | | 0.16 | % | | | 0.13 | % | | | 1.90 | %3 |
Portfolio turnover rate | | | 24 | % | | | 80 | % | | | 45 | % | | | 48 | % | | | 76 | % | | | 72 | % |
Net Assets at end of period (000’s omitted) | | $ | 277,030 | | | $ | 220,919 | | | $ | 253,964 | | | $ | 261,428 | | | $ | 454,332 | | | $ | 552,340 | |
(1) | For the six months ended December 31, 2020. All ratios for the period have been annualized. Total returns and portfolio turnover for the period have not been annualized. |
(2) | Calculated using the average shares outstanding method. |
(3) | For the year ended June 30, 2016, net investment income per share reflects special dividends which amounted to $0.19 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.46%. |
(4) | Amount represents less than $0.005. |
See accompanying notes to financial statements. | | CRM Funds |
| | 48 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM Mid Cap Value Fund — Investor Shares | |
| | | Six Months
Ended
December 31,
2020 | | | For the Years Ended June 30, | |
| | | (Unaudited)1 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value - Beginning of Period | | $ | 18.34 | | | $ | 21.22 | | | $ | 22.58 | | | $ | 23.18 | | | $ | 20.80 | | | $ | 28.93 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | 0.08 | | | | 0.08 | | | | 0.08 | | | | 0.14 | 3 | | | 0.13 | | | | 0.25 | 4 |
Net realized and unrealized gain (loss) on investments | | | 5.25 | | | | (2.33 | ) | | | 0.41 | | | | 3.57 | | | | 3.12 | | | | (0.51 | ) |
Total from investment operations | | | 5.33 | | | | (2.25 | ) | | | 0.49 | | | | 3.71 | | | | 3.25 | | | | (0.26 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.09 | ) | | | (0.09 | ) | | | (0.04 | ) | | | (0.29 | ) | | | — | 5 | | | (0.30 | ) |
From net realized gain on investments | | | (0.36 | ) | | | (0.54 | ) | | | (1.81 | ) | | | (4.02 | ) | | | (0.87 | ) | | | (7.57 | ) |
Total distributions to shareholders | | | (0.45 | ) | | | (0.63 | ) | | | (1.85 | ) | | | (4.31 | ) | | | (0.87 | ) | | | (7.87 | ) |
Net Asset Value - End of Period | | $ | 23.22 | | | $ | 18.34 | | | $ | 21.22 | | | $ | 22.58 | | | $ | 23.18 | | | $ | 20.80 | |
Total return | | | 29.12 | % | | | (10.98 | )% | | | 3.39 | % | | | 17.80 | % | | | 15.93 | % | | | 1.43 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.18 | % | | | 1.16 | % | | | 1.14 | % | | | 1.11 | % | | | 1.15 | % | | | 1.13 | % |
Net investment income | | | 0.74 | % | | | 0.42 | % | | | 0.37 | % | | | 0.62 | %3 | | | 0.58 | % | | | 1.11 | %4 |
Portfolio turnover rate | | | 28 | % | | | 37 | % | | | 40 | % | | | 58 | % | | | 74 | % | | | 76 | % |
Net Assets at end of period (000’s omitted) | | $ | 170,591 | | | $ | 152,370 | | | $ | 220,014 | | | $ | 243,062 | | | $ | 229,541 | | | $ | 357,232 | |
(1) | For the six months ended December 31, 2020. All ratios for the period have been annualized. Total returns and portfolio turnover for the period have not been annualized. |
(2) | Calculated using the average shares outstanding method. |
(3) | For the year ended June 30, 2018, net investment income per share reflects special dividends which amounted to $0.13 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.04%. |
(4) | For the year ended June 30, 2016, net investment income per share reflects special dividends which amounted to $0.20 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.21%. |
(5) | Amount represents less than $0.005. |
See accompanying notes to financial statements. | | CRM Funds |
| | 49 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM Mid Cap Value Fund — Institutional Shares | |
| | | Six Months
Ended
December 31,
2020 | | | For the Years Ended June 30, | |
| | | (Unaudited)1 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value - Beginning of Period | | $ | 19.17 | | | $ | 22.16 | | | $ | 23.49 | | | $ | 23.96 | | | $ | 21.46 | | | $ | 29.60 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | 0.10 | | | | 0.12 | | | | 0.13 | | | | 0.19 | 3 | | | 0.15 | | | | 0.39 | 4 |
Net realized and unrealized gain (loss) on investments | | | 5.49 | | | | (2.44 | ) | | | 0.43 | | | | 3.71 | | | | 3.26 | | | | (0.60 | ) |
Total from investment operations | | | 5.59 | | | | (2.32 | ) | | | 0.56 | | | | 3.90 | | | | 3.41 | | | | (0.21 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.13 | ) | | | (0.13 | ) | | | (0.08 | ) | | | (0.35 | ) | | | (0.04 | ) | | | (0.36 | ) |
From net realized gain on investments | | | (0.36 | ) | | | (0.54 | ) | | | (1.81 | ) | | | (4.02 | ) | | | (0.87 | ) | | | (7.57 | ) |
Total distributions to shareholders | | | (0.49 | ) | | | (0.67 | ) | | | (1.89 | ) | | | (4.37 | ) | | | (0.91 | ) | | | (7.93 | ) |
Net Asset Value - End of Period | | $ | 24.27 | | | $ | 19.17 | | | $ | 22.16 | | | $ | 23.49 | | | $ | 23.96 | | | $ | 21.46 | |
Total return | | | 29.25 | % | | | (10.83 | )% | | | 3.61 | % | | | 18.04 | % | | | 16.19 | % | | | 1.61 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.97 | % | | | 0.96 | % | | | 0.94 | % | | | 0.91 | % | | | 0.94 | % | | | 0.95 | % |
Net investment income | | | 0.94 | % | | | 0.59 | % | | | 0.58 | % | | | 0.82 | %3 | | | 0.63 | % | | | 1.60 | %4 |
Portfolio turnover rate | | | 28 | % | | | 37 | % | | | 40 | % | | | 58 | % | | | 74 | % | | | 76 | % |
Net Assets at end of period (000’s omitted) | | $ | 239,511 | | | $ | 202,989 | | | $ | 243,851 | | | $ | 312,290 | | | $ | 289,145 | | | $ | 237,351 | |
(1) | For the six months ended December 31, 2020. All ratios for the period have been annualized. Total returns and portfolio turnover for the period have not been annualized. |
(2) | Calculated using the average shares outstanding method. |
(3) | For the year ended June 30, 2018, net investment income per share reflects special dividends which amounted to $0.13 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.24%. |
(4) | For the year ended June 30, 2016, net investment income per share reflects special dividends which amounted to $0.28 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.43%. |
See accompanying notes to financial statements. | | CRM Funds |
| | 50 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM All Cap Value Fund — Investor Shares | |
| | | Six Months
Ended
December 31,
2020 | | | For the Years Ended June 30, | |
| | | (Unaudited)1 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value - Beginning of Period | | $ | 5.91 | | | $ | 6.99 | | | $ | 8.81 | | | $ | 9.28 | | | $ | 8.32 | | | $ | 10.72 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.01 | | | | 0.01 | | | | 0.01 | | | | (0.01 | ) | | | 0.03 | | | | 0.06 | |
Net realized and unrealized gain (loss) on investments | | | 1.95 | | | | (0.67 | ) | | | (0.26 | ) | | | 1.00 | | | | 1.32 | | | | (0.08 | ) |
Total from investment operations | | | 1.96 | | | | (0.66 | ) | | | (0.25 | ) | | | 0.99 | | | | 1.35 | | | | (0.02 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.02 | ) | | | (0.01 | ) | | | — | | | | — | | | | (0.03 | ) | | | (0.07 | ) |
From net realized gain on investments | | | (0.19 | ) | | | (0.41 | ) | | | (1.57 | ) | | | (1.46 | ) | | | (0.36 | ) | | | (2.31 | ) |
Total distributions to shareholders | | | (0.21 | ) | | | (0.42 | ) | | | (1.57 | ) | | | (1.46 | ) | | | (0.39 | ) | | | (2.38 | ) |
Net Asset Value - End of Period | | $ | 7.66 | | | $ | 5.91 | | | $ | 6.99 | | | $ | 8.81 | | | $ | 9.28 | | | $ | 8.32 | |
Total return | | | 33.21 | % | | | (10.16 | )% | | | (0.72 | )% | | | 11.20 | % | | | 16.66 | % | | | 0.87 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, including waiver/reimbursement | | | 1.38 | % | | | 1.40 | % | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % |
Expenses, excluding waiver/reimbursement | | | 1.40 | % | | | 1.50 | % | | | 2.20 | % | | | 1.93 | % | | | 1.95 | % | | | 1.76 | % |
Net investment income (loss), including waiver/reimbursement | | | 0.20 | % | | | 0.22 | % | | | 0.12 | % | | | (0.07 | )% | | | 0.36 | % | | | 0.72 | % |
Portfolio turnover rate | | | 46 | % | | | 65 | % | | | 112 | % | | | 72 | % | | | 91 | % | | | 91 | % |
Net Assets at end of period (000’s omitted) | | $ | 7,643 | | | $ | 6,893 | | | $ | 9,256 | | | $ | 4,694 | | | $ | 8,735 | | | $ | 19,708 | |
(1) | For the six months ended December 31, 2020. All ratios for the period have been annualized. Total returns and portfolio turnover for the period have not been annualized. |
(2) | Calculated using the average shares outstanding method. |
See accompanying notes to financial statements. | | CRM Funds |
| | 51 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM All Cap Value Fund — Institutional Shares | |
| | | Six Months
Ended
December 31,
2020 | | | For the Years Ended June 30, | |
| | | (Unaudited)1 | | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value - Beginning of Period | | $ | 6.07 | | | $ | 7.16 | | | $ | 8.98 | | | $ | 9.40 | | | $ | 8.44 | | | $ | 10.84 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | 0.02 | | | | 0.03 | | | | 0.03 | | | | 0.01 | | | | 0.05 | | | | 0.10 | |
Net realized and unrealized gain (loss) on investments | | | 2.00 | | | | (0.68 | ) | | | (0.27 | ) | | | 1.03 | | | | 1.33 | | | | (0.10 | ) |
Total from investment operations | | | 2.02 | | | | (0.65 | ) | | | (0.24 | ) | | | 1.04 | | | | 1.38 | | | | — | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.04 | ) | | | (0.03 | ) | | | (0.01 | ) | | | — | | | | (0.06 | ) | | | (0.09 | ) |
From net realized gain on investments | | | (0.19 | ) | | | (0.41 | ) | | | (1.57 | ) | | | (1.46 | ) | | | (0.36 | ) | | | (2.31 | ) |
Total distributions to shareholders | | | (0.23 | ) | | | (0.44 | ) | | | (1.58 | ) | | | (1.46 | ) | | | (0.42 | ) | | | (2.40 | ) |
Net Asset Value - End of Period | | $ | 7.86 | | | $ | 6.07 | | | $ | 7.16 | | | $ | 8.98 | | | $ | 9.40 | | | $ | 8.44 | |
Total return | | | 33.29 | % | | | (9.87 | )% | | | (0.51 | )% | | | 11.63 | % | | | 16.71 | % | | | 1.21 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, including waiver/reimbursement | | | 1.13 | % | | | 1.15 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % |
Expenses, excluding waiver/reimbursement | | | 1.15 | % | | | 1.25 | % | | | 1.96 | % | | | 1.68 | % | | | 1.73 | % | | | 1.51 | % |
Net investment income, including waiver/reimbursement | | | 0.51 | % | | | 0.47 | % | | | 0.36 | % | | | 0.18 | % | | | 0.53 | % | | | 1.10 | % |
Portfolio turnover rate | | | 46 | % | | | 65 | % | | | 112 | % | | | 72 | % | | | 91 | % | | | 91 | % |
Net Assets at end of period (000’s omitted) | | $ | 26,348 | | | $ | 18,307 | | | $ | 26,816 | | | $ | 14,082 | | | $ | 13,675 | | | $ | 3,620 | |
(1) | For the six months ended December 31, 2020. All ratios for the period have been annualized. Total returns and portfolio turnover for the period have not been annualized. |
(2) | Calculated using the average shares outstanding method. |
See accompanying notes to financial statements. | | CRM Funds |
| | 52 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM Long/Short Opportunities Fund — Institutional Shares | |
| | | Six Months
Ended
December 31,
2020 | | | For the Years Ended June 30, | | | For the
Period
August 16,
2016
through
June 30, | |
| | | (Unaudited)1 | | | 2020 | | | 2019 | | | 2018 | | | 20172 | |
Net Asset Value - Beginning of Period | | $ | 10.23 | | | $ | 10.27 | | | $ | 10.68 | | | $ | 10.25 | | | $ | 10.00 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment loss3 | | | (0.09 | ) | | | (0.10 | ) | | | (0.11 | ) | | | (0.10 | ) | | | (0.08 | ) |
Net realized and unrealized gain (loss) on investments, derivatives and foreign currency | | | 1.95 | | | | 0.50 | | | | (0.14 | ) | | | 0.55 | | | | 0.33 | |
Total from investment operations | | | 1.86 | | | | 0.40 | | | | (0.25 | ) | | | 0.45 | | | | 0.25 | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net realized gain on investments | | | (0.58 | ) | | | (0.44 | ) | | | (0.16 | ) | | | (0.02 | ) | | | — | |
Total distributions to shareholders | | | (0.58 | ) | | | (0.44 | ) | | | (0.16 | ) | | | (0.02 | ) | | | — | |
Net Asset Value - End of Period | | $ | 11.51 | | | $ | 10.23 | | | $ | 10.27 | | | $ | 10.68 | | | $ | 10.25 | |
Total return | | | 18.36 | % | | | 3.93 | % | | | (2.18 | )% | | | 4.44 | % | | | 2.50 | % |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
Expenses, including waiver/reimbursement4 | | | 2.26 | % | | | 2.95 | % | | | 3.03 | % | | | 2.80 | % | | | 2.44 | % |
Expenses, excluding waiver/reimbursement | | | 2.43 | % | | | 3.03 | % | | | 3.10 | % | | | 2.85 | % | | | 2.59 | % |
Net investment loss, including waiver/reimbursement | | | (1.69 | )% | | | (0.99 | )% | | | (1.03 | )% | | | (0.94 | )% | | | (0.93 | )% |
Portfolio turnover rate | | | 182 | % | | | 177 | % | | | 195 | % | | | 251 | % | | | 319 | % |
Net Assets at end of period (000’s omitted) | | $ | 91,627 | | | $ | 56,540 | | | $ | 482,050 | | | $ | 709,303 | | | $ | 448,108 | |
(1) | For the six months ended December 31, 2020. All ratios for the period have been annualized. Total returns and portfolio turnover for the period have not been annualized. |
(2) | Inception date was August 16, 2016. All ratios for the period have been annualized. Total returns and portfolio turnover for the period have not been annualized. |
(3) | Calculated using the average shares outstanding method. |
(4) | Expense ratio includes the impact of dividend expense and net interest expense (when applicable), on securities sold short. Excluding such expenses, the ratio of expenses to average net assets would have been 1.59% for the year ended June 30, 2020 and 1.60% for all other periods. |
See accompanying notes to financial statements. | | CRM Funds |
| | 53 | |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited)
|
1. | Description of the Funds. CRM Small Cap Value Fund (“Small Cap Value Fund”), CRM Small/Mid Cap Value Fund (“Small/Mid Cap Value Fund”), CRM Mid Cap Value Fund (“Mid Cap Value Fund”), CRM All Cap Value Fund (“All Cap Value Fund”) and CRM Long/Short Opportunities Fund (“Long/Short Opportunities Fund”) (each, a “Fund” and collectively, the “Funds”) are series of the CRM Mutual Fund Trust (the “Trust”). The Trust consists of five funds. A shareholder of one series is not deemed to be a shareholder of any other series. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and was organized as a Delaware statutory trust on March 30, 2005. |
Small Cap Value Fund, Small/Mid Cap Value Fund, Mid Cap Value Fund, and All Cap Value Fund: Each Fund offers Investor and Institutional Shares. Each class has different minimum investment requirements, fees and expenses. All classes of shares have identical voting, dividend and liquidation rights. Investor Shares are available to all investors and are subject to a shareholder servicing fee. Institutional Shares are offered only to those investors who invest in a Fund through an intermediary (i.e. broker) or through a consultant and who invest $1,000,000 or more or where related accounts total $1,000,000 or more when combined.
Long/Short Opportunities Fund: The Fund offers Institutional Shares. Shares are generally available for purchase and sale by registered investment advisers acting in a fiduciary capacity on behalf of their clients and by or through other qualified intermediaries and programs sponsored by such qualified financial intermediaries. Initial investments in the Fund are subject to a $100,000 minimum per registered investment adviser or qualified financial intermediary.
2. | Significant Accounting Policies. The Funds’ financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). The Funds are investment companies and follow the accounting and reporting requirements for investment companies under Financial Accounting Standards Board (“FASB”), Accounting Standards Codification Topic 946. The following is a summary of the significant accounting policies of the Funds: |
Security Valuation. The Funds value their investment securities based on current market values when such values are available. These prices normally are supplied by a pricing service.
In valuing a Fund’s investment securities, a security listed on the New York Stock Exchange (the “Exchange”) (and not subject to restrictions against sale by the Fund on the Exchange) will be valued at its last sale price on the Exchange on the day the security is valued. Lacking any sales on such day, the security will be valued at the mean between the closing asked price and the closing bid price. Securities listed on other exchanges (and not subject to restriction against sale by the Fund on such exchanges) will be similarly valued, using quotations on the exchange on which the security is traded most extensively. Securities that are quoted on the NASDAQ Stock Market, for which there have been sales of such securities on such day, shall be valued at the last sale price reported on such system on the day the security is valued. If there are no such sales on such day, the value shall be the mean between the closing asked price and the closing bid price. The value of such securities quoted on the stock market system, but not
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
|
listed on the national market system, shall be valued at the mean between the closing asked price and the closing bid price. Unlisted securities that are not quoted on the NASDAQ Stock Market and for which over-the-counter market quotations are readily available will be valued at the mean between the current bid and asked prices for such security in the over-the-counter market.
Short-term investments with remaining maturities of less than 61 days are valued at amortized cost, provided such amount approximates fair value. A Fund’s currency valuations, if any, are also valued at the close of regular trading on the Exchange. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations provided by a third-party pricing service. Option contracts are generally valued at the mean between the last bid and ask prices on the principal exchange where they are traded.
Securities that do not have a readily available current market value are valued in good faith by, or under the direction of, the Board of Trustees of the Trust (the “Board” or “Trustees”). In addition, the Funds may use fair value methodologies if it is determined that a significant event has occurred between the time at which a market price is determined and the time at which the Fund’s net asset value (“NAV”) is calculated and that may materially affect the value of the security. In particular, the value of foreign securities may be materially affected by events occurring after the close of the market on which they are valued, but before a Fund prices its shares. Securities trading in overseas markets present time zone arbitrage opportunities when events affecting portfolio security values occur after the close of the overseas market but prior to the close of the U.S. market. In addition, arbitrage opportunities may exist when trading in a portfolio security or securities is halted and does not resume before a fund calculates its NAV. These arbitrage opportunities may enable short-term traders to profit at the expense of long-term investors. Valuing securities using fair value methodologies involves greater reliance on judgment than valuing securities based on readily available market quotations. A Fund, when using fair value methodologies to price securities, may value those securities higher or lower than another fund using market quotations or its own fair value methodologies to price the same securities. There can be no assurance that a Fund could obtain the fair value assigned to a security if it were to sell the security.
The Funds disclose the value of their investments in a hierarchy based on the inputs used to value the investments. The disclosure hierarchy consists of three broad levels:
| | ● Level 1 — | quoted prices in active markets for identical securities |
Investments whose values are based on quoted market prices in active markets, and whose values are therefore classified as Level 1 prices, include active listed equity securities. The Funds do not adjust the quoted price for such investments, even in situations where the Funds hold a large position and a sale could reasonably impact the quoted price.
| | ● Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
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Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs are classified as Level 2 prices. These generally include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equity securities. In addition, foreign securities may require revised valuations if the values of the securities are materially affected by events occurring after the close of the market on which they are valued, but before a Fund prices its shares. As investments whose values are classified as Level 2 prices may include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.
| | ● Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not available for these securities, the Funds use one or more valuation techniques for which sufficient and reliable data is available. The inputs used by the Funds in estimating the value of Level 3 prices may include the original transaction price, quoted prices for comparable companies or assets in active markets, completed or pending third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting value and therefore the Funds’ results of operations.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any inputs both individually and in the aggregate that is significant to the fair value measurement. The Funds’ policy is to recognize transfers among levels as of the beginning of the reporting period. A summary of the inputs used to value the Funds’ investments as of December 31, 2020 is included with each Fund’s Schedule of Investments.
Foreign Currency Translations. The books and records of the Funds are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date. The value of all assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar daily. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of those investments. Such fluctuations are included with the net realized and unrealized gain or loss from investments that are disclosed within each Fund’s statement of operations, as applicable.
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
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Federal Income Taxes. Each Fund is treated as a separate entity for federal income tax purposes and intends to continue to qualify as a “regulated investment company” (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of its taxable income to its shareholders. Therefore, no Federal income tax provision has been made.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each of the Fund’s tax positions and has concluded that no provision for U.S. income tax is required in each of the Fund’s financial statements. Each of the Fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. On an ongoing basis, management monitors the Funds’ tax positions to determine if any adjustments to its conclusions are necessary.
The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the six months ended December 31, 2020, the Funds did not incur any interest or penalties.
Security Transactions and Investment Income. Investment security transactions are accounted for on a trade date basis for financial reporting purposes. Each Fund uses the specific identification method for determining realized gains and losses on investments for both financial and federal income tax reporting purposes. Interest income is recorded on the accrual basis and includes the amortization of premium and the accretion of discount. Dividend income and expense are recorded on the ex-dividend date. Foreign dividends are also recorded on the ex-dividend date, net of all tax withholdings not eligible for rebates. Withholding taxes on foreign dividends are recorded in accordance with the Fund’s understanding of the applicable country’s tax rules and rates. Distributions received from investments in Real Estate Investment Trusts (“REITs”) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of the distributions by the issuer or management estimate. The Funds record expenses as incurred. Common expenses of the Trust are allocated on a pro-rata basis amongst the series of the Trust based on relative net assets.
The Funds’ investments in certain countries are subjected to additional capital gain taxes. Such taxes are due upon sale of individual securities. The Funds accrue for taxes on the capital gains throughout the holding period based on the unrealized gain of the underlying securities, as applicable. The Funds held no such securities during the six months ended December 31, 2020.
Class Accounting. In calculating the NAV per share for each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Repurchase Agreements. Each Fund (except Long/Short Opportunities Fund) may, through its custodian, receive delivery of the underlying securities used to collateralize repurchase agreements, the market value of which is required to be in an amount at least equal to 101% of the resale price. The Funds’ investment
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
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adviser is responsible for determining that the market value of these underlying securities is maintained at all times at a level at least equal to 101% of the resale price. In event of default of the obligation to repurchase, each Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Provisions of each agreement require that the market value of the collateral is sufficient in the event of default; however, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
Repurchase agreements are entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund.
At December 31, 2020, the open repurchase agreements by counterparty which are subject to a MRA on a net payment basis are as follows:
| | | Repurchase
Agreements | | | Fair Value
of Non-cash
Collateral
Received1 | | | Cash
Collateral
Received | | | Net Amount2 | |
Small Cap Value Fund | | | | | | | | | | | | | | | | |
Citibank NA | | $ | 964 | | | $ | 964 | | | $ | — | | | $ | — | |
| | | $ | 964 | | | $ | 964 | | | $ | — | | | $ | — | |
Small/Mid Cap Value Fund | | | | | | | | | | | | | | | | |
Bank of America Securities, Inc. | | $ | 1,430,627 | | | $ | 1,430,627 | | | $ | — | | | $ | — | |
Citibank NA | | | 767,805 | | | | 767,805 | | | | — | | | | — | |
JP Morgan Securities LLC | | | 1,430,627 | | | | 1,430,627 | | | | — | | | | — | |
Mizuho Securities USA, LLC | | | 1,430,627 | | | | 1,430,627 | | | | — | | | | — | |
| | | $ | 5,059,686 | | | $ | 5,059,686 | | | $ | — | | | $ | — | |
Mid Cap Value Fund | | | | | | | | | | | | | | | | |
Bank of America Securities, Inc. | | $ | 1,292,071 | | | $ | 1,292,071 | | | $ | — | | | $ | — | |
Citigroup Global Markets, Inc. | | | 847,078 | | | | 847,078 | | | | — | | | | — | |
JP Morgan Securities LLC | | | 1,292,071 | | | | 1,292,071 | | | | — | | | | — | |
Mizuho Securities USA, LLC | | | 1,292,071 | | | | 1,292,071 | | | | — | | | | — | |
| | | $ | 4,723,291 | | | $ | 4,723,291 | | | $ | — | | | $ | — | |
| | 1 | The value of collateral shown in the table does not reflect value that exceeds the value of the repurchase agreement. Collateral with a value of $983, $5,144,231 and $4,802,100, respectively, has been received in connection with open repurchase agreements. |
| | 2 | Net exposure represents the receivable (payable) that would be due to (from) the counterparty in an event of default. |
Distributions to Shareholders. Dividends and distributions to shareholders are recorded on the ex-dividend date. Distributions from net investment income and net realized gains, if any, will be declared and paid annually.
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
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Use of Estimates in the Preparation of Financial Statements. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
3. | Advisory Fees and Other Transactions with Affiliates. Cramer Rosenthal McGlynn, LLC (“CRM”) serves as investment adviser to the Funds. CRM receives an advisory fee from Small Cap Value Fund, Small/Mid Cap Value Fund, and Mid Cap Value Fund of 0.75% of each Fund’s first $1 billion of average daily net assets; 0.70% of each Fund’s next $1 billion of average daily net assets; and 0.65% of each Fund’s average daily net assets in excess of $2 billion. For its advisory services to All Cap Value Fund, CRM receives 0.70% of the Fund’s average daily net assets. |
CRM has contractually agreed to waive a portion of its fees and assume certain expenses of the Funds to the extent that total annual fund operating expenses (excluding taxes, extraordinary expenses, brokerage commissions, acquired fund fees and expenses and interest) do not exceed the percentage of average daily net assets as follows:
| | Investor
Shares | Institutional
Shares |
Small Cap Value Fund | 1.50% | 1.25% |
Small/Mid Cap Value Fund | 1.50% | 1.25% |
Mid Cap Value Fund | 1.50% | 1.25% |
All Cap Value Fund | 1.45% | 1.20% |
For its advisory services to Long/Short Opportunities Fund, CRM receives 1.50% of the Fund’s average daily net assets. CRM has contractually agreed to waive a portion of its fees and assume certain expenses of Long/Short Opportunities Fund to the extent that total annual fund operating expenses (excluding taxes, extraordinary expenses, brokerage commissions, interest, dividend and interest expenses related to short sales, and acquired fund fees and expenses) do not exceed the percentage of average daily net assets as follows:
| | Institutional
Shares |
Long/Short Opportunities Fund | 1.60% |
The expense limitations are in effect until November 1, 2021. Prior to these dates, the arrangement may be terminated for a class of a Fund only by the vote of the Board of Trustees of the Fund.
CRM provides compliance services to the Trust. The Chief Compliance Officer (“CCO”) is an employee of CRM. The Trust reimburses CRM for the portion of his salary allocated to his duties as the CCO of the Trust at a rate of $75,000 per year which is allocated on a pro-rata basis amongst the series of the Trust based on relative net assets.
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
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Compensation of Trustees and Officers. Except for the CCO of the Funds, trustees and officers of the Funds who are interested persons of CRM, as defined in the 1940 Act, receive no compensation from the Funds.
Trustees of the Funds who are not interested persons of CRM, as defined in the 1940 Act (each an “Independent Trustee”), receive compensation and reimbursement of expenses. Each Independent Trustee receives aggregate annual compensation from the Trust at an annual rate of $60,000 which is allocated on a pro-rata basis amongst the series of the Trust based on relative net assets. Under a Deferred Compensation Plan (the “Plan”) adopted August 12, 2005, an Independent Trustee may elect to defer receipt of all, or a portion, of his annual compensation. If an Independent Trustee opts for deferral, then the deferred amounts are credited to an Independent Trustee’s deferral account and invested and reinvested in Institutional Shares of one or more of the Funds in the series of the Trust until such amounts are distributed in accordance with the Plan. No Independent Trustee deferred their compensation earned for the six months ended December 31, 2020. Trustees’ fees reflected in the accompanying financial statements include total compensation earned, which were paid in cash. Each trustee serves during the continued lifetime of the Funds, or the earlier of when his or her successor is elected or qualified, the officer dies, resigns, is removed or becomes disqualified.
Shareholder Servicing Fees. The Board has adopted a Shareholder Servicing Plan which allows each Fund to obtain, for its Investor Shares, the services of CRM and other qualified financial institutions to act as shareholder servicing agents for its shareholders. Under the Shareholder Servicing Plan, each Fund may pay shareholder servicing agents, including CRM, monthly fees at an annual rate not to exceed 0.25% of the Fund’s average daily net assets attributable to its Investor Shares.
Sub-Transfer Agent Fees. Institutional Shares of each Fund are sold through certain intermediaries that provide accounting, recordkeeping, and/or other services to shareholders. The Board of Trustees has approved payment of the fees charged by these intermediaries for providing these sub-transfer agency services from the assets of the Institutional Shares of each Fund provided these fees do not exceed the charges the Fund would bear for these services if they were provided directly by the Funds’ transfer agent. CRM, as the Funds’ agent, remits these payments to the intermediaries. In some cases, where the sub-transfer agency fees of an intermediary are greater than the amounts paid to CRM by the Funds for that intermediary, CRM will pay the balance of those fees itself.
4. | Investment Securities Transactions. The cost of investments purchased and the proceeds from investments sold (excluding short-term investments) for the six months ended December 31, 2020, were as follows: |
| | | Purchases | | | Sales | | | Short Sales | | | Purchases to
Cover Shorts | |
Small Cap Value Fund | | $ | 75,536,353 | | | $ | 94,799,356 | | | $ | — | | | $ | — | |
Small/Mid Cap Value Fund | | | 62,179,389 | | | | 86,534,273 | | | | — | | | | — | |
Mid Cap Value Fund | | | 103,309,103 | | | | 146,265,977 | | | | — | | | | — | |
All Cap Value Fund | | | 12,558,344 | | | | 12,819,332 | | | | — | | | | — | |
Long/Short Opportunities Fund | | | 56,882,498 | | | | 43,081,554 | | | | 29,821,223 | | | | 31,164,779 | |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
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5. | Securities Lending Agreement. Each Fund (except Long/Short Opportunities Fund) may lend their securities pursuant to a securities lending agreement (“Lending Agreement”) with The Bank of New York Mellon. Security loans made pursuant to the Lending Agreement are required at all times to be secured by cash collateral at least equal to 102% of the market value of the securities loaned. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board of Trustees, is invested in short-term fixed income securities rated in the highest rating category by nationally recognized statistical rating organizations (or of comparable quality if unrated) with a maturity date of 397 days or less, including corporate obligations and money market mutual funds. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. The Bank of New York Mellon and the lender retain a portion of the earnings from the collateral investments, with the remainder being retained by the Fund. The Funds record securities lending income net of such allocations. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, The Bank of New York Mellon has agreed to pay the amount of the shortfall to the Funds, or at its discretion, replace the loaned securities. In the event of default or bankruptcy by The Bank of New York Mellon, realization and/or retention of the collateral may be subject to legal proceedings. |
At December 31, 2020, the following Funds had securities on loan:
| | | Market
Value | | | Cash
Collateral | |
Small Cap Value Fund | | $ | 918 | | | $ | 964 | |
Small/Mid Cap Value Fund | | | 5,543,422 | | | | 6,023,686 | |
Mid Cap Value Fund | | | 4,967,535 | | | | 5,440,291 | |
6. | Short Sale Transactions. In short sale transactions, the Fund sells a security it does not hold in anticipation of a decline in the market price of that security. When the Fund makes a short sale, it will borrow the security sold short (borrowed bond) and deliver the security to the counterparty to which it sold the security short. An amount equal to the proceeds received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund is required to repay the counterparty any dividends declared on the security sold short, which is shown as dividend expense in the Statements of Operations. The Fund is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain is limited to the price at which the Fund sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that the Fund will be able to close out a short position at a particular time or at an acceptable price. |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
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The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash that has been pledged to secure the Fund’s obligation to cover the short positions is reported separately on the Statements of Assets and Liabilities. The Fund may receive from or pay to the broker the net of the following amounts: (i) income on cash collateral held at the broker and (ii) a financing charge to the extent the cash collateral is less than the margin requirement. The net amounts of income or fees are included as interest income or expense, as applicable, on securities sold short in the Statements of Operations.
During the six months ended December 31, 2020, Long/Short Opportunities Fund participated in short sale transactions.
7. | Federal Tax Information. Distributions to shareholders from net investment income and realized gains are determined in accordance with Federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Additionally, net short-term realized gains are treated as “ordinary income” for tax purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. |
The total cost of investments and net unrealized appreciation or depreciation for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, and related gross unrealized appreciation and depreciation of securities held by the Funds as of December 31, 2020 were as follows:
| | | Tax Cost of
Investments | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation on
Investments | |
Small Cap Value Fund | | $ | 231,340,525 | | | $ | 59,105,505 | | | $ | (10,916,324 | ) | | $ | 48,189,181 | |
Small/Mid Cap Value Fund | | | 225,211,598 | | | | 86,424,041 | | | | (6,182,060 | ) | | | 80,241,981 | |
Mid Cap Value Fund | | | 311,009,656 | | | | 124,640,996 | | | | (14,598,697 | ) | | | 110,042,299 | |
All Cap Value Fund | | | 26,519,524 | | | | 8,271,214 | | | | (1,057,850 | ) | | | 7,213,364 | |
Long/Short Opportunities Fund | | | 44,550,647 | | | | 26,036,125 | | | | (7,862,170 | ) | | | 18,173,955 | |
8. | Derivative Financial Instruments. Each Fund may, but is not required to, invest in derivative contracts, such as swaps and options on securities and securities indices, for a variety of purposes, including: in an attempt to hedge against adverse changes in the market price of securities, interest rates or currency exchange rates; as a substitute for purchasing or selling securities, including short sales; to attempt to increase the Fund’s return as a non-hedging strategy that may be considered speculative; to manage portfolio characteristics; and as a cash flow management technique. Using swaps, options and other derivatives can increase Fund losses and reduce opportunities for gains when market prices, interest rates or the derivative instruments themselves behave in a way not anticipated by the Fund. Using derivatives may increase the volatility of the Fund’s net asset value and may not provide the result intended. Derivatives may have a leveraging effect on the Fund. Some derivatives have the potential for unlimited |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
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loss, regardless of the size of the Fund’s initial investment. Changes in a derivative’s value may not correlate well with the referenced asset or metric. The Fund also may have to sell assets at inopportune times to satisfy its obligations. Derivatives may be difficult to sell, unwind or value, and the counterparty may default on its obligations to the Fund.
Options. A Fund purchases and writes call and put options to increase or decrease its exposure to underlying instruments (including credit risk, equity risk, foreign currency exchange rate risk and/or interest rate risk) and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Fund writes an option, such option is covered by cash in an amount sufficient to cover the obligation. In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Fund purchasing or selling a security when it otherwise would not, or at a price different from the current market value.
As of December 31, 2020, the Funds did not hold any option contracts.
Forward Foreign Currency Exchange Contracts. A Fund enters into forward foreign currency exchange contracts to gain or reduce exposure, to foreign currencies (foreign currency exchange rate risk). A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated and in some cases, may be used to obtain exposure to a particular market.
The contract is marked to market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
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use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.
As of December 31, 2020, the Funds did not hold any forward foreign currency exchange contracts.
Swaps. A Fund enters into swap contracts to manage exposure to issuers, markets and securities. Such contracts are agreements between the Fund and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the OTC swap. Payments received or made by the Fund for OTC swaps are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Fund will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statements of Operations.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Collateral Requirements. For derivatives traded under an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA MA”), the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Fund. Any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
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Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA MA, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from its counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
The following is a summary of the location of derivatives on Long/Short Opportunities Fund’s Statement of Assets and Liabilities as of December 31, 2020:
| | Location on the Statement of Assets and Liabilities |
Derivative Type | Asset Derivatives | Liability Derivatives |
Equity Contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
| | Asset Derivative Value |
| | Total
Value | Equity
Contracts |
Swap Agreements | $1,093,284 | $1,093,284 |
| | Liability Derivative Value |
| | Total
Value | Equity
Contracts |
Swap Agreements | $289,315 | $289,315 |
The following is a summary of the location of derivatives on Long/Short Opportunities Fund’s Statement of Operations for the six months ended December 31, 2020:
| | Location on the Statements of Operations |
Derivative Type | Net Realized Gain (Loss) | Net Change in Unrealized
Appreciation (Depreciation) |
Equity Contracts | Net realized gain (loss) from: Swap agreements | Net change in unrealized appreciation (depreciation) on: Swap Agreements |
| | Net Realized Gain (Loss) |
Derivative Type | Total
Value | Equity
Contracts |
Swap Agreements | $(1,238,386) | $(1,238,386) |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
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| | Net Change in Unrealized Appreciation (Depreciation) |
| | Total
Value | Equity
Contracts |
Swap Agreements | $562,703 | $562,703 |
The table below summarizes the average balance of derivative holdings by Long/Short Opportunities Fund during the six months ended December 31, 2020. The average balance of derivatives held is indicative of the trading volume of the Long/Short Opportunities Fund.
Derivative Volume |
Swap
Contracts
(Notional Amount) |
$1,029,594 |
In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Fund may enter into an ISDA MA or similar agreement with its counterparties. An ISDA MA is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA MA, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA MA typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. For example, notwithstanding what contractual rights may be included in an ISDA MA, such laws may prohibit the Fund from setting off amounts owed to a defaulting counterparty under an ISDA MA against amounts owed to the Fund by affiliates of the defaulting counterparty. The insolvency regimes of many jurisdictions do, however, generally permit set-off of simultaneous payables and receivables under certain types of financial contracts between the same legal entity upon a default of the entity, regardless of the existence of a contractual set-off right in those contracts. In addition, certain ISDA MA allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA MA, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Offsetting of Financial and Derivative Assets and Liabilities. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following table presents derivative assets and liabilities net of amounts available for offset under an ISDA MA or similar agreement and, as applicable, the related collateral and potential loss exposure to Long/Short Opportunities Fund as of December 31, 2020:
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
|
| | | Assets | | | Liabilities | |
Derivative Financial Instruments: | | | | | | | | |
Swap Agreements | | $ | 1,093,284 | | | $ | 289,315 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 1,093,284 | | | | 289,315 | |
Derivatives not subject to an ISDA MA or similar agreement | | | — | | | | — | |
Total assets and liabilities subject to an ISDA MA | | $ | 1,093,284 | | | $ | 289,315 | |
At December 31, 2020, derivative assets and liabilities by counterparty net of amounts available for offset under an ISDA MA and net of the related collateral received by the Long/Short Opportunities Fund are as follows:
Counterparty | Derivative
Assets Subject
to an ISDA MA | Derivative
Liabilities
Subject to an
ISDA MA | Value of
Derivatives
Subject to an
ISDA MA | Collateral
(Received)/
Pledged | Net
Exposure1 |
Morgan Stanley | $1,093,284 | $(289,315) | $803,969 | $(803,969) | $— |
| | 1 | Net exposure represents the receivable (payable) that would be due to (from) the counterparty in an event of default. |
9. | Risks. In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by a Fund may decline in response to certain events, including those directly involving the issuers of securities owned by the Fund. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value. |
In addition to the risks discussed above, Long/Short Opportunities Fund may also be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that CRM believes have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose a Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately its value recorded in the Statements of Assets and Liabilities, less any collateral held by the Fund.
A derivative contract may suffer mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Fund.
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Continued)
|
For OTC options purchased, a Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by a Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty, to perform. A Fund may be exposed to counterparty credit risk with respect to options written to the extent the Fund deposits collateral with its counterparty to a written option. With exchange-traded options purchased and centrally cleared swaps, there is less counterparty credit risk to a Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
The respiratory illness COVID-19 caused by a novel coronavirus has resulted in a global pandemic and major disruption to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some sectors of the economy and individual issuers have experienced particularly large losses. These circumstances may continue for an extended period of time, and may continue to affect adversely the value and liquidity of a Fund’s investments. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. Governments and central banks, including the Federal Reserve in the U.S., have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. These actions have resulted in significant expansion of public debt, including in the U.S. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, may not be known for some time. The consequences of high public debt, including its future impact on the economy and securities markets, likewise may not be known for some time.
10. | Contractual Obligations. The Funds enter into contracts in the normal course of business that contain a variety of indemnification obligations. The Funds’ maximum exposure under these arrangements is unknown. However, the Funds have not had prior claims or losses pursuant to these contracts. Management has reviewed the Funds’ existing contracts and expects the risk of liability for indemnity claims to be remote. |
11. | Temporary Borrowing. Prior to October 2, 2020, each Fund (except Long/Short Opportunities Fund) participated in a $25 million revolving line of credit to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions by shareholders. This line of credit agreement was |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — December 31, 2020 (Unaudited) (Concluded)
|
with the Bank of New York Mellon. Each participating Fund was charged an annual commitment fee, which was allocated across the Funds on the basis of each Fund’s allocation of the entire facility. Each Fund was permitted to borrow up to one third of its net assets under the agreement (subject to a maximum of $25 million), except that if a Fund had net assets of less than $100 million, such Fund was permitted to borrow up to a maximum of 20% of its net assets. The Funds were charged an annual commitment fee of 0.21%, plus an upfront fee of 0.03%, which was allocated proportionately to each Fund’s borrowing capabilities. For a Fund that utilized the revolving line of credit, interest was charged at a rate of 1.25% plus a negotiated alternative base rate, or overnight rate, depending upon the type of loan. There were no borrowings from July 1, 2020 to October 2, 2020.
12. | Subsequent Events. Management has evaluated the impact of all subsequent events on the Funds and has determined that no subsequent event currently requires recognition or disclosure in the financial statements. |
CRM FUNDS OTHER INFORMATION (Unaudited)
|
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings for each Fund with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. Form N-PORT is available on the SEC’s website at http://www.sec.gov.
Voting Proxies on Fund Portfolio Securities
A description of the policies and procedures that the Trust used to determine how to vote proxies relating to securities held in the Trust’s portfolios is available, without charge and upon request, by calling 800-CRM-2883 and on the SEC’s website at http://www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 is available without charge and upon request by calling 800-CRM-2883, and on the SEC’s website listed above.
Statement of Additional Information
The Statement of Additional Information (“SAI”) for the Fund includes additional information about the Trustees and is available upon request, without charge, by calling 800-CRM-2883 or by visiting the Funds’ website at http://www.crmfunds.com.
Privacy Notice
(THIS PRIVACY NOTICE IS BEING DELIVERED WITH THE FUNDS’ SHAREHOLDER REPORT BUT IS NOT DEEMED TO BE A PART OF THE FUNDS’ SHAREHOLDER REPORT)
Set forth below is the policy of CRM Mutual Fund Trust (the “Trust”) concerning the collection and disclosure of non-public personal information regarding investors and prospective investors in the CRM Funds (the “Fund”) who are individuals investing for personal, family, or household purposes. The words “we” and “us” refers to the Trust and the Fund. The words “you” and “your” refers to investors and prospective investors in the Fund who are covered by this policy.
We use administrators, investment managers, custodians, transfer agents, securities brokers, and other third party businesses to conduct many aspects of our business, including processing initial investments, additional investments, redemptions, share transfers, and other transactions that you request. We refer to these third parties below as our “Service Agents.”
As we work together to achieve your investment goals, we will often share with our Service Agents personal and financial information, including, for example, your name, address and telephone number, your e-mail address, your purchases and redemptions of shares of the Funds, your banking arrangements, information on your family members, and your social security number. Our Service Agents may also receive these types of information from other firms that assist us in conducting our business. This information is collected in order to properly handle your account.
To protect the security of your personal and financial information, our Service Agents maintain physical, electronic, and procedural safeguards that meet the standards of applicable laws and regulations.
CRM FUNDS OTHER INFORMATION (Unaudited) (Concluded)
|
We may, and we may authorize our Service Agents to, use your personal and financial information and share it with us, other Service Agents, and affiliates of Service Agents in order to provide you with investment services, improve our services, make our procedures more efficient, implement security measures, and fight fraud.
We will not sell your personal and financial information to any outside party. We obtain from our Service Agents confidentiality agreements that prohibit them from selling or improperly using your personal or financial information.
On occasion, we and our Service Agents may be required to provide information about you and your transactions to governmental agencies, self-regulatory organizations, industry associations and similar bodies in order to fulfill legal and regulatory requirements. In addition, federal, state, and foreign laws give people involved in lawsuits and other legal proceedings the right under certain circumstances to obtain information from us and our Service Agents, including your personal and financial information. We and our Service Agents may make other disclosures to non-affiliated third parties as permitted by law.
TRUSTEES
F. Gregory Ahern
Ronald H. McGlynn
Rodney P. Wood
INVESTMENT ADVISER
Cramer Rosenthal McGlynn, LLC
28 Havemeyer Place, 1st floor
Greenwich, CT 06830
DISTRIBUTOR
ALPS Distributors, Inc.
1290 Broadway, Suite 1000
Denver, CO 80203
ADMINISTRATOR & TRANSFER AGENT
Ultimus Fund Solutions, LLC
4221 N. 203rd Str., Suite 100
Elkhorn, NE 68022
CUSTODIAN
The Bank of New York Mellon
2 Hanson Place, 7th Floor
Brooklyn, NY 11217
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
One Federal Street
Boston, MA 02110
Investor Information:
800-CRM-2883
www.crmfunds.com
This report is authorized for distribution only to shareholders and to others who have received current prospectuses of the CRM Funds.
SEMI-ANNUAL REPORT DECEMBER 31, 2020 (Unaudited) CRM Small Cap Value Fund CRM Small/Mid Cap Value Fund CRM Mid Cap Value Fund CRM All Cap Value Fund CRM Long/Short Opportunities Fund |
CRM-SAR-20
Item 2. Code of Ethics.
Not Applicable.
Item 3. Audit Committee Financial Expert.
Not Applicable.
Item 4. Principal Accountant Fees and Services.
Not Applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this Form. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
| | (a) | The Registrant’s Principal Executive and Principal Financial Officers have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))) are effective based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Investment Company Act of 1940 (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | CRM Mutual Fund Trust | |
| | | |
| By (Signature and Title)* | /s/ Ronald H. McGlynn | |
| | Ronald H. McGlynn, President and Chief Executive Officer | |
| | (Principal Executive Officer) | |
| | | |
| Date: | March 2, 2021 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | /s/ Ronald H. McGlynn | |
| | Ronald H. McGlynn, President and Chief Executive Officer | |
| | (Principal Executive Officer) | |
| | | |
| Date: | March 2, 2021 | |
| | | |
| By (Signature and Title)* | /s/ Michelle Kaufmann | |
| | Michelle Kaufmann, Treasurer | |
| | (Principal Financial Officer) | |
| | | |
| Date: | March 2, 2021 | |
| * | Print the name and title of each signing officer under his or her signature. |
