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.
300 First Stamford Place, Suite 440
Stamford, CT 06902
(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: June 30, 2024
Item 1. Reports to Stockholders.
(a)
Institutional Class (CRIEX)
Annual Shareholder Report - June 30, 2024
This annual shareholder report contains important information about CRM All Cap Value Fund for the period of July 1, 2023 to June 30, 2024. You can find additional information about the Fund at http://www.crmfunds.com/funds-overview/shareholder-resources/documents/. You can also request this information by contacting us at 800-CRM-2883.
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $128 | 1.20% |
How did the Fund perform during the reporting period?
During the fiscal year, the Fund underperformed the Primary Benchmark Index (Russell 3000 Total Return Index) and outperformed the Secondary Benchmark Index (Russell 3000 Value Total Return Index). Against the Secondary Benchmark Index, relative outperformance was attributed to stock selection within the Consumer Discretionary, Industrials, and Materials sectors. Conversely, stock selection within the Consumer Staples, Information Technology, and Real Estate sectors was a headwind to relative performance. We saw an improving earnings outlook for small to mid-cap companies as we progressed through 2024. Down cap companies’ earnings were more negatively impacted by the inflationary pressures and rise in interest rates than larger cap companies in 2023. Updated performance information is available at www.crmfunds.com/funds-overview/performance/.
How has the Fund performed over the last ten years?
Total Return Based on $1,000,000 Investment
| CRM All Cap Value Fund - Institutional Class | Russell 3000® Total Return Index | Russell 3000® Value Index |
|---|
| Jun-2014 | $1,000,000 | $1,000,000 | $1,000,000 |
| Jun-2015 | $1,058,164 | $1,072,942 | $1,038,621 |
| Jun-2016 | $1,070,916 | $1,095,885 | $1,063,729 |
| Jun-2017 | $1,249,906 | $1,298,727 | $1,236,135 |
| Jun-2018 | $1,395,242 | $1,490,655 | $1,325,770 |
| Jun-2019 | $1,388,140 | $1,624,553 | $1,423,059 |
| Jun-2020 | $1,251,143 | $1,730,629 | $1,288,997 |
| Jun-2021 | $1,935,045 | $2,494,951 | $1,874,152 |
| Jun-2022 | $1,745,151 | $2,149,011 | $1,734,307 |
| Jun-2023 | $1,835,577 | $2,556,327 | $1,928,888 |
| Jun-2024 | $2,088,245 | $3,147,480 | $2,178,363 |
Average Annual Total Returns
| 1 Year | 5 Years | 10 Years |
|---|
| CRM All Cap Value Fund - Institutional Class | 13.77% | 8.51% | 7.64% |
Russell 3000® Total Return Index | 23.13% | 14.14% | 12.15% |
Russell 3000® Value Index | 12.93% | 8.89% | 8.10% |
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
Effective May 23, 2024, the Fund adopted the Russell 3000 Total Return Index as its broad-based benchmark index that represents the overall equity market. The Fund also compares its performance to the Russell 3000 Value Index, which is a more narrowly based index that reflects the market sector in which the Fund invests. The Russell 3000 Value Index was formerly the Fund's primary benchmark. These changes were made to comply with a new regulatory requirement.
| Net Assets | $23,338,121 |
| Number of Portfolio Holdings | 47 |
| Advisory Fee (net of waivers) | $152,323 |
| Portfolio Turnover | 54% |
Asset Weighting (% of total investments)
| Value | Value |
|---|
| Collateral for Securities Loaned | 0.8% |
| Common Stocks | 96.3% |
| Money Market Funds | 2.9% |
What did the Fund invest in?
Sector Weighting (% of net assets)
| Value | Value |
|---|
| Liabilities in Excess of Other Assets | -0.8% |
| Repurchase Agreements | 0.8% |
| Consumer Staples | 1.4% |
| Utilities | 2.4% |
| Money Market Funds | 2.9% |
| Energy | 6.5% |
| Consumer Discretionary | 8.6% |
| Real Estate | 9.5% |
| Health Care | 9.7% |
| Industrials | 12.1% |
| Materials | 12.7% |
| Financials | 14.0% |
| Technology | 20.2% |
Top 10 Holdings (% of net assets)
| Holding Name | % of Net Assets |
| Fidelity National Information Services, Inc. | 3.7% |
| Marathon Oil Corporation | 3.7% |
| Terreno Realty Corporation | 3.1% |
| CRH PLC | 2.9% |
| Sun Communities, Inc. | 2.9% |
| ChampionX Corporation | 2.8% |
| Burlington Stores, Inc. | 2.8% |
| Advanced Drainage Systems, Inc. | 2.8% |
| BioLife Solutions, Inc. | 2.7% |
| PTC, Inc. | 2.7% |
No material changes occurred during the year ended June 30, 2024.
Institutional Class (CRIEX)
Annual Shareholder Report - June 30, 2024
Where can I find additional information about the Fund?
Additional information is available on the Fund's website ( http://www.crmfunds.com/funds-overview/shareholder-resources/documents/ ), including its:
Prospectus
Financial information
Holdings
Proxy voting information
Distributed by ALPS Distributors, Inc.
Annual Shareholder Report - June 30, 2024
This annual shareholder report contains important information about CRM All Cap Value Fund for the period of July 1, 2023 to June 30, 2024. You can find additional information about the Fund at http://www.crmfunds.com/funds-overview/shareholder-resources/documents/. You can also request this information by contacting us at 800-CRM-2883.
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Investor | $155 | 1.45% |
How did the Fund perform during the reporting period?
During the fiscal year, the Fund underperformed the Primary Benchmark Index (Russell 3000 Total Return Index) and outperformed the Secondary Benchmark Index (Russell 3000 Value Total Return Index). Against the Secondary Benchmark Index, relative outperformance was attributed to stock selection within the Consumer Discretionary, Industrials, and Materials sectors. Conversely, stock selection within the Consumer Staples, Information Technology, and Real Estate sectors was a headwind to relative performance. We saw an improving earnings outlook for small to mid-cap companies as we progressed through 2024. Down cap companies’ earnings were more negatively impacted by the inflationary pressures and rise in interest rates than larger cap companies in 2023. Updated performance information is available at www.crmfunds.com/funds-overview/performance/.
How has the Fund performed over the last ten years?
Total Return Based on $10,000 Investment
| CRM All Cap Value Fund - Investor Class | Russell 3000® Total Return Index | Russell 3000® Value Index |
|---|
| Jun-2014 | $10,000 | $10,000 | $10,000 |
| Jun-2015 | $10,548 | $10,729 | $10,386 |
| Jun-2016 | $10,640 | $10,959 | $10,637 |
| Jun-2017 | $12,413 | $12,987 | $12,361 |
| Jun-2018 | $13,803 | $14,907 | $13,258 |
| Jun-2019 | $13,704 | $16,246 | $14,231 |
| Jun-2020 | $12,312 | $17,306 | $12,890 |
| Jun-2021 | $19,013 | $24,950 | $18,742 |
| Jun-2022 | $17,095 | $21,490 | $17,343 |
| Jun-2023 | $17,939 | $25,563 | $19,289 |
| Jun-2024 | $20,355 | $31,475 | $21,784 |
Average Annual Total Returns
| 1 Year | 5 Years | 10 Years |
|---|
| CRM All Cap Value Fund - Investor Class | 13.47% | 8.23% | 7.37% |
Russell 3000® Total Return Index | 23.13% | 14.14% | 12.15% |
Russell 3000® Value Index | 12.93% | 8.89% | 8.10% |
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
Effective May 23, 2024, the Fund adopted the Russell 3000 Total Return Index as its broad-based benchmark index that represents the overall equity market. The Fund also compares its performance to the Russell 3000 Value Index, which is a more narrowly based index that reflects the market sector in which the Fund invests. The Russell 3000 Value Index was formerly the Fund's primary benchmark. These changes were made to comply with a new regulatory requirement.
| Net Assets | $23,338,121 |
| Number of Portfolio Holdings | 47 |
| Advisory Fee (net of waivers) | $152,323 |
| Portfolio Turnover | 54% |
Asset Weighting (% of total investments)
| Value | Value |
|---|
| Collateral for Securities Loaned | 0.8% |
| Common Stocks | 96.3% |
| Money Market Funds | 2.9% |
What did the Fund invest in?
Sector Weighting (% of net assets)
| Value | Value |
|---|
| Liabilities in Excess of Other Assets | -0.8% |
| Repurchase Agreements | 0.8% |
| Consumer Staples | 1.4% |
| Utilities | 2.4% |
| Money Market Funds | 2.9% |
| Energy | 6.5% |
| Consumer Discretionary | 8.6% |
| Real Estate | 9.5% |
| Health Care | 9.7% |
| Industrials | 12.1% |
| Materials | 12.7% |
| Financials | 14.0% |
| Technology | 20.2% |
Top 10 Holdings (% of net assets)
| Holding Name | % of Net Assets |
| Fidelity National Information Services, Inc. | 3.7% |
| Marathon Oil Corporation | 3.7% |
| Terreno Realty Corporation | 3.1% |
| CRH PLC | 2.9% |
| Sun Communities, Inc. | 2.9% |
| ChampionX Corporation | 2.8% |
| Burlington Stores, Inc. | 2.8% |
| Advanced Drainage Systems, Inc. | 2.8% |
| BioLife Solutions, Inc. | 2.7% |
| PTC, Inc. | 2.7% |
No material changes occurred during the year ended June 30, 2024.
Annual Shareholder Report - June 30, 2024
Where can I find additional information about the Fund?
Additional information is available on the Fund's website ( http://www.crmfunds.com/funds-overview/shareholder-resources/documents/ ), including its:
Prospectus
Financial information
Holdings
Proxy voting information
Distributed by ALPS Distributors, Inc.
CRM Long/Short Opportunities Fund
Institutional Class (CRIHX)
Annual Shareholder Report - June 30, 2024
This annual shareholder report contains important information about CRM Long/Short Opportunities Fund for the period of July 1, 2023 to June 30, 2024. You can find additional information about the Fund at http://www.crmfunds.com/funds-overview/shareholder-resources/documents/. You can also request this information by contacting us at 800-CRM-2883.
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $236 | 2.25% |
How did the Fund perform during the reporting period?
Despite positive absolute performance during the fiscal year, the Fund underperformed relative to the stated benchmark during the period. From a sector perspective, Industrials, Information Technology, and Materials contributed most to Fund performance during the fiscal year. The Consumer Staples and Consumer Discretionary sectors were the largest detractors to performance. In terms of exposure during the period, the Fund averaged approximately 94% gross long, 45% gross short, and 49% net long. Fund net exposure increased during the period from roughly 37% net long to 55% net long, largely through the reduction in short exposure. The largest sector exposure changes were: Consumer Discretionary and Financials net exposure increased by over 7% each while Real Estate and Information Technology increased by a more modest amount. At the same time, both Consumer Staples and Health Care net exposure decreased by roughly 2% each. Updated performance information is available at www.crmfunds.com/funds-overview/performance/.
How has the Fund performed since inception?
Total Return Based on $10,000 Investment
| CRM Long/Short Opportunities Fund - Institutional Class | S&P 500® Index |
|---|
| Aug-16 | $1,000,000 | $1,000,000 |
| Jun-17 | 1,025,000 | 1,132,863 |
| Jun-18 | 1,071,538 | 1,295,702 |
| Jun-19 | 1,047,197 | 1,430,681 |
| Jun-20 | 1,088,390 | 1,538,054 |
| Jun-21 | 1,300,532 | 2,165,491 |
| Jun-22 | 1,257,278 | 1,935,607 |
| Jun-23 | 1,386,638 | 2,314,870 |
| Jun-24 | 1,526,286 | 2,883,313 |
Average Annual Total Returns
| 1 Year | 5 Years | Since Inception (August 16, 2016) |
|---|
| CRM Long/Short Opportunities Fund - Institutional Class | 10.07% | 7.83% | 5.52% |
S&P 500® Index | 24.56% | 15.05% | 14.40% |
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
| Net Assets | $195,995,806 |
| Number of Portfolio Holdings | 106 |
| Advisory Fee (net of waivers) | $2,519,234 |
| Portfolio Turnover | 113% |
Asset Weighting (% of total investments)
| Value | Value |
|---|
| Common Stocks | 85.9% |
| Exchange-Traded Funds | 2.3% |
| Money Market Funds | 11.8% |
What did the Fund invest in?
Sector Weighting (% of net assets)
| Value | Value |
|---|
| Other Assets in Excess of Liabilities | 26.2% |
| Consumer Staples | |
| Energy | 1.3% |
| Communications | 1.9% |
| Health Care | 2.2% |
| Equity Fund | 2.3% |
| Real Estate | 3.5% |
| Financials | 4.9% |
| Utilities | 5.0% |
| Materials | 6.2% |
| Technology | 8.4% |
| Consumer Discretionary | 10.8% |
| Money Market Funds | 11.7% |
| Industrials | 16.1% |
Top 10 Holdings (% of net assets)
| Holding Name | % of Net Assets |
| Blackrock Liquidity Funds T-Fund, Institutional Shares | 5.8% |
| Federated Hermes Treasury Obligations Fund, Institutional Shares | 5.8% |
| Arcosa, Inc. | 4.0% |
| Burlington Stores, Inc. | 3.9% |
| Canadian Pacific Kansas City Ltd. | 3.7% |
| Clean Harbors, Inc. | 3.6% |
| Itron, Inc. | 3.1% |
| NextEra Energy, Inc. | 3.1% |
| Skyline Champion Corporation | 3.0% |
| Digital Realty Trust, Inc. | 2.8% |
No material changes occurred during the year ended June 30, 2024.
CRM Long/Short Opportunities Fund
Institutional Class (CRIHX)
Annual Shareholder Report - June 30, 2024
Where can I find additional information about the Fund?
Additional information is available on the Fund's website ( http://www.crmfunds.com/funds-overview/shareholder-resources/documents/ ), including its:
Prospectus
Financial information
Holdings
Proxy voting information
Distributed by ALPS Distributors, Inc.
Institutional Class (CRIMX)
Annual Shareholder Report - June 30, 2024
This annual shareholder report contains important information about CRM Mid Cap Value Fund for the period of July 1, 2023 to June 30, 2024. You can find additional information about the Fund at http://www.crmfunds.com/funds-overview/shareholder-resources/documents/. You can also request this information by contacting us at 800-CRM-2883.
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $104 | 0.99% |
How did the Fund perform during the reporting period?
During the fiscal year, the Fund underperformed both the Primary Benchmark Index (Russell 3000 Total Return Index) and Secondary Benchmark Index (Russell MidCap Value Total Return Index). Against the Secondary Benchmark Index, relative underperformance during the fiscal year was mainly attributed to stock selection within the Industrials, Health Care, and Utilities sectors. Stock selection within the Consumer Discretionary and Materials sectors was a tailwind to performance. We saw an improving earnings outlook for mid-cap companies as we progressed through 2024. Down cap companies’ earnings were more negatively impacted by the inflationary pressures and rise in interest rates than larger cap companies in 2023. Updated performance information is available at www.crmfunds.com/funds-overview/performance/.
How has the Fund performed over the last ten years?
Total Return Based on $1,000,000 Investment
| CRM Mid Cap Value Fund - Institutional Class | Russell Midcap Value Index | Russell 3000® Total Return Index |
|---|
| Jun-2014 | $1,000,000 | $1,000,000 | $1,000,000 |
| Jun-2015 | $1,059,112 | $1,036,717 | $1,072,942 |
| Jun-2016 | $1,076,173 | $1,070,367 | $1,095,885 |
| Jun-2017 | $1,250,393 | $1,240,829 | $1,298,727 |
| Jun-2018 | $1,476,002 | $1,335,073 | $1,490,655 |
| Jun-2019 | $1,529,270 | $1,384,221 | $1,624,553 |
| Jun-2020 | $1,363,659 | $1,220,718 | $1,730,629 |
| Jun-2021 | $2,105,998 | $1,868,481 | $2,494,951 |
| Jun-2022 | $1,968,100 | $1,681,690 | $2,149,011 |
| Jun-2023 | $2,086,229 | $1,858,313 | $2,556,327 |
| Jun-2024 | $2,303,040 | $2,080,892 | $3,147,480 |
Average Annual Total Returns
| 1 Year | 5 Years | 10 Years |
|---|
| CRM Mid Cap Value Fund - Institutional Class | 10.39% | 8.53% | 8.70% |
| Russell Midcap Value Index | 11.98% | 8.49% | 7.60% |
Russell 3000® Total Return Index | 23.13% | 14.14% | 12.15% |
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
Effective May 23, 2024, the Fund adopted the Russell 3000 Total Return Index as its broad-based benchmark index that represents the overall equity market. The Fund also compares its performance to the Russell MidCap Value Index, which is a more narrowly based index that reflects the market sector in which the Fund invests. The Russell MidCap Value Index was formerly the Fund's primary benchmark. These changes were made to comply with a new regulatory requirement.
| Net Assets | $372,057,285 |
| Number of Portfolio Holdings | 62 |
| Advisory Fee | $2,889,555 |
| Portfolio Turnover | 47% |
Asset Weighting (% of total investments)
| Value | Value |
|---|
| Collateral for Securities Loaned | 1.1% |
| Common Stocks | 96.6% |
| Money Market Funds | 2.3% |
What did the Fund invest in?
Sector Weighting (% of net assets)
| Value | Value |
|---|
| Liabilities in Excess of Other Assets | -1.1% |
| Repurchase Agreements | 0.4% |
| Collateral for Securities Loaned | 0.7% |
| Money Market Funds | 2.3% |
| Health Care | 3.5% |
| Utilities | 5.3% |
| Energy | 6.2% |
| Consumer Discretionary | 7.9% |
| Real Estate | 7.6% |
| Financials | 10.1% |
| Technology | 16.9% |
| Materials | 17.5% |
| Industrials | 22.7% |
Top 10 Holdings (% of net assets)
| Holding Name | % of Net Assets |
| Fidelity National Information Services, Inc. | 3.7% |
| Vontier Corporation | 3.5% |
| ChampionX Corporation | 2.9% |
| Burlington Stores, Inc. | 2.9% |
| Nisource, Inc. | 2.9% |
| Terreno Realty Corporation | 2.8% |
| Woodward, Inc. | 2.8% |
| Martin Marietta Materials, Inc. | 2.8% |
| Canadian Pacific Kansas City Ltd. | 2.8% |
| Ashland, Inc. | 2.7% |
No material changes occurred during the year ended June 30, 2024.
CRM Mid Cap Value Fund - Institutional (CRIMX)
Institutional Class (CRIMX)
Annual Shareholder Report - June 30, 2024
Where can I find additional information about the Fund?
Additional information is available on the Fund's website ( http://www.crmfunds.com/funds-overview/shareholder-resources/documents/ ), including its:
Prospectus
Financial information
Holdings
Proxy voting information
Distributed by ALPS Distributors, Inc.
Annual Shareholder Report - June 30, 2024
This annual shareholder report contains important information about CRM Mid Cap Value Fund for the period of July 1, 2023 to June 30, 2024. You can find additional information about the Fund at http://www.crmfunds.com/funds-overview/shareholder-resources/documents/. You can also request this information by contacting us at 800-CRM-2883.
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Investor | $122 | 1.16% |
How did the Fund perform during the reporting period?
During the fiscal year, the Fund underperformed both the Primary Benchmark Index (Russell 3000 Total Return Index) and Secondary Benchmark Index (Russell MidCap Value Total Return Index). Against the Secondary Benchmark Index, relative underperformance during the fiscal year was mainly attributed to stock selection within the Industrials, Health Care, and Utilities sectors. Stock selection within the Consumer Discretionary and Materials sectors was a tailwind to performance. We saw an improving earnings outlook for mid-cap companies as we progressed through 2024. Down cap companies’ earnings were more negatively impacted by the inflationary pressures and rise in interest rates than larger cap companies in 2023. Updated performance information is available at www.crmfunds.com/funds-overview/performance/.
How has the Fund performed over the last ten years?
Total Return Based on $10,000 Investment
| CRM Mid Cap Value Fund - Investor Class | Russell Midcap Value Index | Russell 3000® Total Return Index |
|---|
| Jun-2014 | $10,000 | $10,000 | $10,000 |
| Jun-2015 | $10,573 | $10,367 | $10,729 |
| Jun-2016 | $10,724 | $10,704 | $10,959 |
| Jun-2017 | $12,432 | $12,408 | $12,987 |
| Jun-2018 | $14,646 | $13,351 | $14,907 |
| Jun-2019 | $15,143 | $13,842 | $16,246 |
| Jun-2020 | $13,480 | $12,207 | $17,306 |
| Jun-2021 | $20,771 | $18,685 | $24,950 |
| Jun-2022 | $19,384 | $16,817 | $21,490 |
| Jun-2023 | $20,505 | $18,583 | $25,563 |
| Jun-2024 | $22,611 | $20,809 | $31,475 |
Average Annual Total Returns
| 1 Year | 5 Years | 10 Years |
|---|
| CRM Mid Cap Value Fund - Investor Class | 10.27% | 8.35% | 8.50% |
| Russell Midcap Value Index | 11.98% | 8.49% | 7.60% |
Russell 3000® Total Return Index | 23.13% | 14.14% | 12.15% |
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
Effective May 23, 2024, the Fund adopted the Russell 3000 Total Return Index as its broad-based benchmark index that represents the overall equity market. The Fund also compares its performance to the Russell MidCap Value Index, which is a more narrowly based index that reflects the market sector in which the Fund invests. The Russell MidCap Value Index was formerly the Fund's primary benchmark. These changes were made to comply with a new regulatory requirement.
| Net Assets | $372,057,285 |
| Number of Portfolio Holdings | 62 |
| Advisory Fee | $2,889,555 |
| Portfolio Turnover | 47% |
Asset Weighting (% of total investments)
| Value | Value |
|---|
| Collateral for Securities Loaned | 1.1% |
| Common Stocks | 96.6% |
| Money Market Funds | 2.3% |
What did the Fund invest in?
Sector Weighting (% of net assets)
| Value | Value |
|---|
| Liabilities in Excess of Other Assets | -1.1% |
| Repurchase Agreements | 0.4% |
| Collateral for Securities Loaned | 0.7% |
| Money Market Funds | 2.3% |
| Health Care | 3.5% |
| Utilities | 5.3% |
| Energy | 6.2% |
| Consumer Discretionary | 7.9% |
| Real Estate | 7.6% |
| Financials | 10.1% |
| Technology | 16.9% |
| Materials | 17.5% |
| Industrials | 22.7% |
Top 10 Holdings (% of net assets)
| Holding Name | % of Net Assets |
| Fidelity National Information Services, Inc. | 3.7% |
| Vontier Corporation | 3.5% |
| ChampionX Corporation | 2.9% |
| Burlington Stores, Inc. | 2.9% |
| Nisource, Inc. | 2.9% |
| Terreno Realty Corporation | 2.8% |
| Woodward, Inc. | 2.8% |
| Martin Marietta Materials, Inc. | 2.8% |
| Canadian Pacific Kansas City Ltd. | 2.8% |
| Ashland, Inc. | 2.7% |
No material changes occurred during the year ended June 30, 2024.
CRM Mid Cap Value Fund - Investor (CRMMX)
Annual Shareholder Report - June 30, 2024
Where can I find additional information about the Fund?
Additional information is available on the Fund's website ( http://www.crmfunds.com/funds-overview/shareholder-resources/documents/ ), including its:
Prospectus
Financial information
Holdings
Proxy voting information
Distributed by ALPS Distributors, Inc.
Institutional Class (CRISX)
Annual Shareholder Report - June 30, 2024
This annual shareholder report contains important information about CRM Small Cap Value Fund for the period of July 1, 2023 to June 30, 2024. You can find additional information about the Fund at http://www.crmfunds.com/funds-overview/shareholder-resources/documents/. You can also request this information by contacting us at 800-CRM-2883.
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $114 | 1.07% |
How did the Fund perform during the reporting period?
During the fiscal year, the Fund underperformed the Primary Benchmark Index (Russell 3000 Total Return Index) and outperformed the Secondary Benchmark Index (Russell 2000 Value Total Return Index). Against the Secondary Benchmark Index, stock selection was the primary driver of outperformance during the period, most notably in the Information Technology, Industrials, and Consumer Staples sectors. The portfolio also benefited from our underweight to the Communication Services sector relative to the Russell 2000® Value Total Return Index. We saw an improving earnings outlook for small-cap companies as we progressed through 2024. Down cap companies’ earnings were more negatively impacted by the inflationary pressures and rise in interest rates than larger cap companies in 2023. Updated performance information is available at www.crmfunds.com/funds-overview/performance/.
How has the Fund performed over the last ten years?
Total Return Based on $1,000,000 Investment
| CRM Small Cap Value Fund - Institutional Class | Russell 3000® Total Return Index | Russell 2000® Value Index |
|---|
| Jun-2014 | $1,000,000 | $1,000,000 | $1,000,000 |
| Jun-2015 | $1,073,833 | $1,072,942 | $1,007,756 |
| Jun-2016 | $1,053,585 | $1,095,885 | $981,738 |
| Jun-2017 | $1,290,740 | $1,298,727 | $1,225,768 |
| Jun-2018 | $1,438,359 | $1,490,655 | $1,386,334 |
| Jun-2019 | $1,439,982 | $1,624,553 | $1,299,890 |
| Jun-2020 | $1,132,771 | $1,730,629 | $1,072,708 |
| Jun-2021 | $1,763,548 | $2,494,951 | $1,858,785 |
| Jun-2022 | $1,489,719 | $2,149,011 | $1,556,166 |
| Jun-2023 | $1,673,336 | $2,556,327 | $1,649,653 |
| Jun-2024 | $1,896,900 | $3,147,480 | $1,829,395 |
Average Annual Total Returns
| 1 Year | 5 Years | 10 Years |
|---|
| CRM Small Cap Value Fund - Institutional Class | 13.36% | 5.67% | 6.61% |
Russell 3000® Total Return Index | 23.13% | 14.14% | 12.15% |
Russell 2000® Value Index | 10.90% | 7.07% | 6.23% |
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
Effective May 23, 2024, the Fund adopted the Russell 3000 Total Return Index as its broad-based benchmark index that represents the overall equity market. The Fund also compares its performance to the Russell 2000 Value Index, which is a more narrowly based index that reflects the market sector in which the Fund invests. The Russell 2000 Value Index was formerly the Fund's primary benchmark. These changes were made to comply with a new regulatory requirement.
| Net Assets | $75,275,015 |
| Number of Portfolio Holdings | 48 |
| Advisory Fee | $556,273 |
| Portfolio Turnover | 77% |
Asset Weighting (% of total investments)
| Value | Value |
|---|
| Collateral for Securities Loaned | 1.7% |
| Common Stocks | 95.2% |
| Money Market Funds | 3.1% |
What did the Fund invest in?
Sector Weighting (% of net assets)
| Value | Value |
|---|
| Liabilities in Excess of Other Assets | -1.9% |
| Repurchase Agreements | 1.7% |
| Money Market Funds | 3.2% |
| Materials | 4.4% |
| Utilities | 4.5% |
| Health Care | 5.0% |
| Energy | 5.5% |
| Consumer Discretionary | 7.2% |
| Real Estate | 9.5% |
| Technology | 13.0% |
| Financials | 22.1% |
| Industrials | 25.8% |
Top 10 Holdings (% of net assets)
| Holding Name | % of Net Assets |
| Arcosa, Inc. | 3.7% |
| Envestnet, Inc. | 3.5% |
| ChampionX Corporation | 3.1% |
| Central Pacific Financial Corporation | 3.0% |
| ACV Auctions, Inc. | 3.0% |
| Skyline Champion Corporation | 2.9% |
| Horace Mann Educators Corporation | 2.9% |
| Mueller Water Products, Inc. | 2.8% |
| Itron, Inc. | 2.7% |
| Stericycle, Inc. | 2.7% |
No material changes occurred during the year ended June 30, 2024.
CRM Small Cap Value Fund - Institutional (CRISX)
Institutional Class (CRISX)
Annual Shareholder Report - June 30, 2024
Where can I find additional information about the Fund?
Additional information is available on the Fund's website ( http://www.crmfunds.com/funds-overview/shareholder-resources/documents/ ), including its:
Prospectus
Financial information
Holdings
Proxy voting information
Distributed by ALPS Distributors, Inc.
Annual Shareholder Report - June 30, 2024
This annual shareholder report contains important information about CRM Small Cap Value Fund for the period of July 1, 2023 to June 30, 2024. You can find additional information about the Fund at http://www.crmfunds.com/funds-overview/shareholder-resources/documents/. You can also request this information by contacting us at 800-CRM-2883.
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Investor | $134 | 1.26% |
How did the Fund perform during the reporting period?
During the fiscal year, the Fund underperformed the Primary Benchmark Index (Russell 3000 Total Return Index) and outperformed the Secondary Benchmark Index (Russell 2000 Value Total Return Index). Against the Secondary Benchmark Index, stock selection was the primary driver of outperformance during the period, most notably in the Information Technology, Industrials, and Consumer Staples sectors. The portfolio also benefited from our underweight to the Communication Services sector relative to the Russell 2000® Value Total Return Index. We saw an improving earnings outlook for small-cap companies as we progressed through 2024. Down cap companies’ earnings were more negatively impacted by the inflationary pressures and rise in interest rates than larger cap companies in 2023. Updated performance information is available at www.crmfunds.com/funds-overview/performance/.
How has the Fund performed over the last ten years?
Total Return Based on $10,000 Investment
| CRM Small Cap Value Fund - Investor Class | Russell 3000® Total Return Index | Russell 2000® Value Index |
|---|
| Jun-2014 | $10,000 | $10,000 | $10,000 |
| Jun-2015 | $10,714 | $10,729 | $10,078 |
| Jun-2016 | $10,486 | $10,959 | $9,817 |
| Jun-2017 | $12,823 | $12,987 | $12,258 |
| Jun-2018 | $14,255 | $14,907 | $13,863 |
| Jun-2019 | $14,231 | $16,246 | $12,999 |
| Jun-2020 | $11,167 | $17,306 | $10,727 |
| Jun-2021 | $17,350 | $24,950 | $18,588 |
| Jun-2022 | $14,620 | $21,490 | $15,562 |
| Jun-2023 | $16,388 | $25,563 | $16,497 |
| Jun-2024 | $18,547 | $31,475 | $18,294 |
Average Annual Total Returns
| 1 Year | 5 Years | 10 Years |
|---|
| CRM Small Cap Value Fund - Investor Class | 13.17% | 5.44% | 6.37% |
Russell 3000® Total Return Index | 23.13% | 14.14% | 12.15% |
Russell 2000® Value Index | 10.90% | 7.07% | 6.23% |
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
Effective May 23, 2024, the Fund adopted the Russell 3000 Total Return Index as its broad-based benchmark index that represents the overall equity market. The Fund also compares its performance to the Russell 2000 Value Index, which is a more narrowly based index that reflects the market sector in which the Fund invests. The Russell 2000 Value Index was formerly the Fund's primary benchmark. These changes were made to comply with a new regulatory requirement.
| Net Assets | $75,275,015 |
| Number of Portfolio Holdings | 48 |
| Advisory Fee | $556,273 |
| Portfolio Turnover | 77% |
Asset Weighting (% of total investments)
| Value | Value |
|---|
| Collateral for Securities Loaned | 1.7% |
| Common Stocks | 95.2% |
| Money Market Funds | 3.1% |
What did the Fund invest in?
Sector Weighting (% of net assets)
| Value | Value |
|---|
| Liabilities in Excess of Other Assets | -1.9% |
| Repurchase Agreements | 1.7% |
| Money Market Funds | 3.2% |
| Materials | 4.4% |
| Utilities | 4.5% |
| Health Care | 5.0% |
| Energy | 5.5% |
| Consumer Discretionary | 7.2% |
| Real Estate | 9.5% |
| Technology | 13.0% |
| Financials | 22.1% |
| Industrials | 25.8% |
Top 10 Holdings (% of net assets)
| Holding Name | % of Net Assets |
| Arcosa, Inc. | 3.7% |
| Envestnet, Inc. | 3.5% |
| ChampionX Corporation | 3.1% |
| Central Pacific Financial Corporation | 3.0% |
| ACV Auctions, Inc. | 3.0% |
| Skyline Champion Corporation | 2.9% |
| Horace Mann Educators Corporation | 2.9% |
| Mueller Water Products, Inc. | 2.8% |
| Itron, Inc. | 2.7% |
| Stericycle, Inc. | 2.7% |
No material changes occurred during the year ended June 30, 2024.
CRM Small Cap Value Fund - Investor (CRMSX)
Annual Shareholder Report - June 30, 2024
Where can I find additional information about the Fund?
Additional information is available on the Fund's website ( http://www.crmfunds.com/funds-overview/shareholder-resources/documents/ ), including its:
Prospectus
Financial information
Holdings
Proxy voting information
Distributed by ALPS Distributors, Inc.
CRM Small/Mid Cap Value Fund
Institutional Class (CRIAX)
Annual Shareholder Report - June 30, 2024
This annual shareholder report contains important information about CRM Small/Mid Cap Value Fund for the period of July 1, 2023 to June 30, 2024. You can find additional information about the Fund at http://www.crmfunds.com/funds-overview/shareholder-resources/documents/. You can also request this information by contacting us at 800-CRM-2883.
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $110 | 1.05% |
How did the Fund perform during the reporting period?
During the fiscal year, the Fund underperformed both the Primary Benchmark Index (Russell 3000 Total Return Index) and Secondary Benchmark Index (Russell 2500 Value Total Return Index). Against the Secondary Benchmark Index, relative underperformance during the period was mainly attributed to stock selection, most notably in the Utilities, Financials, and Consumer Staples sectors. Conversely, stock selection in Materials, Information Technology, and Consumer Discretionary was a positive contributor to performance. We saw an improving earnings outlook for small to mid-cap companies as we progressed through 2024. Down cap companies’ earnings were more negatively impacted by the inflationary pressures and rise in interest rates than larger cap companies in 2023. Updated performance information is available at www.crmfunds.com/funds-overview/performance/.
How has the Fund performed over the last ten years?
Total Return Based on $1,000,000 Investment
| CRM Small/Mid Cap Value Fund - Institutional Class | Russell 3000® Total Return Index | Russell 2500® Value Index |
|---|
| Jun-2014 | $1,000,000 | $1,000,000 | $1,000,000 |
| Jun-2015 | $1,034,074 | $1,072,942 | $1,009,939 |
| Jun-2016 | $964,358 | $1,095,885 | $1,012,110 |
| Jun-2017 | $1,120,461 | $1,298,727 | $1,197,940 |
| Jun-2018 | $1,311,266 | $1,490,655 | $1,335,570 |
| Jun-2019 | $1,339,182 | $1,624,553 | $1,309,872 |
| Jun-2020 | $1,177,754 | $1,730,629 | $1,106,860 |
| Jun-2021 | $1,981,669 | $2,494,951 | $1,806,736 |
| Jun-2022 | $1,748,309 | $2,149,011 | $1,568,366 |
| Jun-2023 | $1,910,634 | $2,556,327 | $1,731,014 |
| Jun-2024 | $2,077,817 | $3,147,480 | $1,925,611 |
Average Annual Total Returns
| 1 Year | 5 Years | 10 Years |
|---|
| CRM Small/Mid Cap Value Fund - Institutional Class | 8.75% | 9.18% | 7.59% |
Russell 3000® Total Return Index | 23.13% | 14.14% | 12.15% |
Russell 2500® Value Index | 11.24% | 8.01% | 6.77% |
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
Effective May 23, 2024, the Fund adopted the Russell 3000 Total Return Index as its broad-based benchmark index that represents the overall equity market. The Fund also compares its performance to the Russell 2500 Value Index, which is a more narrowly based index that reflects the market sector in which the Fund invests. The Russell 2500 Value Index was formerly the Fund's primary benchmark. These changes were made to comply with a new regulatory requirement.
| Net Assets | $169,225,405 |
| Number of Portfolio Holdings | 48 |
| Advisory Fee | $1,526,156 |
| Portfolio Turnover | 72% |
Asset Weighting (% of total investments)
| Value | Value |
|---|
| Common Stocks | 98.3% |
| Money Market Funds | 1.7% |
What did the Fund invest in?
Sector Weighting (% of net assets)
| Value | Value |
|---|
| Liabilities in Excess of Other Assets | -0.6% |
| Money Market Funds | 1.7% |
| Consumer Staples | 2.2% |
| Energy | 3.4% |
| Utilities | 4.5% |
| Materials | 8.1% |
| Real Estate | 8.3% |
| Health Care | 8.6% |
| Consumer Discretionary | 12.0% |
| Technology | 13.3% |
| Financials | 16.5% |
| Industrials | 22.0% |
Top 10 Holdings (% of net assets)
| Holding Name | % of Net Assets |
| Burlington Stores, Inc. | 4.3% |
| Ashland, Inc. | 4.0% |
| Stericycle, Inc. | 3.6% |
| Itron, Inc. | 3.5% |
| Matador Resources Company | 3.5% |
| Terreno Realty Corporation | 3.2% |
| Clean Harbors, Inc. | 3.1% |
| Arcosa, Inc. | 3.1% |
| First American Financial Corporation | 3.0% |
| BioLife Solutions, Inc. | 2.8% |
No material changes occurred during the year ended June 30, 2024.
CRM Small/Mid Cap Value Fund - Institutional (CRIAX)
Institutional Class (CRIAX)
Annual Shareholder Report - June 30, 2024
Where can I find additional information about the Fund?
Additional information is available on the Fund's website ( http://www.crmfunds.com/funds-overview/shareholder-resources/documents/ ), including its:
Prospectus
Financial information
Holdings
Proxy voting information
Distributed by ALPS Distributors, Inc.
CRM Small/Mid Cap Value Fund
Annual Shareholder Report - June 30, 2024
This annual shareholder report contains important information about CRM Small/Mid Cap Value Fund for the period of July 1, 2023 to June 30, 2024. You can find additional information about the Fund at http://www.crmfunds.com/funds-overview/shareholder-resources/documents/. You can also request this information by contacting us at 800-CRM-2883.
What were the Fund’s costs for the last year?
(based on a hypothetical $10,000 investment)
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Investor | $126 | 1.21% |
How did the Fund perform during the reporting period?
During the fiscal year, the Fund underperformed both the Primary Benchmark Index (Russell 3000 Total Return Index) and Secondary Benchmark Index (Russell 2500 Value Total Return Index). Against the Secondary Benchmark Index, relative underperformance during the period was mainly attributed to stock selection, most notably in the Utilities, Financials, and Consumer Staples sectors. Conversely, stock selection in Materials, Information Technology, and Consumer Discretionary was a positive contributor to performance. We saw an improving earnings outlook for small to mid-cap companies as we progressed through 2024. Down cap companies’ earnings were more negatively impacted by the inflationary pressures and rise in interest rates than larger cap companies in 2023. Updated performance information is available at www.crmfunds.com/funds-overview/performance/.
How has the Fund performed over the last ten years?
Total Return Based on $10,000 Investment
| CRM Small/Mid Cap Value Fund - Investor Class | Russell 3000® Total Return Index | Russell 2500® Value Index |
|---|
| Jun-2014 | $10,000 | $10,000 | $10,000 |
| Jun-2015 | $10,316 | $10,729 | $10,099 |
| Jun-2016 | $9,604 | $10,959 | $10,121 |
| Jun-2017 | $11,127 | $12,987 | $11,979 |
| Jun-2018 | $12,992 | $14,907 | $13,356 |
| Jun-2019 | $13,239 | $16,246 | $13,099 |
| Jun-2020 | $11,627 | $17,306 | $11,069 |
| Jun-2021 | $19,509 | $24,950 | $18,067 |
| Jun-2022 | $17,185 | $21,490 | $15,684 |
| Jun-2023 | $18,743 | $25,563 | $17,310 |
| Jun-2024 | $20,350 | $31,475 | $19,256 |
Average Annual Total Returns
| 1 Year | 5 Years | 10 Years |
|---|
| CRM Small/Mid Cap Value Fund - Investor Class | 8.57% | 8.98% | 7.36% |
Russell 3000® Total Return Index | 23.13% | 14.14% | 12.15% |
Russell 2500® Value Index | 11.24% | 8.01% | 6.77% |
The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.
Effective May 23, 2024, the Fund adopted the Russell 3000 Total Return Index as its broad-based benchmark index that represents the overall equity market. The Fund also compares its performance to the Russell 2500 Value Index, which is a more narrowly based index that reflects the market sector in which the Fund invests. The Russell 2500 Value Index was formerly the Fund's primary benchmark. These changes were made to comply with a new regulatory requirement.
| Net Assets | $169,225,405 |
| Number of Portfolio Holdings | 48 |
| Advisory Fee | $1,526,156 |
| Portfolio Turnover | 72% |
Asset Weighting (% of total investments)
| Value | Value |
|---|
| Common Stocks | 98.3% |
| Money Market Funds | 1.7% |
What did the Fund invest in?
Sector Weighting (% of net assets)
| Value | Value |
|---|
| Liabilities in Excess of Other Assets | -0.6% |
| Money Market Funds | 1.7% |
| Consumer Staples | 2.2% |
| Energy | 3.4% |
| Utilities | 4.5% |
| Materials | 8.1% |
| Real Estate | 8.3% |
| Health Care | 8.6% |
| Consumer Discretionary | 12.0% |
| Technology | 13.3% |
| Financials | 16.5% |
| Industrials | 22.0% |
Top 10 Holdings (% of net assets)
| Holding Name | % of Net Assets |
| Burlington Stores, Inc. | 4.3% |
| Ashland, Inc. | 4.0% |
| Stericycle, Inc. | 3.6% |
| Itron, Inc. | 3.5% |
| Matador Resources Company | 3.5% |
| Terreno Realty Corporation | 3.2% |
| Clean Harbors, Inc. | 3.1% |
| Arcosa, Inc. | 3.1% |
| First American Financial Corporation | 3.0% |
| BioLife Solutions, Inc. | 2.8% |
No material changes occurred during the year ended June 30, 2024.
CRM Small/Mid Cap Value Fund - Investor (CRMAX)
Annual Shareholder Report - June 30, 2024
Where can I find additional information about the Fund?
Additional information is available on the Fund's website ( http://www.crmfunds.com/funds-overview/shareholder-resources/documents/ ), including its:
Prospectus
Financial information
Holdings
Proxy voting information
Distributed by ALPS Distributors, Inc.
Item 2. Code of Ethics.
| (a) | The registrant has, as of the end of the period covered by this report, adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, and principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
| (b) | Not applicable |
| (c) | During the period covered by this report, there were no amendments to any provision of the code of ethics. |
| (d) | During the period covered by this report, there were no waivers or implicit waivers of a provision of the code of ethics. |
| (e) | Not applicable |
| (f) | See Item 19(a)(1) |
Item 3. Audit Committee Financial Expert.
(a)(1) The Registrant’s board of trustees has determined that F. Gregory Ahern and Rodney P. Wood are audit committee financial experts, as defined in Item 3 of Form N-CSR. Mr. Ahern and Mr. Wood are independent for purposes of this Item 3.
(a)(2) Not applicable.
(a)(3) Not applicable.
Item 4. Principal Accountant Fees and Services.
| (a) | Audit Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by the registrant's principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are as follows: |
2024 – $80,000
2023 – $80,000
| (b) | Audit-Related Fees. There were no fees billed in each of the last two fiscal years for assurances and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this item. |
| (c) | Tax Fees. The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance are as follows: |
2024 – $18,000
2023 – $18,000
Preparation of Federal & State income tax returns, assistance with calculation of required income, capital gain and excise distributions and preparation of Federal excise tax returns.
| (d) | All Other Fees. The aggregate fees billed in each of the last two fiscal years for products and services provided by the registrant’s principal accountant, other than the services reported in paragraphs (a) through (c) of this item were $0 and $0 for the fiscal years ended June 30, 2023 and 2024, respectively. |
| (e)(1) | The audit committee does not have pre-approval policies and procedures. Instead, the audit committee or audit committee chairman approves on a case-by-case basis each audit or non-audit service before the principal accountant is engaged by the registrant. |
| (e)(2) | There were no services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
| (f) | Not applicable. |
| (g) | All non-audit fees billed by the registrant's principal accountant for services rendered to the registrant for the fiscal years ended June 30, 2023 and 2024, respectively are disclosed in (b)-(d) above. There were no audit or non-audit services performed by the registrant's principal accountant for the registrant's adviser. |
| (h) | Not applicable. |
| (i) | Not applicable. |
| (j) | Not applicable. |
Item 5. Audit Committee of Listed Companies. Not applicable
Item 6. Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 7.
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
(a)
June 30, 2024 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 |
FINANCIAL STATEMENTS
[THIS PAGE INTENTIONALLY LEFT BLANK]
CRM FUNDS CRM SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS June 30, 2024 |
| | Shares | | | | Value | |
COMMON STOCK — 97.0% |
Consumer Discretionary — 7.2% |
Apparel & Textile Products — 1.4% |
| | | 24,539 | | Steven Madden Ltd. | | $ | 1,038,000 | |
Home Construction — 2.9% |
| | | 32,668 | | Skyline Champion Corporation1 | | | 2,213,256 | |
Leisure Facilities & Services — 2.0% |
| | | 42,276 | | BJ’s Restaurants, Inc.1 | | | 1,466,977 | |
Retail — Discretionary — 0.9% |
| | | 40,177 | | Victoria’s Secret & Company1 | | | 709,928 | |
Total Consumer Discretionary | | | 5,428,161 | |
Energy — 5.5% |
Oil & Gas Producers — 2.4% |
| | | 31,008 | | Matador Resources Company | | | 1,848,077 | |
Oil & Gas Services & Equipment — 3.1% |
| | | 69,694 | | ChampionX Corporation | | | 2,314,538 | |
Total Energy | | | 4,162,615 | |
Financials — 22.1% |
Banking — 14.8% |
| | | 13,206 | | Bank of Hawaii Corporation | | | 755,515 | |
| | | 52,911 | | Cadence Bank | | | 1,496,323 | |
| | | 286,018 | | Capitol Federal Financial, Inc. | | | 1,570,239 | |
| | | 107,568 | | Central Pacific Financial Corporation | | | 2,280,441 | |
| | | 25,027 | | First Interstate Bancsystem, Inc., Class A | | | 695,000 | |
| | | 37,654 | | Hancock Whitney Corporation | | | 1,800,991 | |
| | | 140,624 | | TFS Financial Corporation | | | 1,774,675 | |
| | | 26,580 | | TrustCo Bank Corporation | | | 764,707 | |
| | | | | | | | 11,137,891 | |
| | Shares | | | | Value | |
Financials — (continued) |
Institutional Financial Services — 2.0% |
| | | 27,351 | | Moelis & Company, Class A | | $ | 1,555,178 | |
Insurance — 2.9% |
| | | 66,945 | | Horace Mann Educators Corporation | | | 2,183,746 | |
Specialty Finance — 2.4% |
| | | 28,762 | | Stewart Information Services Corporation | | | 1,785,545 | |
Total Financials | | | 16,662,360 | |
Health Care — 5.0% |
Medical Equipment & Devices — 5.0% |
| | | 83,378 | | BioLife Solutions Inc1 | | | 1,786,791 | |
| | | 23,817 | | LeMaitre Vascular, Inc. | | | 1,959,662 | |
Total Health Care | | | 3,746,453 | |
Industrials — 25.8% |
Commercial Support Services — 5.2% |
| | | 8,259 | | Clean Harbors, Inc.1 | | | 1,867,773 | |
| | | 34,947 | | Stericycle, Inc.1 | | | 2,031,469 | |
| | | | | | | | 3,899,242 | |
Electrical Equipment — 6.4% |
| | | 105,322 | | Hayward Holdings, Inc.1 | | | 1,295,461 | |
| | | 20,745 | | Itron, Inc.1 | | | 2,052,924 | |
| | | 10,613 | | SPX Technologies, Inc.1 | | | 1,508,532 | |
| | | | | | | | 4,856,917 | |
Engineering & Construction — 4.2% |
| | | 33,666 | | Arcosa, Inc. | | | 2,808,081 | |
| | | 16,664 | | Centuri Holdings, Inc.1,2 | | | 324,615 | |
| | | | | | | | 3,132,696 | |
Industrial Support Services — 1.3% |
| | | 4,848 | | Applied Industrial Technologies, Inc. | | | 940,512 | |
Machinery — 4.5% |
| | | 24,271 | | Cactus, Inc., Class A2 | | | 1,280,053 | |
See accompanying notes to financial statements. | CRM Funds |
| | 1 | |
CRM FUNDS CRM SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
| | Shares | | | | Value | |
Industrials — (continued) |
Machinery — (continued) |
| | | 118,381 | | Mueller Water Products, Inc. | | $ | 2,121,387 | |
| | | | | | | | 3,401,440 | |
Transportation & Logistics — 4.2% |
| | | 31,060 | | Hub Group, Inc., Class A | | | 1,337,133 | |
| | | 15,580 | | Kirby Corporation1 | | | 1,865,393 | |
| | | | | | | | 3,202,526 | |
Total Industrials | | | 19,433,333 | |
Materials — 4.4% |
Chemicals — 4.4% |
| | | 18,451 | | HB Fuller Company | | | 1,419,989 | |
| | | 15,488 | | Rogers Corporation1 | | | 1,868,008 | |
Total Materials | | | 3,287,997 | |
Real Estate — 9.5% |
REIT — 9.5% |
| | | 79,487 | | COPT Defense Properties | | | 1,989,559 | |
| | | 31,232 | | Terreno Realty Corporation | | | 1,848,310 | |
| | | 83,870 | | Urban Edge Properties | | | 1,549,079 | |
| | | 121,472 | | Xenia Hotels & Resorts, Inc. | | | 1,740,694 | |
Total Real Estate | | | 7,127,642 | |
Technology — 13.0% |
Software — 10.9% |
| | | 122,802 | | ACV Auctions, Inc.1 | | | 2,241,137 | |
| | | 15,539 | | Agilysys, Inc.1 | | | 1,618,231 | |
| | | 41,825 | | Envestnet, Inc.1 | | | 2,617,828 | |
| | | 48,047 | | Intapp Inc1 | | | 1,761,883 | |
| | | | | | | | 8,239,079 | |
Technology Hardware — 2.1% |
| | | 89,355 | | Knowles Corporation1 | | | 1,542,267 | |
Total Technology | | | 9,781,346 | |
| | Shares | | | | Value | |
Utilities — 4.5% |
Gas & Water Utilities — 4.5% |
| | | 17,520 | | Chesapeake Utilities Corporation | | $ | 1,860,624 | |
| | | 29,259 | | Middlesex Water Company | | | 1,529,075 | |
Total Utilities | | | 3,389,699 | |
TOTAL COMMON STOCK (Cost $57,905,749) | | | 73,019,606 | |
SHORT-TERM INVESTMENTS — 3.2% |
| | | 1,185,836 | | Blackrock Liquidity Funds T-Fund, Institutional Shares, 4.83%3 | | | 1,185,836 | |
| | | 1,185,836 | | Federated Hermes Treasury Obligations Fund, Institutional Shares, 5.17%3 | | | 1,185,836 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $2,371,672) | | | 2,371,672 | |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES – 100.2% (Cost $60,277,421) | | | 75,391,278 | |
See accompanying notes to financial statements. | CRM Funds |
| | 2 | |
CRM FUNDS CRM SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
| | Principal ($) | | | | Value | |
COLLATERAL FOR SECURITIES LOANED — 1.7% |
| | | 298,767 | | With Mizuho Securities USA LLC: at 5.32%, dated 6/28/24, to be repurchased on 7/1/24, repurchase price $298,899 (collateralized by US Treasury Securities, par values ranging from $597 - $140,677, coupon rates ranging from 0.50% to 5.00%, 7/31/24 - 9/30/29; total market value $304,742) | | $ | 298,767 | |
| | Principal ($) | | | | Value | |
COLLATERAL FOR SECURITIES LOANED — (continued) |
| | | 1,000,000 | | With National Bank Financial, Inc.: at 5.34%, dated 6/28/24, to be repurchased on 7/1/24, repurchase price $1,000,445 (collateralized by US Treasury Securities, par values ranging from $1 - $313,333, coupon rates ranging from 0.75% to 4.375%, 7/1/24 - 9/9/49; total market value $1,020,003) | | $ | 1,000,000 | |
TOTAL SHORT-TERM INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES (Cost $1,298,767) | | | 1,298,767 | |
TOTAL INVESTMENTS — 101.9% (Cost $61,576,188) | | $ | 76,690,045 | 4 |
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.9)% | | | (1,415,030 | ) |
NET ASSETS — 100.0% | | $ | 75,275,015 | |
See accompanying notes to financial statements. | CRM Funds |
| | 3 | |
CRM FUNDS CRM SMALL CAP VALUE FUND SCHEDULE OF INVESTMENTS (Concluded) June 30, 2024 |
A summary of inputs used to value the Fund’s investments as of June 30, 2024 is as follows (see Note 2 in Notes to Financial Statements):
Assets | | Level 1
Quoted Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Investments
in Securities
(Value) | |
Common Stock | | $ | 73,019,606 | | | | — | | | | — | | | $ | 73,019,606 | |
Short-Term Investments | | | 2,371,672 | | | | — | | | | — | | | | 2,371,672 | |
Short-Term Investments Held As Collateral for Loaned Securities | | | — | | | $ | 1,298,767 | | | | — | | | | 1,298,767 | |
Total | | $ | 75,391,278 | | | $ | 1,298,767 | | | | — | | | $ | 76,690,045 | |
There were no transfers into or out of Level 3 related to securities held at June 30, 2024.
1 | Non-income producing security. |
2 | Security partially or fully on loan. |
3 | Rate disclosed is the seven day effective yield as of June 30, 2024. |
4 | At June 30, 2024, the market value of securities on loan for CRM Small Cap Value Fund was $1,288,332. 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 |
| | 4 | |
CRM FUNDS CRM SMALL/MID CAP VALUE FUND SCHEDULE OF INVESTMENTS June 30, 2024 |
| | Shares | | | | Value | |
COMMON STOCK — 98.9% |
Consumer Discretionary — 12.0% |
Apparel & Textile Products — 1.7% |
| | | 65,346 | | Steven Madden Ltd. | | $ | 2,764,136 | |
Home & Office Products — 1.5% |
| | | 34,007 | | SharkNinja, Inc.1 | | | 2,555,626 | |
Home Construction — 2.5% |
| | | 62,282 | | Skyline Champion Corporation1 | | | 4,219,606 | |
Retail — Discretionary — 6.3% |
| | | 30,555 | | Burlington Stores, Inc.1 | | | 7,333,199 | |
| | | 7,914 | | RH1 | | | 1,934,498 | |
| | | 81,386 | | Victoria’s Secret & Company1 | | | 1,438,091 | |
| | | | | | | | 10,705,788 | |
Total Consumer Discretionary | | | 20,245,156 | |
Consumer Staples — 2.2% |
Food — 2.2% |
| | | 16,918 | | Lamb Weston Holdings, Inc. | | | 1,422,465 | |
| | | 11,952 | | Lancaster Colony Corporation | | | 2,258,570 | |
Total Consumer Staples | | | 3,681,035 | |
Energy — 3.4% |
Oil & Gas Producers — 3.4% |
| | | 98,027 | | Matador Resources Company | | | 5,842,409 | |
Financials — 16.5% |
Banking — 5.6% |
| | | 30,169 | | Bank of Hawaii Corporation | | | 1,725,968 | |
| | | 146,091 | | Cadence Bank | | | 4,131,454 | |
| | | 286,467 | | TFS Financial Corporation | | | 3,615,214 | |
| | | | | | | | 9,472,636 | |
Institutional Financial Services — 5.3% |
| | | 20,014 | | Evercore Partners, Inc., Class A | | | 4,171,518 | |
| | Shares | | | | Value | |
Financials — (continued) |
Institutional Financial Services — (continued) |
| | | 83,590 | | Moelis & Company, Class A | | $ | 4,752,927 | |
| | | | | | | | 8,924,445 | |
Insurance — 2.6% |
| | | 136,876 | | Horace Mann Educators Corporation | | | 4,464,895 | |
Specialty Finance — 3.0% |
| | | 92,862 | | First American Financial Corporation | | | 5,009,905 | |
Total Financials | | | 27,871,881 | |
Health Care — 8.6% |
Biotech & Pharma — 1.2% |
| | | 143,666 | | Elanco Animal Health, Inc.1 | | | 2,073,100 | |
Medical Equipment & Devices — 7.4% |
| | | 222,430 | | BioLife Solutions, Inc.1 | | | 4,766,675 | |
| | | 49,203 | | Bio-Techne Corporation | | | 3,525,395 | |
| | | 40,934 | | LeMaitre Vascular, Inc. | | | 3,368,050 | |
| | | 6,700 | | Masimo Corporation1 | | | 843,798 | |
| | | | | | | | 12,503,918 | |
Total Health Care | | | 14,577,018 | |
Industrials — 22.0% |
Aerospace & Defense — 1.3% |
| | | 5,796 | | Teledyne Technologies, Inc.1 | | | 2,248,732 | |
Commercial Support Services — 6.7% |
| | | 23,159 | | Clean Harbors, Inc.1 | | | 5,237,408 | |
| | | 105,173 | | Stericycle, Inc.1 | | | 6,113,706 | |
| | | | | | | | 11,351,114 | |
Electrical Equipment — 6.6% |
| | | 236,059 | | Hayward Holdings, Inc.1 | | | 2,903,526 | |
| | | 59,130 | | Itron, Inc.1 | | | 5,851,504 | |
| | | 65,473 | | Vontier Corporation | | | 2,501,069 | |
| | | | | | | | 11,256,099 | |
See accompanying notes to financial statements. | CRM Funds |
| | 5 | |
CRM FUNDS CRM SMALL/MID CAP VALUE FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
| | Shares | | | | Value | |
Industrials — (continued) |
Engineering & Construction — 3.1% |
| | | 61,927 | | Arcosa, Inc. | | $ | 5,165,331 | |
Machinery — 1.9% |
| | | 23,894 | | Regal Rexnord Corporation | | | 3,230,947 | |
Transportation & Logistics — 2.4% |
| | | 71,287 | | Hub Group, Inc., Class A | | | 3,068,906 | |
| | | 7,469 | | Kirby Corporation1 | | | 894,263 | |
| | | | | | | | 3,963,169 | |
Total Industrials | | | 37,215,392 | |
Materials — 8.1% |
Chemicals — 4.0% |
| | | 72,419 | | Ashland, Inc. | | | 6,842,871 | |
Construction Materials — 4.1% |
| | | 20,766 | | Advanced Drainage Systems, Inc. | | | 3,330,659 | |
| | | 16,595 | | Eagle Materials, Inc. | | | 3,608,749 | |
| | | | | | | | 6,939,408 | |
Total Materials | | | 13,782,279 | |
Real Estate — 8.3% |
REIT — 8.3% |
| | | 39,423 | | Sun Communities, Inc. | | | 4,744,164 | |
| | | 92,765 | | Terreno Realty Corporation | | | 5,489,832 | |
| | | 266,378 | | Xenia Hotels & Resorts, Inc. | | | 3,817,197 | |
Total Real Estate | | | 14,051,193 | |
Technology — 13.3% |
Software — 9.3% |
| | | 233,488 | | ACV Auctions, Inc.1 | | | 4,261,155 | |
| | | 60,803 | | Envestnet, Inc.1 | | | 3,805,660 | |
| | | 93,646 | | Intapp, Inc.1 | | | 3,433,999 | |
| | | 13,798 | | PTC, Inc.1 | | | 2,506,683 | |
| | | 38,760 | | Tenable Holdings, Inc.1 | | | 1,689,161 | |
| | | | | | | | 15,696,658 | |
| | Shares | | | | Value | |
Technology — (continued) |
Technology Hardware — 1.9% |
| | | 67,254 | | Ciena Corporation1 | | $ | 3,240,298 | |
Technology Services — 2.1% |
| | | 11,891 | | Morningstar, Inc. | | | 3,517,952 | |
Total Technology | | | 22,454,908 | |
Utilities — 4.5% |
Gas & Water Utilities — 4.5% |
| | | 28,833 | | Atmos Energy Corporation | | | 3,363,369 | |
| | | 150,132 | | Nisource, Inc. | | | 4,325,303 | |
Total Utilities | | | 7,688,672 | |
TOTAL COMMON STOCK (Cost $133,148,922) | | | 167,409,943 | |
SHORT-TERM INVESTMENTS — 1.7% |
| | | 1,420,236 | | Blackrock Liquidity Funds T-Fund, Institutional Shares, 4.83%2 | | | 1,420,236 | |
| | | 1,420,235 | | Federated Hermes Treasury Obligations Fund, Institutional Shares, 5.17%2 | | | 1,420,235 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $2,840,471) | | | 2,840,471 | |
TOTAL INVESTMENTS — 100.6% (Cost $135,989,393) | | $ | 170,250,414 | |
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.6)% | | | (1,025,009 | ) |
NET ASSETS — 100.0% | | $ | 169,225,405 | |
See accompanying notes to financial statements. | CRM Funds |
| | 6 | |
CRM FUNDS CRM SMALL/MID CAP VALUE FUND SCHEDULE OF INVESTMENTS (Concluded) June 30, 2024 |
A summary of inputs used to value the Fund’s investments as of June 30, 2024 is as follows (see Note 2 in Notes to Financial Statements):
Assets | | Level 1
Quoted Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Investments
in Securities
(Value) | |
Common Stock | | $ | 167,409,943 | | | | — | | | | — | | | $ | 167,409,943 | |
Short-Term Investments | | | 2,840,471 | | | | — | | | | — | | | | 2,840,471 | |
Total | | $ | 170,250,414 | | | | — | | | | — | | | $ | 170,250,414 | |
There were no transfers into or out of Level 3 related to securities held at June 30, 2024.
1 | Non-income producing security. |
2 | Rate disclosed is the seven day effective yield as of June 30, 2024. |
See accompanying notes to financial statements. | CRM Funds |
| | 7 | |
CRM FUNDS CRM MID CAP VALUE FUND SCHEDULE OF INVESTMENTS June 30, 2024 |
| | Shares | | | | Value | |
COMMON STOCK — 97.7% |
Consumer Discretionary — 7.9% |
Apparel & Textile Products — 1.5% |
| | | 128,305 | | Steven Madden Ltd. | | $ | 5,427,302 | |
Home & Office Products — 2.0% |
| | | 100,267 | | SharkNinja, Inc.1 | | | 7,535,065 | |
Retail — Discretionary — 4.4% |
| | | 45,405 | | Burlington Stores, Inc.1 | | | 10,897,200 | |
| | | 126,390 | | Valvoline, Inc.1 | | | 5,460,048 | |
| | | | | | | | 16,357,248 | |
Total Consumer Discretionary | | | 29,319,615 | |
Energy — 6.2% |
Oil & Gas Producers — 3.3% |
| | | 308,918 | | Marathon Oil Corporation | | | 8,856,679 | |
| | | 54,449 | | Matador Resources Company | | | 3,245,161 | |
| | | | | | | | 12,101,840 | |
Oil & Gas Services & Equipment — 2.9% |
| | | 329,190 | | ChampionX Corporation | | | 10,932,400 | |
Total Energy | | | 23,034,240 | |
Financials — 10.1% |
Banking — 5.4% |
| | | 208,733 | | Cadence Bank | | | 5,902,969 | |
| | | 232,178 | | Truist Financial Corporation | | | 9,020,116 | |
| | | 114,832 | | Webster Financial Corporation | | | 5,005,527 | |
| | | | | | | | 19,928,612 | |
Insurance — 2.3% |
| | | 53,337 | | Allstate Corporation | | | 8,515,785 | |
Specialty Finance — 2.4% |
| | | 166,583 | | First American Financial Corporation | | | 8,987,153 | |
Total Financials | | | 37,431,550 | |
| | Shares | | | | Value | |
Health Care — 3.5% |
Biotech & Pharma — 1.2% |
| | | 319,576 | | Elanco Animal Health, Inc.1 | | $ | 4,611,482 | |
Medical Equipment & Devices — 2.3% |
| | | 117,922 | | Bio-Techne Corporation | | | 8,449,111 | |
Total Health Care | | | 13,060,593 | |
Industrials — 22.7% |
Aerospace & Defense — 5.0% |
| | | 20,787 | | Teledyne Technologies, Inc.1 | | | 8,064,940 | |
| | | 60,259 | | Woodward, Inc. | | | 10,507,965 | |
| | | | | | | | 18,572,905 | |
Commercial Support Services — 2.4% |
| | | 153,419 | | Stericycle, Inc.1 | | | 8,918,246 | |
Electrical Equipment — 6.1% |
| | | 57,498 | | AMETEK, Inc. | | | 9,585,491 | |
| | | 343,013 | | Vontier Corporation | | | 13,103,096 | |
| | | | | | | | 22,688,587 | |
Industrial Support Services — 1.5% |
| | | 29,645 | | Applied Industrial Technologies, Inc. | | | 5,751,130 | |
Machinery — 4.9% |
| | | 63,020 | | Regal Rexnord Corporation | | | 8,521,564 | |
| | | 72,888 | | Xylem, Inc. | | | 9,885,800 | |
| | | | | | | | 18,407,364 | |
Transportation & Logistics — 2.8% |
| | | 131,087 | | Canadian Pacific Kansas City Ltd.2 | | | 10,320,480 | |
Total Industrials | | | 84,658,712 | |
Materials — 17.5% |
Chemicals — 9.7% |
| | | 107,374 | | Ashland, Inc. | | | 10,145,768 | |
| | | 45,405 | | Avery Dennison Corporation | | | 9,927,803 | |
| | | 179,364 | | Corteva, Inc. | | | 9,674,894 | |
See accompanying notes to financial statements. | CRM Funds |
| | 8 | |
CRM FUNDS CRM MID CAP VALUE FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
| | Shares | | | | Value | |
Materials — (continued) |
Chemicals — (continued) |
| | | 57,107 | | RPM International, Inc. | | $ | 6,149,282 | |
| | | | | | | | 35,897,747 | |
Construction Materials — 7.8% |
| | | 58,302 | | Advanced Drainage Systems, Inc. | | | 9,351,058 | |
| | | 123,835 | | CRH PLC3 | | | 9,285,148 | |
| | | 19,267 | | Martin Marietta Materials, Inc. | | | 10,438,861 | |
| | | | | | | | 29,075,067 | |
Total Materials | | | 64,972,814 | |
Real Estate — 7.6% |
REIT — 7.6% |
| | | 102,863 | | CBRE Group, Inc., Class A1 | | | 9,166,122 | |
| | | 71,446 | | Sun Communities, Inc. | | | 8,597,812 | |
| | | 177,646 | | Terreno Realty Corporation | | | 10,513,090 | |
Total Real Estate | | | 28,277,024 | |
Technology — 16.9% |
Semiconductors — 1.3% |
| | | 54,099 | | Microchip Technology, Inc. | | | 4,950,059 | |
Software — 6.0% |
| | | 483,741 | | CCC Intelligent Solutions Holdings, Inc.1 | | | 5,374,363 | |
| | | 48,516 | | PTC, Inc.1 | | | 8,813,902 | |
| | | 188,173 | | Tenable Holdings, Inc.1 | | | 8,200,579 | |
| | | | | | | | 22,388,844 | |
Technology Hardware — 2.1% |
| | | 160,011 | | Ciena Corporation1 | | | 7,709,330 | |
Technology Services — 7.5% |
| | | 1,123,683 | | Clarivate PLC1,2,3 | | | 6,393,756 | |
| | | 184,980 | | Fidelity National Information Services, Inc. | | | 13,940,092 | |
| | Shares | | | | Value | |
Technology — (continued) |
Technology Services — (continued) |
| | | 25,216 | | Morningstar, Inc. | | $ | 7,460,154 | |
| | | | | | | | 27,794,002 | |
Total Technology | | | 62,842,235 | |
Utilities — 5.3% |
Gas & Water Utilities — 5.3% |
| | | 76,617 | | Atmos Energy Corporation | | | 8,937,373 | |
| | | 376,944 | | Nisource, Inc. | | | 10,859,757 | |
Total Utilities | | | 19,797,130 | |
TOTAL COMMON STOCK (Cost $271,030,945) | | | 363,393,913 | |
SHORT-TERM INVESTMENTS — 2.3% |
| | | 4,323,559 | | Blackrock Liquidity Funds T-Fund, Institutional Shares, 4.83%4 | | | 4,323,559 | |
| | | 4,323,561 | | Federated Hermes Treasury Obligations Fund, Institutional Shares, 5.17%4 | | | 4,323,561 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $8,647,120) | | | 8,647,120 | |
TOTAL INVESTMENTS BEFORE INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES – 100.0% (Cost $279,678,065) | | | 372,041,033 | |
See accompanying notes to financial statements. | CRM Funds |
| | 9 | |
CRM FUNDS CRM MID CAP VALUE FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
| | Principal ($) | | | | Value | |
SHORT-TERM INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES — 1.1% |
TIME DEPOSITS — 0.7% |
| | | 180,000 | | Banco Santander SA, 5.31%, due 7/1/24 | | $ | 180,000 | |
| | | 180,000 | | BNP Paribas SA, 5.29%, due 7/1/24 | | | 180,000 | |
| | | 180,000 | | Canadian Imperial Bank of Commerce, 5.31%, due 7/1/24 | | | 180,000 | |
| | | 180,000 | | Credit Agricole Corporate and Investment Bank, 5.30%, due 7/1/24 | | | 180,000 | |
| | | 170,000 | | DNB Bank ASA, 5.31%, due 7/1/24 | | | 170,000 | |
| | | 170,000 | | DZ Bank AG, 5.30%, due 7/1/24 | | | 170,000 | |
| | | 180,000 | | HSBC Bank PLC, 5.38%, due 7/1/243 | | | 180,000 | |
| | | 180,000 | | KBC Bank NV, 5.31%, due 7/1/24 | | | 180,000 | |
| | | 170,000 | | Landesbank Baden Wurttemberg, 5.32%, due 7/1/24 | | | 170,000 | |
| | | 160,000 | | Landesbank Hessen Thueringen Girozentrale, 5.32%, due 7/1/24 | | | 160,000 | |
| | | 180,000 | | Mizuho Bank Ltd., 5.32%, due 7/1/24 | | | 180,000 | |
| | | 170,000 | | Nordea Bank Abp, 5.30%, due 7/1/24 | | | 170,000 | |
| | | 180,000 | | Royal Bank of Canada, 5.32%, due 7/1/24 | | | 180,000 | |
| | | 180,000 | | Skandinaviska Enskilda Banken AB, 5.31%, due 7/1/24 | | | 180,000 | |
| | | 170,000 | | Svenska Handelsbanken AB, 5.31%, due 7/1/24 | | | 170,000 | |
| | | | | | | | 2,630,000 | |
| | Principal ($) | | | | Value | |
REPURCHASE AGREEMENTS — 0.4% |
| | | 466,232 | | With Mizuho Securities USA LLC: at 5.32%, dated 6/28/24, to be repurchased on 7/1/24, repurchase price $468,439 (collateralized by US Treasury Securities, par values ranging from $932 - $219,529, coupon rates ranging from 0.50% to 5.00%, 7/31/24 - 9/30/29; total market value $475,557) | | $ | 466,232 | |
| | | 1,032,077 | | With National Bank Financial, Inc.: at 5.34%, dated 6/28/24, to be repurchased on 7/1/24, repurchase price $1,032,536 (collateralized by US Treasury Securities, par values ranging from $1 - $323,384, coupon rates ranging from 0.75% to 4.375%, 7/1/24 - 9/9/49; total market value $1,052,722) | | | 1,032,077 | |
| | | | | | | | 1,498,309 | |
TOTAL SHORT-TERM INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES (Cost $4,128,309) | | | 4,128,309 | |
TOTAL INVESTMENTS — 101.1% (Cost $283,806,374) | | $ | 376,169,342 | 5 |
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.1)% | | | (4,112,057 | ) |
NET ASSETS — 100.0% | | $ | 372,057,285 | |
See accompanying notes to financial statements. | CRM Funds |
| | 10 | |
CRM FUNDS CRM MID CAP VALUE FUND SCHEDULE OF INVESTMENTS (Concluded) June 30, 2024 |
A summary of inputs used to value the Fund’s investments as of June 30, 2024 is as follows (see Note 2 in Notes to Financial Statements):
Assets | | Level 1
Quoted Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Investments
in Securities
(Value) | |
Common Stocks | | $ | 363,393,913 | | | | — | | | | — | | | $ | 363,393,913 | |
Short-Term Investments | | | 8,647,120 | | | | — | | | | — | | | | 8,647,120 | |
Short-Term Investments Held As Collateral For Loaned Securities | | | — | | | $ | 4,128,309 | | | | — | | | | 4,128,309 | |
Total | | $ | 372,041,033 | | | $ | 4,128,309 | | | | — | | | $ | 376,169,342 | |
There were no transfers into or out of Level 3 related to securities held at June 30, 2024.
1 | Non-income producing security. |
2 | Security partially or fully on loan. |
3 | PLC – Public Limited Company |
4 | Rate disclosed is the seven day effective yield as of June 30, 2024. |
5 | At June 30, 2024, the market value of securities on loan for CRM Mid Cap Value Fund was $3,974,192. 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 |
| | 11 | |
CRM FUNDS CRM ALL CAP VALUE FUND SCHEDULE OF INVESTMENTS June 30, 2024 |
| | Shares | | | | Value | |
COMMON STOCK — 97.1% |
Consumer Discretionary — 8.6% |
Apparel & Textile Products — 1.4% |
| | | 7,779 | | Steven Madden Ltd. | | $ | 329,052 | |
Home & Office Products — 1.8% |
| | | 5,586 | | SharkNinja, Inc.1 | | | 419,788 | |
Home Construction — 1.2% |
| | | 4,022 | | Skyline Champion Corporation1 | | | 272,491 | |
Retail — Discretionary — 4.2% |
| | | 2,754 | | Burlington Stores, Inc.1 | | | 660,959 | |
| | | 7,651 | | Valvoline, Inc.1 | | | 330,523 | |
| | | | | | | | 991,482 | |
Total Consumer Discretionary | | | 2,012,813 | |
Consumer Staples — 1.4% |
Household Products — 1.4% |
| | | 3,162 | | Estee Lauder Companies, Inc. (The), Class A | | | 336,437 | |
Energy — 6.5% |
Oil & Gas Producers — 3.7% |
| | | 29,759 | | Marathon Oil Corporation | | | 853,191 | |
Oil & Gas Services & Equipment — 2.8% |
| | | 19,973 | | ChampionX Corporation | | | 663,303 | |
Total Energy | | | 1,516,494 | |
Financials — 14.0% |
Asset Management — 2.4% |
| | | 7,440 | | Charles Schwab Corporation (The) | | | 548,254 | |
Banking — 6.3% |
| | | 6,172 | | Bank of Hawaii Corporation | | | 353,100 | |
| | | 8,074 | | Citigroup, Inc. | | | 512,376 | |
| | | 15,762 | | Truist Financial Corporation | | | 612,353 | |
| | | | | | | | 1,477,829 | |
| | Shares | | | | Value | |
Financials — (continued) |
Institutional Financial Services — 3.1% |
| | | 6,504 | | Moelis & Company, Class A | | $ | 369,817 | |
| | | 3,599 | | Morgan Stanley | | | 349,787 | |
| | | | | | | | 719,604 | |
Insurance — 2.2% |
| | | 3,222 | | Allstate Corporation | | | 514,425 | |
Total Financials | | | 3,260,112 | |
Health Care — 9.7% |
Medical Equipment & Devices — 9.7% |
| | | 29,887 | | BioLife Solutions, Inc.1 | | | 640,479 | |
| | | 7,296 | | Bio-Techne Corporation | | | 522,758 | |
| | | 2,354 | | Danaher Corporation | | | 588,147 | |
| | | 6,353 | | LeMaitre Vascular, Inc. | | | 522,725 | |
Total Health Care | | | 2,274,109 | |
Industrials — 12.1% |
Aerospace & Defense — 2.5% |
| | | 3,350 | | Woodward, Inc. | | | 584,173 | |
Commercial Support Services — 1.2% |
| | | 4,603 | | Stericycle, Inc.1 | | | 267,572 | |
Machinery — 3.8% |
| | | 2,301 | | Crane Company | | | 333,599 | |
| | | 4,105 | | Xylem, Inc. | | | 556,761 | |
| | | | | | | | 890,360 | |
Transportation & Logistics — 4.6% |
| | | 6,361 | | Canadian Pacific Kansas City Ltd. | | | 500,802 | |
| | | 4,859 | | Kirby Corporation1 | | | 581,768 | |
| | | | | | | | 1,082,570 | |
Total Industrials | | | 2,824,675 | |
Materials — 12.7% |
Chemicals — 7.0% |
| | | 5,938 | | Ashland, Inc. | | | 561,082 | |
| | | 2,196 | | Avery Dennison Corporation | | | 480,155 | |
See accompanying notes to financial statements. | CRM Funds |
| | 12 | |
CRM FUNDS CRM ALL CAP VALUE FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
| | Shares | | | | Value | |
Materials — (continued) |
Chemicals — (continued) |
| | | 11,178 | | Corteva, Inc. | | $ | 602,942 | |
| | | | | | | | 1,644,179 | |
Construction Materials — 5.7% |
| | | 4,067 | | Advanced Drainage Systems, Inc. | | | 652,306 | |
| | | 8,935 | | CRH PLC2 | | | 669,946 | |
| | | | | | | | 1,322,252 | |
Total Materials | | | 2,966,431 | |
Real Estate — 9.5% |
REIT — 9.5% |
| | | 5,327 | | CBRE Group, Inc., Class A1 | | | 474,689 | |
| | | 5,553 | | Sun Communities, Inc. | | | 668,248 | |
| | | 12,208 | | Terreno Realty Corporation | | | 722,469 | |
| | | 24,002 | | Xenia Hotels & Resorts, Inc. | | | 343,949 | |
Total Real Estate | | | 2,209,355 | |
Technology — 20.2% |
Semiconductors — 1.3% |
| | | 3,297 | | Microchip Technology, Inc. | | | 301,676 | |
Software — 11.1% |
| | | 31,404 | | ACV Auctions, Inc.1 | | | 573,123 | |
| | | 37,312 | | CCC Intelligent Solutions Holdings, Inc.1 | | | 414,536 | |
| | | 12,820 | | Intapp, Inc.1 | | | 470,109 | |
| | | 3,426 | | PTC, Inc.1 | | | 622,401 | |
| | | 11,469 | | Tenable Holdings, Inc.1 | | | 499,819 | |
| | | | | | | | 2,579,988 | |
Technology Hardware — 2.0% |
| | | 9,734 | | Ciena Corporation1 | | | 468,984 | |
Technology Services — 5.8% |
| | | 87,066 | | Clarivate PLC1,2,3 | | | 495,406 | |
| | Shares | | | | Value | |
Technology — (continued) |
Technology Services — (continued) |
| | | 11,371 | | Fidelity National Information Services, Inc. | | $ | 856,918 | |
| | | | | | | | 1,352,324 | |
Total Technology | | | 4,702,972 | |
Utilities — 2.4% |
Electric Utilities — 2.4% |
| | | 7,742 | | NextEra Energy, Inc. | | | 548,211 | |
TOTAL COMMON STOCK (Cost $18,170,315) | | | 22,651,609 | |
SHORT-TERM INVESTMENTS — 2.9% |
| | | 342,035 | | Blackrock Liquidity Funds T-Fund, Institutional Shares, 4.83%4 | | | 342,035 | |
| | | 342,034 | | Federated Hermes Treasury Obligations Fund, Institutional Shares, 5.17%4 | | | 342,034 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $684,069) | | | 684,069 | |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMETNTS HELD AS COLLATERAL FOR SECURITIES LOANED – 100.0% (Cost $18,854,384) | | | 23,335,678 | |
See accompanying notes to financial statements. | CRM Funds |
| | 13 | |
CRM FUNDS CRM ALL CAP VALUE FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
| | Principal ($) | | | | Value | |
SHORT-TERM INVESTMENTS HELD AS COLLATERAL FOR LOANED SECURITIES — 0.8% |
REPURCHASE AGREEMENT — 0.8% |
| | | 183,480 | | With National Bank Financial, Inc.: at 5.34%, dated 6/28/24, to be repurchased on 7/1/24, repurchase price $183,562 (collateralized by US Treasury Securities, par values ranging from $1 - $57,490, coupon rates ranging from 0.75% to 4.375%, 7/1/24 - 9/9/49; total market value $187,150) (Cost - $183,480) | | $ | 183,480 | |
TOTAL INVESTMENTS — 100.8% (Cost $19,037,864) | | $ | 23,519,158 | 5 |
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.8)% | | | (181,037 | ) |
NET ASSETS — 100.0% | | $ | 23,338,121 | |
See accompanying notes to financial statements. | CRM Funds |
| | 14 | |
CRM FUNDS CRM ALL CAP VALUE FUND SCHEDULE OF INVESTMENTS (Concluded) June 30, 2024 |
A summary of inputs used to value the Fund’s investments as of June 30, 2024 is as follows (see Note 2 in Notes to Financial Statements):
Assets | | Level 1
Quoted Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Investments
in Securities
(Value) | |
Common Stocks | | $ | 22,651,609 | | | | — | | | | — | | | $ | 22,651,609 | |
Short-Term Investments | | | 684,069 | | | | — | | | | — | | | | 684,069 | |
Short-Term Investments Held As Collateral For Loaned Securities | | | — | | | $ | 183,480 | | | | — | | | | 183,480 | |
Total | | $ | 23,335,678 | | | $ | 183,480 | | | | — | | | $ | 23,519,158 | |
There were no transfers into or out of Level 3 related to securities held at June 30, 2024.
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 June 30, 2024. |
5 | At June 30, 2024, the market value of securities on loan for CRM All Cap Value Fund was $173,243. 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 |
| | 15 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS June 30, 2024 |
| | Shares | | | | Value | |
COMMON STOCK — 85.0% |
Communications — 2.7% |
Internet Media & Services — 2.7% |
| | | 10,505 | | Meta Platforms, Inc., Class A | | $ | 5,296,832 | |
Consumer Discretionary — 14.9% |
Apparel & Textile Products — 1.8% |
| | | 84,863 | | Steven Madden Ltd. | | | 3,589,705 | |
Automotive — 1.5% |
| | | 105,474 | | Mobileye Global, Inc., Class A1 | | | 2,962,237 | |
Home & Office Products — 1.8% |
| | | 47,465 | | SharkNinja, Inc.1 | | | 3,566,995 | |
Home Construction — 3.0% |
| | | 87,902 | | Skyline Champion Corporation1 | | | 5,955,360 | |
Leisure Facilities & Services — 1.3% |
| | | 74,522 | | BJ’s Restaurants, Inc.1 | | | 2,585,914 | |
Retail — Discretionary — 5.5% |
| | | 31,710 | | Burlington Stores, Inc.1 | | | 7,610,400 | |
| | | 6,498 | | RH1 | | | 1,588,371 | |
| | | 92,544 | | Victoria’s Secret & Company1 | | | 1,635,252 | |
| | | | | | | | 10,834,023 | |
Total Consumer Discretionary | | | 29,494,234 | |
Consumer Staples — 2.7% |
Beverages — 2.0% |
| | | 2,218,034 | | Becle SAB de CV | | | 4,000,717 | |
Household Products — 0.7% |
| | | 12,499 | | Estee Lauder Companies, Inc. (The), Class A | | | 1,329,894 | |
Total Consumer Staples | | | 5,330,611 | |
Energy — 1.6% |
Oil & Gas Producers — 1.6% |
| | | 54,248 | | Matador Resources Company | | | 3,233,181 | |
| | Shares | | | | Value | |
Financials — 7.1% |
Institutional Financial Services — 2.5% |
| | | 23,645 | | Evercore Partners, Inc., Class A | | $ | 4,928,328 | |
Insurance — 2.1% |
| | | 25,558 | | Allstate Corporation | | | 4,080,590 | |
Specialty Finance — 2.5% |
| | | 90,505 | | First American Financial Corporation | | | 4,882,744 | |
Total Financials | | | 13,891,662 | |
Health Care — 3.7% |
Biotech & Pharma — 0.9% |
| | | 121,259 | | Elanco Animal Health, Inc.1 | | | 1,749,767 | |
Medical Equipment & Devices — 2.8% |
| | | 17,596 | | BioLife Solutions, Inc.1 | | | 377,082 | |
| | | 20,242 | | Danaher Corporation | | | 5,057,464 | |
| | | | | | | | 5,434,546 | |
Total Health Care | | | 7,184,313 | |
Industrials — 26.2% |
Commercial Support Services — 3.6% |
| | | 31,351 | | Clean Harbors, Inc.1 | | | 7,090,029 | |
Electrical Equipment — 9.1% |
| | | 22,167 | | GE Vernova LLC1 | | | 3,801,862 | |
| | | 333,034 | | Hayward Holdings, Inc.1 | | | 4,096,318 | |
| | | 60,846 | | Itron, Inc.1 | | | 6,021,321 | |
| | | 101,551 | | Vontier Corporation | | | 3,879,248 | |
| | | | | | | | 17,798,749 | |
Engineering & Construction — 4.0% |
| | | 94,726 | | Arcosa, Inc. | | | 7,901,096 | |
Machinery — 2.2% |
| | | 31,584 | | Xylem, Inc. | | | 4,283,738 | |
Transportation & Logistics — 7.3% |
| | | 93,116 | | Canadian Pacific Kansas City Ltd. | | | 7,331,022 | |
| | | 80,725 | | Hub Group, Inc., Class A | | | 3,475,211 | |
See accompanying notes to financial statements. | CRM Funds |
| | 16 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
| | Shares | | | | Value | |
Industrials — (continued) |
Transportation & Logistics — (continued) |
| | | 14,965 | | Union Pacific Corporation | | $ | 3,385,981 | |
| | | | | | | | 14,192,214 | |
Total Industrials | | | 51,265,826 | |
Materials — 6.2% |
Chemicals — 3.9% |
| | | 43,454 | | Ashland, Inc. | | | 4,105,969 | |
| | | 16,122 | | Avery Dennison Corporation | | | 3,525,075 | |
| | | | | | | | 7,631,044 | |
Construction Materials — 2.3% |
| | | 15,251 | | Advanced Drainage Systems, Inc. | | | 2,446,108 | |
| | | 3,648 | | Martin Marietta Materials, Inc. | | | 1,976,486 | |
| | | | | | | | 4,422,594 | |
Total Materials | | | 12,053,638 | |
Real Estate — 4.0% |
REIT — 4.0% |
| | | 36,260 | | Digital Realty Trust, Inc. | | | 5,513,333 | |
| | | 19,355 | | Sun Communities, Inc. | | | 2,329,181 | |
Total Real Estate | | | 7,842,514 | |
Technology — 10.9% |
Software — 7.2% |
| | | 249,213 | | ACV Auctions, Inc.1 | | | 4,548,137 | |
| | | 208,632 | | CCC Intelligent Solutions Holdings, Inc.1 | | | 2,317,901 | |
| | | 61,658 | | Intapp, Inc.1 | | | 2,260,999 | |
| | | 27,168 | | PTC, Inc.1 | | | 4,935,611 | |
| | | | | | | | 14,062,648 | |
Technology Services — 3.7% |
| | | 47,926 | | Fidelity National Information Services, Inc. | | | 3,611,703 | |
| | Shares | | | | Value | |
Technology — (continued) |
Technology Services — (continued) |
| | | 8,190 | | MasterCard, Inc., Class A | | $ | 3,613,101 | |
| | | | | | | | 7,224,804 | |
Total Technology | | | 21,287,452 | |
Utilities — 5.0% |
Electric Utilities — 3.1% |
| | | 84,605 | | NextEra Energy, Inc. | | | 5,990,880 | |
Gas & Water Utilities — 1.9% |
| | | 32,251 | | Atmos Energy Corporation | | | 3,762,079 | |
Total Utilities | | | 9,752,959 | |
TOTAL COMMON STOCK (Cost $136,571,877) | | | 166,633,222 | |
EXCHANGE-TRADED FUNDS — 2.3% |
EQUITY — 2.3% |
| | | 48,857 | | SPDR S&P Biotech ETF (Cost $4,301,383) | | | 4,529,532 | |
SHORT-TERM INVESTMENTS — 11.7% |
| | | 11,437,013 | | Blackrock Liquidity Funds T-Fund, Institutional Shares, 4.83%2 | | | 11,437,013 | |
| | | 11,437,013 | | Federated Hermes Treasury Obligations Fund, Institutional Shares, 5.17%2 | | | 11,437,013 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $22,874,026) | | | 22,874,026 | |
TOTAL INVESTMENTS IN SECURITIES (Cost $163,747,286) | | | 194,036,780 | |
See accompanying notes to financial statements. | CRM Funds |
| | 17 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
| | Shares | | | | Value | |
COMMON STOCK SOLD SHORT — (25.2)% |
Communications — (0.8)% |
Advertising & Marketing — (0.8)% |
| | | (17,305 | ) | Omnicom Group, Inc. | | $ | (1,552,258 | ) |
Consumer Discretionary — (4.1)% |
Leisure Facilities & Services — (1.5)% |
| | | (14,134 | ) | Dutch Bros, Inc. | | | (585,148 | ) |
| | | (15,210 | ) | Hyatt Hotels Corporation, Class A | | | (2,310,703 | ) |
| | | | | | | | (2,895,851 | ) |
Leisure Products — (0.7)% |
| | | (38,025 | ) | Yeti Holdings, Inc. | | | (1,450,654 | ) |
Retail - Discretionary — (1.9)% |
| | | (7,133 | ) | Abercrombie & Fitch Company, Class A | | | (1,268,533 | ) |
| | | (11,341 | ) | Bath & Body Works, Inc. | | | (442,866 | ) |
| | | (22,532 | ) | Caleres, Inc. | | | (757,075 | ) |
| | | (35,729 | ) | Kohl’s Corporation | | | (821,410 | ) |
| | | (3,265 | ) | Pandora A/S | | | (491,486 | ) |
| | | | | | | | (3,781,370 | ) |
Total Consumer Discretionary | | | (8,127,875 | ) |
| | | | | | | | | |
Consumer Staples — (3.2)% |
Food — (0.9)% |
| | | (27,556 | ) | Simply Good Foods Company (The) | | | (995,599 | ) |
| | | (43,894 | ) | WK Kellogg Company | | | (722,495 | ) |
| | | | | | | | (1,718,094 | ) |
Retail - Consumer Staples — (2.3)% |
| | | (49,794 | ) | Kroger Company (The) | | | (2,486,214 | ) |
| | | (24,633 | ) | Sprouts Farmers Market, Inc. | | | (2,060,797 | ) |
| | | | | | | | (4,547,011 | ) |
Total Consumer Staples | | | (6,265,105 | ) |
Energy — (0.3)% |
Renewable Energy — (0.3)% |
| | | (29,123 | ) | Fluence Energy, Inc. | | | (504,993 | ) |
| | Shares | | | | Value | |
Financials — (2.2)% |
Banking — (0.4)% |
| | | (19,808 | ) | Bank OZK | | $ | (812,128 | ) |
Insurance — (0.8)% |
| | | (22,960 | ) | Trupanion, Inc. | | | (675,024 | ) |
| | | (12,405 | ) | W.R. Berkley Corporation | | | (974,785 | ) |
| | | | | | | | (1,649,809 | ) |
Specialty Finance — (1.0)% |
| | | (38,321 | ) | Arbor Realty Trust, Inc. | | | (549,906 | ) |
| | | (25,262 | ) | Blackstone Mortgage Trust, Inc., Class A | | | (440,064 | ) |
| | | (1,843 | ) | Credit Acceptance Corporation | | | (948,555 | ) |
| | | | | | | | (1,938,525 | ) |
Total Financials | | | (4,400,462 | ) |
Health Care — (1.5)% |
Health Care Facilities & Services — (1.5)% |
| | | (12,442 | ) | Ensign Group, Inc. (The) | | | (1,538,951 | ) |
| | | (49,549 | ) | Option Care Health, Inc. | | | (1,372,507 | ) |
Total Health Care | | | (2,911,458 | ) |
Industrials — (10.1)% |
Diversified Industrials — (0.8)% |
| | | (20,972 | ) | Pentair PLC3 | | | (1,607,923 | ) |
Electrical Equipment — (3.3)% |
| | | (12,373 | ) | Acuity Brands, Inc. | | | (2,987,337 | ) |
| | | (93,840 | ) | Bloom Energy Corporation, Class A | | | (1,148,602 | ) |
| | | (15,477 | ) | Carrier Global Corporation | | | (976,289 | ) |
| | | (9,807 | ) | Generac Holdings, Inc. | | | (1,296,682 | ) |
| | | | | | | | (6,408,910 | ) |
Industrial Intermediate Products — (0.9)% |
| | | (6,699 | ) | Valmont Industries, Inc. | | | (1,838,541 | ) |
See accompanying notes to financial statements. | CRM Funds |
| | 18 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
| | Shares | | | | Value | |
Industrials — (continued) |
Industrial Support Services — (1.7)% |
| | | (91,864 | ) | Resideo Technologies, Inc. | | $ | (1,796,860 | ) |
| | | (2,384 | ) | United Rentals, Inc. | | | (1,541,804 | ) |
| | | | | | | | (3,338,664 | ) |
Machinery — (2.6)% |
| | | (18,009 | ) | Franklin Electric Company, Inc. | | | (1,734,627 | ) |
| | | (18,332 | ) | Oshkosh Corporation | | | (1,983,522 | ) |
| | | (25,545 | ) | Terex Corporation | | | (1,400,888 | ) |
| | | | | | | | (5,119,037 | ) |
Transportation & Logistics — (0.8)% |
| | | (8,863 | ) | Old Dominion Freight Line, Inc. | | | (1,565,206 | ) |
Total Industrials | | | (19,878,281 | ) |
Real Estate — (0.5)% |
Reit — (0.5)% |
| | | (29,024 | ) | Kilroy Realty Corporation | | | (904,678 | ) |
Technology — (2.5)% |
Software — (1.8)% |
| | | (139,380 | ) | Evolent Health, Inc., Class A | | | (2,664,946 | ) |
| | | (5,793 | ) | Qualys, Inc. | | | (826,082 | ) |
| | | | | | | | (3,491,028 | ) |
Technology Hardware — (0.2)% |
| | | (10,065 | ) | Cisco Systems, Inc. | | | (478,188 | ) |
Technology Services — (0.5)% |
| | | (5,190 | ) | International Business Machines Corporation | | | (897,610 | ) |
Total Technology | | | (4,866,826 | ) |
TOTAL COMMON STOCK SOLD SHORT — (Proceeds - $47,286,645) | | | (49,411,936 | ) |
OTHER ASSETS IN EXCESS OF LIABILITIES — 26.2% | | | 51,370,962 | |
NET ASSETS — 100.0% | | $ | 195,995,806 | |
See accompanying notes to financial statements. | CRM Funds |
| | 19 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
A summary of inputs used to value the Fund’s investments as of June 30, 2024 is as follows (see Note 2 to Financial Statements):
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets: Investments in Securities: Common Stocks | | $ | 166,633,222 | | | | — | | | | — | | | $ | 166,633,222 | |
Exchange-Traded Funds | | | 4,529,532 | | | | — | | | | — | | | | 4,529,532 | |
Short-Term Investments | | | 22,874,026 | | | | — | | | | — | | | | 22,874,026 | |
Total Assets – Investments in Securities | | $ | 194,036,780 | | | | — | | | | — | | | $ | 194,036,780 | |
Other Financial Instruments:*Total Return Swap Agreements | | | | | | | | | | | | | | | | |
— Equity Contracts | | | — | | | $ | 2,429,323 | | | | — | | | $ | 2,429,323 | |
Total Assets – Other Financial Instruments | | | — | | | $ | 2,429,323 | | | | — | | | $ | 2,429,323 | |
Liabilities: Investments in Securities: Common Stock Sold Short | | $ | (49,411,936 | ) | | | — | | | | — | | | $ | (49,411,936 | ) |
Total Liabilities – Investments in Securities | | $ | (49,411,936 | ) | | | — | | | | — | | | $ | (49,411,936 | ) |
Other Financial Instruments:*Total Return Swap Agreements | | | | | | | | | | | | | | | | |
— Equity Contracts | | | — | | | $ | (71,391 | ) | | | — | | | $ | (71,391 | ) |
Total Liabilities – Other Financial Instruments | | | — | | | $ | (71,391 | ) | | | — | | | $ | (71,391 | ) |
* | 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 June 30, 2024.
1 | Non-income producing security. |
2 | Rate disclosed is the seven day effective yield as of June 30, 2024. |
3 | PLC – Public Limited Company |
See accompanying notes to financial statements. | CRM Funds |
| | 20 | |
[THIS PAGE INTENTIONALLY LEFT BLANK]
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
OTC Total return swap agreements outstanding at June 30, 2024:
Counterparty | Financing
Rate(1) | | Termination
Date | | | Long (Short)
Notional
Amount(2) | | | Reference
Entity | | Fair
Value | | | Upfront
Premiums
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Morgan Stanley | 5.98% (Fed Funds Rate + 0.65%) | | | 3/25/2025 | | | $ | 3,312,386 | | | Eagle Materials, Inc. | | $ | 1,177,429 | | | $ | — | | | $ | 1,177,429 | |
Morgan Stanley | 5.98% (Fed Funds Rate + 0.65%) | | | 3/25/2025 | | | | 6,886,393 | | | Microsoft Corporation | | | 1,113,101 | | | | — | | | | 1,113,101 | |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,303,533 | ) | | Morgan Stanley Custom Swap (MSCM1057) Index(3) | | | (3,859 | ) | | | — | | | | (3,859 | ) |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,304,224 | ) | | Morgan Stanley Custom Swap (MSCM1058) Index(3) | | | 33,769 | | | | — | | | | 33,769 | |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,299,795 | ) | | Morgan Stanley Custom Swap (MSCM1059) Index(3) | | | (12,926 | ) | | | — | | | | (12,926 | ) |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,289,698 | ) | | Morgan Stanley Custom Swap (MSCM1060) Index(3) | | | 14,821 | | | | — | | | | 14,821 | |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,312,154 | ) | | Morgan Stanley Custom Swap (MSCM1061) Index(3) | | | 11,711 | | | | — | | | | 11,711 | |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,299,050 | ) | | Morgan Stanley Custom Swap (MSCM1062) Index(3) | | | (12,900 | ) | | | — | | | | (12,900 | ) |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,293,223 | ) | | Morgan Stanley Custom Swap (MSCM1063) Index(3) | | | (12,854 | ) | | | — | | | | (12,854 | ) |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,300,415 | ) | | Morgan Stanley Custom Swap (MSCM1064) Index(3) | | | (7,580 | ) | | | — | | | | (7,580 | ) |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,310,083 | ) | | Morgan Stanley Custom Swap (MSCM1065) Index(3) | | | 9,623 | | | | — | | | | 9,623 | |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,309,646 | ) | | Morgan Stanley Custom Swap (MSCM1066) Index(3) | | | 16,362 | | | | — | | | | 16,362 | |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,295,200 | ) | | Morgan Stanley Custom Swap (MSCM1067) Index(3) | | | 5,437 | | | | — | | | | 5,437 | |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,292,553 | ) | | Morgan Stanley Custom Swap (MSCM1068) Index(3) | | | (11,609 | ) | | | — | | | | (11,609 | ) |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,299,733 | ) | | Morgan Stanley Custom Swap (MSCM1069) Index(3) | | | 4,278 | | | | — | | | | 4,278 | |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,294,472 | ) | | Morgan Stanley Custom Swap (MSCM1070) Index(3) | | | 10,672 | | | | — | | | | 10,672 | |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,294,247 | ) | | Morgan Stanley Custom Swap (MSCM1071) Index(3) | | | 15,934 | | | | — | | | | 15,934 | |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,296,968 | ) | | Morgan Stanley Custom Swap (MSCM1072) Index(3) | | | 14,279 | | | | — | | | | 14,279 | |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,309,494 | ) | | Morgan Stanley Custom Swap (MSCM1073) Index(3) | | | (5,970 | ) | | | — | | | | (5,970 | ) |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,282,427 | ) | | Morgan Stanley Custom Swap (MSCM1074) Index(3) | | | 1,907 | | | | — | | | | 1,907 | |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,294,354 | ) | | Morgan Stanley Custom Swap (MSCM1075) Index(3) | | | (2,512 | ) | | | — | | | | (2,512 | ) |
Morgan Stanley | 4.88% (Fed Funds Rate - 0.45%) | | | 7/31/2024 | | | | (1,299,150 | ) | | Morgan Stanley Custom Swap (MSCM1076) Index(3) | | | (1,181 | ) | | | — | | | | (1,181 | ) |
| | | | | | | | | | | | Total Unrealized Appreciation | | | | | | | | | | $ | 2,429,323 | |
| | | | | | | | | | | | Total Unrealized (Depreciation) | | | | | | | | | | $ | (71,391 | ) |
| | | | | | | | | | | | Total | | $ | 2,357,932 | | | $ | — | | | $ | 2,357,932 | |
See accompanying notes to financial statements. | CRM Funds |
| | 22 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
OTC Total return swap agreements outstanding at June 30, 2024 (continued):
(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 |
| | 23 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1057) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Iron Mountain, Inc. | | | 292 | | | $ | 26,166 | | | | 2.00 | % |
NetApp, Inc. | | | 200 | | | | 25,707 | | | | 1.97 | % |
Apple, Inc. | | | 122 | | | | 25,601 | | | | 1.96 | % |
AT&T, Inc. | | | 1,320 | | | | 25,218 | | | | 1.93 | % |
Discover Financial Services | | | 192 | | | | 25,114 | | | | 1.92 | % |
Motorola Solutions, Inc. | | | 65 | | | | 24,956 | | | | 1.91 | % |
Rockwell Automation, Inc. | | | 90 | | | | 24,888 | | | | 1.90 | % |
General Motors Company | | | 536 | | | | 24,885 | | | | 1.90 | % |
Ford Motor Company | | | 1,976 | | | | 24,773 | | | | 1.89 | % |
Moody’s Corporation | | | 59 | | | | 24,747 | | | | 1.89 | % |
Cognizant Technology Solutions Corporation | | | 359 | | | | 24,408 | | | | 1.87 | % |
Cintas Corporation | | | 35 | | | | 24,330 | | | | 1.86 | % |
Constellation Brands, Inc. | | | 94 | | | | 24,260 | | | | 1.86 | % |
Ecolab, Inc. | | | 102 | | | | 24,197 | | | | 1.85 | % |
Amgen, Inc. | | | 77 | | | | 24,136 | | | | 1.85 | % |
Blackstone, Inc. | | | 195 | | | | 24,123 | | | | 1.84 | % |
Old Dominion Freight Line, Inc. | | | 134 | | | | 23,730 | | | | 1.81 | % |
Capital One Financial Corporation | | | 171 | | | | 23,639 | | | | 1.81 | % |
Mettler-Toledo International, Inc. | | | 17 | | | | 23,487 | | | | 1.80 | % |
Cardinal Health, Inc. | | | 238 | | | | 23,397 | | | | 1.79 | % |
CDW Corporation | | | 104 | | | | 23,356 | | | | 1.79 | % |
Progressive Corporation | | | 112 | | | | 23,339 | | | | 1.79 | % |
Western Digital Corporation | | | 308 | | | | 23,332 | | | | 1.78 | % |
West Pharmaceutical Services, Inc. | | | 71 | | | | 23,271 | | | | 1.78 | % |
United Parcel Service - Class B | | | 170 | | | | 23,250 | | | | 1.78 | % |
International Flavors & Fragrances, Inc. | | | 243 | | | | 23,172 | | | | 1.77 | % |
Sysco Corporation | | | 325 | | | | 23,167 | | | | 1.77 | % |
W. W. Grainger, Inc. | | | 26 | | | | 23,118 | | | | 1.77 | % |
Church & Dwight Company, Inc. | | | 223 | | | | 23,100 | | | | 1.77 | % |
Emerson Electric Company | | | 210 | | | | 23,097 | | | | 1.77 | % |
Pfizer, Inc. | | | 825 | | | | 23,070 | | | | 1.76 | % |
Cummins, Inc. | | | 83 | | | | 23,069 | | | | 1.76 | % |
Automatic Data Processing, Inc. | | | 97 | | | | 23,038 | | | | 1.76 | % |
Sherwin-Williams Company (The) | | | 77 | | | | 22,973 | | | | 1.76 | % |
Agilent Technologies, Inc. | | | 177 | | | | 22,935 | | | | 1.75 | % |
Steris Corporation | | | 104 | | | | 22,868 | | | | 1.75 | % |
LyondellBasell Industries N.V. - Class A | | | 239 | | | | 22,860 | | | | 1.75 | % |
Caterpillar, Inc. | | | 69 | | | | 22,830 | | | | 1.75 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 24 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
United Rentals, Inc. | | | 35 | | | $ | 22,811 | | | | 1.74 | % |
General Dynamics Corporation | | | 79 | | | | 22,785 | | | | 1.74 | % |
PACCAR, Inc. | | | 220 | | | | 22,634 | | | | 1.73 | % |
Carlisle Companies, Inc. | | | 56 | | | | 22,585 | | | | 1.73 | % |
Fastenal Company | | | 358 | | | | 22,528 | | | | 1.72 | % |
Allstate Corporation (The) | | | 141 | | | | 22,502 | | | | 1.72 | % |
PepsiCo, Inc. | | | 136 | | | | 22,495 | | | | 1.72 | % |
Tractor Supply Company | | | 83 | | | | 22,358 | | | | 1.71 | % |
Kroger Company (The) | | | 447 | | | | 22,335 | | | | 1.71 | % |
HCA Healthcare, Inc. | | | 69 | | | | 22,293 | | | | 1.71 | % |
Hershey Company (The) | | | 120 | | | | 22,132 | | | | 1.69 | % |
ON Semiconductor Corporation | | | 322 | | | | 22,104 | | | | 1.69 | % |
General Mills, Inc. | | | 349 | | | | 22,069 | | | | 1.69 | % |
Canadian Imperial Bank of Commerce | | | 460 | | | | 21,846 | | | | 1.67 | % |
Eaton Corporation PLC | | | 70 | | | | 21,815 | | | | 1.67 | % |
Hubbell, Inc. | | | 60 | | | | 21,752 | | | | 1.66 | % |
Westinghouse Air Brake Technologies Corporation | | | 138 | | | | 21,740 | | | | 1.66 | % |
Marvell Technology, Inc. | | | 303 | | | | 21,149 | | | | 1.62 | % |
| | | | | | | $ | 1,307,540 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1058) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Ford Motor Company | | | 13,470 | | | $ | 168,910 | | | | 13.29 | % |
Marvell Technology, Inc. | | | 2,374 | | | | 165,976 | | | | 13.06 | % |
International Flavors & Fragrances, Inc. | | | 1,699 | | | | 161,740 | | | | 12.73 | % |
Sysco Corporation | | | 2,244 | | | | 160,179 | | | | 12.61 | % |
PepsiCo, Inc. | | | 945 | | | | 155,856 | | | | 12.27 | % |
Kroger Company (The) | | | 3,120 | | | | 155,775 | | | | 12.26 | % |
Hershey Company (The) | | | 826 | | | | 151,825 | | | | 11.95 | % |
General Mills, Inc. | | | 2,377 | | | | 150,340 | | | | 11.83 | % |
| | | | | | | $ | 1,270,601 | | | | 100.00 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 25 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1059) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Iron Mountain, Inc. | | | 298 | | | $ | 26,742 | | | | 2.04 | % |
Apple, Inc. | | | 124 | | | | 26,149 | | | | 1.99 | % |
NetApp, Inc. | | | 202 | | | | 26,081 | | | | 1.99 | % |
Extra Space Storage, Inc. | | | 166 | | | | 25,827 | | | | 1.97 | % |
Rockwell Automation, Inc. | | | 93 | | | | 25,706 | | | | 1.96 | % |
Discover Financial Services | | | 196 | | | | 25,658 | | | | 1.95 | % |
AT&T, Inc. | | | 1,338 | | | | 25,560 | | | | 1.95 | % |
Motorola Solutions, Inc. | | | 66 | | | | 25,381 | | | | 1.93 | % |
Moody’s Corporation | | | 60 | | | | 25,245 | | | | 1.92 | % |
Prologis, Inc. | | | 224 | | | | 25,190 | | | | 1.92 | % |
Old Dominion Freight Line, Inc. | | | 142 | | | | 25,123 | | | | 1.91 | % |
Costco Wholesale Corporation | | | 30 | | | | 25,111 | | | | 1.91 | % |
Blackstone, Inc. | | | 202 | | | | 25,016 | | | | 1.91 | % |
Cintas Corporation | | | 36 | | | | 25,007 | | | | 1.90 | % |
Cognizant Technology Solutions Corporation | | | 366 | | | | 24,902 | | | | 1.90 | % |
Ford Motor Company | | | 1,976 | | | | 24,780 | | | | 1.89 | % |
Constellation Brands, Inc. | | | 96 | | | | 24,759 | | | | 1.89 | % |
Marvell Technology, Inc. | | | 353 | | | | 24,686 | | | | 1.88 | % |
Ecolab, Inc. | | | 103 | | | | 24,614 | | | | 1.88 | % |
Amgen, Inc. | | | 78 | | | | 24,483 | | | | 1.87 | % |
General Motors Company | | | 527 | | | | 24,468 | | | | 1.86 | % |
W. W. Grainger, Inc. | | | 27 | | | | 24,460 | | | | 1.86 | % |
United Rentals, Inc. | | | 38 | | | | 24,437 | | | | 1.86 | % |
Western Digital Corporation | | | 321 | | | | 24,343 | | | | 1.85 | % |
Emerson Electric Company | | | 221 | | | | 24,339 | | | | 1.85 | % |
Capital One Financial Corporation | | | 176 | | | | 24,323 | | | | 1.85 | % |
Tractor Supply Company | | | 90 | | | | 24,309 | | | | 1.85 | % |
Cummins, Inc. | | | 88 | | | | 24,239 | | | | 1.85 | % |
Caterpillar, Inc. | | | 73 | | | | 24,215 | | | | 1.84 | % |
West Pharmaceutical Services, Inc. | | | 73 | | | | 24,137 | | | | 1.84 | % |
LyondellBasell Industries N.V. - Class A | | | 252 | | | | 24,129 | | | | 1.84 | % |
CDW Corporation | | | 108 | | | | 24,127 | | | | 1.84 | % |
Mettler-Toledo International, Inc. | | | 17 | | | | 24,057 | | | | 1.83 | % |
Progressive Corporation | | | 115 | | | | 23,897 | | | | 1.82 | % |
Realty Income Corporation | | | 452 | | | | 23,867 | | | | 1.82 | % |
United Parcel Service - Class B | | | 174 | | | | 23,816 | | | | 1.81 | % |
Sherwin-Williams Company (The) | | | 80 | | | | 23,802 | | | | 1.81 | % |
Cardinal Health, Inc. | | | 242 | | | | 23,801 | | | | 1.81 | % |
Agilent Technologies, Inc. | | | 183 | | | | 23,764 | | | | 1.81 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 26 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
McDonald’s Corporation | | | 93 | | | $ | 23,634 | | | | 1.80 | % |
Automatic Data Processing, Inc. | | | 99 | | | | 23,563 | | | | 1.80 | % |
Fastenal Company | | | 375 | | | | 23,538 | | | | 1.79 | % |
PACCAR, Inc. | | | 228 | | | | 23,507 | | | | 1.79 | % |
Allstate Corporation (The) | | | 147 | | | | 23,434 | | | | 1.79 | % |
General Dynamics Corporation | | | 81 | | | | 23,433 | | | | 1.79 | % |
Eaton Corporation PLC | | | 74 | | | | 23,279 | | | | 1.77 | % |
Church & Dwight Company, Inc. | | | 225 | | | | 23,278 | | | | 1.77 | % |
HCA Healthcare, Inc. | | | 72 | | | | 23,262 | | | | 1.77 | % |
Steris Corporation | | | 105 | | | | 23,157 | | | | 1.76 | % |
Pfizer, Inc. | | | 822 | | | | 22,996 | | | | 1.75 | % |
Westinghouse Air Brake Technologies Corporation | | | 145 | | | | 22,974 | | | | 1.75 | % |
Canadian Imperial Bank of Commerce | | | 483 | | | | 22,940 | | | | 1.75 | % |
Hubbell, Inc. | | | 62 | | | | 22,823 | | | | 1.74 | % |
ON Semiconductor Corporation | | | 329 | | | | 22,562 | | | | 1.72 | % |
| | | | | | | $ | 1,312,930 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1060) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Discover Financial Services | | | 594 | | | $ | 77,689 | | | | 6.09 | % |
Capital One Financial Corporation | | | 535 | | | | 74,045 | | | | 5.81 | % |
Constellation Brands, Inc. | | | 287 | | | | 73,916 | | | | 5.80 | % |
Costco Wholesale Corporation | | | 87 | | | | 73,887 | | | | 5.79 | % |
Restaurant Brands International, Inc. | | | 1,028 | | | | 72,313 | | | | 5.67 | % |
Tractor Supply Company | | | 267 | | | | 72,000 | | | | 5.65 | % |
International Flavors & Fragrances, Inc. | | | 747 | | | | 71,101 | | | | 5.58 | % |
Target Corporation | | | 478 | | | | 70,723 | | | | 5.55 | % |
Dollar General Corporation | | | 535 | | | | 70,703 | | | | 5.55 | % |
Sysco Corporation | | | 989 | | | | 70,626 | | | | 5.54 | % |
CVS Health Corporation | | | 1,194 | | | | 70,490 | | | | 5.53 | % |
Lululemon Athletica, Inc. | | | 234 | | | | 70,028 | | | | 5.49 | % |
McDonald’s Corporation | | | 274 | | | | 69,765 | | | | 5.47 | % |
Kroger Company (The) | | | 1,382 | | | | 69,006 | | | | 5.41 | % |
PepsiCo, Inc. | | | 414 | | | | 68,216 | | | | 5.35 | % |
Starbucks Corporation | | | 869 | | | | 67,631 | | | | 5.30 | % |
General Mills, Inc. | | | 1,056 | | | | 66,771 | | | | 5.24 | % |
Hershey Company (The) | | | 359 | | | | 66,084 | | | | 5.18 | % |
| | | | | | | $ | 1,274,994 | | | | 100.00 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 27 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1061) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Discover Financial Services | | | 1,070 | | | $ | 139,936 | | | | 10.76 | % |
Capital One Financial Corporation | | | 964 | | | | 133,514 | | | | 10.27 | % |
Target Corporation | | | 887 | | | | 131,262 | | | | 10.09 | % |
Tractor Supply Company | | | 483 | | | | 130,471 | | | | 10.03 | % |
Restaurant Brands International, Inc. | | | 1,844 | | | | 129,765 | | | | 9.98 | % |
Dollar General Corporation | | | 972 | | | | 128,521 | | | | 9.88 | % |
McDonald’s Corporation | | | 503 | | | | 128,062 | | | | 9.85 | % |
CVS Health Corporation | | | 2,152 | | | | 127,120 | | | | 9.77 | % |
Lululemon Athletica, Inc. | | | 424 | | | | 126,594 | | | | 9.73 | % |
Starbucks Corporation | | | 1,610 | | | | 125,322 | | | | 9.64 | % |
| | | | | | | $ | 1,300,567 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1062) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Apple, Inc. | | | 142 | | | $ | 30,003 | | | | 2.29 | % |
Rockwell Automation, Inc. | | | 109 | | | | 29,877 | | | | 2.28 | % |
NetApp, Inc. | | | 228 | | | | 29,376 | | | | 2.24 | % |
Iron Mountain, Inc. | | | 327 | | | | 29,265 | | | | 2.23 | % |
Extra Space Storage, Inc. | | | 187 | | | | 28,997 | | | | 2.21 | % |
AT&T, Inc. | | | 1,516 | | | | 28,962 | | | | 2.21 | % |
West Pharmaceutical Services, Inc. | | | 88 | | | | 28,952 | | | | 2.21 | % |
Motorola Solutions, Inc. | | | 75 | | | | 28,869 | | | | 2.20 | % |
Old Dominion Freight Line, Inc. | | | 163 | | | | 28,807 | | | | 2.20 | % |
Emerson Electric Company | | | 261 | | | | 28,800 | | | | 2.19 | % |
Ford Motor Company | | | 2,295 | | | | 28,783 | | | | 2.19 | % |
Blackstone, Inc. | | | 232 | | | | 28,781 | | | | 2.19 | % |
Moody’s Corporation | | | 68 | | | | 28,665 | | | | 2.18 | % |
Constellation Brands, Inc. | | | 111 | | | | 28,499 | | | | 2.17 | % |
Cintas Corporation | | | 41 | | | | 28,440 | | | | 2.17 | % |
Marvell Technology, Inc. | | | 407 | | | | 28,437 | | | | 2.17 | % |
W. W. Grainger, Inc. | | | 32 | | | | 28,436 | | | | 2.17 | % |
United Rentals, Inc. | | | 44 | | | | 28,417 | | | | 2.17 | % |
Cognizant Technology Solutions Corporation | | | 418 | | | | 28,410 | | | | 2.17 | % |
Amgen, Inc. | | | 91 | | | | 28,317 | | | | 2.16 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 28 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Prologis, Inc. | | | 252 | | | $ | 28,284 | | | | 2.16 | % |
General Motors Company | | | 607 | | | | 28,221 | | | | 2.15 | % |
Caterpillar, Inc. | | | 84 | | | | 28,110 | | | | 2.14 | % |
Cummins, Inc. | | | 101 | | | | 27,978 | | | | 2.13 | % |
CDW Corporation | | | 125 | | | | 27,958 | | | | 2.13 | % |
Western Digital Corporation | | | 368 | | | | 27,896 | | | | 2.13 | % |
LyondellBasell Industries N.V. - Class A | | | 291 | | | | 27,826 | | | | 2.12 | % |
Eaton Corporation PLC | | | 88 | | | | 27,712 | | | | 2.11 | % |
Cardinal Health, Inc. | | | 280 | | | | 27,570 | | | | 2.10 | % |
United Parcel Service - Class B | | | 201 | | | | 27,561 | | | | 2.10 | % |
Ecolab, Inc. | | | 115 | | | | 27,414 | | | | 2.09 | % |
Fastenal Company | | | 433 | | | | 27,198 | | | | 2.07 | % |
Sherwin-Williams Company (The) | | | 91 | | | | 27,191 | | | | 2.07 | % |
Allstate Corporation (The) | | | 170 | | | | 27,117 | | | | 2.07 | % |
Agilent Technologies, Inc. | | | 209 | | | | 27,039 | | | | 2.06 | % |
Progressive Corporation | | | 130 | | | | 26,992 | | | | 2.06 | % |
Realty Income Corporation | | | 511 | | | | 26,969 | | | | 2.06 | % |
General Dynamics Corporation | | | 93 | | | | 26,949 | | | | 2.05 | % |
Mettler-Toledo International, Inc. | | | 19 | | | | 26,925 | | | | 2.05 | % |
Pfizer, Inc. | | | 962 | | | | 26,915 | | | | 2.05 | % |
Westinghouse Air Brake Technologies Corporation | | | 169 | | | | 26,699 | | | | 2.03 | % |
Automatic Data Processing, Inc. | | | 112 | | | | 26,667 | | | | 2.03 | % |
Church & Dwight Company, Inc. | | | 257 | | | | 26,618 | | | | 2.03 | % |
HCA Healthcare, Inc. | | | 82 | | | | 26,426 | | | | 2.01 | % |
Steris Corporation | | | 120 | | | | 26,389 | | | | 2.01 | % |
ON Semiconductor Corporation | | | 382 | | | | 26,213 | | | | 2.00 | % |
PACCAR, Inc. | | | 254 | | | | 26,140 | | | | 1.99 | % |
| | | | | | | $ | 1,312,070 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1063) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Rockwell Automation, Inc. | | | 106 | | | $ | 29,053 | | | | 2.22 | % |
Apple, Inc. | | | 137 | | | | 28,892 | | | | 2.21 | % |
NetApp, Inc. | | | 223 | | | | 28,754 | | | | 2.20 | % |
AT&T, Inc. | | | 1,492 | | | | 28,515 | | | | 2.18 | % |
Blackstone, Inc. | | | 230 | | | | 28,427 | | | | 2.18 | % |
Extra Space Storage, Inc. | | | 182 | | | | 28,341 | | | | 2.17 | % |
Iron Mountain, Inc. | | | 316 | | | | 28,320 | | | | 2.17 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 29 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Old Dominion Freight Line, Inc. | | | 160 | | | $ | 28,302 | | | | 2.17 | % |
West Pharmaceutical Services, Inc. | | | 86 | | | | 28,271 | | | | 2.16 | % |
Moody’s Corporation | | | 67 | | | | 28,161 | | | | 2.16 | % |
Motorola Solutions, Inc. | | | 73 | | | | 28,099 | | | | 2.15 | % |
Ford Motor Company | | | 2,223 | | | | 27,875 | | | | 2.13 | % |
Cognizant Technology Solutions Corporation | | | 410 | | | | 27,852 | | | | 2.13 | % |
Marvell Technology, Inc. | | | 397 | | | | 27,767 | | | | 2.13 | % |
Cintas Corporation | | | 40 | | | | 27,725 | | | | 2.12 | % |
Constellation Brands, Inc. | | | 108 | | | | 27,692 | | | | 2.12 | % |
Amgen, Inc. | | | 89 | | | | 27,666 | | | | 2.12 | % |
Sherwin-Williams Company (The) | | | 93 | | | | 27,608 | | | | 2.11 | % |
Emerson Electric Company | | | 250 | | | | 27,554 | | | | 2.11 | % |
Prologis, Inc. | | | 245 | | | | 27,525 | | | | 2.11 | % |
Cummins, Inc. | | | 99 | | | | 27,511 | | | | 2.11 | % |
General Motors Company | | | 591 | | | | 27,445 | | | | 2.10 | % |
Caterpillar, Inc. | | | 82 | | | | 27,350 | | | | 2.09 | % |
W. W. Grainger, Inc. | | | 30 | | | | 27,311 | | | | 2.09 | % |
Western Digital Corporation | | | 360 | | | | 27,293 | | | | 2.09 | % |
United Rentals, Inc. | | | 42 | | | | 27,148 | | | | 2.08 | % |
CDW Corporation | | | 120 | | | | 26,960 | | | | 2.06 | % |
Cardinal Health, Inc. | | | 274 | | | | 26,956 | | | | 2.06 | % |
Eaton Corporation PLC | | | 86 | | | | 26,899 | | | | 2.06 | % |
LyondellBasell Industries N.V. - Class A | | | 281 | | | | 26,896 | | | | 2.06 | % |
Ecolab, Inc. | | | 113 | | | | 26,874 | | | | 2.06 | % |
United Parcel Service - Class B | | | 196 | | | | 26,853 | | | | 2.06 | % |
Realty Income Corporation | | | 507 | | | | 26,755 | | | | 2.05 | % |
Fastenal Company | | | 423 | | | | 26,564 | | | | 2.03 | % |
Pfizer, Inc. | | | 945 | | | | 26,441 | | | | 2.02 | % |
Progressive Corporation | | | 127 | | | | 26,396 | | | | 2.02 | % |
Agilent Technologies, Inc. | | | 203 | | | | 26,328 | | | | 2.02 | % |
Mettler-Toledo International, Inc. | | | 19 | | | | 26,239 | | | | 2.01 | % |
Canadian Imperial Bank of Commerce | | | 551 | | | | 26,209 | | | | 2.01 | % |
General Dynamics Corporation | | | 90 | | | | 26,196 | | | | 2.00 | % |
Westinghouse Air Brake Technologies Corporation | | | 166 | | | | 26,161 | | | | 2.00 | % |
Steris Corporation | | | 119 | | | | 26,138 | | | | 2.00 | % |
Allstate Corporation (The) | | | 164 | | | | 26,125 | | | | 2.00 | % |
Church & Dwight Company, Inc. | | | 252 | | | | 26,078 | | | | 2.00 | % |
PACCAR, Inc. | | | 251 | | | | 25,822 | | | | 1.98 | % |
HCA Healthcare, Inc. | | | 80 | | | | 25,715 | | | | 1.97 | % |
ON Semiconductor Corporation | | | 374 | | | | 25,604 | | | | 1.96 | % |
Automatic Data Processing, Inc. | | | 107 | | | | 25,549 | | | | 1.96 | % |
| | | | | | | $ | 1,306,215 | | | | 100.00 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 30 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1064) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Apple, Inc. | | | 127 | | | $ | 26,807 | | | | 2.05 | % |
O’Reilly Automotive, Inc. | | | 25 | | | | 26,619 | | | | 2.04 | % |
Rockwell Automation, Inc. | | | 96 | | | | 26,510 | | | | 2.03 | % |
AT&T, Inc. | | | 1,376 | | | | 26,300 | | | | 2.01 | % |
NetApp, Inc. | | | 200 | | | | 25,758 | | | | 1.97 | % |
Moody’s Corporation | | | 61 | | | | 25,746 | | | | 1.97 | % |
Extra Space Storage, Inc. | | | 164 | | | | 25,501 | | | | 1.95 | % |
Home Depot, Inc. (The) | | | 74 | | | | 25,442 | | | | 1.95 | % |
Blackstone, Inc. | | | 205 | | | | 25,421 | | | | 1.94 | % |
Motorola Solutions, Inc. | | | 66 | | | | 25,385 | | | | 1.94 | % |
Old Dominion Freight Line, Inc. | | | 144 | | | | 25,366 | | | | 1.94 | % |
West Pharmaceutical Services, Inc. | | | 77 | | | | 25,312 | | | | 1.94 | % |
Iron Mountain, Inc. | | | 282 | | | | 25,290 | | | | 1.93 | % |
Amgen, Inc. | | | 81 | | | | 25,203 | | | | 1.93 | % |
Cintas Corporation | | | 36 | | | | 25,157 | | | | 1.92 | % |
Sherwin-Williams Company (The) | | | 84 | | | | 25,025 | | | | 1.91 | % |
Cummins, Inc. | | | 90 | | | | 24,918 | | | | 1.90 | % |
Emerson Electric Company | | | 226 | | | | 24,903 | | | | 1.90 | % |
Ford Motor Company | | | 1,985 | | | | 24,897 | | | | 1.90 | % |
Cognizant Technology Solutions Corporation | | | 365 | | | | 24,853 | | | | 1.90 | % |
Caterpillar, Inc. | | | 75 | | | | 24,839 | | | | 1.90 | % |
Prologis, Inc. | | | 221 | | | | 24,831 | | | | 1.90 | % |
Marvell Technology, Inc. | | | 354 | | | | 24,731 | | | | 1.89 | % |
W. W. Grainger, Inc. | | | 27 | | | | 24,713 | | | | 1.89 | % |
McDonald’s Corporation | | | 97 | | | | 24,679 | | | | 1.89 | % |
United Rentals, Inc. | | | 38 | | | | 24,641 | | | | 1.88 | % |
Realty Income Corporation | | | 466 | | | | 24,631 | | | | 1.88 | % |
Costco Wholesale Corporation | | | 29 | | | | 24,627 | | | | 1.88 | % |
LyondellBasell Industries N.V. - Class A | | | 257 | | | | 24,605 | | | | 1.88 | % |
CDW Corporation | | | 110 | | | | 24,573 | | | | 1.88 | % |
Pfizer, Inc. | | | 876 | | | | 24,500 | | | | 1.87 | % |
Ecolab, Inc. | | | 103 | | | | 24,500 | | | | 1.87 | % |
Cardinal Health, Inc. | | | 249 | | | | 24,450 | | | | 1.87 | % |
United Parcel Service - Class B | | | 179 | | | | 24,431 | | | | 1.87 | % |
Fastenal Company | | | 388 | | | | 24,370 | | | | 1.86 | % |
Progressive Corporation | | | 117 | | | | 24,279 | | | | 1.86 | % |
Tractor Supply Company | | | 90 | | | | 24,254 | | | | 1.85 | % |
General Dynamics Corporation | | | 83 | | | | 24,201 | | | | 1.85 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 31 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Western Digital Corporation | | | 319 | | | $ | 24,155 | | | | 1.85 | % |
General Motors Company | | | 517 | | | | 24,006 | | | | 1.84 | % |
Steris Corporation | | | 109 | | | | 24,005 | | | | 1.84 | % |
Canadian Imperial Bank of Commerce | | | 504 | | | | 23,959 | | | | 1.83 | % |
Allstate Corporation (The) | | | 150 | | | | 23,957 | | | | 1.83 | % |
Agilent Technologies, Inc. | | | 185 | | | | 23,951 | | | | 1.83 | % |
Eaton Corporation PLC | | | 76 | | | | 23,862 | | | | 1.82 | % |
Mettler-Toledo International, Inc. | | | 17 | | | | 23,792 | | | | 1.82 | % |
Automatic Data Processing, Inc. | | | 100 | | | | 23,765 | | | | 1.82 | % |
Westinghouse Air Brake Technologies Corporation | | | 150 | | | | 23,725 | | | | 1.81 | % |
Church & Dwight Company, Inc. | | | 228 | | | | 23,657 | | | | 1.81 | % |
PACCAR, Inc. | | | 229 | | | | 23,552 | | | | 1.80 | % |
Starbucks Corporation | | | 301 | | | | 23,450 | | | | 1.79 | % |
HCA Healthcare, Inc. | | | 72 | | | | 23,140 | | | | 1.77 | % |
ON Semiconductor Corporation | | | 334 | | | | 22,924 | | | | 1.75 | % |
| | | | | | | $ | 1,308,168 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1065) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Rockwell Automation, Inc. | | | 108 | | | $ | 29,810 | | | | 2.29 | % |
AT&T, Inc. | | | 1,547 | | | | 29,557 | | | | 2.27 | % |
Moody’s Corporation | | | 68 | | | | 28,829 | | | | 2.22 | % |
Blackstone, Inc. | | | 232 | | | | 28,735 | | | | 2.21 | % |
Amgen, Inc. | | | 92 | | | | 28,703 | | | | 2.21 | % |
Ford Motor Company | | | 2,281 | | | | 28,604 | | | | 2.20 | % |
United Rentals, Inc. | | | 44 | | | | 28,448 | | | | 2.19 | % |
NetApp, Inc. | | | 220 | | | | 28,357 | | | | 2.18 | % |
Iron Mountain, Inc. | | | 316 | | | | 28,348 | | | | 2.18 | % |
Home Depot, Inc. (The) | | | 82 | | | | 28,324 | | | | 2.18 | % |
Motorola Solutions, Inc. | | | 73 | | | | 28,294 | | | | 2.17 | % |
Emerson Electric Company | | | 257 | | | | 28,278 | | | | 2.17 | % |
Cintas Corporation | | | 40 | | | | 28,159 | | | | 2.16 | % |
Cummins, Inc. | | | 102 | | | | 28,155 | | | | 2.16 | % |
Caterpillar, Inc. | | | 84 | | | | 28,112 | | | | 2.16 | % |
Apple, Inc. | | | 133 | | | | 28,086 | | | | 2.16 | % |
Old Dominion Freight Line, Inc. | | | 159 | | | | 28,051 | | | | 2.16 | % |
Cognizant Technology Solutions Corporation | | | 412 | | | | 28,048 | | | | 2.16 | % |
Sherwin-Williams Company (The) | | | 93 | | | | 27,850 | | | | 2.14 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 32 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
West Pharmaceutical Services, Inc. | | | 84 | | | $ | 27,726 | | | | 2.13 | % |
W. W. Grainger, Inc. | | | 31 | | | | 27,683 | | | | 2.13 | % |
Costco Wholesale Corporation | | | 33 | | | | 27,646 | | | | 2.12 | % |
Pfizer, Inc. | | | 985 | | | | 27,574 | | | | 2.12 | % |
CDW Corporation | | | 123 | | | | 27,559 | | | | 2.12 | % |
United Parcel Service - Class B | | | 201 | | | | 27,523 | | | | 2.12 | % |
Progressive Corporation | | | 132 | | | | 27,520 | | | | 2.12 | % |
Fastenal Company | | | 437 | | | | 27,436 | | | | 2.11 | % |
LyondellBasell Industries N.V. - Class A | | | 287 | | | | 27,431 | | | | 2.11 | % |
Cardinal Health, Inc. | | | 279 | | | | 27,431 | | | | 2.11 | % |
Marvell Technology, Inc. | | | 392 | | | | 27,427 | | | | 2.11 | % |
General Dynamics Corporation | | | 94 | | | | 27,386 | | | | 2.10 | % |
Western Digital Corporation | | | 361 | | | | 27,353 | | | | 2.10 | % |
Canadian Imperial Bank of Commerce | | | 575 | | | | 27,347 | | | | 2.10 | % |
Ecolab, Inc. | | | 115 | | | | 27,324 | | | | 2.10 | % |
Allstate Corporation (The) | | | 171 | | | | 27,292 | | | | 2.10 | % |
Eaton Corporation PLC | | | 87 | | | | 27,137 | | | | 2.09 | % |
Agilent Technologies, Inc. | | | 209 | | | | 27,105 | | | | 2.08 | % |
Steris Corporation | | | 123 | | | | 26,900 | | | | 2.07 | % |
PACCAR, Inc. | | | 261 | | | | 26,826 | | | | 2.06 | % |
Westinghouse Air Brake Technologies Corporation | | | 170 | | | | 26,812 | | | | 2.06 | % |
Tractor Supply Company | | | 99 | | | | 26,800 | | | | 2.06 | % |
Mettler-Toledo International, Inc. | | | 19 | | | | 26,784 | | | | 2.06 | % |
Automatic Data Processing, Inc. | | | 112 | | | | 26,739 | | | | 2.06 | % |
General Motors Company | | | 573 | | | | 26,621 | | | | 2.05 | % |
Church & Dwight Company, Inc. | | | 256 | | | | 26,536 | | | | 2.04 | % |
HCA Healthcare, Inc. | | | 82 | | | | 26,389 | | | | 2.03 | % |
ON Semiconductor Corporation | | | 373 | | | | 25,596 | | | | 1.97 | % |
| | | | | | | $ | 1,300,651 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1066) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Dollar General Corporation | | | 655 | | | $ | 86,666 | | | | 6.70 | % |
Restaurant Brands International, Inc. | | | 1,189 | | | | 83,665 | | | | 6.47 | % |
Target Corporation | | | 558 | | | | 82,584 | | | | 6.39 | % |
PepsiCo, Inc. | | | 500 | | | | 82,431 | | | | 6.37 | % |
Sysco Corporation | | | 1,151 | | | | 82,180 | | | | 6.35 | % |
McDonald’s Corporation | | | 322 | | | | 81,997 | | | | 6.34 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 33 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Kroger Company (The) | | | 1,632 | | | $ | 81,490 | | | | 6.30 | % |
CVS Health Corporation | | | 1,365 | | | | 80,612 | | | | 6.23 | % |
International Flavors & Fragrances, Inc. | | | 846 | | | | 80,553 | | | | 6.23 | % |
Hershey Company (The) | | | 437 | | | | 80,399 | | | | 6.22 | % |
Starbucks Corporation | | | 1,032 | | | | 80,303 | | | | 6.21 | % |
Canadian Imperial Bank of Commerce | | | 1,682 | | | | 79,964 | | | | 6.18 | % |
General Mills, Inc. | | | 1,254 | | | | 79,335 | | | | 6.13 | % |
Lululemon Athletica, Inc. | | | 264 | | | | 78,945 | | | | 6.10 | % |
Marvell Technology, Inc. | | | 1,116 | | | | 78,019 | | | | 6.03 | % |
Williams-Sonoma, Inc. | | | 263 | | | | 74,343 | | | | 5.75 | % |
| | | | | | | $ | 1,293,486 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1067) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Constellation Brands, Inc. | | | 512 | | | $ | 131,671 | | | | 10.21 | % |
PepsiCo, Inc. | | | 798 | | | | 131,586 | | | | 10.20 | % |
Sysco Corporation | | | 1,834 | | | | 130,952 | | | | 10.15 | % |
International Flavors & Fragrances, Inc. | | | 1,371 | | | | 130,516 | | | | 10.12 | % |
Hershey Company (The) | | | 702 | | | | 129,074 | | | | 10.01 | % |
Canadian Imperial Bank of Commerce | | | 2,713 | | | | 128,981 | | | | 10.00 | % |
Kroger Company (The) | | | 2,579 | | | | 128,788 | | | | 9.98 | % |
Extra Space Storage, Inc. | | | 822 | | | | 127,745 | | | | 9.90 | % |
General Mills, Inc. | | | 1,986 | | | | 125,643 | | | | 9.74 | % |
Marvell Technology, Inc. | | | 1,788 | | | | 124,999 | | | | 9.69 | % |
| | | | | | | $ | 1,289,955 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1068) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
AT&T, Inc. | | | 1,531 | | | $ | 29,257 | | | | 2.24 | % |
Rockwell Automation, Inc. | | | 106 | | | | 29,224 | | | | 2.24 | % |
Ford Motor Company | | | 2,306 | | | | 28,920 | | | | 2.22 | % |
Cognizant Technology Solutions Corporation | | | 420 | | | | 28,578 | | | | 2.19 | % |
United Rentals, Inc. | | | 44 | | | | 28,344 | | | | 2.17 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 34 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Amgen, Inc. | | | 90 | | | $ | 28,257 | | | | 2.17 | % |
Cummins, Inc. | | | 101 | | | | 28,065 | | | | 2.15 | % |
Caterpillar, Inc. | | | 84 | | | | 27,983 | | | | 2.15 | % |
Emerson Electric Company | | | 254 | | | | 27,945 | | | | 2.14 | % |
Moody’s Corporation | | | 66 | | | | 27,854 | | | | 2.14 | % |
Motorola Solutions, Inc. | | | 72 | | | | 27,772 | | | | 2.13 | % |
LyondellBasell Industries N.V. - Class A | | | 289 | | | | 27,618 | | | | 2.12 | % |
Old Dominion Freight Line, Inc. | | | 156 | | | | 27,610 | | | | 2.12 | % |
Blackstone, Inc. | | | 223 | | | | 27,574 | | | | 2.11 | % |
NetApp, Inc. | | | 214 | | | | 27,569 | | | | 2.11 | % |
Progressive Corporation | | | 132 | | | | 27,508 | | | | 2.11 | % |
Iron Mountain, Inc. | | | 307 | | | | 27,497 | | | | 2.11 | % |
Allstate Corporation (The) | | | 172 | | | | 27,452 | | | | 2.10 | % |
Pfizer, Inc. | | | 981 | | | | 27,448 | | | | 2.10 | % |
United Parcel Service - Class B | | | 199 | | | | 27,245 | | | | 2.09 | % |
Cintas Corporation | | | 39 | | | | 27,184 | | | | 2.08 | % |
Steris Corporation | | | 124 | | | | 27,161 | | | | 2.08 | % |
Sherwin-Williams Company (The) | | | 91 | | | | 27,137 | | | | 2.08 | % |
CDW Corporation | | | 121 | | | | 27,085 | | | | 2.08 | % |
Prologis, Inc. | | | 241 | | | | 27,011 | | | | 2.07 | % |
Agilent Technologies, Inc. | | | 208 | | | | 26,960 | | | | 2.07 | % |
Fastenal Company | | | 428 | | | | 26,916 | | | | 2.06 | % |
W. W. Grainger, Inc. | | | 30 | | | | 26,871 | | | | 2.06 | % |
General Dynamics Corporation | | | 93 | | | | 26,854 | | | | 2.06 | % |
General Motors Company | | | 577 | | | | 26,827 | | | | 2.06 | % |
Costco Wholesale Corporation | | | 32 | | | | 26,827 | | | | 2.06 | % |
Extra Space Storage, Inc. | | | 172 | | | | 26,806 | | | | 2.06 | % |
Home Depot, Inc. (The) | | | 78 | | | | 26,804 | | | | 2.05 | % |
Ecolab, Inc. | | | 113 | | | | 26,776 | | | | 2.05 | % |
Apple, Inc. | | | 127 | | | | 26,769 | | | | 2.05 | % |
West Pharmaceutical Services, Inc. | | | 81 | | | | 26,693 | | | | 2.05 | % |
Westinghouse Air Brake Technologies Corporation | | | 168 | | | | 26,624 | | | | 2.04 | % |
Automatic Data Processing, Inc. | | | 111 | | | | 26,569 | | | | 2.04 | % |
Eaton Corporation PLC | | | 85 | | | | 26,543 | | | | 2.03 | % |
Cardinal Health, Inc. | | | 270 | | | | 26,500 | | | | 2.03 | % |
Hubbell, Inc. | | | 72 | | | | 26,339 | | | | 2.02 | % |
Western Digital Corporation | | | 346 | | | | 26,194 | | | | 2.01 | % |
PACCAR, Inc. | | | 253 | | | | 26,050 | | | | 2.00 | % |
Church & Dwight Company, Inc. | | | 251 | | | | 25,998 | | | | 1.99 | % |
Mettler-Toledo International, Inc. | | | 19 | | | | 25,945 | | | | 1.99 | % |
Marvell Technology, Inc. | | | 369 | | | | 25,764 | | | | 1.98 | % |
ON Semiconductor Corporation | | | 375 | | | | 25,723 | | | | 1.97 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 35 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
HCA Healthcare, Inc. | | | 80 | | | $ | 25,711 | | | | 1.97 | % |
| | | | | | | $ | 1,304,361 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1069) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
AT&T, Inc. | | | 1,290 | | | $ | 24,654 | | | | 1.90 | % |
Rockwell Automation, Inc. | | | 88 | | | | 24,275 | | | | 1.87 | % |
Ford Motor Company | | | 1,924 | | | | 24,124 | | | | 1.86 | % |
United Rentals, Inc. | | | 37 | | | | 23,807 | | | | 1.84 | % |
Cognizant Technology Solutions Corporation | | | 348 | | | | 23,659 | | | | 1.83 | % |
Pfizer, Inc. | | | 845 | | | | 23,641 | | | | 1.82 | % |
Caterpillar, Inc. | | | 71 | | | | 23,553 | | | | 1.82 | % |
Amgen, Inc. | | | 75 | | | | 23,486 | | | | 1.81 | % |
Cummins, Inc. | | | 84 | | | | 23,389 | | | | 1.81 | % |
Emerson Electric Company | | | 212 | | | | 23,389 | | | | 1.81 | % |
NetApp, Inc. | | | 181 | | | | 23,296 | | | | 1.80 | % |
Moody’s Corporation | | | 55 | | | | 23,273 | | | | 1.80 | % |
LyondellBasell Industries N.V. - Class A | | | 243 | | | | 23,211 | | | | 1.79 | % |
Steris Corporation | | | 105 | | | | 23,157 | | | | 1.79 | % |
Old Dominion Freight Line, Inc. | | | 131 | | | | 23,148 | | | | 1.79 | % |
Iron Mountain, Inc. | | | 258 | | | | 23,145 | | | | 1.79 | % |
Blackstone, Inc. | | | 187 | | | | 23,103 | | | | 1.78 | % |
O’Reilly Automotive, Inc. | | | 22 | | | | 23,076 | | | | 1.78 | % |
Prologis, Inc. | | | 205 | | | | 23,008 | | | | 1.78 | % |
Motorola Solutions, Inc. | | | 60 | | | | 22,989 | | | | 1.77 | % |
United Parcel Service - Class B | | | 168 | | | | 22,964 | | | | 1.77 | % |
Allstate Corporation (The) | | | 144 | | | | 22,929 | | | | 1.77 | % |
McDonald’s Corporation | | | 90 | | | | 22,916 | | | | 1.77 | % |
International Flavors & Fragrances, Inc. | | | 240 | | | | 22,895 | | | | 1.77 | % |
Hershey Company (The) | | | 125 | | | | 22,894 | | | | 1.77 | % |
Canadian Imperial Bank of Commerce | | | 480 | | | | 22,820 | | | | 1.76 | % |
Progressive Corporation | | | 109 | | | | 22,738 | | | | 1.75 | % |
PepsiCo, Inc. | | | 137 | | | | 22,630 | | | | 1.75 | % |
Cintas Corporation | | | 32 | | | | 22,565 | | | | 1.74 | % |
CDW Corporation | | | 101 | | | | 22,544 | | | | 1.74 | % |
General Dynamics Corporation | | | 78 | | | | 22,510 | | | | 1.74 | % |
Sherwin-Williams Company (The) | | | 75 | | | | 22,464 | | | | 1.73 | % |
Home Depot, Inc. (The) | | | 65 | | | | 22,453 | | | | 1.73 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 36 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
W. W. Grainger, Inc. | | | 25 | | | $ | 22,419 | | | | 1.73 | % |
Agilent Technologies, Inc. | | | 173 | | | | 22,416 | | | | 1.73 | % |
Constellation Brands, Inc. | | | 87 | | | | 22,357 | | | | 1.73 | % |
General Motors Company | | | 481 | | | | 22,344 | | | | 1.72 | % |
West Pharmaceutical Services, Inc. | | | 68 | | | | 22,343 | | | | 1.72 | % |
Costco Wholesale Corporation | | | 26 | | | | 22,326 | | | | 1.72 | % |
Sysco Corporation | | | 313 | | | | 22,312 | | | | 1.72 | % |
Ecolab, Inc. | | | 94 | | | | 22,309 | | | | 1.72 | % |
Westinghouse Air Brake Technologies Corporation | | | 141 | | | | 22,294 | | | | 1.72 | % |
Carlisle Companies, Inc. | | | 55 | | | | 22,250 | | | | 1.72 | % |
Fastenal Company | | | 354 | | | | 22,241 | | | | 1.72 | % |
Automatic Data Processing, Inc. | | | 93 | | | | 22,213 | | | | 1.71 | % |
Cardinal Health, Inc. | | | 226 | | | | 22,203 | | | | 1.71 | % |
Marvell Technology, Inc. | | | 317 | | | | 22,187 | | | | 1.71 | % |
Apple, Inc. | | | 105 | | | | 22,160 | | | | 1.71 | % |
ON Semiconductor Corporation | | | 322 | | | | 22,094 | | | | 1.71 | % |
Mettler-Toledo International, Inc. | | | 16 | | | | 22,007 | | | | 1.70 | % |
Eaton Corporation PLC | | | 70 | | | | 21,971 | | | | 1.70 | % |
HCA Healthcare, Inc. | | | 68 | | | | 21,832 | | | | 1.69 | % |
Hubbell, Inc. | | | 60 | | | | 21,832 | | | | 1.68 | % |
PACCAR, Inc. | | | 212 | | | | 21,779 | | | | 1.68 | % |
General Mills, Inc. | | | 344 | | | | 21,755 | | | | 1.68 | % |
Western Digital Corporation | | | 285 | | | | 21,629 | | | | 1.67 | % |
Church & Dwight Company, Inc. | | | 209 | | | | 21,624 | | | | 1.67 | % |
| | | | | | | $ | 1,295,602 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1070) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Ford Motor Company | | | 3,147 | | | $ | 39,466 | | | | 3.07 | % |
AT&T, Inc. | | | 2,054 | | | | 39,252 | | | | 3.06 | % |
Cognizant Technology Solutions Corporation | | | 563 | | | | 38,308 | | | | 2.98 | % |
West Pharmaceutical Services, Inc. | | | 115 | | | | 37,917 | | | | 2.95 | % |
Amgen, Inc. | | | 121 | | | | 37,857 | | | | 2.95 | % |
Pfizer, Inc. | | | 1,353 | | | | 37,845 | | | | 2.95 | % |
McDonald’s Corporation | | | 148 | | | | 37,673 | | | | 2.93 | % |
Steris Corporation | | | 171 | | | | 37,595 | | | | 2.93 | % |
Blackstone, Inc. | | | 302 | | | | 37,346 | | | | 2.91 | % |
Motorola Solutions, Inc. | | | 97 | | | | 37,311 | | | | 2.91 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 37 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Hershey Company (The) | | | 203 | | | $ | 37,298 | | | | 2.90 | % |
LyondellBasell Industries N.V. - Class A | | | 389 | | | | 37,183 | | | | 2.90 | % |
Moody’s Corporation | | | 88 | | | | 37,149 | | | | 2.89 | % |
NetApp, Inc. | | | 288 | | | | 37,100 | | | | 2.89 | % |
O’Reilly Automotive, Inc. | | | 35 | | | | 37,054 | | | | 2.89 | % |
Allstate Corporation (The) | | | 232 | | | | 36,982 | | | | 2.88 | % |
Sherwin-Williams Company (The) | | | 124 | | | | 36,857 | | | | 2.87 | % |
Canadian Imperial Bank of Commerce | | | 775 | | | | 36,834 | | | | 2.87 | % |
PepsiCo, Inc. | | | 223 | | | | 36,729 | | | | 2.86 | % |
Progressive Corporation | | | 176 | | | | 36,540 | | | | 2.85 | % |
Apple, Inc. | | | 173 | | | | 36,439 | | | | 2.84 | % |
General Motors Company | | | 781 | | | | 36,308 | | | | 2.83 | % |
Ecolab, Inc. | | | 152 | | | | 36,268 | | | | 2.82 | % |
Costco Wholesale Corporation | | | 43 | | | | 36,190 | | | | 2.82 | % |
Home Depot, Inc. (The) | | | 105 | | | | 36,065 | | | | 2.81 | % |
CDW Corporation | | | 161 | | | | 35,995 | | | | 2.80 | % |
ON Semiconductor Corporation | | | 524 | | | | 35,932 | | | | 2.80 | % |
Agilent Technologies, Inc. | | | 275 | | | | 35,626 | | | | 2.77 | % |
Marvell Technology, Inc. | | | 507 | | | | 35,432 | | | | 2.76 | % |
Cardinal Health, Inc. | | | 356 | | | | 35,019 | | | | 2.73 | % |
Western Digital Corporation | | | 462 | | | | 35,013 | | | | 2.73 | % |
Mettler-Toledo International, Inc. | | | 25 | | | | 34,985 | | | | 2.72 | % |
Church & Dwight Company, Inc. | | | 337 | | | | 34,973 | | | | 2.72 | % |
HCA Healthcare, Inc. | | | 109 | | | | 34,967 | | | | 2.72 | % |
Tractor Supply Company | | | 128 | | | | 34,520 | | | | 2.69 | % |
| | | | | | | $ | 1,284,028 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1071) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Rockwell Automation, Inc. | | | 89 | | | $ | 24,399 | | | | 1.91 | % |
AT&T, Inc. | | | 1,275 | | | | 24,366 | | | | 1.91 | % |
Ford Motor Company | | | 1,934 | | | | 24,251 | | | | 1.90 | % |
Restaurant Brands International, Inc. | | | 335 | | | | 23,584 | | | | 1.85 | % |
Emerson Electric Company | | | 214 | | | | 23,522 | | | | 1.84 | % |
ON Semiconductor Corporation | | | 341 | | | | 23,405 | | | | 1.83 | % |
Caterpillar, Inc. | | | 70 | | | | 23,370 | | | | 1.83 | % |
United Rentals, Inc. | | | 36 | | | | 23,362 | | | | 1.83 | % |
Old Dominion Freight Line, Inc. | | | 132 | | | | 23,349 | | | | 1.83 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 38 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
NetApp, Inc. | | | 181 | | | $ | 23,332 | | | | 1.83 | % |
Hershey Company (The) | | | 127 | | | | 23,323 | | | | 1.82 | % |
Iron Mountain, Inc. | | | 260 | | | | 23,296 | | | | 1.82 | % |
Pfizer, Inc. | | | 832 | | | | 23,291 | | | | 1.82 | % |
Amgen, Inc. | | | 75 | | | | 23,282 | | | | 1.82 | % |
LyondellBasell Industries N.V. - Class A | | | 243 | | | | 23,239 | | | | 1.82 | % |
Apple, Inc. | | | 110 | | | | 23,195 | | | | 1.81 | % |
McDonald’s Corporation | | | 91 | | | | 23,186 | | | | 1.81 | % |
Motorola Solutions, Inc. | | | 60 | | | | 23,178 | | | | 1.81 | % |
Canadian Imperial Bank of Commerce | | | 487 | | | | 23,159 | | | | 1.81 | % |
West Pharmaceutical Services, Inc. | | | 70 | | | | 23,144 | | | | 1.81 | % |
Steris Corporation | | | 105 | | | | 23,115 | | | | 1.81 | % |
United Parcel Service - Class B | | | 169 | | | | 23,088 | | | | 1.81 | % |
Cognizant Technology Solutions Corporation | | | 339 | | | | 23,044 | | | | 1.80 | % |
Moody’s Corporation | | | 55 | | | | 22,994 | | | | 1.80 | % |
Cummins, Inc. | | | 83 | | | | 22,977 | | | | 1.80 | % |
Western Digital Corporation | | | 303 | | | | 22,934 | | | | 1.79 | % |
Blackstone, Inc. | | | 185 | | | | 22,928 | | | | 1.79 | % |
Cintas Corporation | | | 33 | | | | 22,887 | | | | 1.79 | % |
Sherwin-Williams Company (The) | | | 77 | | | | 22,867 | | | | 1.79 | % |
PepsiCo, Inc. | | | 139 | | | | 22,849 | | | | 1.79 | % |
W. W. Grainger, Inc. | | | 25 | | | | 22,762 | | | | 1.78 | % |
Costco Wholesale Corporation | | | 27 | | | | 22,758 | | | | 1.78 | % |
Progressive Corporation | | | 110 | | | | 22,747 | | | | 1.78 | % |
Allstate Corporation (The) | | | 142 | | | | 22,675 | | | | 1.77 | % |
Westinghouse Air Brake Technologies Corporation | | | 143 | | | | 22,584 | | | | 1.77 | % |
O’Reilly Automotive, Inc. | | | 21 | | | | 22,567 | | | | 1.77 | % |
Agilent Technologies, Inc. | | | 174 | | | | 22,552 | | | | 1.76 | % |
Ecolab, Inc. | | | 95 | | | | 22,533 | | | | 1.76 | % |
Home Depot, Inc. (The) | | | 65 | | | | 22,490 | | | | 1.76 | % |
General Motors Company | | | 483 | | | | 22,458 | | | | 1.76 | % |
Automatic Data Processing, Inc. | | | 94 | | | | 22,399 | | | | 1.75 | % |
Eaton Corporation PLC | | | 71 | | | | 22,399 | | | | 1.75 | % |
General Dynamics Corporation | | | 77 | | | | 22,360 | | | | 1.75 | % |
CDW Corporation | | | 100 | | | | 22,286 | | | | 1.74 | % |
Fastenal Company | | | 355 | | | | 22,283 | | | | 1.74 | % |
Carlisle Companies, Inc. | | | 55 | | | | 22,279 | | | | 1.74 | % |
Tractor Supply Company | | | 82 | | | | 22,248 | | | | 1.74 | % |
Hubbell, Inc. | | | 61 | | | | 22,205 | | | | 1.74 | % |
PACCAR, Inc. | | | 215 | | | | 22,167 | | | | 1.73 | % |
Mettler-Toledo International, Inc. | | | 16 | | | | 22,156 | | | | 1.73 | % |
Marvell Technology, Inc. | | | 315 | | | | 22,038 | | | | 1.72 | % |
Church & Dwight Company, Inc. | | | 212 | | | | 21,982 | | | | 1.72 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 39 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
HCA Healthcare, Inc. | | | 68 | | | $ | 21,925 | | | | 1.72 | % |
General Mills, Inc. | | | 346 | | | | 21,903 | | | | 1.71 | % |
Cardinal Health, Inc. | | | 221 | | | | 21,752 | | | | 1.70 | % |
Best Buy Company, Inc. | | | 250 | | | | 21,071 | | | | 1.65 | % |
| | | | | | | $ | 1,278,495 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1072) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Rockwell Automation, Inc. | | | 93 | | | $ | 25,542 | | | | 1.99 | % |
Ford Motor Company | | | 2,026 | | | | 25,405 | | | | 1.98 | % |
AT&T, Inc. | | | 1,304 | | | | 24,913 | | | | 1.94 | % |
Restaurant Brands International, Inc. | | | 346 | | | | 24,379 | | | | 1.90 | % |
Emerson Electric Company | | | 221 | | | | 24,374 | | | | 1.90 | % |
Caterpillar, Inc. | | | 73 | | | | 24,372 | | | | 1.90 | % |
Apple, Inc. | | | 116 | | | | 24,349 | | | | 1.90 | % |
Amgen, Inc. | | | 78 | | | | 24,321 | | | | 1.90 | % |
Old Dominion Freight Line, Inc. | | | 137 | | | | 24,222 | | | | 1.89 | % |
United Rentals, Inc. | | | 37 | | | | 24,210 | | | | 1.89 | % |
NetApp, Inc. | | | 188 | | | | 24,205 | | | | 1.89 | % |
Pfizer, Inc. | | | 865 | | | | 24,195 | | | | 1.89 | % |
Iron Mountain, Inc. | | | 270 | | | | 24,192 | | | | 1.89 | % |
Steris Corporation | | | 110 | | | | 24,143 | | | | 1.88 | % |
LyondellBasell Industries N.V. - Class A | | | 252 | | | | 24,100 | | | | 1.88 | % |
Costco Wholesale Corporation | | | 28 | | | | 24,035 | | | | 1.87 | % |
United Parcel Service - Class B | | | 176 | | | | 24,031 | | | | 1.87 | % |
Canadian Imperial Bank of Commerce | | | 505 | | | | 24,027 | | | | 1.87 | % |
ON Semiconductor Corporation | | | 350 | | | | 23,998 | | | | 1.87 | % |
Motorola Solutions, Inc. | | | 62 | | | | 23,988 | | | | 1.87 | % |
Western Digital Corporation | | | 317 | | | | 23,987 | | | | 1.87 | % |
Cummins, Inc. | | | 87 | | | | 23,986 | | | | 1.87 | % |
Moody’s Corporation | | | 57 | | | | 23,932 | | | | 1.86 | % |
Blackstone, Inc. | | | 193 | | | | 23,925 | | | | 1.86 | % |
Cognizant Technology Solutions Corporation | | | 351 | | | | 23,868 | | | | 1.86 | % |
Allstate Corporation (The) | | | 149 | | | | 23,860 | | | | 1.86 | % |
Progressive Corporation | | | 115 | | | | 23,817 | | | | 1.86 | % |
Sherwin-Williams Company (The) | | | 80 | | | | 23,762 | | | | 1.85 | % |
West Pharmaceutical Services, Inc. | | | 72 | | | | 23,744 | | | | 1.85 | % |
Cintas Corporation | | | 34 | | | | 23,708 | | | | 1.85 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 40 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
W. W. Grainger, Inc. | | | 26 | | | $ | 23,651 | | | | 1.84 | % |
McDonald’s Corporation | | | 92 | | | | 23,566 | | | | 1.84 | % |
Westinghouse Air Brake Technologies Corporation | | | 149 | | | | 23,543 | | | | 1.83 | % |
Eaton Corporation PLC | | | 75 | | | | 23,499 | | | | 1.83 | % |
Extra Space Storage, Inc. | | | 151 | | | | 23,456 | | | | 1.83 | % |
Constellation Brands, Inc. | | | 91 | | | | 23,421 | | | | 1.83 | % |
O’Reilly Automotive, Inc. | | | 22 | | | | 23,416 | | | | 1.82 | % |
Ecolab, Inc. | | | 98 | | | | 23,398 | | | | 1.82 | % |
General Motors Company | | | 503 | | | | 23,354 | | | | 1.82 | % |
Agilent Technologies, Inc. | | | 180 | | | | 23,335 | | | | 1.82 | % |
General Dynamics Corporation | | | 80 | | | | 23,335 | | | | 1.82 | % |
Marvell Technology, Inc. | | | 334 | | | | 23,323 | | | | 1.82 | % |
PACCAR, Inc. | | | 226 | | | | 23,303 | | | | 1.82 | % |
Carlisle Companies, Inc. | | | 57 | | | | 23,297 | | | | 1.82 | % |
Hubbell, Inc. | | | 64 | | | | 23,230 | | | | 1.81 | % |
Home Depot, Inc. (The) | | | 67 | | | | 23,208 | | | | 1.81 | % |
Automatic Data Processing, Inc. | | | 97 | | | | 23,089 | | | | 1.80 | % |
Fastenal Company | | | 367 | | | | 23,069 | | | | 1.80 | % |
Tractor Supply Company | | | 85 | | | | 23,002 | | | | 1.79 | % |
Mettler-Toledo International, Inc. | | | 16 | | | | 22,907 | | | | 1.78 | % |
Church & Dwight Company, Inc. | | | 220 | | | | 22,831 | | | | 1.78 | % |
CDW Corporation | | | 102 | | | | 22,800 | | | | 1.78 | % |
HCA Healthcare, Inc. | | | 71 | | | | 22,739 | | | | 1.77 | % |
Cardinal Health, Inc. | | | 229 | | | | 22,540 | | | | 1.76 | % |
| | | | | | | $ | 1,282,902 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1073) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Marvell Technology, Inc. | | | 6,420 | | | $ | 448,741 | | | | 34.11 | % |
ON Semiconductor Corporation | | | 6,418 | | | | 439,944 | | | | 33.44 | % |
Canadian Imperial Bank of Commerce | | | 8,980 | | | | 426,895 | | | | 32.45 | % |
| | | | | | | $ | 1,315,580 | | | | 100.00 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 41 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1074) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Dollar General Corporation | | | 630 | | | $ | 83,287 | | | | 6.50 | % |
Tractor Supply Company | | | 306 | | | | 82,614 | | | | 6.45 | % |
ON Semiconductor Corporation | | | 1,193 | | | | 81,797 | | | | 6.39 | % |
Target Corporation | | | 552 | | | | 81,650 | | | | 6.38 | % |
Kroger Company (The) | | | 1,625 | | | | 81,129 | | | | 6.33 | % |
International Flavors & Fragrances, Inc. | | | 844 | | | | 80,368 | | | | 6.27 | % |
Church & Dwight Company, Inc. | | | 772 | | | | 80,047 | | | | 6.25 | % |
Hershey Company (The) | | | 435 | | | | 80,040 | | | | 6.25 | % |
Ecolab, Inc. | | | 336 | | | | 79,883 | | | | 6.24 | % |
PepsiCo, Inc. | | | 484 | | | | 79,779 | | | | 6.23 | % |
Constellation Brands, Inc. | | | 309 | | | | 79,589 | | | | 6.21 | % |
Starbucks Corporation | | | 1,021 | | | | 79,490 | | | | 6.21 | % |
CVS Health Corporation | | | 1,339 | | | | 79,102 | | | | 6.18 | % |
Lululemon Athletica, Inc. | | | 262 | | | | 78,234 | | | | 6.11 | % |
Sysco Corporation | | | 1,087 | | | | 77,612 | | | | 6.06 | % |
General Mills, Inc. | | | 1,204 | | | | 76,136 | | | | 5.94 | % |
| | | | | | | $ | 1,280,757 | | | | 100.00 | % |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1075) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Emerson Electric Company | | | 239 | | | $ | 26,373 | | | | 2.03 | % |
Ford Motor Company | | | 2,098 | | | | 26,308 | | | | 2.03 | % |
Rockwell Automation, Inc. | | | 95 | | | | 26,195 | | | | 2.02 | % |
United Rentals, Inc. | | | 40 | | | | 26,088 | | | | 2.01 | % |
Pfizer, Inc. | | | 927 | | | | 25,925 | | | | 2.00 | % |
Caterpillar, Inc. | | | 78 | | | | 25,901 | | | | 2.00 | % |
AT&T, Inc. | | | 1,354 | | | | 25,880 | | | | 2.00 | % |
West Pharmaceutical Services, Inc. | | | 78 | | | | 25,854 | | | | 1.99 | % |
Prologis, Inc. | | | 230 | | | | 25,843 | | | | 1.99 | % |
Steris Corporation | | | 118 | | | | 25,812 | | | | 1.99 | % |
General Motors Company | | | 555 | | | | 25,789 | | | | 1.99 | % |
Restaurant Brands International, Inc. | | | 366 | | | | 25,787 | | | | 1.99 | % |
Iron Mountain, Inc. | | | 287 | | | | 25,742 | | | | 1.98 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 42 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Continued) June 30, 2024 |
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Tractor Supply Company | | | 95 | | | $ | 25,691 | | | | 1.98 | % |
Allstate Corporation (The) | | | 160 | | | | 25,614 | | | | 1.98 | % |
Home Depot, Inc. (The) | | | 74 | | | | 25,586 | | | | 1.97 | % |
Target Corporation | | | 173 | | | | 25,556 | | | | 1.97 | % |
Sherwin-Williams Company (The) | | | 86 | | | | 25,540 | | | | 1.97 | % |
O’Reilly Automotive, Inc. | | | 24 | | | | 25,532 | | | | 1.97 | % |
Motorola Solutions, Inc. | | | 66 | | | | 25,526 | | | | 1.97 | % |
Western Digital Corporation | | | 337 | | | | 25,507 | | | | 1.97 | % |
CDW Corporation | | | 114 | | | | 25,487 | | | | 1.97 | % |
Old Dominion Freight Line, Inc. | | | 144 | | | | 25,487 | | | | 1.97 | % |
Moody’s Corporation | | | 61 | | | | 25,483 | | | | 1.96 | % |
NetApp, Inc. | | | 198 | | | | 25,479 | | | | 1.96 | % |
Automatic Data Processing, Inc. | | | 107 | | | | 25,477 | | | | 1.96 | % |
Realty Income Corporation | | | 482 | | | | 25,473 | | | | 1.96 | % |
Amgen, Inc. | | | 81 | | | | 25,376 | | | | 1.96 | % |
LyondellBasell Industries N.V. - Class A | | | 265 | | | | 25,374 | | | | 1.96 | % |
Progressive Corporation | | | 122 | | | | 25,347 | | | | 1.95 | % |
Blackstone, Inc. | | | 205 | | | | 25,332 | | | | 1.95 | % |
Cognizant Technology Solutions Corporation | | | 372 | | | | 25,294 | | | | 1.95 | % |
Eaton Corporation PLC | | | 81 | | | | 25,267 | | | | 1.95 | % |
W. W. Grainger, Inc. | | | 28 | | | | 25,223 | | | | 1.94 | % |
Costco Wholesale Corporation | | | 30 | | | | 25,203 | | | | 1.94 | % |
Westinghouse Air Brake Technologies Corporation | | | 159 | | | | 25,199 | | | | 1.94 | % |
Fastenal Company | | | 401 | | | | 25,178 | | | | 1.94 | % |
United Parcel Service - Class B | | | 184 | | | | 25,167 | | | | 1.94 | % |
Extra Space Storage, Inc. | | | 162 | | | | 25,150 | | | | 1.94 | % |
Cintas Corporation | | | 36 | | | | 25,147 | | | | 1.94 | % |
McDonald’s Corporation | | | 99 | | | | 25,111 | | | | 1.94 | % |
Canadian Imperial Bank of Commerce | | | 528 | | | | 25,095 | | | | 1.94 | % |
Apple, Inc. | | | 119 | | | | 25,093 | | | | 1.93 | % |
PACCAR, Inc. | | | 244 | | | | 25,077 | | | | 1.93 | % |
General Dynamics Corporation | | | 86 | | | | 25,027 | | | | 1.93 | % |
Cummins, Inc. | | | 90 | | | | 24,978 | | | | 1.93 | % |
Hubbell, Inc. | | | 68 | | | | 24,976 | | | | 1.93 | % |
Mettler-Toledo International, Inc. | | | 18 | | | | 24,877 | | | | 1.92 | % |
Agilent Technologies, Inc. | | | 191 | | | | 24,745 | | | | 1.91 | % |
Cardinal Health, Inc. | | | 251 | | | | 24,707 | | | | 1.91 | % |
HCA Healthcare, Inc. | | | 75 | | | | 23,973 | | | | 1.85 | % |
| | | | | | | $ | 1,296,851 | | | | 100.00 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 43 | |
CRM FUNDS CRM LONG/SHORT OPPORTUNITIES FUND SCHEDULE OF INVESTMENTS (Concluded) June 30, 2024 |
The following table represents the individual positions and related values of underlying securities of Morgan Stanley Custom Basket (MSCM1076) Index total return swap with Morgan Stanley Bank as of June 30, 2024, termination date 7/31/24:
Reference Entity | | Shares | | | Market
Value | | | % of Total
Index Value | |
Ford Motor Company | | | 10,603 | | | $ | 132,957 | | | | 10.23 | % |
Marvell Technology, Inc. | | | 1,887 | | | | 131,877 | | | | 10.14 | % |
Dollar General Corporation | | | 995 | | | | 131,611 | | | | 10.12 | % |
CVS Health Corporation | | | 2,222 | | | | 131,225 | | | | 10.09 | % |
ON Semiconductor Corporation | | | 1,911 | | | | 130,989 | | | | 10.08 | % |
Tractor Supply Company | | | 485 | | | | 130,857 | | | | 10.06 | % |
CDW Corporation | | | 579 | | | | 129,543 | | | | 9.96 | % |
Western Digital Corporation | | | 1,692 | | | | 128,232 | | | | 9.86 | % |
Starbucks Corporation | | | 1,637 | | | | 127,403 | | | | 9.80 | % |
Lululemon Athletica, Inc. | | | 421 | | | | 125,632 | | | | 9.66 | % |
| | | | | | | $ | 1,300,326 | | | | 100.00 | % |
See accompanying notes to financial statements. | CRM Funds |
| | 44 | |
CRM FUNDS STATEMENTS OF ASSETS AND LIABILITIES June 30, 2024 |
| | | 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 | | $ | 61,576,188 | | | $ | 135,989,393 | | | $ | 283,806,374 | |
Net unrealized appreciation | | | 15,113,857 | | | | 34,261,021 | | | | 92,362,968 | |
Total investments in securities, at value1 | | | 76,690,045 | | | | 170,250,414 | | | | 376,169,342 | |
Dividends and interest receivable | | | 119,391 | | | | 174,079 | | | | 340,645 | |
Receivable for fund shares sold | | | 1,187 | | | | 15,741 | | | | 87,934 | |
Receivable for securities lending income | | | 113 | | | | 2 | | | | 192 | |
Other assets | | | 2,993 | | | | 15,065 | | | | 30,378 | |
Total Assets | | | 76,813,729 | | | | 170,455,301 | | | | 376,628,491 | |
| | | | | | | | | | | | | |
LIABILITIES: | | | | | | | | | | | | |
Obligation to return securities lending collateral | | | 1,298,767 | | | | — | | | | 4,128,309 | |
Payable for securities purchased | | | 12,225 | | | | 848,508 | | | | — | |
Payable for fund shares redeemed | | | 129,082 | | | | 167,378 | | | | 23,456 | |
Accrued advisory fee | | | 46,022 | | | | 104,912 | | | | 230,364 | |
Audit and tax fees | | | 13,034 | | | | 20,823 | | | | 31,685 | |
Trustees fees payable | | | 597 | | | | 1,847 | | | | 3,273 | |
Other accrued expenses | | | 38,987 | | | | 86,428 | | | | 154,119 | |
Total Liabilities | | | 1,538,714 | | | | 1,229,896 | | | | 4,571,206 | |
NET ASSETS | | $ | 75,275,015 | | | $ | 169,225,405 | | | $ | 372,057,285 | |
COMPONENTS OF NET ASSETS | | | | | | | | | | | | |
Paid in capital | | $ | 58,069,476 | | | $ | 123,699,748 | | | $ | 264,854,425 | |
Total distributable earnings | | | 17,205,539 | | | | 45,525,657 | | | | 107,202,860 | |
NET ASSETS | | $ | 75,275,015 | | | $ | 169,225,405 | | | $ | 372,057,285 | |
NET ASSET VALUE PER SHARE | | | | | | | | | | | | |
INVESTOR CLASS SHARES | | | | | | | | | | | | |
Net assets | | $ | 28,176,976 | | | $ | 21,540,946 | | | $ | 146,456,783 | |
Shares of Beneficial Interest Outstanding ($0.01 par value, unlimited authorized shares) | | | 2,087,846 | | | | 1,958,163 | | | | 6,530,621 | |
Net asset value, offering and redemption price per share | | $ | 13.50 | | | $ | 11.00 | | | $ | 22.43 | |
INSTITUTIONAL CLASS SHARES | | | | | | | | | | | | |
Net assets | | $ | 47,098,039 | | | $ | 147,684,459 | | | $ | 225,600,502 | |
Shares of Beneficial Interest Outstanding ($0.01 par value, unlimited authorized shares) | | | 2,781,004 | | | | 12,822,192 | | | | 9,469,338 | |
Net asset value, offering and redemption price per share | | $ | 16.94 | | | $ | 11.52 | | | $ | 23.82 | |
| | | | | | | | | | | | | |
1 Includes securities loaned of: | | $ | 1,288,332 | | | $ | — | | | $ | 3,974,192 | |
See accompanying notes to financial statements. | CRM Funds |
| | 45 | |
CRM FUNDS STATEMENTS OF ASSETS AND LIABILITIES June 30, 2024 |
| | | CRM All Cap
Value Fund | | | CRM Long/Short
Opportunities Fund | |
ASSETS: | | | | | | | | |
Investments in securities | | | | | | | | |
Investments in securities, at cost | | $ | 19,037,864 | | | $ | 163,747,286 | |
Net unrealized appreciation | | | 4,481,294 | | | | 30,289,494 | |
Total investments in securities, at value1 | | | 23,519,158 | | | | 194,036,780 | |
Cash pledged with broker for securities sold short | | | — | | | | 51,123,884 | |
Unrealized appreciation on swap agreements | | | — | | | | 2,429,323 | |
Receivable for securities sold | | | — | | | | 2,041,088 | |
Receivable for fund shares sold | | | — | | | | 186,416 | |
Dividends and interest receivable | | | 21,337 | | | | 137,044 | |
Receivable for securities lending income | | | 22 | | | | — | |
Other assets | | | 14,427 | | | | 24,137 | |
Total Assets | | | 23,554,944 | | | | 249,978,672 | |
| | | | | | | | | |
LIABILITIES: | | | | | | | | |
Obligation to return securities lending collateral | | | 183,480 | | | | — | |
Cash received from broker for swap agreements | | | — | | | | 2,444,895 | |
Due to Broker - Short Sales | | | | | | | 855,487 | |
Securities sold short, at value (proceeds $0 and $47,286,645, respectively) | | | — | | | | 49,411,936 | |
Payable for fund shares redeemed | | | — | | | | 433,785 | |
Payable for securities purchased | | | — | | | | 413,011 | |
Unrealized depreciation on swap agreements | | | — | | | | 71,391 | |
Payable for dividends on securities sold short | | | — | | | | 50,076 | |
Accrued advisory fee | | | 10,285 | | | | 215,449 | |
Audit and tax fees | | | 9,960 | | | | 22,498 | |
Trustees fees payable | | | 161 | | | | 2,429 | |
Other accrued expenses | | | 12,937 | | | | 61,909 | |
Total Liabilities | | | 216,823 | | | | 53,982,866 | |
NET ASSETS | | $ | 23,338,121 | | | $ | 195,995,806 | |
COMPONENTS OF NET ASSETS | | | | | | | | |
Paid in capital | | $ | 17,999,007 | | | $ | 161,798,599 | |
Total distributable earnings | | | 5,339,114 | | | | 34,197,207 | |
NET ASSETS | | $ | 23,338,121 | | | $ | 195,995,806 | |
NET ASSET VALUE PER SHARE | | | | | | | | |
INVESTOR CLASS SHARES | | | | | | | | |
Net assets | | $ | 6,767,058 | | | | | |
Shares of Beneficial Interest Outstanding ($0.01 par value, unlimited authorized shares) | | | 959,584 | | | | | |
Net asset value, offering and redemption price per share | | $ | 7.05 | | | | | |
INSTITUTIONAL CLASS SHARES | | | | | | | | |
Net assets | | $ | 16,571,063 | | | $ | 195,995,806 | |
Shares of Beneficial Interest Outstanding ($0.01 par value, unlimited authorized shares) | | | 2,266,955 | | | | 15,051,006 | |
Net asset value, offering and redemption price per share | | $ | 7.31 | | | $ | 13.02 | |
| | | | | | | | | |
1 Includes securities loaned of: | | $ | 173,243 | | | $ | — | |
See accompanying notes to financial statements. | CRM Funds |
| | 46 | |
CRM FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED June 30, 2024 |
| | | CRM Small Cap
Value Fund | | | CRM Small/Mid
Cap Value Fund | | | CRM Mid Cap
Value Fund | |
INVESTMENT INCOME: | | | | | | | | | | | | |
Dividends and interest | | $ | 1,248,333 | | | $ | 2,925,957 | | | $ | 5,108,622 | |
Securities lending income | | | 599 | | | | 2,682 | | | | 120,010 | |
Foreign tax withheld | | | (2,252 | ) | | | (5,962 | ) | | | (12,512 | ) |
Total investment income | | | 1,246,680 | | | | 2,922,677 | | | | 5,216,120 | |
| | | | | | | | | | | | | |
EXPENSES: | | | | | | | | | | | | |
Investment advisory fees | | | 556,273 | | | | 1,526,156 | | | | 2,889,555 | |
Sub-Transfer agent fees - Institutional Shares | | | 29,674 | | | | 173,661 | | | | 198,308 | |
Shareholder Services - Investor Shares | | | 68,675 | | | | 55,013 | | | | 380,200 | |
Registration fees | | | 41,953 | | | | 73,323 | | | | 50,928 | |
Administration and accounting fees | | | 34,831 | | | | 80,994 | | | | 146,404 | |
Transfer agent fees | | | 23,357 | | | | 69,618 | | | | 86,040 | |
Custody fees | | | 15,000 | | | | 15,000 | | | | 15,000 | |
Audit and tax fees | | | 13,034 | | | | 20,823 | | | | 31,685 | |
Insurance fees | | | 12,635 | | | | 31,018 | | | | 66,195 | |
Trustee fees and expenses | | | 12,300 | | | | 39,905 | | | | 72,141 | |
Legal fees | | | 7,931 | | | | 24,019 | | | | 43,415 | |
Shareholder reports | | | 6,587 | | | | 20,914 | | | | 40,070 | |
Other expenses | | | 20,644 | | | | 38,654 | | | | 57,997 | |
Total expenses | | | 842,894 | | | | 2,169,098 | | | | 4,077,938 | |
NET INVESTMENT INCOME | | | 403,786 | | | | 753,579 | | | | 1,138,182 | |
| | | | | | | | | | | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | |
Investments | | | 3,784,811 | | | | 17,323,035 | | | | 36,075,848 | |
Foreign currency transactions | | | — | | | | — | | | | (725 | ) |
Net realized gain | | | 3,784,811 | | | | 17,323,035 | | | | 36,075,123 | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | |
Investments | | | 5,091,061 | | | | (977,558 | ) | | | (1,271,008 | ) |
Foreign currency transactions | | | — | | | | — | | | | (20 | ) |
Net change in unrealized appreciation (depreciation) | | | 5,091,061 | | | | (977,558 | ) | | | (1,271,028 | ) |
Net realized and unrealized gain on investments and foreign currency | | | 8,875,872 | | | | 16,345,477 | | | | 34,804,095 | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 9,279,658 | | | $ | 17,099,056 | | | $ | 35,942,277 | |
See accompanying notes to financial statements. | CRM Funds |
| | 47 | |
CRM FUNDS STATEMENTS OF OPERATIONS FOR THE YEAR ENDED June 30, 2024 |
| | | CRM All Cap
Value Fund | | | CRM Long/Short
Opportunities Fund | |
INVESTMENT INCOME: | | | | | | | | |
Dividends and interest | | $ | 351,763 | | | $ | 5,590,520 | |
Securities lending income | | | 2,424 | | | | — | |
Foreign tax withheld | | | (784 | ) | | | (7,370 | ) |
Total investment income | | | 353,403 | | | | 5,583,150 | |
| | | | | | | | | |
EXPENSES: | | | | | | | | |
Investment advisory fees | | | 159,832 | | | | 2,813,860 | |
Dividend expense on securities sold short | | | — | | | | 1,226,837 | |
Sub-Transfer agent fees - Institutional Shares | | | 1,913 | | | | 103,792 | |
Shareholder Services - Investor Shares | | | 16,815 | | | | — | |
Registration fees | | | 34,614 | | | | 34,000 | |
Administration and accounting fees | | | 16,931 | | | | 87,250 | |
Custody fees | | | 15,000 | | | | 21,466 | |
Transfer agent fees | | | 13,968 | | | | 44,290 | |
Audit and tax fees | | | 9,960 | | | | 22,498 | |
Trustee fees and expenses | | | 4,334 | | | | 38,335 | |
Insurance fees | | | 3,757 | | | | 37,234 | |
Legal fees | | | 2,537 | | | | 22,188 | |
Shareholder reports | | | 2,522 | | | | 25,091 | |
Other expenses | | | 15,731 | | | | 38,928 | |
Total expenses | | | 297,914 | | | | 4,515,769 | |
Expenses waived | | | (7,509 | ) | | | (294,626 | ) |
Net expenses | | | 290,405 | | | | 4,221,143 | |
NET INVESTMENT INCOME | | | 62,998 | | | | 1,362,007 | |
| | | | | | | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, DERIVATIVES AND FOREIGN CURRENCY | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | |
Investments | | | 1,727,332 | | | | 18,133,715 | |
Securities sold short | | | — | | | | 976,609 | |
Swap agreements | | | — | | | | 2,409,956 | |
Foreign currency transactions | | | (131 | ) | | | 143,191 | |
Net realized gain | | | 1,727,201 | | | | 21,663,471 | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Investments | | | 1,079,275 | | | | (3,411,542 | ) |
Securities sold short | | | — | | | | (8,112,498 | ) |
Swap agreements | | | — | | | | 386,367 | |
Foreign currency transactions | | | — | | | | (223,361 | ) |
Net change in unrealized appreciation (depreciation) | | | 1,079,275 | | | | (11,361,034 | ) |
Net realized and unrealized gain on investments, derivatives and foreign currency | | | 2,806,476 | | | | 10,302,437 | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 2,869,474 | | | $ | 11,664,444 | |
See accompanying notes to financial statements. | CRM Funds |
| | 48 | |
CRM FUNDS STATEMENTS OF CHANGES IN NET ASSETS
|
| | | CRM Small Cap Value Fund | |
| | | Year Ended
June 30, 2024 | | | Year Ended
June 30, 2023 | |
NET ASSETS - BEGINNING OF YEAR | | $ | 77,425,561 | | | $ | 118,775,543 | |
| | | | | | | | | |
OPERATIONS | | | | | | | | |
Net investment income | | | 403,786 | | | | 1,269,438 | |
Net realized gain from investments | | | 3,784,811 | | | | 3,970,360 | |
Net change in unrealized appreciation on investments | | | 5,091,061 | | | | 7,709,116 | |
Net increase in net assets resulting from operations | | | 9,279,658 | | | | 12,948,914 | |
| | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Investor Class | | | (1,207,084 | ) | | | (711,393 | ) |
Institutional Class | | | (1,757,607 | ) | | | (1,651,048 | ) |
Total distributions to shareholders | | | (2,964,691 | ) | | | (2,362,441 | ) |
| | | | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Sale of shares - Investor Shares | | | 121,454 | | | | 119,137 | |
Sale of shares - Institutional Shares | | | 3,450,999 | | | | 6,581,186 | |
Reinvestment of distributions - Investor Class | | | 1,113,318 | | | | 667,950 | |
Reinvestment of distributions - Institutional Class | | | 1,492,966 | | | | 1,285,743 | |
Redemption of shares - Investor Class | | | (3,867,972 | ) | | | (3,097,537 | ) |
Redemption of shares - Institutional Class | | | (10,776,278 | ) | | | (57,492,934 | ) |
Net decrease from capital share transactions | | | (8,465,513 | ) | | | (51,936,455 | ) |
Total decrease in net assets | | | (2,150,546 | ) | | | (41,349,982 | ) |
| | | | | | | | | |
NET ASSETS - END OF YEAR | | $ | 75,275,015 | | | $ | 77,425,561 | |
| | | | | | | | | |
SHARE ACTIVITY | | | | | | | | |
Investor Class: | | | | | | | | |
Sold | | | 9,523 | | | | 9,584 | |
Issued on reinvestment of distributions | | | 92,010 | | | | 53,181 | |
Redeemed | | | (307,693 | ) | | | (253,170 | ) |
Net decrease | | | (206,160 | ) | | | (190,405 | ) |
| | | | | | | | | |
Institutional Class: | | | | | | | | |
Sold | | | 219,901 | | | | 431,761 | |
Issued on reinvestment of distributions | | | 98,416 | | | | 82,419 | |
Redeemed | | | (677,114 | ) | | | (3,789,373 | ) |
Net decrease | | | (358,797 | ) | | | (3,275,193 | ) |
See accompanying notes to financial statements. | CRM Funds |
| | 49 | |
CRM FUNDS STATEMENTS OF CHANGES IN NET ASSETS
|
| | | CRM Small/Mid Cap Value Fund | |
| | | Year Ended
June 30, 2024 | | | Year Ended
June 30, 2023 | |
NET ASSETS - BEGINNING OF YEAR | | $ | 220,259,152 | | | $ | 140,297,796 | |
| | | | | | | | | |
OPERATIONS | | | | | | | | |
Net investment income | | | 753,579 | | | | 2,116,473 | |
Net realized gain from investments | | | 17,323,035 | | | | 155,507 | |
Net change in unrealized appreciation/(depreciation) on investments | | | (977,558 | ) | | | 9,686,921 | |
Net increase in net assets resulting from operations | | | 17,099,056 | | | | 11,958,901 | |
| | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Investor Class | | | (143,572 | ) | | | (1,264,375 | ) |
Institutional Class | | | (1,453,671 | ) | | | (8,541,502 | ) |
Total distributions to shareholders | | | (1,597,243 | ) | | | (9,805,877 | ) |
| | | | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Sale of shares - Investor Shares | | | 2,634,374 | | | | 4,363,371 | |
Sale of shares - Institutional Shares | | | 33,249,945 | | | | 107,199,891 | |
Reinvestment of distributions - Investor Class | | | 133,292 | | | | 1,237,084 | |
Reinvestment of distributions - Institutional Class | | | 1,094,832 | | | | 8,354,636 | |
Redemption of shares - Investor Class | | | (5,927,585 | ) | | | (4,113,640 | ) |
Redemption of shares - Institutional Class | | | (97,720,418 | ) | | | (39,233,010 | ) |
Net increase (decrease) from capital share transactions | | | (66,535,560 | ) | | | 77,808,332 | |
Total increase (decrease) in net assets | | | (51,033,747 | ) | | | 79,961,356 | |
| | | | | | | | | |
NET ASSETS - END OF YEAR | | $ | 169,225,405 | | | $ | 220,259,152 | |
| | | | | | | | | |
SHARE ACTIVITY | | | | | | | | |
Investor Class: | | | | | | | | |
Sold | | | 258,534 | | | | 440,007 | |
Issued on reinvestment of distributions | | | 13,315 | | | | 123,585 | |
Redeemed | | | (570,128 | ) | | | (412,134 | ) |
Net increase (decrease) | | | (298,279 | ) | | | 151,458 | |
| | | | | | | | | |
Institutional Class: | | | | | | | | |
Sold | | | 3,033,696 | | | | 9,892,422 | |
Issued on reinvestment of distributions | | | 104,569 | | | | 797,959 | |
Redeemed | | | (8,786,863 | ) | | | (3,725,029 | ) |
Net increase (decrease) | | | (5,648,598 | ) | | | 6,965,352 | |
See accompanying notes to financial statements. | CRM Funds |
| | 50 | |
CRM FUNDS STATEMENTS OF CHANGES IN NET ASSETS
|
| | | CRM Mid Cap Value Fund | |
| | | Year Ended
June 30, 2024 | | | Year Ended
June 30, 2023 | |
NET ASSETS - BEGINNING OF YEAR | | $ | 412,887,936 | | | $ | 384,065,255 | |
| | | | | | | | | |
OPERATIONS | | | | | | | | |
Net investment income | | | 1,138,182 | | | | 5,220,196 | |
Net realized gain from investments | | | 36,075,123 | | | | 9,464,306 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currency | | | (1,271,028 | ) | | | 7,872,626 | |
Net increase in net assets resulting from operations | | | 35,942,277 | | | | 22,557,128 | |
| | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Investor Class | | | (9,626,587 | ) | | | (7,142,897 | ) |
Institutional Class | | | (13,465,463 | ) | | | (10,218,630 | ) |
Total distributions to shareholders | | | (23,092,050 | ) | | | (17,361,527 | ) |
| | | | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Sale of shares - Investor Shares | | | 7,386,528 | | | | 18,136,050 | |
Sale of shares - Institutional Shares | | | 30,246,143 | | | | 72,113,783 | |
Reinvestment of distributions - Investor Class | | | 9,467,390 | | | | 7,031,109 | |
Reinvestment of distributions - Institutional Class | | | 12,666,657 | | | | 9,472,114 | |
Redemption of shares - Investor Class | | | (35,327,304 | ) | | | (32,173,398 | ) |
Redemption of shares - Institutional Class | | | (78,120,292 | ) | | | (50,952,578 | ) |
Net increase (decrease) from capital share transactions | | | (53,680,878 | ) | | | 23,627,080 | |
Total increase (decrease) in net assets | | | (40,830,651 | ) | | | 28,822,681 | |
| | | | | | | | | |
NET ASSETS - END OF YEAR | | $ | 372,057,285 | | | $ | 412,887,936 | |
| | | | | | | | | |
SHARE ACTIVITY | | | | | | | | |
Investor Class: | | | | | | | | |
Sold | | | 340,185 | | | | 823,806 | |
Issued on reinvestment of distributions | | | 464,543 | | | | 319,887 | |
Redeemed | | | (1,627,828 | ) | | | (1,478,388 | ) |
Net decrease | | | (823,100 | ) | | | (334,695 | ) |
| | | | | | | | | |
Institutional Class: | | | | | | | | |
Sold | | | 1,315,903 | | | | 3,124,549 | |
Issued on reinvestment of distributions | | | 585,606 | | | | 407,578 | |
Redeemed | | | (3,438,272 | ) | | | (2,220,961 | ) |
Net increase (decrease) | | | (1,536,763 | ) | | | 1,311,166 | |
See accompanying notes to financial statements. | CRM Funds |
| | 51 | |
CRM FUNDS STATEMENTS OF CHANGES IN NET ASSETS
|
| | | CRM All Cap Value Fund | |
| | | Year Ended
June 30, 2024 | | | Year Ended
June 30, 2023 | |
NET ASSETS - BEGINNING OF YEAR | | $ | 23,668,129 | | | $ | 23,131,491 | |
| | | | | | | | | |
OPERATIONS | | | | | | | | |
Net investment income | | | 62,998 | | | | 45,749 | |
Net realized gain from investments | | | 1,727,201 | | | | 474,916 | |
Net change in unrealized appreciation on investments and foreign currency | | | 1,079,275 | | | | 659,221 | |
Net increase in net assets resulting from operations | | | 2,869,474 | | | | 1,179,886 | |
| | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Investor Class | | | (122,654 | ) | | | (543,588 | ) |
Institutional Class | | | (343,247 | ) | | | (1,112,197 | ) |
Total distributions to shareholders | | | (465,901 | ) | | | (1,655,785 | ) |
| | | | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Sale of shares - Investor Shares | | | 114,223 | | | | 79,155 | |
Sale of shares - Institutional Shares | | | 444,553 | | | | 634,169 | |
Reinvestment of distributions - Investor Class | | | 117,823 | | | | 515,831 | |
Reinvestment of distributions - Institutional Class | | | 325,532 | | | | 1,062,276 | |
Redemption of shares - Investor Class | | | (1,710,121 | ) | | | (438,501 | ) |
Redemption of shares - Institutional Class | | | (2,025,591 | ) | | | (840,393 | ) |
Net increase (decrease) from capital share transactions | | | (2,733,581 | ) | | | 1,012,537 | |
Total increase (decrease) in net assets | | | (330,008 | ) | | | 536,638 | |
| | | | | | | | | |
NET ASSETS - END OF YEAR | | $ | 23,338,121 | | | $ | 23,668,129 | |
| | | | | | | | | |
SHARE ACTIVITY | | | | | | | | |
Investor Class: | | | | | | | | |
Sold | | | 16,865 | | | | 11,555 | |
Issued on reinvestment of distributions | | | 19,065 | | | | 79,359 | |
Redeemed | | | (276,638 | ) | | | (68,924 | ) |
Net increase (decrease) | | | (240,708 | ) | | | 21,990 | |
| | | | | | | | | |
Institutional Class: | | | | | | | | |
Sold | | | 67,776 | | | | 94,716 | |
Issued on reinvestment of distributions | | | 50,865 | | | | 158,077 | |
Redeemed | | | (296,821 | ) | | | (126,864 | ) |
Net increase (decrease) | | | (178,180 | ) | | | 125,929 | |
See accompanying notes to financial statements. | CRM Funds |
| | 52 | |
CRM FUNDS STATEMENTS OF CHANGES IN NET ASSETS
|
| | | CRM Long/Short Opportunities Fund | |
| | | Year Ended
June 30, 2024 | | | Year Ended
June 30, 2023 | |
NET ASSETS - BEGINNING OF YEAR | | $ | 255,340,562 | | | $ | 185,463,235 | |
| | | | | | | | | |
OPERATIONS | | | | | | | | |
Net investment income (loss) | | | 1,362,007 | | | | (58,492 | ) |
Net realized gain (loss) from investments and foreign currency | | | 21,663,471 | | | | (5,723,712 | ) |
Net change in unrealized appreciation (depreciation) on investments, derivatives, and foreign currency | | | (11,361,034 | ) | | | 27,251,291 | |
Net increase in net assets resulting from operations | | | 11,664,444 | | | | 21,469,087 | |
| | | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Institutional Class | | | (3,644,212 | ) | | | (3,277,664 | ) |
Total distributions to shareholders | | | (3,644,212 | ) | | | (3,277,664 | ) |
| | | | | | | | | |
CAPITAL SHARE TRANSACTIONS | | | | | | | | |
Sale of shares - Institutional Shares | | | 62,470,181 | | | | 107,097,037 | |
Reinvestment of distributions - Institutional Class | | | 3,635,291 | | | | 3,271,562 | |
Redemption of shares - Institutional Class | | | (133,470,460 | ) | | | (58,682,695 | ) |
Net increase (decrease) from capital share transactions | | | (67,364,988 | ) | | | 51,685,904 | |
Total increase (decrease) in net assets | | | (59,344,756 | ) | | | 69,877,327 | |
| | | | | | | | | |
NET ASSETS - END OF YEAR | | $ | 195,995,806 | | | $ | 255,340,562 | |
| | | | | | | | | |
SHARE ACTIVITY | | | | | | | | |
Institutional Class: | | | | | | | | |
Sold | | | 4,926,945 | | | | 9,251,123 | |
Issued on reinvestment of distributions | | | 315,016 | | | | 286,226 | |
Redeemed | | | (11,271,054 | ) | | | (5,096,169 | ) |
Net increase (decrease) | | | (6,029,093 | ) | | | 4,441,180 | |
See accompanying notes to financial statements. | CRM Funds |
| | 53 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
The following tables include selected data for a share outstanding throughout each year and other performance information derived from the financial statements. The total returns in the tables represent the rate an investor would have earned or lost on an investment in the funds (assuming reinvestment of all dividends and distributions). This information should be read in conjunction with the financial statements and notes thereto.
| | | CRM Small Cap Value Fund — Investor Shares | |
| | | For the Years Ended June 30, | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value - Beginning of Year | | $ | 12.49 | | | $ | 11.40 | | | $ | 17.35 | | | $ | 11.22 | | | $ | 15.34 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.05 | | | | 0.14 | | | | — | 2 | | | 0.04 | | | | 0.04 | |
Net realized and unrealized gain (loss) on investments | | | 1.53 | | | | 1.24 | | | | (2.26 | ) | | | 6.16 | | | | (3.07 | ) |
Total from investment operations | | | 1.58 | | | | 1.38 | | | | (2.26 | ) | | | 6.20 | | | | (3.03 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.06 | ) | | | (0.01 | ) | | | (0.07 | ) | | | (0.03 | ) |
From net realized gain on investments | | | (0.34 | ) | | | (0.23 | ) | | | (3.68 | ) | | | — | | | | (1.06 | ) |
Total distributions to shareholders | | | (0.57 | ) | | | (0.29 | ) | | | (3.69 | ) | | | (0.07 | ) | | | (1.09 | ) |
Net Asset Value - End of Year | | $ | 13.50 | | | $ | 12.49 | | | $ | 11.40 | | | $ | 17.35 | | | $ | 11.22 | |
Total return | | | 13.17 | % | | | 12.09 | % | | | (15.73 | )% | | | 55.36 | % | | | (21.53 | )% |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.26 | % | | | 1.21 | % | | | 1.16 | % | | | 1.15 | % | | | 1.16 | % |
Net investment income | | | 0.43 | % | | | 1.11 | % | | | 0.01 | % | | | 0.30 | % | | | 0.27 | % |
Portfolio turnover rate | | | 77 | % | | | 54 | % | | | 54 | % | | | 63 | % | | | 60 | % |
Net Assets at end of year (000’s omitted) | | $ | 28,177 | | | $ | 28,660 | | | $ | 28,325 | | | $ | 38,548 | | | $ | 33,526 | |
(1) | Calculated using the average shares method. |
(2) | Amount represents less than $0.005. |
See accompanying notes to financial statements. | CRM Funds |
| | 54 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM Small Cap Value Fund — Institutional Shares | |
| | | For the Years Ended June 30, | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value - Beginning of Year | | $ | 15.53 | | | $ | 14.10 | | | $ | 20.55 | | | $ | 13.28 | | | $ | 17.96 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.10 | | | | 0.19 | | | | 0.03 | | | | 0.09 | | | | 0.08 | |
Net realized and unrealized gain (loss) on investments | | | 1.90 | | | | 1.55 | | | | (2.75 | ) | | | 7.28 | | | | (3.63 | ) |
Total from investment operations | | | 2.00 | | | | 1.74 | | | | (2.72 | ) | | | 7.37 | | | | (3.55 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.25 | ) | | | (0.08 | ) | | | (0.05 | ) | | | (0.10 | ) | | | (0.07 | ) |
From net realized gain on investments | | | (0.34 | ) | | | (0.23 | ) | | | (3.68 | ) | | | — | | | | (1.06 | ) |
Total distributions to shareholders | | | (0.59 | ) | | | (0.31 | ) | | | (3.73 | ) | | | (0.10 | ) | | | (1.13 | ) |
Net Asset Value - End of Year | | $ | 16.94 | | | $ | 15.53 | | | $ | 14.10 | | | $ | 20.55 | | | $ | 13.28 | |
Total return | | | 13.36 | % | | | 12.33 | % | | | (15.53 | )% | | | 55.68 | % | | | (21.34 | )% |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.07 | % | | | 1.01 | % | | | 0.93 | % | | | 0.91 | % | | | 0.92 | % |
Net investment income | | | 0.61 | % | | | 1.27 | % | | | 0.18 | % | | | 0.54 | % | | | 0.52 | % |
Portfolio turnover rate | | | 77 | % | | | 54 | % | | | 54 | % | | | 63 | % | | | 60 | % |
Net Assets at end of year (000’s omitted) | | $ | 47,098 | | | $ | 48,766 | | | $ | 90,451 | | | $ | 299,170 | | | $ | 198,589 | |
(1) | Calculated using the average shares method. |
See accompanying notes to financial statements. | CRM Funds |
| | 55 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM Small/Mid Cap Value Fund — Investor Shares | |
| | | For the Years Ended June 30, | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value - Beginning of Year | | $ | 10.20 | | | $ | 9.94 | | | $ | 15.37 | | | $ | 9.71 | | | $ | 11.36 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.03 | | | | 0.10 | | | | 0.10 | | | | 0.11 | | | | 0.02 | |
Net realized and unrealized gain (loss) on investments | | | 0.84 | | | | 0.79 | | | | (1.39 | ) | | | 6.29 | | | | (1.35 | ) |
Total from investment operations | | | 0.87 | | | | 0.89 | | | | (1.29 | ) | | | 6.40 | | | | (1.33 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.07 | ) | | | (0.06 | ) | | | (0.17 | ) | | | (0.03 | ) | | | (0.03 | ) |
From net realized gain on investments | | | — | 2 | | | (0.57 | ) | | | (3.97 | ) | | | (0.71 | ) | | | (0.29 | ) |
Total distributions to shareholders | | | (0.07 | ) | | | (0.63 | ) | | | (4.14 | ) | | | (0.74 | ) | | | (0.32 | ) |
Net Asset Value - End of Year | | $ | 11.00 | | | $ | 10.20 | | | $ | 9.94 | | | $ | 15.37 | | | $ | 9.71 | |
Total return | | | 8.57 | % | | | 9.07 | % | | | (11.92 | )% | | | 67.80 | % | | | (12.18 | )% |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.21 | % | | | 1.18 | % | | | 1.18 | % | | | 1.15 | % | | | 1.17 | % |
Net investment income | | | 0.24 | % | | | 1.02 | % | | | 0.82 | % | | | 0.83 | % | | | 0.22 | % |
Portfolio turnover rate | | | 72 | % | | | 42 | % | | | 34 | % | | | 59 | % | | | 80 | % |
Net Assets at end of year (000’s omitted) | | $ | 21,541 | | | $ | 23,018 | | | $ | 20,914 | | | $ | 26,464 | | | $ | 16,259 | |
(1) | Calculated using the average shares method. |
(2) | Amount represents less than $0.005. |
See accompanying notes to financial statements. | CRM Funds |
| | 56 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM Small/Mid Cap Value Fund —
Institutional Shares | |
| | | For the Years Ended June 30, | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value - Beginning of Year | | $ | 10.68 | | | $ | 10.38 | | | $ | 15.87 | | | $ | 10.00 | | | $ | 11.70 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.04 | | | | 0.13 | | | | 0.13 | | | | 0.13 | | | | 0.05 | |
Net realized and unrealized gain (loss) on investments | | | 0.89 | | | | 0.82 | | | | (1.46 | ) | | | 6.50 | | | | (1.41 | ) |
Total from investment operations | | | 0.93 | | | | 0.95 | | | | (1.33 | ) | | | 6.63 | | | | (1.36 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.09 | ) | | | (0.08 | ) | | | (0.19 | ) | | | (0.05 | ) | | | (0.05 | ) |
From net realized gain on investments | | | — | 2 | | | (0.57 | ) | | | (3.97 | ) | | | (0.71 | ) | | | (0.29 | ) |
Total distributions to shareholders | | | (0.09 | ) | | | (0.65 | ) | | | (4.16 | ) | | | (0.76 | ) | | | (0.34 | ) |
Net Asset Value - End of Year | | $ | 11.52 | | | $ | 10.68 | | | $ | 10.38 | | | $ | 15.87 | | | $ | 10.00 | |
Total return | | | 8.75 | % | | | 9.28 | % | | | (11.78 | )% | | | 68.26 | % | | | (12.06 | )% |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.05 | % | | | 1.01 | % | | | 1.00 | % | | | 0.93 | % | | | 0.95 | % |
Net investment income | | | 0.39 | % | | | 1.21 | % | | | 0.98 | % | | | 0.99 | % | | | 0.44 | % |
Portfolio turnover rate | | | 72 | % | | | 42 | % | | | 34 | % | | | 59 | % | | | 80 | % |
Net Assets at end of year (000’s omitted) | | $ | 147,684 | | | $ | 197,242 | | | $ | 119,384 | | | $ | 286,762 | | | $ | 220,919 | |
(1) | Calculated using the average shares method. |
(2) | Amount represents less than $0.005. |
See accompanying notes to financial statements. | CRM Funds |
| | 57 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM Mid Cap Value Fund — Investor Shares | |
| | | For the Years Ended June 30, | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value - Beginning of Year | | $ | 21.73 | | | $ | 21.43 | | | $ | 27.71 | | | $ | 18.34 | | | $ | 21.22 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.04 | | | | 0.25 | | | | 0.27 | | | | 0.15 | | | | 0.08 | |
Net realized and unrealized gain (loss) on investments | | | 2.05 | | | | 1.00 | | | | (1.57 | ) | | | 9.67 | | | | (2.33 | ) |
Total from investment operations | | | 2.09 | | | | 1.25 | | | | (1.30 | ) | | | 9.82 | | | | (2.25 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.24 | ) | | | (0.26 | ) | | | (0.26 | ) | | | (0.09 | ) | | | (0.09 | ) |
From net realized gain on investments | | | (1.15 | ) | | | (0.69 | ) | | | (4.72 | ) | | | (0.36 | ) | | | (0.54 | ) |
Total distributions to shareholders | | | (1.39 | ) | | | (0.95 | ) | | | (4.98 | ) | | | (0.45 | ) | | | (0.63 | ) |
Net Asset Value - End of Year | | $ | 22.43 | | | $ | 21.73 | | | $ | 21.43 | | | $ | 27.71 | | | $ | 18.34 | |
Total return | | | 10.27 | % | | | 5.78 | % | | | (6.68 | )% | | | 54.09 | % | | | (10.98 | )% |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 1.16 | % | | | 1.15 | % | | | 1.14 | % | | | 1.15 | % | | | 1.16 | % |
Net investment income | | | 0.19 | % | | | 1.16 | % | | | 1.06 | % | | | 0.66 | % | | | 0.42 | % |
Portfolio turnover rate | | | 47 | % | | | 43 | % | | | 23 | % | | | 63 | % | | | 37 | % |
Net Assets at end of year (000’s omitted) | | $ | 146,457 | | | $ | 159,797 | | | $ | 164,743 | | | $ | 187,541 | | | $ | 152,370 | |
(1) | Calculated using the average shares method. |
See accompanying notes to financial statements. | CRM Funds |
| | 58 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM Mid Cap Value Fund — Institutional Shares | |
| | | For the Years Ended June 30, | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value - Beginning of Year | | $ | 23.00 | | | $ | 22.62 | | | $ | 29.00 | | | $ | 19.17 | | | $ | 22.16 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.08 | | | | 0.31 | | | | 0.33 | | | | 0.20 | | | | 0.12 | |
Net realized and unrealized gain (loss) on investments | | | 2.16 | | | | 1.06 | | | | (1.67 | ) | | | 10.12 | | | | (2.44 | ) |
Total from investment operations | | | 2.24 | | | | 1.37 | | | | (1.34 | ) | | | 10.32 | | | | (2.32 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.27 | ) | | | (0.30 | ) | | | (0.32 | ) | | | (0.13 | ) | | | (0.13 | ) |
From net realized gain on investments | | | (1.15 | ) | | | (0.69 | ) | | | (4.72 | ) | | | (0.36 | ) | | | (0.54 | ) |
Total distributions to shareholders | | | (1.42 | ) | | | (0.99 | ) | | | (5.04 | ) | | | (0.49 | ) | | | (0.67 | ) |
Net Asset Value - End of Year | | $ | 23.82 | | | $ | 23.00 | | | $ | 22.62 | | | $ | 29.00 | | | $ | 19.17 | |
Total return | | | 10.39 | % | | | 6.00 | % | | | (6.55 | )% | | | 54.44 | % | | | (10.83 | )% |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
Expenses | | | 0.99 | % | | | 0.99 | % | | | 0.97 | % | | | 0.94 | % | | | 0.96 | % |
Net investment income | | | 0.36 | % | | | 1.34 | % | | | 1.23 | % | | | 0.84 | % | | | 0.59 | % |
Portfolio turnover rate | | | 47 | % | | | 43 | % | | | 23 | % | | | 63 | % | | | 37 | % |
Net Assets at end of year (000’s omitted) | | $ | 225,601 | | | $ | 253,091 | | | $ | 219,322 | | | $ | 251,517 | | | $ | 202,989 | |
(1) | Calculated using the average shares method. |
See accompanying notes to financial statements. | CRM Funds |
| | 59 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM All Cap Value Fund — Investor Shares | |
| | | For the Years Ended June 30, | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value - Beginning of Year | | $ | 6.34 | | | $ | 6.47 | | | $ | 8.88 | | | $ | 5.91 | | | $ | 6.99 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.01 | | | | — | 2 | | | 0.02 | | | | 0.02 | | | | 0.01 | |
Net realized and unrealized gain (loss) on investments | | | 0.83 | | | | 0.33 | | | | (0.70 | ) | | | 3.16 | | | | (0.67 | ) |
Total from investment operations | | | 0.84 | | | | 0.33 | | | | (0.68 | ) | | | 3.18 | | | | (0.66 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.01 | ) | | | (0.01 | ) | | | (0.04 | ) | | | (0.02 | ) | | | (0.01 | ) |
From net realized gain on investments | | | (0.12 | ) | | | (0.45 | ) | | | (1.69 | ) | | | (0.19 | ) | | | (0.41 | ) |
Total distributions to shareholders | | | (0.13 | ) | | | (0.46 | ) | | | (1.73 | ) | | | (0.21 | ) | | | (0.42 | ) |
Net Asset Value - End of Year | | $ | 7.05 | | | $ | 6.34 | | | $ | 6.47 | | | $ | 8.88 | | | $ | 5.91 | |
Total return | | | 13.47 | % | | | 4.94 | % | | | (10.09 | )% | | | 54.42 | % | | | (10.16 | )% |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
Expenses, including waiver/reimbursement | | | 1.45 | % | | | 1.41 | % | | | 1.33 | % | | | 1.37 | % | | | 1.40 | % |
Expenses, excluding waiver/reimbursement | | | 1.47 | % | | | 1.41 | % | | | 1.33 | % | | | 1.39 | % | | | 1.50 | % |
Net investment income, including waiver/reimbursement | | | 0.09 | % | | | 0.03 | % | | | 0.32 | % | | | 0.31 | % | | | 0.22 | % |
Portfolio turnover rate | | | 54 | % | | | 51 | % | | | 38 | % | | | 87 | % | | | 65 | % |
Net Assets at end of year (000’s omitted) | | $ | 6,767 | | | $ | 7,609 | | | $ | 7,622 | | | $ | 8,916 | | | $ | 6,893 | |
(1) | Calculated using the average shares method. |
(2) | Amount represents less than $0.005. |
See accompanying notes to financial statements. | CRM Funds |
| | 60 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM All Cap Value Fund — Institutional Shares | |
| | | For the Years Ended June 30, | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value - Beginning of Year | | $ | 6.57 | | | $ | 6.69 | | | $ | 9.12 | | | $ | 6.07 | | | $ | 7.16 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.02 | | | | 0.02 | | | | 0.04 | | | | 0.04 | | | | 0.03 | |
Net realized and unrealized gain (loss) on investments | | | 0.87 | | | | 0.34 | | | | (0.72 | ) | | | 3.24 | | | | (0.68 | ) |
Total from investment operations | | | 0.89 | | | | 0.36 | | | | (0.68 | ) | | | 3.28 | | | | (0.65 | ) |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.03 | ) | | | (0.03 | ) | | | (0.06 | ) | | | (0.04 | ) | | | (0.03 | ) |
From net realized gain on investments | | | (0.12 | ) | | | (0.45 | ) | | | (1.69 | ) | | | (0.19 | ) | | | (0.41 | ) |
Total distributions to shareholders | | | (0.15 | ) | | | (0.48 | ) | | | (1.75 | ) | | | (0.23 | ) | | | (0.44 | ) |
Net Asset Value - End of Year | | $ | 7.31 | | | $ | 6.57 | | | $ | 6.69 | | | $ | 9.12 | | | $ | 6.07 | |
Total return | | | 13.77 | % | | | 5.18 | % | | | (9.81 | )% | | | 54.66 | % | | | (9.87 | )% |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
Expenses, including waiver/reimbursement | | | 1.20 | % | | | 1.18 | % | | | 1.09 | % | | | 1.11 | % | | | 1.15 | % |
Expenses, excluding waiver/reimbursement | | | 1.24 | % | | | 1.18 | % | | | 1.09 | % | | | 1.13 | % | | | 1.25 | % |
Net investment income, including waiver/reimbursement | | | 0.35 | % | | | 0.27 | % | | | 0.56 | % | | | 0.52 | % | | | 0.47 | % |
Portfolio turnover rate | | | 54 | % | | | 51 | % | | | 38 | % | | | 87 | % | | | 65 | % |
Net Assets at end of year (000’s omitted) | | $ | 16,571 | | | $ | 16,059 | | | $ | 15,509 | | | $ | 18,393 | | | $ | 18,307 | |
(1) | Calculated using the average shares method. |
See accompanying notes to financial statements. | CRM Funds |
| | 61 | |
CRM FUNDS FINANCIAL HIGHLIGHTS
|
| | | CRM Long/Short Opportunities Fund —
Institutional Shares | |
| | | For the Years Ended June 30, | |
| | | 2024 | | | 2023 | | | 2022 | | | 2021 | | | 2020 | |
Net Asset Value - Beginning of Year | | $ | 12.11 | | | $ | 11.15 | | | $ | 11.62 | | | $ | 10.23 | | | $ | 10.27 | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)1 | | | 0.09 | | | | — | 2 | | | (0.23 | ) | | | (0.25 | ) | | | (0.10 | ) |
Net realized and unrealized gain (loss) on investments, derivatives and foreign currency | | | 1.09 | | | | 1.14 | | | | (0.15 | ) | | | 2.22 | | | | 0.50 | |
Total from investment operations | | | 1.18 | | | | 1.14 | | | | (0.38 | ) | | | 1.97 | | | | 0.40 | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.27 | ) | | | — | | | | — | | | | — | | | | — | |
From net realized gain on investments | | | — | | | | (0.18 | ) | | | (0.09 | ) | | | (0.58 | ) | | | (0.44 | ) |
Total distributions to shareholders | | | (0.27 | ) | | | (0.18 | ) | | | (0.09 | ) | | | (0.58 | ) | | | (0.44 | ) |
Net Asset Value - End of Year | | $ | 13.02 | | | $ | 12.11 | | | $ | 11.15 | | | $ | 11.62 | | | $ | 10.23 | |
Total return | | | 10.07 | % | | | 10.29 | % | | | (3.33 | )% | | | 19.49 | % | | | 3.93 | % |
Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
Expenses, including waiver/reimbursement | | | 2.25 | % | | | 2.48 | % | | | 2.68 | % | | | 2.79 | % | | | 2.95 | % |
Expenses, including waiver/reimbursement and excluding interest and dividend expense relating to short sales | | | 1.60 | % | | | 1.60 | % | | | 1.60 | % | | | 1.60 | % | | | 1.59 | % |
Expenses, excluding waiver/reimbursement | | | 2.41 | % | | | 2.60 | % | | | 2.80 | % | | | 2.90 | % | | | 3.03 | % |
Expenses, excluding waiver/reimbursement and interest and dividend expense relating to short sales | | | 1.76 | % | | | 1.72 | % | | | 1.72 | % | | | 1.71 | % | | | 1.67 | % |
Net investment income (loss), including waiver/reimbursement | | | 0.73 | % | | | (0.03 | )% | | | (2.00 | )% | | | (2.18 | )% | | | (0.99 | )% |
Portfolio turnover rate | | | 113 | % | | | 90 | % | | | 157 | % | | | 201 | % | | | 177 | % |
Net Assets at end of year (000’s omitted) | | $ | 195,996 | | | $ | 255,341 | | | $ | 185,463 | | | $ | 127,930 | | | $ | 56,540 | |
(1) | Calculated using the average shares method. |
(2) | Amount represents less than $(0.005). |
See accompanying notes to financial statements. | CRM Funds |
| | 62 | |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024
|
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 $10,000 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: |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
Security Valuation. The Funds value their investment securities based on current market values when such values are available. These prices normally are supplied by a pricing service.
In valuing a Fund’s investment securities, a security listed on the New York Stock Exchange (the “Exchange”) (and not subject to restrictions against sale by the Fund on the Exchange) will be valued at its last sale price on the Exchange on the day the security is valued. Lacking any sales on such day, the security will be valued at the mean between the closing asked price and the closing bid price. Securities listed on other exchanges (and not subject to restriction against sale by the Fund on such exchanges) will be similarly valued, using quotations on the exchange on which the security is traded most extensively. Securities that are quoted on the NASDAQ Stock Market, for which there have been sales of such securities on such day, shall be valued at the last sale price reported on such system on the day the security is valued. If there are no such sales on such day, the value shall be the mean between the closing asked price and the closing bid price. The value of such securities quoted on the stock market system, but not listed on the national market system, shall be valued at the mean between the closing asked price and the closing bid price. Unlisted securities that are not quoted on the NASDAQ Stock Market and for which over-the-counter market quotations are readily available will be valued at the mean between the current bid and asked prices for such security in the over-the-counter market.
Short-term investments with remaining maturities of less than 61 days are valued at amortized cost, provided such amount approximates fair value. A Fund’s currency valuations, if any, are also valued at the close of regular trading on the Exchange. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share. 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.
Pursuant to Rule 2a-5 under the 1940 Act, the Board of Trustees of the Trust (the “Board” or “Trustees”) has designated Cramer Rosenthal McGlynn, LLC, the adviser, to serve as the Trust’s Valuation Designee, to perform any fair value determinations for securities and other assets held by the Funds for which market quotations are not readily available in accordance with the
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
Trust’s Securities Pricing Procedures. 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.) |
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
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
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 June 30, 2024 is included with each Fund’s Schedule of Investments.
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
Foreign Currency Translations. The books and records of the Funds are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date. The value of all assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar daily. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of those investments. Such fluctuations are included with the net realized and unrealized gain or loss from investments that are disclosed within each Fund’s statement of operations, as applicable.
Federal Income Taxes. Each Fund is treated as a separate entity for federal income tax purposes and intends to continue to qualify as a “regulated investment company” (“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 year ended June 30, 2024, 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
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
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 year ended June 30, 2024.
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 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
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
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 June 30, 2024, 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 | | | | | | | | | | | | | | | | |
Mizuho Securities USA LLC | | $ | 298,767 | | | $ | 298,767 | | | $ | — | | | $ | — | |
National Bank Financial, Inc. | | | 1,000,000 | | | | 1,000,000 | | | | — | | | | — | |
| | | $ | 1,298,767 | | | $ | 1,298,767 | | | $ | — | | | $ | — | |
Mid Cap Value Fund | | | | | | | | | | | | | | | | |
Mizuho Securities USA LLC | | $ | 466,232 | | | $ | 466,232 | | | $ | — | | | $ | — | |
National Bank Financial, Inc. | | | 1,032,077 | | | | 1,032,077 | | | | — | | | | — | |
| | | $ | 1,498,309 | | | $ | 1,498,309 | | | $ | — | | | $ | — | |
All Cap Value Fund | | | | | | | | | | | | | | | | |
National Bank Financial, Inc. | | $ | 183,480 | | | $ | 183,480 | | | $ | — | | | $ | — | |
| | | $ | 183,480 | | | $ | 183,480 | | | $ | — | | | $ | — | |
| | 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 $1,324,745, $1,528,279 and $187,150, 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.
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.
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
3. | Transactions with Affiliates and Other Servicing Agreements. 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 first $1 billion of average daily net assets; 0.65% of the Fund’s next $1 billion of average daily net assets; and 0.60% of the Fund’s average daily net assets in excess of $2 billion. |
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) exceeds 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 first $1 billion of average daily net assets; 1.45% of the Fund’s next $1 billion of average daily net assets; and 1.40% of the Fund’s average daily net assets in excess of $2 billion. 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) exceeds the percentage of average daily net assets as follows:
| | Institutional
Shares |
Long/Short Opportunities Fund | 1.60% |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
The expense limitations are in effect until November 1, 2025. Prior to that date, the arrangement may be terminated for a class of a Fund only by the vote of the Board of Trustees of the Funds.
Compliance Services. Northern Lights Compliance Services, LLC provides compliance services to the Trust, including the services of a Chief Compliance Officer. The fees payable to Northern Lights are included in the Statements of Operations under other expenses.
Compensation of Trustees and Officers. 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 year ended June 30, 2024. 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 Trustee 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.
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
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 based on reasonable charges for similar services in the industry, subject to certain limitations. 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 in-kind transactions and short-term investments) for the year ended June 30, 2024, were as follows: |
| | | Purchases | | | Sales | | | Short Sales | | | Purchases to
Cover Shorts | |
Small Cap Value Fund | | $ | 55,763,804 | | | $ | 67,049,167 | | | $ | — | | | $ | — | |
Small/Mid Cap Value Fund | | | 143,958,005 | | | | 205,292,525 | | | | — | | | | — | |
Mid Cap Value Fund | | | 176,551,910 | | | | 247,998,101 | | | | — | | | | — | |
All Cap Value Fund | | | 11,902,466 | | | | 14,733,228 | | | | — | | | | — | |
Long/Short Opportunities Fund | | | 135,897,803 | | | | 196,800,942 | | | | 74,973,565 | | | | 148,196,380 | |
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. |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
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 June 30, 2024, the following Funds had securities on loan:
| | | Market
Value | | | Cash
Collateral* | |
Small Cap Value Fund | | $ | 1,288,332 | | | $ | 1,298,767 | |
Mid Cap Value Fund | | | 3,974,192 | | | | 4,128,309 | |
All Cap Value Fund | | | 173,243 | | | | 183,480 | |
| | * | Please note any reported shortfall in required collateral coverage of 102% is based on closing market value of securities on loan as of the date of the report. Any required collateral adjustment needed in order to bring coverage to 102% is done on the next business day. |
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 |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
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.
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 year ended June 30, 2024, Long/Short Opportunities Fund participated in short sale transactions.
7. | Federal Tax Information. |
The tax character of distributions utilized during the fiscal years ended June 30, 2024 and June 30, 2023 was as follows:
| | | For the year ended June 30, 2024 | |
Fund | | Ordinary
Income | | | Long-Term
Capital
Gains | | | Return of
Capital | | | Total | |
Small Cap Value Fund | | $ | 1,217,678 | | | $ | 1,747,013 | | | $ | — | | | $ | 2,964,691 | |
Small Mid Cap Value Fund | | | 1,589,627 | | | | 7,616 | | | | — | | | | 1,597,243 | |
Mid Cap Value Fund | | | 3,119,964 | | | | 19,972,086 | | | | — | | | | 23,092,050 | |
All Cap Value Fund | | | 246,289 | | | | 219,612 | | | | — | | | | 465,901 | |
Long/Short Opportunities Fund | | | 3,559,388 | | | | 84,824 | | | | — | | | | 3,644,212 | |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
| | | For the year ended June 30, 2023 | |
Fund | | Ordinary
Income | | | Long-Term
Capital
Gains | | | Return of
Capital | | | Total | |
Small Cap Value Fund | | $ | 1,953,364 | | | $ | 409,077 | | | $ | — | | | $ | 2,362,441 | |
Small Mid Cap Value Fund | | | 1,677,117 | | | | 8,128,760 | | | | — | | | | 9,805,877 | |
Mid Cap Value Fund | | | 7,523,543 | | | | 9,837,984 | | | | — | | | | 17,361,527 | |
All Cap Value Fund | | | 292,912 | | | | 1,362,873 | | | | — | | | | 1,655,785 | |
Long/Short Opportunities Fund | | | 3,277,664 | | | | — | | | | — | | | | 3,277,664 | |
As of June 30, 2024, the components of accumulated earnings/ (deficit) on a tax basis were as follows:
Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gains | | | Capital
Loss Carry
Forwards | | | Other
Book/Tax
Differences | |
Small Cap Value Fund | | $ | 298,895 | | | $ | 2,398,229 | | | $ | — | | | $ | — | |
Small Mid Cap Value Fund | | | 398,609 | | | | 11,923,153 | | | | — | | | | — | |
Mid Cap Value Fund | | | — | | | | 17,886,478 | | | | — | | | | — | |
All Cap Value Fund | | | 258,128 | | | | 764,489 | | | | — | | | | — | |
Long/Short Opportunities Fund | | | — | | | | 9,713,329 | | | | — | | | | — | |
Fund | | Post October
Loss and
Late Year
Loss | | | Unrealized
Appreciation/
(Depreciation) | | | Total
Accumulated
Earnings/
(Deficits) | |
Small Cap Value Fund | | $ | — | | | $ | 14,508,415 | | | $ | 17,205,539 | |
Small Mid Cap Value Fund | | | — | | | | 33,203,895 | | | | 45,525,657 | |
Mid Cap Value Fund | | | — | | | | 89,316,382 | | | | 107,202,860 | |
All Cap Value Fund | | | (19 | ) | | | 4,316,516 | | | | 5,339,114 | |
Long/Short Opportunities Fund | | | — | | | | 24,483,878 | | | | 34,197,207 | |
The difference between book basis and tax basis unrealized appreciation, undistributed net investment income (loss) and accumulated net realized gains (losses) from investments is primarily attributable to the tax deferral of losses on wash sales, the mark-to-market on open Swaps, deferral of unsettled short sale losses, and C-Corporation return of capital distributions.
Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes.
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
The CRM All Cap Value Fund incurred and elected to defer such late year losses of $19.
During the fiscal year ended June 30, 2024, certain of the Funds utilized tax equalization which is the use of earnings and profits distributions to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. Permanent book and tax differences, primarily attributable to tax adjustments for realized gain (loss) on in-kind redemptions and the book/tax basis treatment of equalization credits, resulted in reclassifications for the Funds for the fiscal year ended June 30, 2024 as follows:
Fund | | Paid In
Capital | | | Accumulated
Earnings (Losses) | |
Small Cap Value Fund | | $ | 238,645 | | | $ | (238,645 | ) |
Small Mid Cap Value Fund | | | 3,322,416 | | | | (3,322,416 | ) |
Mid Cap Value Fund | | | 2,582,017 | | | | (2,582,017 | ) |
All Cap Value Fund | | | 29,580 | | | | (29,580 | ) |
Long/Short Opportunities Fund | | | 272,649 | | | | (272,649 | ) |
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 June 30, 2024 were as follows:
Fund | | Tax Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation/
Depreciation | |
Small Cap Value Fund | | $ | 62,181,630 | | | $ | 16,022,364 | | | $ | (1,513,949 | ) | | $ | 14,508,415 | |
Small Mid Cap Value Fund | | | 137,046,519 | | | | 36,074,721 | | | | (2,870,826 | ) | | | 33,203,895 | |
Mid Cap Value Fund | | | 286,852,940 | | | | 102,919,500 | | | | (13,603,098 | ) | | | 89,316,402 | |
All Cap Value Fund | | | 19,202,642 | | | | 5,514,940 | | | | (1,198,424 | ) | | | 4,316,516 | |
Long/Short Opportunities Fund | | | 120,183,010 | | | | 37,685,147 | | | | (13,243,313 | ) | | | 24,441,834 | |
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- |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
hedging strategy that may be considered speculative; to manage portfolio characteristics; and as a cash flow management technique. Using swaps, options and other derivatives can increase Fund losses and reduce opportunities for gains when market prices, interest rates or the derivative instruments themselves behave in a way not anticipated by the Fund. Using derivatives may increase the volatility of the Fund’s net asset value and may not provide the result intended. Derivatives may have a leveraging effect on the Fund. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment. Changes in a derivative’s value may not correlate well with the referenced asset or metric. The Fund also may have to sell assets at inopportune times to satisfy its obligations. Derivatives may be difficult to sell, unwind or value, and the counterparty may default on its obligations to the Fund.
Options. 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
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
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 June 30, 2024, 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 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 June 30, 2024, 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
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
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
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA MA, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from its counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
The following is a summary of the location of derivatives on Long/Short Opportunities Fund’s Statement of Assets and Liabilities as of June 30, 2024:
| | 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 | $2,429,323 | $2,429,323 |
| | Liability Derivative Value |
| | Total
Value | Equity
Contracts |
Swap Agreements | $71,391 | $71,391 |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
The following is a summary of the location of derivatives on Long/Short Opportunities Fund’s Statement of Operations for the year ended June 30, 2024:
| | 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, Purchased Option Contracts, and Written Option Contracts | Net change in unrealized appreciation (depreciation) on: Swap agreements |
| | Net Realized Gain (Loss) |
| | Total
Value | Equity
Contracts |
Swap Agreements | $2,409,956 | $2,409,956 |
| | Net Change in Unrealized Appreciation (Depreciation) |
| | Total
Value | Equity
Contracts |
Swap Agreements | $386,367 | $386,367 |
The table below summarizes the average balance of derivative holdings by Long/Short Opportunities Fund during the year ended June 30, 2024. The average balance of derivatives held is indicative of the trading volume of the Long/Short Opportunities Fund.
Derivative Volume |
Swap
Contracts
(Notional Amount) |
$1,141,601 |
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
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
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 June 30, 2024:
| | | Assets | | | Liabilities | |
Derivative Financial Instruments: | | | | | | | | |
Swap Agreements | | $ | 2,429,323 | | | $ | 71,391 | |
Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 2,429,323 | | | | 71,391 | |
Derivatives not subject to an ISDA MA or similar agreement | | | — | | | | — | |
Total assets and liabilities subject to an ISDA MA | | $ | 2,429,323 | | | $ | 71,391 | |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
At June 30, 2024, 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 | $2,429,323 | $(71,391) | $2,357,932 | $2,357,932 | $— |
| | 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 market values of securities or other assets will fluctuate, sometimes sharply and unpredictably, due to factors such as economic events, governmental actions or intervention, actions taken by the U.S. Federal Reserve or foreign central banks, market disruptions caused by trade disputes or other factors, political developments, armed conflicts, economic sanctions and countermeasures in response to sanctions, major cybersecurity events, the global and domestic effects of widespread or local health, weather or climate events, and other factors that may or may not be related to the issuer of the security or other asset. |
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 a 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.
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Continued) |
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.
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.
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 |
CRM FUNDS NOTES TO FINANCIAL STATEMENTS — June 30, 2024 (Concluded) |
has reviewed the Funds’ existing contracts and expects the risk of liability for indemnity claims to be remote.
11. | Subsequent Events. Management has evaluated the impact of all subsequent events on the Funds and has determined that no subsequent event currently requires recognition or disclosure in the financial statements. |
CRM FUNDS REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
|
To the Shareholders and Board of Trustees of CRM Mutual Fund Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of CRM Small Cap Value Fund, CRM Small/Mid Cap Value Fund, CRM Mid Cap Value Fund, CRM All Cap Value Fund, and the CRM Long/Short Opportunities Fund (the “Funds”), each a series of CRM Mutual Fund Trust (the “Trust”), including the schedules of investments, as of June 30, 2024, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2024, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of one or more of the funds in the Trust since 2020.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds’ internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
CRM FUNDS REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (Concluded) |
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2024 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
TAIT, WELLER & BAKER LLP
Philadelphia, Pennsylvania
August 28, 2024
CRM FUNDS TAX INFORMATION (Unaudited)
|
For the fiscal year ended June 30, 2024, certain dividends may be subject to a maximum tax rate of 20%. For individual shareholders, a percentage of the ordinary income dividends (dividends from net investment income and short-term capital gains, if any) from the Funds qualifies for a maximum tax rate of 20%. Complete information is computed and reported in conjunction with your Form 1099-DIV.
For corporate shareholders, a percentage of the ordinary income dividends from the Funds qualify for the dividends-received deduction.
The percentages of ordinary income dividends which qualify for the maximum tax rate of 20% (“Qualified Dividends”) and the dividends-received deduction are as follows:
| | Qualified
Dividends | Dividends
Received
Deduction |
Small Cap Value Fund | 92.21% | 92.21% |
Small/Mid Cap Value Fund | 100.00% | 100.00% |
Mid Cap Value Fund | 100.00% | 100.00% |
All Cap Value Fund | 100.00% | 100.00% |
Long/Short Opportunities Fund | 35.88% | 35.88% |
In January 2025, shareholders of the Funds will receive Federal income tax information on all distributions paid to their accounts in calendar year 2024, including any distributions paid between July 1, 2024 and December 31, 2024.
CRM FUNDS OTHER INFORMATION (Unaudited) |
Discussion of Board Considerations in Approving Continuance and Renewal of the Investment Advisory Agreement with CRM
In order for Cramer Rosenthal McGlynn, LLC (“CRM”) to remain the Funds’ investment adviser, the Board of Trustees (the “Board”) of CRM Mutual Fund Trust (the “Trust”) must determine annually whether to renew the Investment Advisory Agreement between the Trust and CRM with respect to the Funds. The Board evaluates CRM’s services, performance, personnel, profitability, risk management, compliance programs and other relevant factors throughout the year. In addition, in connection with its review of the Investment Advisory Agreement, the Board reviewed and considered materials provided by CRM at a meeting held on May 23, 2024.
The materials and information reviewed and considered by the Board in connection with its review of the Investment Advisory Agreement included, among other items: (1) a memorandum from independent counsel setting forth the legal standards under the Investment Company Act of 1940, as amended, and the factors the Board could consider in its evaluation of the Investment Advisory Agreement; and (2) reports prepared by CRM, based on information provided by Broadridge Financial Solutions, Inc. (“Broadridge”) and Morningstar, Inc. (“Morningstar”), comparing each Fund’s investment performance to the performance of the Fund’s then-current benchmark indices1 and other mutual funds, and comparing each Fund’s investment advisory fee and net expenses to those of other mutual funds. The Board also discussed and considered, with the assistance of independent counsel, information provided by CRM that described: (i) the nature, extent and quality of CRM’s services provided to the Funds; (ii) the experience and qualifications of the personnel providing those services; (iii) CRM’s investment philosophies and processes; (iv) CRM’s assets under management (“AUM”); (v) the investment advisory fees charged by CRM to the Funds as compared with the fees charged by CRM to other advisory accounts with similar investment objectives and strategies; (vi) CRM’s compliance and risk management procedures; and (vii) an analysis of the profits of CRM related to its services to the Funds. In addition, the Board considered information related to the Funds and CRM previously provided at Board meetings or otherwise.
1 | Effective July 24, 2024, certain Funds’ primary benchmarks were changed to comply with SEC Rules. The Funds’ current primary benchmarks are: for CRM Small Cap Value Fund, CRM Small/Mid Cap Value Fund, CRM Mid Cap Value Fund and CRM All Cap Value Fund, the Russell 3000 Index; and, for CRM Long/Short Opportunities Fund, the S&P 500 Index. References in this section to comparisons against a Fund’s benchmark refer to that Fund’s benchmark prior to July 24, 2024. |
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At the meeting held on May 23, 2024, the Board, including the Independent Trustees voting separately, in the exercise of the Trustees’ business judgment, approved the continuance and renewal of the Investment Advisory Agreement for another year with respect to each Fund.
In considering the continuance and renewal of the Investment Advisory Agreement, the Board considered the following factors, none of which was determinative or controlling, and reached the following conclusions:
Nature, Extent and Quality of Services Provided
The Board considered the nature, extent and quality of services provided by CRM to the Funds and expected to be provided in the future. The Board reviewed the quality, size and experience of, and changes in, CRM’s professional portfolio management team. The Board reviewed CRM’s investment approach and research process, including CRM’s capabilities and experience in the development and implementation of its value-oriented investment process. Additionally, the Board considered CRM’s compliance programs and compliance record, marketing strategies, CRM’s personnel and the Board’s dealings with CRM. Based on the foregoing, the Board concluded that CRM is able to provide investment and related services that are appropriate in nature, extent and quality in light of the Funds’ investment objectives, policies, strategies and operations, the competitive landscape of the investment company business and investor needs.
Performance Information
In reaching its conclusions, the Board considered the investment performance of each Fund. The Board considered CRM’s focus on achieving long-term performance in a manner consistent with each Fund’s investment objective and investment strategies, as well as CRM’s value-oriented, research-driven investment philosophy. The Board considered CRM’s experience in implementing its investment philosophy and concluded that this, along with CRM’s overall approach to investing, supported approval of the continuance of the Investment Advisory Agreement. The Board also considered reports prepared by CRM which compared each Fund’s performance against its benchmark, an additional index (other than for the CRM Long/Short Opportunities Fund), and other mutual funds with similar investment objectives and strategies using peer groups provided by Broadridge for each Fund (a “Fund’s peer group”) and performance data provided by Morningstar (“Focused Performance Information”). The Board also received
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relative performance information for a broader universe of comparable funds prepared by Broadridge. Where the Funds had underperformed their peer groups and/or benchmark indices, the Board considered CRM’s explanations for such underperformance and, as applicable, measures CRM had taken or proposed to take to improve performance. In particular, because CRM pursues a value strategy with respect to the Funds, the Board noted CRM’s explanation regarding past underperformance of value strategies generally versus growth strategies. Further, the Board considered that, in order to provide a relevant sample size, the peer groups for the Funds (other than CRM Long/Short Opportunities Fund) consisted of funds that pursue a “core” strategy. In comparing performance, it was observed that the funds in the 1st percentile represented the best-performing funds, while the funds in the 99th percentile represented the worst-performing funds. The Focused Performance Information is summarized below.
CRM Small Cap Value Fund
The Board noted that Institutional Shares of CRM Small Cap Value Fund had underperformed the Fund’s benchmark, the Russell 2000 Value Index, as well as the Russell 2000 Index, for the one-year, five-year and ten-year periods ended December 31, 2023. Further, the Board noted that the Fund had outperformed the Russell 2000 Index but underperformed the Russell 2000 Value Index for the three-year period ended December 31, 2023. The Board noted that Institutional Shares of the Fund ranked in the bottom quartile of the Fund’s peer group for the one-year and five-year periods ended December 31, 2023 and ranked in the third quartile of the Fund’s peer group for the three-year and ten-year periods ended December 31, 2023.
CRM Small/Mid Cap Value Fund
The Board noted that Institutional Shares of CRM Small/Mid Cap Value Fund had underperformed the Fund’s benchmark, the Russell 2500 Value Index, as well as the Russell 2500 Index, for the one-year period ended December 31, 2023. Further, the Board noted that the Fund outperformed the Russell 2500 Index and underperformed the Russell 2500 Value Index for the three-year period ended December 31, 2023. Further, the Board noted that the Fund had outperformed both the Russell 2500 Index and the Russell 2500 Value Index for the five-year period ended December 31, 2023. Further, the Board noted that the Fund underperformed the Russell 2500 Index and outperformed the Russell 2500 Value Index for the ten-year period ended December 31, 2023. The Board noted that Institutional Shares
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of the Fund ranked in the bottom quartile of the Fund’s peer group for the one-year and three-year periods ended December 31, 2023, and ranked in the second quartile of the Fund’s peer group for the five-year and ten-year periods ended December 31, 2023.
CRM Mid Cap Value Fund
The Board noted that Institutional Shares of CRM Mid Cap Value Fund had underperformed the Fund’s benchmark, the Russell Midcap Value Index, as well as the Russell Midcap Index, for the one-year period ended December 31, 2023. Further, the Board noted that the Fund outperformed the Russell Midcap Index and underperformed the Russell MidCap Value Index for the three-year period ended December 31, 2023. Further, the Board noted that the Fund had outperformed the Russell Midcap Value Index for the five-year and ten-year periods ended December 31, 2023 and underperformed the Russell Midcap Index for the same periods. The Board noted further that Institutional Shares of the Fund ranked in the bottom quartile of the Fund’s peer group for the one-year and three-year periods ended December 31, 2023, the third quartile of the Fund’s peer group for the five-year period ended December 31, 2023 and the second quartile of the Fund’s peer group for the ten-year period ended December 31, 2023.
CRM All Cap Value Fund
The Board noted that Institutional Shares of CRM All Cap Value Fund had underperformed the Fund’s benchmark, the Russell 3000 Value Index, as well as the Russell 3000 Index, for the one-year, three-year, five-year and ten-year periods ended December 31, 2023. The Board also noted that Institutional Shares of the Fund ranked in the bottom quartile of the Fund’s peer group for the one-year, three-year, five-year and ten-year periods ended December 31, 2023.
CRM Long/Short Opportunities Fund
The Board noted that Institutional Shares of CRM Long/Short Opportunities Fund had underperformed the Fund’s benchmark, the S&P 500 Index, for the one-year, three-year and five-year periods ended December 31, 2023. The Board also noted that Institutional Shares of the Fund ranked in the third quartile of the Fund’s peer group for the one-year and five-year periods ended December 31, 2023, and in the bottom quartile of the Fund’s peer group for the three-year period ended December 31, 2023.
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Conclusion as to Investment Performance
The Board determined that it would continue to monitor each Fund’s performance, but that the information it considered supported approval of the Investment Advisory Agreement.
Fees and Expenses
In reaching its conclusions, the Board considered the fees and expenses paid by each class of each Fund.
The Board considered the research and analysis conducted by CRM in order to identify investment opportunities for the Funds and attempt to distinguish itself from each Fund’s respective benchmark. The Board observed that CRM relies heavily on its own proprietary research to implement its value-oriented investment philosophy, and considered CRM’s experience in implementing its value-oriented investment philosophy. Further, the Board compared the management fee schedule for each Fund with the standard management fee schedule applicable to institutional separate accounts managed by CRM in a similar investment strategy to that of the applicable Fund. The Board noted the fee schedule for each Fund was lower than or equal to the standard management fee schedule applicable to the respective institutional separate accounts managed by CRM in a similar investment strategy up to an AUM size of $25 million. However, citing the fee schedule detailed in Item 5 of Part 2A of CRM’s Form ADV, the Board noted that, for certain Funds, investors in comparable separate accounts may ultimately pay lower fees than the Funds. In comparing the overall expenses paid by the Funds to the overall expenses paid by institutional separate accounts, the Board considered that the costs associated with the management of the Funds generally are greater than those associated with providing investment advisory services to separately managed accounts. The Board noted the additional complexities involved in the management of the Funds resulting from more frequent and less predictable cash flows and regulatory requirements, among other factors. The Board considered the additional services provided to the Funds that CRM does not perform for its separate account clients, or services that are broader in scope, including oversight of compliance with the regulatory and tax regimes to which the Funds are subject, oversight of third-party service providers, preparation of prospectuses, shareholder reports and other disclosure documents and preparation of materials for, and participation in, Board meetings. Additionally, the Board considered the risks that CRM faces regarding the Funds, including regulatory and reputational risks with respect to CRM’s investment decisions and
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compliance oversight on behalf of the Funds, and the substantial entrepreneurial risks that CRM assumes with respect to its sponsorship of the Funds. The Board also considered that there may be historical reasons for certain separate account fees, and the element of negotiation with respect to the level of fees paid by CRM’s separate account clients.
The Board received information related to fees and expenses of a universe of comparable funds prepared by Broadridge. The Board also considered a report prepared by CRM which compared the fees and expenses paid by each Fund with the fees and expenses paid by other mutual funds with similar investment objectives and strategies using peer groups provided by Broadridge and fee and expense data provided by Morningstar. In comparing expenses, it was observed that the funds in the 1st percentile represented the most expensive funds, while the funds in the 99th percentile represented the least expensive funds. It was also observed that, for purposes of the comparison of investment advisory fees, the CRM report presented the Funds’ and their peers’ contractual management fees exclusive of any separate administrative fees and net of waivers/reimbursements. The data referenced below is based on the information included in the report prepared by CRM.
CRM Small Cap Value Fund
The Board noted that, based on the information provided, the investment advisory fee for CRM Small Cap Value Fund ranked at the 75th percentile for the Fund’s peer group. The Board noted that the Fund’s investment advisory fee was lower than both the median and average advisory fee paid by funds in the Fund’s peer group. The Board noted that, based on the information provided, the total net annual operating expenses of Institutional Shares of CRM Small Cap Value Fund ranked approximately in the 50th percentile for the Fund’s peer group. The Board noted that the total net annual operating expenses of Institutional Shares of the Fund were lower than the average and higher than the median net expenses paid by funds in the Fund’s peer group.
CRM Small/Mid Cap Value Fund
The Board noted that, based on the information provided, the investment advisory fee for CRM Small/Mid Cap Value Fund fell in between the 50th and 75th percentiles for the Fund’s peer group. The Board noted that the Fund’s investment advisory fee was the same as the median and lower than the average advisory fee paid by funds in the Fund’s peer group. The Board noted that, based on the information provided,
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the total net annual operating expenses of Institutional Shares of CRM Small/Mid Cap Value Fund ranked approximately in the 25th percentile for the Fund’s peer group. The Board noted that the total net annual operating expenses of Institutional Shares of the Fund were higher than both the median and the average net expenses paid by funds in the Fund’s peer group.
CRM Mid Cap Value Fund
The Board noted that based on the information provided, the investment advisory fee for CRM Mid Cap Value Fund fell in between the 25th and 50th percentiles for the Fund’s peer group. The Board noted that the Fund’s investment advisory fee was equal to the median and higher than the average advisory fee paid by funds in the Fund’s peer group. The Board noted that, based on the information provided, the total net annual operating expenses of Institutional Shares of CRM Mid Cap Value Fund ranked in the first percentile for the Fund’s peer group. The Board noted that the total net annual operating expenses of Institutional Shares of the Fund were higher than both the median and the average net expenses paid by funds in the Fund’s peer group.
CRM All Cap Value Fund
The Board noted that, based on the information provided, the investment advisory fee for CRM All Cap Value Fund ranked in the 50th percentile for the Fund’s peer group. The Board noted that the Fund’s current investment advisory fee was equal to the median and lower than the average advisory fees paid by funds in the Fund’s peer group. The Board noted that, based on the information provided, the total net annual operating expenses of Institutional Shares of CRM All Cap Value Fund ranked in the first percentile for the Fund’s peer group. The Board noted that the total net annual operating expenses of Institutional Shares of the Fund were higher than both the median and the average net expenses paid by funds in the Fund’s peer group.
CRM Long/Short Opportunities Fund
The Board noted that, based on the information provided, the investment advisory fee for CRM Long/Short Opportunities Fund ranked in the first percentile for the Fund’s peer group. The Board noted that the Fund’s investment advisory fee was higher than both the median and average advisory fees paid by funds in the Fund’s peer group. The Board noted that, based on the information provided, the
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total net annual operating expenses of Institutional Shares of CRM Long/Short Opportunities Fund ranked in the first percentile for the Fund’s peer group. The Board noted that the total net annual operating expenses of Institutional Shares of the Fund were higher than both the median and the average net expenses paid by funds in the Fund’s peer group.
Conclusion as to Fees and Expenses
In view of what it understood to be the costs of CRM’s proprietary research and CRM’s experience in implementing its value-oriented investment philosophy, the Board concluded that the investment advisory fee paid by each Fund was reasonable in relation to the nature and quality of the services provided by CRM. The Board also indicated it would continue to monitor the Funds’ fees and expenses.
Economies of Scale
The Board considered whether economies of scale would be realized by CRM as each Fund’s assets increased, and the extent to which such economies of scale were reflected in the fees charged under the Investment Advisory Agreement. The Board observed that the Investment Advisory Agreement contains breakpoints that reduce the investment advisory fee rate paid by each Fund on assets above specified levels. The Board concluded that breakpoints were an effective way to share any economies of scale or other efficiencies with Fund shareholders as the Funds grow larger. In addition, the Board noted that expense subsidization (where applicable), investment by CRM in proprietary research, and CRM’s commitment and resource allocation to the Funds may be relevant in considering the sharing of economies of scale, and that profitability also may be an indicator of the existence of any economies of scale. Accordingly, the Board determined that economies of scale, if any, were being appropriately shared with the Funds.
Profitability
The Board considered the information provided by CRM regarding CRM’s profitability in relation to the Funds and considered the methodology used by CRM in preparing the profitability information. The Board reviewed the financial results of CRM in relation to the Funds for the year ended December 31, 2023. The Board considered CRM’s profit margins with respect to the Funds. The Board indicated that the profitability of any adviser was affected by numerous factors, including its organizational structure, method for allocating expenses and the compensation to be
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paid to its employees, and, therefore, acknowledged the limitations inherent in any comparison of adviser profitability information. The Board concluded that, based on the information provided, the profit to CRM on the fees paid by the Funds was not excessive in view of the nature, quality and extent of services provided.
Other Benefits
The Board considered the other benefits which CRM receives from its relationship with the Funds. The Board noted that CRM acts as the shareholder servicing agent for Investor Shares of the Funds and receives fees under a shareholder service plan in connection with the services CRM provides or arranges as the Funds’ shareholder servicing agent. The Board considered the fees received by CRM under the shareholder service plan, and the amounts paid by CRM to third-party shareholder servicing agents. The Board considered how CRM uses “soft” commission dollars generated by the Funds to pay for research and brokerage services and the ways in which CRM conducts portfolio transactions for the Funds and selects brokers. The Board concluded that any other benefits derived by CRM from managing the Funds were reasonable.
General Conclusion
Based on the foregoing considerations, the Board, including the Independent Trustees voting separately, in the exercise of the Trustees’ business judgment, concluded that the terms of the Investment Advisory Agreement, including the fees payable thereunder, are fair and reasonable, and voted to approve the continuance and renewal of the Investment Advisory Agreement.
TRUSTEES
F. Gregory Ahern
Rodney P. Wood
INVESTMENT ADVISER
Cramer Rosenthal McGlynn, LLC
300 First Stamford Place, Suite 440
Stamford, CT 06902
DISTRIBUTOR
ALPS Distributors, Inc.
1290 Broadway, Suite 1000
Denver, CO 80203
ADMINISTRATOR & TRANSFER AGENT
Ultimus Fund Solutions, LLC
225 Pictoria Drive, Suite 450
Cincinnati, OH 45246
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.
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Included under Item 7
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Included under Item 7
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable
Item 15. Submission of Matters to a Vote of Security Holders.
None
Item 16. Controls and Procedures.
(a) The registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures as of a date within 90 days of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable
Item 18. Recovery of Erroneously Awarded Compensation.
(a) Not applicable
(b) Not applicable
Item 19. Exhibits.
(a)(1) Code of Ethics for Principal Executive and Senior Financial Officers.
(a)(2) Not applicable
(a)(3) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)): Attached hereto.
(a)(4) Not applicable
(b) Certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)): Attached hereto
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | CRM Mutual Fund Trust | |
| By (Signature and Title)* | /s/ Christopher Barnett | |
| | Christopher Barnett, President and Chief Executive Officer |
| | (Principal Executive Officer) |
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/ Christopher Barnett | |
| | Christopher Barnett, President and Chief Executive Officer |
| | (Principal Executive Officer) |
| By (Signature and Title)* | /s/ Laura Szalyga | |
| | Laura Szalyga, Treasurer | |
| | (Principal Financial Officer) | |
| * | Print the name and title of each signing officer under his or her signature. |
