N-CSR 1 d615563dncsr.htm CRM MUTUAL FUND TRUST CRM Mutual Fund Trust

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.

520 Madison Avenue, 20th Floor

                          New York, NY 10022                         

(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, 2018

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

LOGO

 

 

ANNUAL REPORT

    June 30, 2018

 

President’s Message (Unaudited)

 

     

Dear Fellow Shareholders:

Market leadership experienced a pronounced change of heart during the first half of the fiscal year ended June 30, 2018. The market had a general upward bias through most of July. The earnings seasons generated healthy dispersion amongst stocks with a reasonable penalty for those that missed expectations on either the top or bottom line. As we entered August, the market took a more deflationary tone with the ten-year Treasury yield declining from 2.3% to a low of 2.1% at the end of the first full week in September. Congress avoided a September budget and debt ceiling showdown, with a continuing resolution effectively postponing the tough decisions and lifting some short-term uncertainty for the markets. Bond yields that were testing the 2% level on the ten-year began to reverse, and, day by day, the tone and leadership of the market inflected. Interest sensitive financials, smaller cap equities, and industrials reassumed the momentum last seen post the November 2016 election. The reflation trade was back. The hawkish tone from outgoing Federal Reserve (“Fed”) Chair, Janet Yellen, post the Federal Open Market Committee meeting and the tax reform blueprint released the last week of September, provided the additional fuel to sustain the trend. The European Central Bank modified its rhetoric, which contributed to a stronger Euro versus the U.S. Dollar. Inflation expectations, which were well anchored, seemed to inch up behind tighter labor markets and concerns over wage inflation. Fiscal policy euphoria gave way to despair in the aftermath of the failure to pass new healthcare legislation. The growing realization that tax reform legislation would be approved by Congress has to be considered the principal propellant for U.S. equity markets picking up steam out of the fiscal first quarter. In addition to the immediate earnings benefit for many corporations, it eliminated years of uncertainty and thereby further bolstered business confidence. In terms of market caps and style, growth indices continued to sustain the outperformance over value, and larger caps generally outperformed smaller caps across the style spectrum.

Stocks took off in January, only to struggle in February and March. The early euphoria seemed like a continuation of the tax reform rally from the first half of the fiscal year, with bullish sentiment around corporate earnings and economic forecasts. Whether due to indications of wage inflation in the monthly employment report, or an unwind of low volatility trading strategies, the markets suffered their first 10% correction in nearly two years. Market leadership remained with larger cap stocks and growth, versus smaller cap stocks and value. The markets had to contend with the data privacy issues surrounding Facebook and other tech companies, as well as concerns over a new European data tax. Notwithstanding a strong earnings growth outlook for the tech sector, questions relating to the long-term viability of these business models contributed to what was already becoming a loss of market leadership from this group. Reduced forecasts for fiscal third quarter gross domestic product (GDP) may have weighed on cyclicals, while fears of higher interest rates contributed to the underperformance of the bond proxies.

After a slow start in April, the equity markets perked up with all the major indices in positive territory for the fiscal fourth quarter. Technology continued to lead the S&P 500®1 (total return). Growth stocks up and down the capitalization spectrum sustained outperformance over value indices. A bond sell off in early May quickly reversed, and concerns over global economic growth from trade disputes provided support for growth-oriented

 

 

 

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equities. Beyond the technology sector’s low double-digit return, the remarkable FANG (Facebook, Amazon, Netflix, Google) stocks looked past data privacy issues from earlier in the year and posted very robust returns of approximately 40% year-to-date. In spite of these trends, and active management generally struggling during the fiscal fourth quarter, we were pleased to have identified a number of idiosyncratic situations across the portfolios, which highlight the importance of stock selection and our relative value investment approach.

More recently, trade war fears appear to be top of mind for investors and are having effects beyond just U.S. equities. The heightened trade rhetoric is likely a combination of aggressive negotiating tactics and a flawed understanding of the complexities of trade. After decades of globalizing supply chains, it is beyond most people’s comprehension to understand how and where value is added to intermediate goods, which might cross back and through numerous countries before being used or consumed as a finished good. It is quite different from a simple bi-lateral situation of producing a textile or a commodity in one country and shipping it to another, as was the case decades ago. If the current administration is intent on forcing trade surpluses with each and every trading partner, it is a losing battle that will likely inflict pain on all parties. However, if the goal is to ultimately seek redress for select blatant unfair trading practices, including theft of intellectual property, the country is wise to take on those battles from a current position of economic strength. Each tweet, headline, protectionist action, and subsequent countermeasures, however, leave the markets wondering which course is really being pursued.

The Fed seems unperturbed thus far by the trade war prospects and its implications for the economy. After raising the Fed Funds rates for a second time this year in June 2018, forecasts indicate two more increases in 2018 and three more during the 2019 calendar year. While earnings forecasts remain robust, the same trends the Fed is watching are beginning to impact many companies experiencing cost pressures from labor, raw materials, and freight. The prospect of tariffs further driving up costs is another wildcard in this equation, as we have seen with steel prices. The surge in oil prices recently has also become an issue for many companies and has reduced the net tax windfall for consumers as well. Oil jumped nearly 15% in the fiscal fourth quarter in spite of record U.S. production, as the administration’s toughened stance on Iran has led to concerns of OPEC (Organization of the Petroleum Exporting Countries) related shortages.

Notwithstanding the narrow market leadership behind FANG stocks, there has been significant stock dispersion providing the opportunity for some active management to outperform. We have benefitted from the impact of new management on many of our holdings and continue to see pressure from activists and institutional shareholders to compel better corporate governance. In spite of the daily headlines, business confidence is sustaining at a high level, leading to a pick-up in capital expenditures and a variety of portfolio moves from spin-offs to divestitures of non-core businesses. We remain focused on those management teams demonstrating good capital discipline at a time of record merger and acquisition activity (M&A), recognizing it is generally better to be a seller than a buyer at this point in the economic cycle and with elevated transaction multiples.

The following is a discussion of factors that influenced the performance of each of the CRM Funds during the twelve-month period ended June 30, 2018.

CRM Small Cap Value Fund returned 11.44% and 11.17% for the Institutional and Investor Share classes, respectively, in the fiscal year, as compared to 13.10% and 17.57% for the Russell 2000® Value Index and the Russell 2000® Index, respectively2. Stock selection across the Energy and Financial Services sectors detracted from the Fund’s performance relative to the benchmark. Individual holdings that negatively impacted performance included (i) semiconductor solutions provider, MACOM Technology Solutions Holdings, Inc.; (ii) Coca-Cola

 

 

 

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Bottling Co. Consolidated, a bottling and distribution company for Coca-Cola, Inc.; and (iii) metering technology and services company, Itron, Inc. MACOM Technology issued disappointing guidance in the first half of the fiscal year due to spending delays by China-based telecom carriers. In the second half of the fiscal year, the company reported fourth quarter 2017 results that missed expectations as a result of increased competition in the optical transceiver market. Coca-Cola Bottling Co. Consolidated lowered margins in its legacy and acquired territories, largely due to increased commodity costs as well as elevated transportation expenses. The stock is covered by one sell-side analyst, who lowered earnings expectations for the balance of the calendar year 2018. Management initiated a cost savings program, and raised prices in a portion of its beverage bottling portfolio to offset negative raw material and other cost pressures. Itron struggled with tightness in its supply chain, leading to margin compression.

Consumer Discretionary was the largest contributor to performance by the Fund, on a sector basis, due to strong stock selection. Leading contributors to performance for this period included (i) hair salon operator, Regis Corporation; (ii) a branded apparel and accessories manufacturer, G-III Apparel Group, Ltd.; and (iii) Vonage Holdings Corporation, a telecommunications service provider. Regis Corporation reported positive same store sales and growth in EBITDA3 as the company began to see the early benefits of the new CEO’s 120-day plan. Regis had its first sell-side analyst initiate coverage during the first half of the fiscal year, which yielded a favorable rating. Regis also announced the sale of its underperforming mall-based and international businesses, which furthers the company’s capital-light franchised model. G-III Apparel Group reported better than expected earnings and benefitted from a strengthening apparel backdrop in the U.S. Vonage reported strong third quarter 2017 results and increased guidance for the year. Despite solid execution, the stock continued to trade at a discount to its peers.

CRM Small/Mid Cap Value Fund returned 17.03% and 16.75% for the Institutional and Investor Share classes, respectively, in the period, as compared to 11.49% and 16.24% for the Russell 2500™ Value Index and the Russell 2500™ Index, respectively4. Performance across all sectors in the Fund was positive with the exception of Consumer Staples. Producer Durables and Consumer Discretionary were the largest contributors to performance on a sector basis due to strong stock selection. Individual holdings that were leading contributors to performance included (i) Nutanix, Inc., a cloud computing company; (ii) Vonage Holdings Corporation, a telecommunications service provider; and (iii) TriNet Group, Inc., a human resources outsourcing solutions provider. During the period, Nutanix announced it was transitioning from selling a bundle of hardware and software to a software-only product. The company also reported fourth quarter 2017 revenues exceeding expectations, assuaging fears its transition towards a software model might impact operations. Additionally, management provided a robust outlook for its market opportunity at its analyst day in March 2018. Vonage reported strong third quarter 2017 results and increased guidance for the year. Despite solid execution, the stock continued to trade at a discount to its peers. TriNet Group exceeded 1Q18 EBITDA3 expectations and noted its core verticals were growing in the low to mid-teens. TriNet hired several senior management executives to focus on client retention and growth in a largely under-penetrated end market.

Consumer Staples was the only detractor on a sector basis, mainly due to stock selection. Additionally, stock selection in Energy was a headwind to performance. Individual holdings that negatively affected performance included (i) TreeHouse Foods, Inc., a food manufacturer; (ii) semiconductor solutions provider, MACOM Technology Solutions Holdings, Inc.; and (iii) Basic Energy Services, Inc., an oilfield services company. TreeHouse Foods provided lower than expected 2018 earnings guidance mainly due to short-term margin headwinds from higher costs, an issue affecting the entire packaged food space. MACOM Technology issued disappointing guidance in the first half of the fiscal year due to spending delays by China-based telecom carriers. In the second half

 

 

 

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of the fiscal year, the company reported fourth quarter 2017 results that missed expectations as a result of increased competition in the optical transceiver market. Basic Energy reported disappointing second quarter 2017 earnings due to operational issues it had in the field, and disappointing fourth quarter 2017 earnings fueled by a combination of weather issues and seasonal weakness in customer demand.

CRM Mid Cap Value Fund returned 18.04% and 17.80% for the Institutional and Investor Share classes, respectively, in the fiscal year, as compared to 7.60% and 12.33% for the Russell Midcap® Value Index and the Russell Midcap® Index, respectively5.All sectors contributed positive performance to the Fund with the exception of Consumer Staples. Strong stock selection in most sectors contributed to our outperformance relative to the primary benchmark. Individual holdings that contributed positively to performance during the period included (i) natural gas exploration and production company, Continental Resources; (ii) Nutanix, Inc., a cloud computing company; and (iii) jewelry manufacturer and retailer, Tiffany & Co. Continental Resources reported strong third quarter 2017 results and laid out a plan to grow production and generate significant cash flow in the 2018 calendar year. During the period, Nutanix announced it was transitioning from selling a bundle of hardware and software to a software-only product. The company also reported fourth quarter 2017 revenues exceeding expectations, assuaging fears its transition towards a software model might impact operations. Additionally, management provided a robust outlook for its market opportunity at its analyst day in March 2018. Shares of Tiffany & Co. responded positively to the first North American compensation increase in nine quarters. The company posted better-than-expected first quarter 2018 earnings driven by both revenue and margins.

Despite overall strong performance, negative stock selection in the Consumer Staples sector was a slight headwind. Holdings that detracted from Fund performance during the fiscal year included (i) food manufacturer, TreeHouse Foods, Inc.; (ii) Dentsply Sirona, Inc., a leader in dental equipment and supply; and (iii) Houghton Mifflin Harcourt Company, a K-12 education materials publisher. TreeHouse Foods provided lower than expected 2018 earnings guidance mainly due to short-term margin headwinds from higher costs, an issue affecting the entire packaged food space. Dentsply Sirona provided a weaker view of calendar year 2018 results. The dental industry at large was disrupted by shifts in major distributor and sales channels. Shares of Houghton Mifflin were pressured by a deterioration in the 2017 education materials end market. The company disappointed investors by reducing expectations for its market opportunity in 2018 and providing guidance for another year of negative cash flow.

CRM Large Cap Opportunity Fund returned 10.03% and 9.78% for the Institutional and Investor Share classes, respectively, in the fiscal year, as compared to 6.77% and 14.54% for the Russell 1000® Value Index and the Russell 1000® Index, respectively6. The Fund outperformed the Russell 1000 Value Index, mainly driven by strong stock selection within the Consumer Discretionary sector. Leading individual contributors to Fund performance included (i) jewelry manufacturer and retailer, Tiffany & Co.; (ii) Palo Alto Networks, Inc., a leading cybersecurity company; and (iii) discount variety store chain, Dollar Tree, Inc. Shares of Tiffany & Co. responded positively to the first North American compensation increase in nine quarters. The company posted better-than-expected first quarter 2018 earnings driven by both revenue and margins. Palo Alto Networks reported strong earnings in the second half of the fiscal year, as the company improved its sales force execution and re-established its role as the share taker within the firewall market. Dollar Tree posted significantly better earnings during the third quarter 2017 driven by strong revenue and margins.

Health Care was the only detractor from performance on a sector basis. This was mainly due to negative stock selection as two of the top individual detractors from performance were Health Care stocks. Individual holdings that detracted from Fund performance during the period included: (i) multi-national pharmaceutical, Allergan

 

 

 

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plc; (ii) Dentsply Sirona, Inc., a leader in dental equipment and supply; and (iii) EQT GP Holdings LP, a midstream Master Limited Partnership (MLP) spun out of EQT Corporation. Negative sentiment weighed on shares of Allergan during the period. A potential competitor to BOTOX® released positive data on a longer acting toxin. Even though this data was positive, we viewed the threat as overstated. Dentsply Sirona provided a weaker view of calendar year 2018 results. The dental industry at large is being disrupted by shifts in major distributor and sales channels. EQT Corporation, a natural gas exploration and production company, announced its intentions to spin-out its ownership of EQT GP Holdings. While we viewed this as positive news, the company was not immune to pressures impacting MLPs broadly as a result of rising interest rates and a Federal Energy Regulatory Commission (FERC) decision to revise tariffs downward on certain pipelines.

CRM All Cap Value returned 11.63% and 11.20% for the Institutional and Investor Share classes, respectively, during the period, as compared to 7.25% and 14.78% for the Russell 3000® Value Index and the Russell 3000® Index, respectively7. The Fund outperformed the Russell 3000 Value Index due to strong stock selection, most notably in the Producer Durables and Financial Services sectors. Leading contributors to Fund performance were (i) jewelry manufacturer and retailer, Tiffany & Co.; (ii) natural gas exploration and production company, Continental Resources, Inc.; and (iii) FLIR Systems, Inc., a designer and manufacturer of thermal imaging and broadcast camera systems. Shares of Tiffany & Co. responded positively to the first North American compensation increase in nine quarters. The company posted better-than-expected first quarter 2018 earnings driven by both revenue and margins. Continental Resources reported strong third quarter 2017 results and laid out a plan to grow production and generate significant cash flow in the 2018 calendar year. Further, the company is proving to be one of the most capital efficient oil producers in the U.S. FLIR Systems announced a large new business contract from the U.S. Army in the first half of the fiscal year and subsequently delivered a strong earnings report.

Consumer Staples and Materials & Processing were the bottom performers during the period. Stock selection in both sectors was a headwind during the fiscal year. Individual holdings that negatively impacted performance included (i) multi-national pharmaceutical, Allergan PLC; (ii) Edgewell Personal Care Company, a consumer products company; and (iii) Houghton Mifflin Harcourt Company, a K-12 education materials publisher. Negative sentiment weighed on shares of Allergan during the period. A potential competitor to BOTOX® released positive data on a longer acting toxin. Even though this data was positive, we viewed the threat as overstated. Shares of Edgewell Personal Care were pressured by overall investor concern regarding consumer staples and traditional health and beauty care businesses. The company reported weaker than expected earnings in the fourth quarter 2017, driven by misses in its wet shave and feminine care businesses and a weak revenue outlook. Shares of Houghton Mifflin were pressured by a deterioration in the 2017 education materials end market. The company disappointed investors by reducing expectations for its market opportunity in 2018 and providing guidance for another year of negative cash flow.

Sincerely,

 

LOGO

Ronald H. McGlynn

Chairman, Cramer Rosenthal McGlynn, LLC

President, CRM Mutual Fund Trust

 

 

 

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1S&P 500® Index is an index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. It is not possible to invest directly in an index.

2Russell 2000® Value Index is the Fund’s benchmark. The Russell 2000® Value Index measures the performance of those companies in the Russell 2000® Index with lower price-to-book ratios and lower forecasted growth values. The Russell 2000® Index is an unmanaged, capitalization weighted index of 2,000 small cap U.S. companies. It is not possible to invest directly in an index.

3EBITDA stands for earnings before interest, taxes, depreciation and amortization.

4Russell 2500™ Value Index is the Fund’s benchmark. The Russell 2500™ Value Index is an unmanaged index that measures the performance of those companies in the Russell 2500™ Index with lower price-to-book ratios and lower forecasted growth values. The Russell 2500™ Index is an unmanaged index that measures the performance of the 2,500 smallest companies in the Russell 3000® Index. It is not possible to invest directly in an index.

5Russell Midcap® Value Index is the Fund’s benchmark. The Russell Midcap® Value Index measures the performance of those companies in the Russell Midcap® Index with lower price-to-book ratios and lower forecasted growth values. The Russell Midcap® Index measures the performance of the 800 smallest companies in the Russell 1000® Index, which represents the performance of the 1,000 largest companies in the U.S. equity market. It is not possible to invest directly in an index.

6Russell 1000® Value Index is the Fund’s benchmark. The Russell 1000® Value Index is an unmanaged index that measures the performance of those companies in the Russell 1000® Index with lower price-to-book ratios and lower forecasted growth values. The Russell 1000® Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000® Index. The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization. It is not possible to invest directly in an index.

7Russell 3000® Value Index is the Fund’s benchmark. The Russell 3000® Value Index measures the performance of those companies in the Russell 3000® Index with lower price-to-book ratios and lower forecasted growth values. The Russell 3000® Index is an unmanaged, capitalization weighted index of the 3,000 largest U.S. companies which represent approximately 98% of the investable U.S. equity market. It is not possible to invest directly in an index.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. During the period, certain fees and expenses were waived by the Funds’ service providers. Without these waivers, total returns would have been lower. Additional performance figures for the Funds can be found in Comparison of Change in Value section of this report.

Fund holdings and sector allocations are subject to change at any time and are not recommendations to buy or sell any security. Please refer to the Schedules of Investments for a complete list of Fund holdings. Opinions expressed herein are as of June 30, 2018 and are subject to change at any time, are not guaranteed, and should not be considered investment advice.

Investments in small and mid capitalization companies generally are more volatile due to limited product lines, fewer capital resources and less depth of management than larger companies. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic values. Investments in foreign securities, including emerging markets, involve special risks such as greater social, economic, regulatory, and political uncertainties, and currency fluctuation.

This report must be preceded or accompanied by the current prospectus for the Funds. Before investing, you should carefully read the prospectus and consider the investment objectives, risks, charges and expenses of the Funds. Additional copies of the prospectus may be obtained at www.crmfunds.com or at (800) CRM-2883.

Distributed by ALPS Distributors, Inc.

 

 

 

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CRM FUNDS

CRM SMALL CAP VALUE FUND

COMPARISON OF CHANGE IN VALUE (Unaudited)

June 30, 2018

 

 

 

 

The following information compares the performance of the CRM Small Cap Value Fund (“Fund”) with the performance of the Russell 2000® Index and Russell 2000® Value Index. The Russell 2000® Index is an unmanaged, capitalization-weighted index of 2,000 small capitalization U.S. companies. The Russell 2000® Value Index measures the performance of those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values. Total return for the Fund assumes reinvestment of dividends and distributions. The index returns reflect the reinvestment of dividends, but exclude the effect of any expenses, which have been deducted from the Fund’s return. The performance in the below tables and graphs does not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemption of Fund shares.

Compared to mutual funds that focus on large capitalization companies, shares of the Fund may be more volatile because of the Fund’s focus on smaller capitalization companies. These companies are more likely to have more limited product lines, fewer capital resources and less depth of management than larger companies.

CRM Small Cap Value Fund — Investor Shares vs. Russell 2000® Index and

Russell 2000® Value Index1

 

LOGO

Expense Ratio (per prospectus dated 10/27/17, as supplemented on 04/11/18) - 1.16%

 

1 

The Fund is professionally managed, while the indices are unmanaged and are not available for investment.

This line graph for Investor Shares shows values based on an assumed investment of $10,000.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Fund’s expense ratio may fluctuate over time, and vary from the Fund’s expenses for the period covered by this report. Please refer to the financial highlights for a more current expense ratio.

 

 

     

 

CRM Funds

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CRM FUNDS

CRM SMALL CAP VALUE FUND

COMPARISON OF CHANGE IN VALUE (Unaudited) (Concluded)

June 30, 2018

 

 

 

 

CRM Small Cap Value Fund — Institutional Shares vs. Russell 2000® Index and

Russell 2000® Value Index1

 

LOGO

Expense Ratio (per prospectus dated 10/27/17, as supplemented on 04/11/18) - 0.92%

 

1 

The Fund is professionally managed, while the indices are unmanaged and are not available for investment.

The line graph for Institutional Shares shows values based on an assumed investment of $1,000,000.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Fund’s expense ratio may fluctuate over time, and vary from the Fund’s expenses for the period covered by this report. Please refer to the financial highlights for a more current expense ratio.

 

 

     

 

CRM Funds

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CRM FUNDS

CRM SMALL/MID CAP VALUE FUND

COMPARISON OF CHANGE IN VALUE (Unaudited)

June 30, 2018

 

 

 

 

The following information compares the performance of the CRM Small/Mid Cap Value Fund (“Fund”) with the performance of the Russell 2500™ Index and Russell 2500™ Value Index. The Russell 2500™ Value Index is an unmanaged index that measures the performance of those companies in the Russell 2500™ Index with lower price-to-book ratios and lower forecasted growth values. The Russell 2500™ Index measures the performance of the 2,500 smallest companies in the Russell 3000® Index, which represents the performance of the 3,000 largest U.S. companies. Total return for the Fund assumes reinvestment of dividends and distributions. The index returns reflect the reinvestment of dividends, but exclude the effect of any expenses, which have been deducted from the Fund’s return. The performance in the below tables and graphs does not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemption of Fund shares.

Compared to mutual funds that focus on large capitalization companies, shares of the Fund may be more volatile because of the Fund’s focus on smaller capitalization companies. These companies are more likely to have more limited product lines, fewer capital resources and less depth of management than larger companies.

CRM Small/Mid Cap Value Fund — Investor Shares vs. Russell 2500™ Index

and Russell 2500™ Value Index1

 

LOGO

Expense Ratio (per prospectus dated 10/27/17, as supplemented on 07/16/18) - 1.15%

 

1 

The Fund is professionally managed, while the indices are unmanaged and are not available for investment.

The line graph for Investor Shares shows values based on an assumed investment of $10,000.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Fund’s expense ratio may fluctuate over time, and vary from the Fund’s expenses for the period covered by this report. Please refer to the financial highlights for a more current expense ratio.

 

 

     

 

CRM Funds

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CRM FUNDS

CRM SMALL/MID CAP VALUE FUND

COMPARISON OF CHANGE IN VALUE (Unaudited) (Concluded)

June 30, 2018

 

 

 

 

CRM Small/Mid Cap Value Fund — Institutional Shares vs. Russell 2500™ Index

and Russell 2500™ Value Index1

 

LOGO

Expense Ratio (per prospectus dated 10/27/17, as supplemented on 07/16/18) - 0.94%

 

1 

The Fund is professionally managed, while the indices are unmanaged and are not available for investment.

The line graph for Institutional Shares shows values based on an assumed investment of $1,000,000.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Fund’s expense ratio may fluctuate over time, and vary from the Fund’s expenses for the period covered by this report. Please refer to the financial highlights for a more current expense ratio.

 

 

     

 

CRM Funds

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CRM FUNDS

CRM MID CAP VALUE FUND

COMPARISON OF CHANGE IN VALUE (Unaudited)

June 30, 2018

 

 

 

 

The following information compares the performance of the CRM Mid Cap Value Fund (“Fund”) with the performance of the Russell Midcap® Index and Russell Midcap® Value Index. The Russell Midcap® Index measures the performance of 800 of the smallest companies in the Russell 1000® Index. The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents the performance of the 3,000 largest U.S. companies. The Russell Midcap® Value Index measures the performance of those Russell Midcap® Index companies with lower price-to-book ratios and lower forecasted growth values. Total return for the Fund assumes reinvestment of dividends and distributions. The index returns reflect reinvestment of dividends but exclude the effect of any expenses, which have been deducted from the Fund’s return. The performance in the below tables and graphs does not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemption of Fund shares.

Compared to mutual funds that focus on large capitalization companies, shares of the Fund may be more volatile because the Fund invests in mid capitalization companies. These companies are more likely to have more limited product lines, fewer capital resources and less depth of management than larger companies.

CRM Mid Cap Value Fund — Investor Shares vs. Russell Midcap® Index and

Russell Midcap® Value Index1

 

LOGO

Expense Ratio (per prospectus dated 10/27/17) - 1.16%

 

1 

The Fund is professionally managed, while the indices are unmanaged and are not available for investment.

The line graph for Investor Shares shows values based on an assumed investment of $10,000.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Fund’s expense ratio may fluctuate over time, and vary from the Fund’s expenses for the period covered by this report. Please refer to the financial highlights for a more current expense ratio.

 

 

     

 

CRM Funds

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CRM FUNDS

CRM MID CAP VALUE FUND

COMPARISON OF CHANGE IN VALUE (Unaudited) (Concluded)

June 30, 2018

 

 

 

 

CRM Mid Cap Value Fund — Institutional Shares vs. Russell Midcap® Index and

Russell Midcap® Value Index1

 

LOGO

Expense Ratio (per prospectus dated 10/27/17) - 0.95%

 

1

The Fund is professionally managed, while the indices are unmanaged and are not available for investment.

This line graph for Institutional Shares shows values based on an assumed investment of $1,000,000.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Fund’s expense ratio may fluctuate over time, and vary from the Fund’s expenses for the period covered by this report. Please refer to the financial highlights for a more current expense ratio.

 

 

     

 

CRM Funds

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CRM FUNDS

CRM LARGE CAP OPPORTUNITY FUND

COMPARISON OF CHANGE IN VALUE (Unaudited)

June 30, 2018

 

 

 

 

The following information compares the performance of the CRM Large Cap Opportunity Fund (“Fund”) with the performance of the Russell 1000® Index and Russell 1000® Value Index. The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents the performance of the 3,000 largest U.S. companies. The Russell 1000® Value Index measures the performance of those Russell 1000® companies with lower price-to-book ratios and lower forecasted growth values. Total return for the Fund assumes reinvestment of dividends and distributions. The index returns reflect reinvestment of dividends but exclude the effect of any expenses, which have been deducted from the Fund’s return. The performance in the below tables and graphs does not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemption of Fund shares.

Compared to mutual funds that focus exclusively on large capitalization companies, shares of the Fund may be more volatile because, while the Fund invests in large capitalization companies, the Fund may also invest in mid capitalization companies. These companies are more likely to have more limited product lines, fewer capital resources and less depth of management than larger companies.

CRM Large Cap Opportunity Fund — Investor Shares vs. Russell 1000® Index

and Russell 1000® Value Index1

 

LOGO

Expense Ratios (per prospectus dated 10/27/17) - Gross: 1.06% Net: 0.91%3

 

1 

The Fund is professionally managed, while the indices are unmanaged and are not available for investment.

2 

Total return would have been lower had certain fees and expenses not been waived and/or reimbursed.

3 

The investment adviser has a contractual obligation to waive a portion of its fees and to assume certain expenses of the Fund to the extent that the total annual fund operating expenses, excluding taxes, extraordinary expenses, brokerage commissions, interest and acquired fund fees and expenses, exceed 0.90% of average daily net assets of the share class. The expense limitation is in effect until November 1, 2018.

The line graph for Investor Shares shows values based on an assumed investment of $10,000.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Fund’s expense ratio may fluctuate over time, and vary from the Fund’s expenses for the period covered by this report. Please refer to the financial highlights for a more current expense ratio.

 

 

     

 

CRM Funds

   13   

 

CRM FUNDS

CRM LARGE CAP OPPORTUNITY FUND

COMPARISON OF CHANGE IN VALUE (Unaudited) (Concluded)

June 30, 2018

 

 

 

 

CRM Large Cap Opportunity Fund — Institutional Shares vs. Russell 1000® Index

and Russell 1000® Value Index1

 

LOGO

Expense Ratios (per prospectus dated 10/27/17) - Gross: 0.81% Net: 0.66%3

 

1 

The Fund is professionally managed, while the indices are unmanaged and are not available for investment.

2 

Total return would have been lower had certain fees and expenses not been waived and/or reimbursed.

3 

The investment adviser has a contractual obligation to waive a portion of its fees and to assume certain expenses of the Fund to the extent that the total annual fund operating expenses, excluding taxes, extraordinary expenses, brokerage commissions, interest and acquired fund fees and expenses, exceed 0.65% of average daily net assets of the share class. The expense limitation is in effect until November 1, 2018.

The line graph for Institutional Shares shows values based on an assumed investment of $1,000,000.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Fund’s expense ratio may fluctuate over time, and vary from the Fund’s expenses for the period covered by this report. Please refer to the financial highlights for a more current expense ratio.

 

 

     

 

CRM Funds

   14   

 

CRM FUNDS

CRM ALL CAP VALUE FUND

COMPARISON OF CHANGE IN VALUE (Unaudited)

June 30, 2018

 

 

 

 

The following information compares the performance of the CRM All Cap Value Fund (“Fund”) with the performance of the Russell 3000® Index and the Russell 3000® Value Index. The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies. The Russell 3000® Value Index measures the performance of those Russell 3000® companies with lower price-to-book ratios and lower forecasted growth values. Total return for the Fund assumes reinvestment of dividends and distributions. The index returns reflect the reinvestment of dividends but exclude the effect of any expenses, which have been deducted from the Fund’s return. The performance in the below tables and graphs does not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemption of Fund shares.

Compared to mutual funds that focus exclusively on large capitalization companies, shares of the Fund may be more volatile because, while the Fund may invest in large capitalization companies, the Fund may also invest in small and mid capitalization companies. These companies are more likely to have more limited product lines, fewer capital resources and less depth of management than larger companies.

CRM All Cap Value Fund — Investor Shares vs. Russell 3000® Index

and Russell 3000® Value Index1

 

LOGO

Expense Ratios (per prospectus dated 10/27/17, as supplemented on 04/11/18) - Gross: 1.96% Net: 1.51%3

 

1 

The Fund is professionally managed, while the indices are unmanaged and are not available for investment.

2 

Total return would have been lower had certain fees and expenses not been waived and/or reimbursed.

3 

The investment adviser has a contractual obligation to waive a portion of its fees and to assume certain expenses of the Fund to the extent that the total annual fund operating expenses, excluding taxes, extraordinary expenses, brokerage commissions, interest and acquired fund fees and expenses, exceed 1.50% of average daily net assets of the share class. The expense limitation is in effect until November 1, 2018.

The line graph for Investor Shares shows values based on an assumed investment of $10,000.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Fund’s expense ratio may fluctuate over time, and vary from the Fund’s expenses for the period covered by this report. Please refer to the financial highlights for a more current expense ratio.

 

 

     

 

CRM Funds

   15   

 

CRM FUNDS

CRM ALL CAP VALUE FUND

COMPARISON OF CHANGE IN VALUE (Unaudited) (Concluded)

June 30, 2018

 

 

 

 

CRM All Cap Value Fund — Institutional Shares vs. Russell 3000® Index and

Russell 3000® Value Index1

 

LOGO

Expense Ratios (per prospectus dated 10/27/17, as supplemented on 04/11/18) - Gross: 1.74% Net: 1.26%3

 

1 

The Fund is professionally managed, while the indices are unmanaged and are not available for investment.

2 

Total return would have been lower had certain fees and expenses not been waived and/or reimbursed.

3 

The investment adviser has a contractual obligation to waive a portion of its fees and to assume certain expenses of the Fund to the extent that the total annual fund operating expenses, excluding taxes, extraordinary expenses, brokerage commissions, interest and acquired fund fees and expenses, exceed 1.25% of average daily net assets of the share class. The expense limitation is in effect until November 1, 2018.

The line graph for Institutional Shares shows values based on an assumed investment of $1,000,000.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Fund’s expense ratio may fluctuate over time, and vary from the Fund’s expenses for the period covered by this report. Please refer to the financial highlights for a more current expense ratio.

 

 

     

 

CRM Funds

   16   

 

CRM FUNDS

EXPENSE DISCLOSURE (Unaudited)

 

 

 

DISCLOSURE OF FUND EXPENSES

The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of a Fund, you incur ongoing costs, including management fees, shareholder servicing fees and other Fund expenses. A Fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (January 1, 2018 through June 30, 2018). The “Annualized Expense Ratio” reflects the actual expenses, net of fee waivers, where applicable, for the six-month period January 1, 2018 to June 30, 2018 and may be different from the expense ratio in the Financial Highlights which is for the fiscal year ended June 30, 2018.

The Expense Tables below illustrate your Fund’s expenses in two ways.

 

  •  

Actual fund return.    The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.

 

  •  

Hypothetical 5% return.    The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs that may be levied by other funds, such as sales charges (loads), redemption fees, or exchange fees, if any. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total cost of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The “Annualized Expense Ratio” reflects the actual expenses for the period indicated.

 

 

     

 

CRM Funds

   17   

 

CRM FUNDS

EXPENSE DISCLOSURE (Unaudited) (Concluded)

 

 

 

 

For the Six Months Ended June 30, 2018

Expense Table

 

Fund/Class    Beginning
Account Value
01/01/18		      Ending
Account Value
06/30/18		      Annualized
Expense
Ratio		     Expenses
Paid
During
Period(1)		  

CRM Small Cap Value Fund - Investor Shares

           

Actual Fund Return

      $1,000.00        $   998.20        1.12%       $5.55  

Hypothetical (5% Return Before Expenses)

      $1,000.00        $1,019.24        1.12%       $5.61  

CRM Small Cap Value Fund - Institutional Shares

           

Actual Fund Return

      $1,000.00        $   999.00        0.88%       $4.36  

Hypothetical (5% Return Before Expenses)

      $1,000.00        $1,020.43        0.88%       $4.41  

CRM Small/Mid Cap Value Fund - Investor Shares

           

Actual Fund Return

      $1,000.00        $1,067.70        1.09%       $5.59  

Hypothetical (5% Return Before Expenses)

      $1,000.00        $1,019.39        1.09%       $5.46  

CRM Small/Mid Cap Value Fund - Institutional Shares

           

Actual Fund Return

      $1,000.00        $1,069.30        0.87%       $4.46  

Hypothetical (5% Return Before Expenses)

      $1,000.00        $1,020.48        0.87%       $4.36  

CRM Mid Cap Value Fund - Investor Shares

           

Actual Fund Return

      $1,000.00        $1,076.80        1.08%       $5.56  

Hypothetical (5% Return Before Expenses)

      $1,000.00        $1,019.44        1.08%       $5.41  

CRM Mid Cap Value Fund - Institutional Shares

           

Actual Fund Return

      $1,000.00        $1,077.50        0.88%       $4.53  

Hypothetical (5% Return Before Expenses)

      $1,000.00        $1,020.43        0.88%       $4.41  

CRM Large Cap Opportunity Fund - Investor Shares

           

Actual Fund Return

      $1,000.00        $1,000.00        0.90%       $4.46  

Hypothetical (5% Return Before Expenses)

      $1,000.00        $1,020.33        0.90%       $4.51  

CRM Large Cap Opportunity Fund - Institutional Shares

           

Actual Fund Return

      $1,000.00        $1,001.00        0.65%       $3.22  

Hypothetical (5% Return Before Expenses)

      $1,000.00        $1,021.57        0.65%       $3.26  

CRM All Cap Value Fund - Investor Shares

           

Actual Fund Return

      $1,000.00        $1,017.30        1.50%       $7.50  

Hypothetical (5% Return Before Expenses)

      $1,000.00        $1,017.36        1.50%       $7.50  

CRM All Cap Value Fund - Institutional Shares

           

Actual Fund Return

      $1,000.00        $1,020.50        1.25%       $6.26  

Hypothetical (5% Return Before Expenses)

      $1,000.00        $1,018.60        1.25%       $6.26  

 

(1)

Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the most recent one-half year period).

 

 

     

 

CRM Funds

   18   

 

CRM FUNDS

DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited)

 

 

 

 

PORTFOLIO HOLDINGS

June 30, 2018

The following tables present a summary of the portfolio holdings of each of the CRM Funds as a percentage of their total investments, excluding short-term investments held as collateral for loaned securities.

 

CRM Small Cap Value Fund - Sector Allocation

    

 

Common Stock

  

Financials

     23.9%

Industrials

     18.4

Information Technology

     13.2

Consumer Discretionary

       8.5

Consumer Staples

       7.3

Utilities

       5.5

Real Estate

       4.7

Health Care

       4.3

Energy

       4.1

Materials

       4.0

Telecommunication Services

       1.8

Short-Term Investments

       4.3
 

 

  100.0%
 

 

 

CRM Small/Mid Cap Value Fund - Sector Allocation

    

 

Common Stock

  

Financials

     17.2%

Industrials

     14.6

Information Technology

     14.2

Health Care

       9.8

Materials

       8.9

Consumer Discretionary

       8.5

Real Estate

       6.5

Energy

       6.0

Consumer Staples

       4.9

Utilities

       4.0

Telecommunication Services

       1.6

Short-Term Investments

       3.8
 

 

  100.0%
 

 

 

CRM Mid Cap Value Fund - Sector Allocation

    

 

Common Stock

  

Industrials

     16.3%

Consumer Discretionary

     14.2

Information Technology

     12.7

Financials

     10.9

Materials

       9.5

Energy

       8.7

Utilities

       8.2

Health Care

       5.4

Real Estate

       4.9

Consumer Staples

       2.2

Telecommunication Services

       1.8

Short-Term Investments

       5.2
 

 

  100.0%
 

 

 

CRM Large Cap Opportunity Fund - Sector Allocation

    

Common Stock

  

Financials

     21.7%

Information Technology

     16.1

Health Care

     12.7

Industrials

     10.7

Energy

     10.5

Consumer Discretionary

       9.8

Utilities

       4.9

Materials

       4.3

Consumer Staples

       3.7

Telecommunication Services

       2.6

Short-Term Investments

       3.0
 

 

  100.0%
 

 

 

 

 

     

 

CRM Funds

   19   

 

CRM FUNDS

DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) (Concluded)

 

 

 

 

CRM All Cap Value Fund - Sector Allocation

    

Common Stock

  

Information Technology

     20.2%

Financials

     16.1

Health Care

     14.1

Industrials

     12.1

Consumer Discretionary

     10.8

Energy

       9.2

Materials

       5.2

Utilities

       3.6

Telecommunication Services

       2.0

Consumer Staples

       1.8
Short-Term Investments       4.9
 

 

  100.0%
 

 

Portfolio holdings are subject to change at any time.

    

 

 

 

     

 

CRM Funds

   20   

 

CRM FUNDS

CRM SMALL CAP VALUE FUND

SCHEDULE OF INVESTMENTS

June 30, 2018

 

 

 

 

Shares

        

    Value    

Common Stock — 96.1%

   

Consumer Discretionary — 8.6%

   

Consumer Durables & Apparel — 1.9%

   
        153,933    G-III Apparel Group Ltd.1    $  6,834,625
     

 

Consumer Services — 6.7%

   
150,130    Adtalem Global Education, Inc.1    7,221,253
1,012,261    Regis Corp.1    16,742,797
     

 

      23,964,050
     

 

Total Consumer Discretionary

    30,798,675
     

 

Consumer Staples — 7.3%

   

Food & Staples Retailing — 2.6%

   
259,814    Performance Food Group Co.1    9,535,174
     

 

Food, Beverage & Tobacco — 4.7%

   
43,156    Coca-Cola Bottling Co. Consolidated    5,831,670
667,405    Cott Corp.2    11,045,553
     

 

      16,877,223
     

 

Total Consumer Staples

    26,412,397
     

 

Energy — 4.1%

   

Energy Equipment & Services — 1.7%

   
442,016    Keane Group, Inc.1,2    6,042,359
     

 

Oil, Gas & Consumable Fuels — 2.4%

   
820,537    Callon Petroleum Co.1    8,812,567
     

 

Total Energy

    14,854,926
     

 

Financials — 24.0%

   

Banks — 18.7%

   
399,074    Associated Banc-Corp.    10,894,720
274,040    Bancorp South Bank    9,029,618
60,049    Bank of Hawaii Corp.    5,009,288
701,566    Boston Private Financial Holdings, Inc.    11,154,899
464,679    First Horizon National Corp.    8,289,873
380,768    First Midwest Bancorp, Inc.    9,698,161
194,265    Hancock Whitney Corp.    9,062,462
88,602    MB Financial, Inc.    4,137,714
     

 

      67,276,735
     

 

Diversified Financials — 3.4%

   
255,286    Investment Technology Group, Inc.    5,340,583
133,603    Stifel Financial Corp.    6,980,757
     

 

      12,321,340
     

 

Insurance — 1.9%

   
155,394    Horace Mann Educators Corp.    6,930,573
     

 

Total Financials

    86,528,648
     

 

Health Care — 4.3%

   

Health Care Equipment & Services — 4.3%

   
61,036    CONMED Corp.    4,467,835
210,413    Omnicell, Inc.1    11,036,162
     

 

Total Health Care

    15,503,997
     

 

Shares

        

    Value    

Industrials — 18.5%

   

Capital Goods — 15.9%

   
178,794    Actuant Corp. — Class A    $ 5,247,604
132,827    Albany International Corp. - Class A    7,989,544
37,764    Curtiss-Wright Corp.    4,494,671
75,976    EnPro Industries, Inc.    5,314,521
229,628    JELD-WEN Holding,Inc.1    6,565,065
64,144    John Bean Technologies Corp.    5,702,402
269,341    MRC Global, Inc.1    5,836,619
806,478    Mueller Water Products, Inc. — Class A    9,451,922
194,427    SPX Corp.1    6,814,666
     

 

      57,417,014
     

 

Commercial & Professional Services — 2.6%

   
164,627    Clean Harbors, Inc.1    9,145,030
     

 

Total Industrials

    66,562,044
     

 

Information Technology — 13.2%

   

Software & Services — 8.4%

   
220,330    Acxiom Corp.1    6,598,884
101,841    Altair Engineering, Inc. Class A1    3,480,925
342,869    Amber Road, Inc.1    3,226,397
474,171    Brightcove, Inc.1    4,575,750
200,084    Carbonite, Inc.1    6,982,932
96,825    Envestnet, Inc.1    5,320,534
     

 

      30,185,422
     

 

Technology Hardware & Equipment — 4.8%

   
949,435    Extreme Networks, Inc.1    7,557,503
93,084    Itron, Inc.1    5,589,694
74,088    Lumentum Holdings, Inc.1    4,289,695
     

 

      17,436,892
     

 

Total Information Technology

    47,622,314
     

 

Materials —4.0%

   

Chemicals — 4.0%

   
325,243    GCP Applied Technologies, Inc.1    9,415,785
304,383    Venator Materials PLC1,3    4,979,706
     

 

Total Materials

    14,395,491
     

 

Real Estate — 4.8%

   

Diversified REIT’s — 2.5%

   
382,950    Alexander & Baldwin, Inc.    8,999,325
     

 

Office REIT’s — 2.3%

   
281,067    Corporate Office Properties Trust    8,148,132
     

 

Total Real Estate

    17,147,457
     

 

Telecommunication Services — 1.8%

   

Diversified Telecommunication Services — 1.8%

   
514,640    Vonage Holdings Corp.1    6,633,710
     

 

 

 

 

 

See accompanying notes.

      

 

CRM Funds

   21   

 

CRM FUNDS

CRM SMALL CAP VALUE FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2018

 

 

 

 

Shares

               Value      
 

Utilities — 5.5%

   
 

Gas Utilities — 2.8%

   
          133,524      Southwest Gas Holdings, Inc.    $ 10,183,876  
     

 

 

  
 

Multi-Utilities — 2.7%

   
  159,011      Black Hills Corp.2      9,733,063  
     

 

 

  
  Total Utilities      19,916,939  
     

 

 

  
 

Total Common Stock
(Cost $269,272,826)

      346,376,598  
     

 

 

  
  Short-Term Investments — 4.3%   
  7,800,296      Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 1.80%4      7,800,296  
  7,800,297      Federated Treasury Obligations Fund Institutional Series, 1.77%4      7,800,297  
     

 

 

  
 

Total Short-Term Investments
(Cost $15,600,593)

      15,600,593  
     

 

 

  
 

Total Investments Before Short-Term Investments Held
As Collateral For Loaned Securities — 100.4%
(Cost $284,873,419)

      361,977,191  
     

 

 

  

Principal

              
 

Short-Term Investments Held As Collateral For Loaned
Securities — 2.7%
 
  Repurchase Agreements — 2.7%   
  $  483,894      With Bank of Montreal: at 2.03%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $483,976 (collateralized by US Treasury Securities, par values ranging from $0 - $187,445, coupon rates ranging from 0.00% to 4.38%, 08/16/18 - 09/09/49; total market value $493,572)      $    483,894  
  2,300,987      With HSBC Securities USA, Inc.: at 2.10%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $2,301,390 (collateralized by US Treasury Security, par value of $2,350,075, coupon rate of 2.38%, 04/15/21; total market value $2,347,039)      2,300,987  

Principal

               Value      
 

Repurchase Agreements — (continued)

   
  $2,300,987      With Natwest Markets PLC3: at 2.09%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $2,301,388 (collateralized by US Treasury Securities, par values ranging from $256,445 - $1,208,018, coupon rates ranging from 2.50% to 6.63%, 05/15/20 - 05/15/46; total market value $2,347,029)      $2,300,987  
        2,300,987      With NBC Global Finance Ltd.: at 1.95%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $2,301,361 (collateralized by US Treasury Securities, par values ranging from $0 - $636,488, coupon rates ranging from 0.00% to 3.63%, 01/31/20 - 09/09/49; total market value $2,347,013)      2,300,987  
  2,300,987      With Nomura Securities International, Inc.: at 2.10%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $2,301,390 (collateralized by US Treasury Securities, par values ranging from $0 - $357,647, coupon rates ranging from 0.00% to 6.88%, 08/15/18 - 02/15/48; total market value $2,347,007)      2,300,987  
     

 

 

  
  Total Repurchase Agreements      9,687,842  
     

 

 

  
 

Total Short-Term Investments Held As Collateral For
Loaned Securities
(Cost $9,687,842)

      9,687,842  
     

 

 

  
 

Total Investments — 103.1%
(Cost $294,561,261)

      371,665,033 5   
  Liabilities in Excess of Other Assets — (3.1)%      (11,123,755 ) 
     

 

 

  
  Total Net Assets — 100.0%    $ 360,541,278  
     

 

 

  
 

 

 

 

See accompanying notes.

      

 

CRM Funds

   22   

 

CRM FUNDS

CRM SMALL CAP VALUE FUND

SCHEDULE OF INVESTMENTS (Concluded)

June 30, 2018

 

 

 

 

A summary of inputs used to value the Fund’s investments as of June 30, 2018 is as follows (See Note 2 in Notes to Financial Statements):

 

            Level 2   Level 3
    Investments in   Level 1   Significant   Significant
    Securities   Quoted   Observable   Unobservable
     (Value)   Prices   Inputs   Inputs

Investments in Securities:

 

            

Common Stock

     $ 346,376,598     $ 346,376,598       —       —

Short-Term Investments

       15,600,593       15,600,593       —       —

Short-Term Investments Held As Collateral For Loaned Securities

       9,687,842       —     $ 9,687,842       —
   

 

 

      

 

 

      

 

 

      

 

 

  

Total Investments in Securities

     $  371,665,033     $ 361,977,191     $ 9,687,842       —
   

 

 

      

 

 

      

 

 

      

 

 

  

There were no transfers between Level 1, Level 2, and Level 3 during the year ended June 30, 2018.

    

 

 

 

1 

Non-income producing security.

2 

Security partially or fully on loan.

3 

PLC — Public Limited Company.

4 

Rate represents an annualized yield at date of measurement.

5 

At June 30, 2018, the market value of securities on loan for the CRM Small Cap Value Fund was $9,407,000. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities.

 

 

 

See accompanying notes.

      

 

CRM Funds

   23   

 

CRM FUNDS

CRM SMALL/MID CAP VALUE FUND

SCHEDULE OF INVESTMENTS

June 30, 2018

 

 

 

 

Shares

          Value        
 

Common Stock — 97.4%

   
 

Consumer Discretionary — 8.6%

   
 

Consumer Durables & Apparel — 3.7%

   
  150,635      G-III Apparel Group Ltd.1    $  6,688,194  
            27,186      PVH Corp.      4,070,288  
     

 

 

  
        10,758,482  
     

 

 

  
 

Consumer Services — 4.9%

   
  139,085      Adtalem Global Education, Inc.1      6,689,988  
  27,658      Vail Resorts, Inc.      7,583,547  
     

 

 

  
        14,273,535  
     

 

 

  
 

Total Consumer Discretionary

      25,032,017  
     

 

 

  
 

Consumer Staples — 5.0%

   
 

Food & Staples Retailing — 2.7%

   
  213,932      Performance Food Group Co.1      7,851,305  
     

 

 

  
 

Food, Beverage & Tobacco — 2.3%

   
  126,469      TreeHouse Foods, Inc.1      6,640,887  
     

 

 

  
 

Total Consumer Staples

      14,492,192  
     

 

 

  
 

Energy — 6.1%

   
 

Energy Equipment & Services — 1.8%

   
  125,834      Apergy Corp.1      5,253,569  
     

 

 

  
 

Oil, Gas & Consumable Fuels — 4.3%

   
  664,888      Callon Petroleum Co.1      7,140,897  
  71,002      Energen Corp.1      5,170,366  
     

 

 

  
        12,311,263  
     

 

 

  
 

Total Energy

      17,564,832  
     

 

 

  
 

Financials — 17.4%

   
 

Banks — 12.0%

   
  318,189      Associated Banc-Corp.      8,686,559  
  281,325      First Midwest Bancorp, Inc.      7,165,348  
  157,146      Hancock Whitney Corp.      7,330,861  
  309,463      KeyCorp.      6,046,907  
  87,264      Webster Financial Corp.      5,558,717  
     

 

 

  
        34,788,392  
     

 

 

  
 

Diversified Financials — 1.3%

   
  73,243      Stifel Financial Corp.      3,826,947  
     

 

 

  
 

Insurance — 4.1%

   
  51,248      American Financial Group, Inc.      5,500,448  
  54,720      Hanover Insurance Group, Inc. (The)      6,542,323  
     

 

 

  
        12,042,771  
     

 

 

  
 

Total Financials

      50,658,110  
     

 

 

  
 

Health Care — 9.9%

   
 

Health Care Equipment & Services — 7.4%

   
  30,065      Cooper Companies, Inc. (The)      7,078,804  
  163,885      Omnicell, Inc.1      8,595,769  
  54,698      STERIS PLC2      5,743,837  
     

 

 

  
        21,418,410  
     

 

 

  

Shares

          Value        
 

Health Care — (continued)

   
 

Pharmaceuticals, Biotechnology & Life Sciences — 2.5%

   
            25,684      Bio-Rad Laboratories, Inc. - Class A1    $  7,410,861  
     

 

 

  
 

Total Health Care

      28,829,271  
     

 

 

  
 

Industrials — 14.8%

   
 

Capital Goods — 9.3%

   
  148,621      Actuant Corp. — Class A      4,362,026  
  29,595      Curtiss-Wright Corp.      3,522,397  
  134,355      SPX FLOW, Inc.1      5,880,719  
  32,969      Teledyne Technologies, Inc.1      6,562,809  
  98,605      Xylem, Inc.      6,644,005  
     

 

 

  
        26,971,956  
     

 

 

  
 

Commercial & Professional Services — 5.5%

   
  129,556      Clean Harbors, Inc.1      7,196,836  
  156,024      TriNet Group, Inc.1      8,727,982  
     

 

 

  
        15,924,818  
     

 

 

  
 

Total Industrials

      42,896,774  
     

 

 

  
 

Information Technology — 14.4%

   
 

Semiconductors & Semiconductor Equipment — 2.3%

   
  105,489      Cree, Inc.1      4,385,178  
  105,157      MACOM Technology Solutions Holdings, Inc.1,3      2,422,817  
     

 

 

  
        6,807,995  
     

 

 

  
 

Software & Services — 8.3%

   
  114,449      Black Knight, Inc.1      6,128,744  
  111,319      CommVault Systems, Inc.1      7,330,356  
  50,128      PTC, Inc.1      4,702,508  
  71,937      Worldpay, Inc. — Class A1      5,883,008  
     

 

 

  
        24,044,616  
     

 

 

  
 

Technology Hardware & Equipment — 3.8%

   
  129,466      FLIR Systems, Inc.      6,728,348  
  74,441      Lumentum Holdings, Inc.1,3      4,310,134  
     

 

 

  
        11,038,482  
     

 

 

  
 

Total Information Technology

      41,891,093  
     

 

 

  
 

Materials —9.0%

   
 

Chemicals — 9.0%

   
  249,453      GCP Applied Technologies, Inc.1      7,221,664  
  201,973      RPM International, Inc.      11,779,065  
  97,211      W.R. Grace & Co.      7,126,539  
     

 

 

  
 

Total Materials

      26,127,268  
     

 

 

  
 

Real Estate — 6.6%

   
 

Diversified REIT’s — 2.0%

   
  337,864      Empire State Realty Trust, Inc. — Class A      5,777,474  
     

 

 

  
 

Office REIT’s — 4.6%

   
  224,509      Corporate Office Properties Trust      6,508,516  
 

 

 

 

See accompanying notes.

      

 

CRM Funds

   24   

 

CRM FUNDS

CRM SMALL/MID CAP VALUE FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2018

 

 

 

 

Shares

        Value      
 

Real Estate — (continued)

  
 

Office REIT’s — (continued)

   
          221,150      Equity Commonwealth1    $ 6,966,225  
     

 

 

  
        13,474,741  
     

 

 

  
 

Total Real Estate

      19,252,215  
     

 

 

  
 

Telecommunication Services — 1.6%

   
 

Diversified Telecommunication Services — 1.6%

   
  356,856      Vonage Holdings Corp.1      4,599,874  
     

 

 

  
 

Utilities — 4.0%

   
 

Multi-Utilities — 2.6%

   
  282,761      NiSource, Inc.      7,430,959  
     

 

 

  
 

Water Utilities — 1.4%

   
  49,314      American Water Works Co., Inc.      4,210,429  
     

 

 

  
 

Total Utilities

      11,641,388  
     

 

 

  
 

Total Common Stock
(Cost $210,755,398)

      282,985,034  
     

 

 

  
 

Short-Term Investments — 3.8%

   
  5,579,002      Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 1.80%4      5,579,002  
  5,579,002      Federated Treasury Obligations Fund Institutional Series, 1.77%4      5,579,002  
     

 

 

  
 

Total Short-Term Investments
(Cost $11,158,004)

   

 

11,158,004

 

     

 

 

  
 

Total Investments Before Short-Term Investments Held
As Collateral For Loaned Securities — 101.2%
(Cost $221,913,402)

      294,143,038  
     

 

 

  

Principal

       
 

Short-Term Investments Held As Collateral For Loaned
Securities — 2.4%
 
 

Repurchase Agreements — 2.4%

   
  $340,776      With Bank of Montreal: at 2.03%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $340,834 (collateralized by US Treasury Securities, par values ranging from $0 - $132,005, coupon rates ranging from 0.00% to 4.38%, 08/16/18 - 09/09/49; total market value $347,592)      $340,776  

Principal

               Value      
 

Repurchase Agreements — (continued)

   
      $1,620,217      With HSBC Securities USA, Inc.: at 2.10%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $1,620,501 (collateralized by US Treasury Security, par value of $1,654,782, coupon rate of 2.38%, 04/15/21; total market value $1,652,644)    $ 1,620,217  
  1,620,217      With Natwest Markets PLC2.: at 2.09%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $1,620,499 (collateralized by US Treasury Securities, par values ranging from $180,573 - $850,614, coupon rates ranging from 2.50% to 6.63%, 05/15/20 - 05/15/46; total market value $1,652,637)      1,620,217  
  1,620,217      With NBC Global Finance Ltd.: at 1.95%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $1,620,480 (collateralized by US Treasury Securities, par values ranging from $0 - $448,177, coupon rates ranging from 0.00% to 3.63%, 01/31/20 - 09/09/49; total market value $1,652,626)      1,620,217  
  1,620,217      With Nomura Securities International, Inc.: at 2.10%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $1,620,501 (collateralized by US Treasury Securities, par values ranging from $0 - $251,834, coupon rates ranging from 0.00% to 6.88%, 08/15/18 - 02/15/48; total market value $1,652,622)      1,620,217  
     

 

 

  
 

Total Repurchase Agreements

      6,821,644  
     

 

 

  
 

Total Short-Term Investments Held As Collateral For
Loaned Securities
(Cost $6,821,644)

      6,821,644  
     

 

 

  
 

Total Investments — 103.6%
(Cost $228,735,046)

      300,964,682 5   
 

Liabilities in Excess of Other Assets — (3.6)%

      (10,420,640 ) 
     

 

 

  
 

Total Net Assets — 100.0%

    $ 290,544,042  
     

 

 

  
 

 

 

 

See accompanying notes.

      

 

CRM Funds

   25   

 

CRM FUNDS

CRM SMALL/MID CAP VALUE FUND

SCHEDULE OF INVESTMENTS (Concluded)

June 30, 2018

 

 

 

 

A summary of inputs used to value the Fund’s investments as of June 30, 2018 is as follows (See Note 2 in Notes to Financial Statements):

 

     Investments in
Securities
(Value)		  

Level 1

Quoted

Prices

   Level 2
Significant
Observable
Inputs		  

Level 3
Significant

Unobservable
Inputs

Investments in Securities:

 

            

Common Stock

     $ 282,985,034     $ 282,985,034       —       —

Short-Term Investments

       11,158,004       11,158,004       —       —

Short-Term Investments Held As Collateral For Loaned Securities

       6,821,644       —       $6,821,644       —
   

 

 

      

 

 

      

 

 

      

 

 

  

Total Investments in Securities

     $ 300,964,682     $ 294,143,038     $ 6,821,644       —
   

 

 

      

 

 

      

 

 

      

 

 

  

There were no transfers between Level 1, Level 2, and Level 3 during the year ended June 30, 2018.

    

 

 

 

1 

Non-income producing security.

2 

PLC — Public Limited Company.

3 

Security partially or fully on loan.

4 

Rate represents an annualized yield at date of measurement.

5 

At June 30, 2018, the market value of securities on loan for the CRM Small/Mid Cap Value Fund was $6,732,951. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities.

 

 

 

See accompanying notes.

      

 

CRM Funds

   26   

 

CRM FUNDS

CRM MID CAP VALUE FUND

SCHEDULE OF INVESTMENTS

June 30, 2018

 

 

 

 

Shares

               Value      
 

Common Stock — 95.4%

   
 

Consumer Discretionary — 14.3%

   
 

Consumer Durables & Apparel — 3.3%

   
          50,440      Mohawk Industries, Inc.1    $   10,807,779  
  51,156      PVH Corp.      7,659,076  
     

 

 

  
        18,466,855  
     

 

 

  
 

Consumer Services — 7.1%

   
  261,741      Adtalem Global Education, Inc.1      12,589,742  
  242,451      Aramark      8,994,932  
  448,703      Houghton Mifflin Harcourt Co.1      3,432,578  
  52,009      Vail Resorts, Inc.      14,260,348  
     

 

 

  
        39,277,600  
     

 

 

  
 

Retailing — 3.9%

   
  163,909      Tiffany & Co.      21,570,424  
     

 

 

  
 

Total Consumer Discretionary

      79,314,879  
     

 

 

  
 

Consumer Staples — 2.2%

   
 

Food, Beverage & Tobacco — 2.2%

   
  235,888      TreeHouse Foods, Inc.1      12,386,479  
     

 

 

  
 

Energy — 8.8%

   
 

Energy Equipment & Services — 1.8%

   
  237,574      Apergy Corp.1      9,918,715  
     

 

 

  
 

Oil, Gas & Consumable Fuels — 7.0%

   
  202,113      Continental Resources, Inc.1      13,088,838  
  195,142      Energen Corp.1      14,210,240  
  377,486      Parsley Energy, Inc. — Class A1      11,430,276  
     

 

 

  
        38,729,354  
     

 

 

  
 

Total Energy

      48,648,069  
     

 

 

  
 

Financials — 10.9%

   
 

Banks — 6.3%

   
  362,542      Associated Banc-Corp.      9,897,397  
  337,118      BancorpSouth Bank      11,108,038  
  720,519      KeyCorp.      14,078,941  
     

 

 

  
        35,084,376  
     

 

 

  
 

Diversified Financials — 2.4%

   
  146,779      Nasdaq, Inc.      13,396,520  
     

 

 

  
 

Insurance — 2.2%

   
  101,877      Hanover Insurance Group, Inc. (The)      12,180,414  
     

 

 

  
 

Total Financials

      60,661,310  
     

 

 

  
 

Health Care — 5.4%

   
 

Health Care Equipment & Services — 2.8%

   
  104,566      DENTSPLY SIRONA, Inc.      4,576,854  
  103,737      STERIS PLC2      10,893,422  
     

 

 

  
        15,470,276  
     

 

 

  
 

Pharmaceuticals, Biotechnology & Life Sciences — 2.6%

   
  51,464      Bio-Rad Laboratories, Inc. - Class A1      14,849,423  
     

 

 

  
 

Total Health Care

      30,319,699  
     

 

 

  

Shares

               Value      
 

Industrials — 16.4%

   
 

Capital Goods — 11.4%

   
        199,824      AMETEK, Inc.    $   14,419,300  
  195,980      Dover Corp.      14,345,736  
  248,978      SPX FLOW, Inc.1      10,897,767  
  55,245      Teledyne Technologies, Inc.1      10,997,070  
  186,722      Xylem, Inc.      12,581,328  
     

 

 

  
        63,241,201  
     

 

 

  
 

Commercial & Professional Services — 5.0%

   
  312,154      IHS Markit Ltd.1      16,104,025  
  206,805      TriNet Group, Inc.1      11,568,672  
     

 

 

  
        27,672,697  
     

 

 

  
 

Total Industrials

      90,913,898  
     

 

 

  
 

Information Technology — 12.8%

   
 

Semiconductors & Semiconductor Equipment — 2.5%

   
  153,909      Microchip Technology, Inc.3      13,998,024  
     

 

 

  
 

Software & Services — 6.1%

   
  212,439      Black Knight, Inc.1      11,376,108  
  203,907      CommVault Systems, Inc.1      13,427,276  
  94,431      PTC, Inc.1      8,858,572  
     

 

 

  
        33,661,956  
     

 

 

  
 

Technology Hardware & Equipment — 4.2%

   
  243,336      FLIR Systems, Inc.      12,646,172  
  52,328      Palo Alto Networks, Inc.1      10,751,834  
     

 

 

  
        23,398,006  
     

 

 

  
 

Total Information Technology

      71,057,986  
     

 

 

  
 

Materials — 9.6%

   
 

Chemicals — 8.2%

   
  141,650      Ashland Global Holdings, Inc.      11,074,197  
  383,395      RPM International, Inc.      22,359,596  
  166,512      W.R. Grace & Co.      12,206,995  
     

 

 

  
        45,640,788  
     

 

 

  
 

Construction Materials — 1.4%

   
  58,415      Vulcan Materials Co.      7,539,040  
     

 

 

  
 

Total Materials

      53,179,828  
     

 

 

  
 

Real Estate — 4.9%

   
 

Office REIT’s — 2.4%

   
  415,381      Equity Commonwealth1      13,084,501  
     

 

 

  
 

Specialized REIT’s — 2.5%

   
  32,965      Equinix, Inc.      14,171,324  
     

 

 

  
 

Total Real Estate

      27,255,825  
     

 

 

  
 

Telecommunication Services — 1.8%

   
 

Diversified Telecommunication Services — 1.8%

   
  274,890      Zayo Group Holdings, Inc.1      10,027,987  
     

 

 

  
 

Utilities — 8.3%

   
 

Gas Utilities — 2.0%

   
  122,810      Atmos Energy Corp.      11,070,093  
     

 

 

  
 

 

 

 

See accompanying notes.

      

 

CRM Funds

   27   

 

CRM FUNDS

CRM MID CAP VALUE FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2018

 

 

 

 

Shares

               Value      
 

Utilities — (continued)

   
 

Multi-Utilities — 4.5%

   
  187,679      Black Hills Corp.3    $   11,487,832  
          505,958      NiSource, Inc.      13,296,576  
     

 

 

  
        24,784,408  
     

 

 

  
 

Water Utilities — 1.8%

   
  119,158      American Water Works Co., Inc.      10,173,710  
     

 

 

  
  Total Utilities      46,028,211  
     

 

 

  
 

Total Common Stock
(Cost $412,381,716)

      529,794,171  
     

 

 

  
 

Short-Term Investments — 5.2%

   
  14,473,011      Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 1.80%4      14,473,011  
  14,473,011      Federated Treasury Obligations Fund Institutional Series, 1.77%4      14,473,011  
     

 

 

  
 

Total Short-Term Investments
(Cost $28,946,022)

      28,946,022  
     

 

 

  
 

Total Investments Before Short-Term Investments Held
As Collateral For Loaned Securities — 100.6%
(Cost $441,327,738)

      558,740,193  
     

 

 

  

Principal

              
 

Short-Term Investments Held As Collateral For Loaned
Securities — 2.4%

  
 
 

Repurchase Agreements — 2.4%

   
  $  653,458      With Bank of Montreal: at 2.03%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $653,569 (collateralized by US Treasury Securities, par values ranging from $0 - $253,128, coupon rates ranging from 0.00% to 4.38%, 08/16/18 - 09/09/49; total market value $666,527)      $  653,458  
  3,107,233      With HSBC Securities USA, Inc.: at 2.10%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $3,107,777 (collateralized by US Treasury Security, par value of $3,173,521, coupon rate of 2.38%, 04/15/21; total market value $3,169,421)      3,107,233  

Principal

               Value      
 

Repurchase Agreements — (continued)

   
    $3,107,233      With Natwest Markets PLC2.: at 2.09%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $3,107,774 (collateralized by US Treasury Securities, par values ranging from $346,301 - $1,631,297, coupon rates ranging from 2.50% to 6.63%, 05/15/20 - 05/15/46; total market value $3,169,408)    $   3,107,233  
  3,107,233      With NBC Global Finance Ltd.: at 1.95%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $3,107,738 (collateralized by US Treasury Securities, par values ranging from $0 - $859,508, coupon rates ranging from 0.00% to 3.63%, 01/31/20 - 09/09/49; total market value $3,169,387)      3,107,233  
  3,107,233      With Nomura Securities International, Inc.: at 2.10%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $3,107,777 (collateralized by US Treasury Securities, par values ranging from $0 - $482,963, coupon rates ranging from 0.00% to 6.88%, 08/15/18 - 02/15/48; total market value $3,169,378)      3,107,233  
     

 

 

  
 

Total Repurchase Agreements

      13,082,390  
     

 

 

  
 

Total Short-Term Investments Held As Collateral For
Loaned Securities
(Cost $13,082,390)

      13,082,390  
     

 

 

  
 

Total Investments — 103.0%
(Cost $454,410,128)

      571,822,583 5   
 

Liabilities in Excess of Other Assets — (3.0)%

      (16,470,939 ) 
     

 

 

  
 

Total Net Assets — 100.0%

    $ 555,351,644  
     

 

 

  
 

 

 

 

See accompanying notes.

      

 

CRM Funds

   28   

 

CRM FUNDS

CRM MID CAP VALUE FUND

SCHEDULE OF INVESTMENTS (Concluded)

June 30, 2018

 

 

 

 

A summary of inputs used to value the Fund’s investments as of June 30, 2018 is as follows (See Note 2 in Notes to Financial Statements):

 

     Investments in
Securities
(Value)		  

Level 1

Quoted

Prices

   Level 2
Significant
Observable
Inputs		   Level 3
Significant
Unobservable
Inputs

Investments in Securities:

 

            

Common Stock

     $ 529,794,171     $ 529,794,171       —       —

Short-Term Investments

       28,946,022       28,946,022       —       —

Short-Term Investments Held As Collateral For Loaned Securities

       13,082,390       —     $ 13,082,390       —
   

 

 

      

 

 

      

 

 

      

 

 

  

Total Investments in Securities

     $ 571,822,583     $ 558,740,193     $ 13,082,390       —
   

 

 

      

 

 

      

 

 

      

 

 

  

There were no transfers between Level 1, Level 2, and Level 3 during the year ended June 30, 2018.

    

 

 

 

1 

Non-income producing security.

2 

PLC — Public Limited Company.

3 

Security partially or fully on loan.

4 

Rate represents an annualized yield at date of measurement.

5 

At June 30, 2018, the market value of securities on loan for the CRM Mid Cap Value Fund was $12,866,397. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities.

 

 

 

See accompanying notes.

      

 

CRM Funds

   29   

 

CRM FUNDS

CRM LARGE CAP OPPORTUNITY FUND

SCHEDULE OF INVESTMENTS

June 30, 2018

 

 

 

 

Shares

           Value  
 

Common Stock — 97.6%

   
 

Consumer Discretionary — 9.8%

   
 

Consumer Durables & Apparel — 3.6%

   
  4,721      Mohawk Industries, Inc.1    $   1,011,569  
          13,003      PVH Corp.      1,946,809  
     

 

 

  
        2,958,378  
     

 

 

  
 

Retailing — 6.2%

   
  2,657      AutoZone, Inc.1      1,782,661  
  25,168      Tiffany & Co.      3,312,109  
     

 

 

  
        5,094,770  
     

 

 

  
 

Total Consumer Discretionary

      8,053,148  
     

 

 

  
 

Consumer Staples — 3.7%

   
 

Food, Beverage & Tobacco — 3.7%

   
  15,600      Anheuser-Busch InBev NV, ADR2      1,571,856  
  18,255      Philip Morris International, Inc.      1,473,909  
     

 

 

  
 

Total Consumer Staples

      3,045,765  
     

 

 

  
 

Energy — 10.6%

   
 

Energy Equipment & Services — 2.3%

   
  42,353      Halliburton Co.      1,908,426  
     

 

 

  
 

Oil, Gas & Consumable Fuels — 8.3%

   
  69,742      EQT GP HOLDINGS LP      1,639,635  
  31,613      Occidental Petroleum Corp.      2,645,376  
  81,580      Parsley Energy, Inc. — Class A1      2,470,242  
     

 

 

  
        6,755,253  
     

 

 

  
 

Total Energy

      8,663,679  
     

 

 

  
 

Financials — 21.9%

   
 

Banks — 11.6%

   
  102,367      Bank of America Corp.      2,885,726  
  45,975      BB&T Corp.      2,318,979  
  93,020      KeyCorp.      1,817,611  
  43,855      Wells Fargo & Co.      2,431,321  
     

 

 

  
        9,453,637  
     

 

 

  
 

Diversified Financials — 5.3%

   
  8,521      Ameriprise Financial, Inc.      1,191,917  
  23,187      Intercontinental Exchange, Inc.      1,705,404  
  15,510      Nasdaq, Inc.      1,415,598  
     

 

 

  
        4,312,919  
     

 

 

  
 

Insurance — 5.0%

   
  41,685      American International Group, Inc.      2,210,138  
  43,813      MetLife, Inc.      1,910,247  
     

 

 

  
        4,120,385  
     

 

 

  
 

Total Financials

      17,886,941  
     

 

 

  
 

Health Care — 12.8%

   
 

Health Care Equipment & Services — 10.0%

   
  8,625      Anthem, Inc.      2,053,009  
  31,245      Danaher Corp.      3,083,257  
  24,192      DENTSPLY SIRONA, Inc.      1,058,884  
  6,650      Humana, Inc.      1,979,239  
     

 

 

  
        8,174,389  
     

 

 

  

Shares

           Value  
 

Health Care — (continued)

   
 

Pharmaceuticals, Biotechnology & Life Sciences — 2.8%

   
          13,822      Allergan PLC3    $   2,304,404  
     

 

 

  
 

Total Health Care

      10,478,793  
     

 

 

  
 

Industrials — 10.8%

   
 

Capital Goods — 5.0%

   
  21,520      Dover Corp.      1,575,264  
  20,090      United Technologies Corp.      2,511,853  
     

 

 

  
        4,087,117  
     

 

 

  
 

Transportation — 5.8%

   
  43,491      CSX Corp.      2,773,856  
  8,635      FedEx Corp.      1,960,663  
     

 

 

  
        4,734,519  
     

 

 

  
 

Total Industrials

      8,821,636  
     

 

 

  
 

Information Technology — 16.2%

   
 

Semiconductors & Semiconductor Equipment — 6.1%

   
  10,940      Broadcom, Inc.      2,654,482  
  25,434      Microchip Technology, Inc.      2,313,222  
     

 

 

  
        4,967,704  
     

 

 

  
 

Software & Services — 8.1%

   
  25,322      DXC Technology Co.      2,041,207  
  27,289      Microsoft Corp.      2,690,968  
  23,394      Worldpay, Inc. — Class A1      1,913,161  
     

 

 

  
        6,645,336  
     

 

 

  
 

Technology Hardware & Equipment — 2.0%

   
  7,835      Palo Alto Networks, Inc.1      1,609,857  
     

 

 

  
 

Total Information Technology

      13,222,897  
     

 

 

  
 

Materials — 4.3%

   
 

Chemicals — 4.3%

   
  11,695      Air Products & Chemicals, Inc.      1,821,262  
  26,050      DowDuPont, Inc.      1,717,216  
     

 

 

  
 

Total Materials

      3,538,478  
     

 

 

  
 

Telecommunication Services — 2.6%

   
 

Diversified Telecommunication Services — 2.6%

   
  57,453      Zayo Group Holdings, Inc.1      2,095,885  
     

 

 

  
 

Utilities — 4.9%

   
 

Electric Utilities — 3.2%

   
  15,570      NextEra Energy, Inc.      2,600,657  
     

 

 

  
 

Gas Utilities — 1.7%

   
  15,855      Atmos Energy Corp.      1,429,170  
     

 

 

  
 

Total Utilities

      4,029,827  
     

 

 

  
 

Total Common Stock
(Cost $70,489,319)

      79,837,049  
     

 

 

  
 

 

 

 

See accompanying notes.

      

 

CRM Funds

   30   

 

CRM FUNDS

CRM LARGE CAP OPPORTUNITY FUND

SCHEDULE OF INVESTMENTS (Concluded)

June 30, 2018

 

 

 

 

Shares

           Value  
 

Short-Term Investments — 3.0%

   
          1,230,080      Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 1.80%4    $ 1,230,080  
  1,230,081      Federated Treasury Obligations Fund Institutional Series, 1.77%4      1,230,081  
     

 

 

  
 

Total Short-Term Investments
(Cost $2,460,161)

      2,460,161  
     

 

 

  
 

Total Investments — 100.6%
(Cost $72,949,480)

      82,297,210  
 

Liabilities in Excess of Other Assets — (0.6%)

      (528,449 ) 
     

 

 

  
 

Total Net Assets — 100.0%

    $ 81,768,761  
     

 

 

  

A summary of inputs used to value the Fund’s investments as of June 30, 2018 is as follows (See Note 2 in Notes to Financial Statements):

 

     Investments in
Securities
(Value)		   Level 1
Quoted
Prices		   Level 2
Significant
Observable
Inputs		   Level 3
Significant
Unobservable
Inputs

Investments in Securities:

 

            

Common Stock

     $ 79,837,049     $ 79,837,049       —       —

Short-Term Investments

       2,460,161       2,460,161       —       —
   

 

 

      

 

 

      

 

 

      

 

 

  

Total Investments in Securities

     $ 82,297,210     $ 82,297,210       —       —
   

 

 

      

 

 

      

 

 

      

 

 

  

There were no transfers between Level 1, Level 2, and Level 3 during the year ended June 30, 2018.

 

 

 

 

 

1 

Non-income producing security.

2 

ADR — American Depository Receipt.

3 

PLC — Public Limited Company.

4 

Rate represents an annualized yield at date of measurement.

 

 

 

See accompanying notes.

      

 

CRM Funds

   31   

 

CRM FUNDS

CRM ALL CAP VALUE FUND

SCHEDULE OF INVESTMENTS

June 30, 2018

 

 

 

 

Shares

           Value  
 

Common Stock — 95.4%

   
 

Consumer Discretionary — 10.8%

   
 

Consumer Durables & Apparel — 2.0%

   
            2,507      PVH Corp.    $     375,348  
     

 

 

  
 

Consumer Services — 3.2%

   
  8,815      Aramark      327,037  
  35,020      Houghton Mifflin Harcourt Co.1      267,903  
     

 

 

  
        594,940  
     

 

 

  
 

Retailing — 5.6%

   
  453      AutoZone, Inc.1      303,931  
  5,710      Tiffany & Co.      751,436  
     

 

 

  
        1,055,367  
     

 

 

  
 

Total Consumer Discretionary

      2,025,655  
     

 

 

  
 

Consumer Staples — 1.8%

   
 

Household & Personal Products — 1.8%

   
  6,619      Edgewell Personal Care Co.1,2      333,995  
     

 

 

  
 

Energy — 9.2%

   
 

Energy Equipment & Services — 3.7%

   
  7,674      Apergy Corp.1      320,410  
  8,215      Halliburton Co.      370,168  
     

 

 

  
        690,578  
     

 

 

  
 

Oil, Gas & Consumable Fuels — 5.5%

   
  4,760      Energen Corp.1      346,623  
  6,794      EQT Corp.      374,893  
  10,715      Parsley Energy, Inc. — Class A1      324,451  
     

 

 

  
        1,045,967  
     

 

 

  
 

Total Energy

      1,736,545  
     

 

 

  
 

Financials — 16.2%

   
 

Banks — 12.0%

   
  16,200      Associated Banc-Corp.      442,260  
  19,545      Bank of America Corp.      550,973  
  22,371      Boston Private Financial Holdings, Inc.      355,699  
  20,550      KeyCorp.      401,547  
  9,195      Wells Fargo & Co.      509,771  
     

 

 

  
        2,260,250  
     

 

 

  
 

Diversified Financials — 1.8%

   
  3,580      Nasdaq, Inc.      326,747  
     

 

 

  
 

Insurance — 2.4%

   
  8,465      American International Group, Inc.      448,814  
     

 

 

  
 

Total Financials

      3,035,811  
     

 

 

  
 

Health Care — 14.1%

   
 

Health Care Equipment & Services — 11.0%

   
  3,649      CONMED Corp.      267,107  
  5,660      Danaher Corp.      558,529  
  1,708      Humana, Inc.      508,352  
  2,980      STERIS PLC3      312,930  
  3,810      Zimmer Biomet Holdings, Inc.      424,586  
     

 

 

  
        2,071,504  
     

 

 

  

Shares

           Value  
 

Health Care — (continued)

   
 

Pharmaceuticals, Biotechnology & Life Sciences — 3.1%

   
  3,509      Allergan PLC3    $ 585,020  
     

 

 

  
 

Total Health Care

      2,656,524  
     

 

 

  
 

Industrials — 12.2%

   
 

Capital Goods — 4.8%

   
            4,825      Dover Corp.      353,190  
  4,325      United Technologies Corp.      540,754  
     

 

 

  
        893,944  
     

 

 

  
 

Commercial & Professional Services — 2.5%

   
  9,120      IHS Markit Ltd.1      470,501  
     

 

 

  
 

Transportation — 4.9%

   
  8,945      CSX Corp.      570,512  
  1,529      FedEx Corp.      347,175  
     

 

 

  
        917,687  
     

 

 

  
 

Total Industrials

      2,282,132  
     

 

 

  
 

Information Technology — 20.3%

   
 

Semiconductors & Semiconductor Equipment — 5.2%

   
  2,180      Broadcom, Inc.      528,955  
  4,835      Microchip Technology, Inc.2      439,743  
     

 

 

  
        968,698  
     

 

 

  
 

Software & Services — 13.0%

   
  5,935      Black Knight, Inc.1      317,819  
  6,018      CommVault Systems, Inc.1      396,285  
  6,122      DXC Technology Co.      493,495  
  5,964      Microsoft Corp.      588,110  
  2,500      PTC, Inc.1      234,525  
  4,965      Worldpay, Inc. — Class A1      406,038  
     

 

 

  
        2,436,272  
     

 

 

  
 

Technology Hardware & Equipment — 2.1%

   
  7,665      FLIR Systems, Inc.      398,350  
     

 

 

  
 

Total Information Technology

      3,803,320  
     

 

 

  
 

Materials — 5.2%

   
 

Chemicals — 5.2%

   
  3,175      Air Products & Chemicals, Inc.      494,443  
  7,422      DowDuPont, Inc.      489,258  
     

 

 

  
 

Total Materials

      983,701  
     

 

 

  
 

Telecommunication Services — 2.0%

   
 

Diversified Telecommunication Services — 2.0%

   
  10,387      Zayo Group Holdings, Inc.1      378,918  
     

 

 

  
 

Utilities — 3.6%

   
 

Electric Utilities — 1.8%

   
  1,973      NextEra Energy, Inc.      329,550  
     

 

 

  
 

Gas Utilities — 1.8%

   
  3,859      Atmos Energy Corp.      347,850  
     

 

 

  
 

Total Utilities

      677,400  
     

 

 

  
 

Total Common Stock
(Cost $15,434,772)

      17,914,001  
     

 

 

  
 

 

 

 

See accompanying notes.

      

 

CRM Funds

   32   

 

CRM FUNDS

CRM ALL CAP VALUE FUND

SCHEDULE OF INVESTMENTS (Concluded)

June 30, 2018

 

 

 

 

Shares

           Value  
 

Short-Term Investments — 5.0%

   
  464,701      Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 1.80%4    $ 464,701  
  464,701      Federated Treasury Obligations Fund Institutional Series, 1.77%4      464,701  
     

 

 

  
 

Total Short-Term Investments
(Cost $929,402)

      929,402  
     

 

 

  
 

Total Investments Before Short-Term Investments Held
As Collateral For Loaned Securities — 100.4%
(Cost $16,364,174)

      18,843,403  
     

 

 

  

Principal

              
 

Short-Term Investments Held As Collateral For Loaned
Securities — 3.9%
 
 

Repurchase Agreements — 3.9%

   
      $737,829      With NBC Global Finance Ltd.: at 1.95%, dated 06/29/18, to be repurchased on 07/02/18, repurchase price $737,949 (collateralized by US Treasury Securities, par values ranging from $0 - $204,095, coupon rates ranging from 0.00% to 3.63%, 01/31/20 - 09/09/49; total market value $752,588)   
        737,829  
     

 

 

  
 

Total Repurchase Agreements

      737,829  
     

 

 

  
 

Total Short-Term Investments Held As Collateral For
Loaned Securities
(Cost $737,829)

      737,829  
     

 

 

  
 

Total Investments — 104.3%
(Cost $17,102,003)

      19,581,232 5   
 

Liabilities in Excess of Other Assets — (4.3)%

      (805,681 ) 
     

 

 

  
 

Total Net Assets — 100.0%

    $   18,775,551  
     

 

 

  

 

A summary of inputs used to value the Fund’s investments as of June 30, 2018 is as follows (See Note 2 in Notes to Financial Statements):

 

     Investments in
Securities
(Value)		  

Level 1
Quoted

Prices

   Level 2
Significant
Observable
Inputs		   Level 3
Significant
Unobservable
Inputs

Investments in Securities:

 

            

Common Stock

     $ 17,914,001     $ 17,914,001       —       —

Short-Term Investments

           929,402       929,402       —       —

Short-Term Investments Held As Collateral For Loaned Securities

       737,829       —     $ 737,829       —
   

 

 

      

 

 

      

 

 

      

 

 

  

Total Investments in Securities

     $ 19,581,232     $ 18,843,403     $ 737,829       —
   

 

 

      

 

 

      

 

 

      

 

 

  

There were no transfers between Level 1, Level 2, and Level 3 during the year ended June 30, 2018.

 

 

 

1 

Non-income producing security.

2 

Security partially or fully on loan.

3 

PLC — Public Limited Company.

4 

Rate represents an annualized yield at date of measurement.

5 

At June 30, 2018, the market value of securities on loan for the CRM All Cap Value Fund was $731,654. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities.

 

 

 

See accompanying notes.

      

 

CRM Funds

   33   

 

CRM FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

JUNE 30, 2018

 

 

 

 

     CRM Small Cap
Value Fund    		    CRM Small/Mid
Cap Value Fund		    CRM Mid Cap
Value Fund    		    CRM Large Cap 
Opportunity Fund

ASSETS:

                    

Investments

                    

Investments, at cost

      $ 294,561,261      $ 228,735,046      $ 454,410,128      $ 72,949,480

Net unrealized appreciation

        77,103,772        72,229,636        117,412,455        9,347,730
    

 

 

       

 

 

       

 

 

       

 

 

  

Total investments, at value1

       371,665,033        300,964,682        571,822,583        82,297,210

Receivable for fund shares sold

        352,611        116,385        434,845        —

Receivable for securities sold

        —        —        —        209,255

Dividends and interest receivable

        321,852        172,654        253,980        94,979

Tax reclaims receivable

        —        4,609        —        —

Other assets

        41,988        39,531        41,672        17,528
    

 

 

       

 

 

       

 

 

       

 

 

  

Total assets

        372,381,484        301,297,861        572,553,080        82,618,972
    

 

 

       

 

 

       

 

 

       

 

 

  

LIABILITIES:

                    

Obligation to return securities lending collateral

        9,687,842        6,821,644        13,082,390        —

Payable for fund shares redeemed

        189,624        2,153,769        398,036        —

Payable for securities purchased

        1,598,489        1,517,246        3,234,062        782,578

Accrued advisory fee

        257,170        189,078        335,226        33,299

Trustees fees

        15,052        1,605        7,428        4,020

Audit and tax fees

        6,310        6,310        6,310        6,310

Other accrued expenses

        85,719        64,167        137,984        24,004
    

 

 

       

 

 

       

 

 

       

 

 

  

Total liabilities

        11,840,206        10,753,819        17,201,436        850,211
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS

      $ 360,541,278      $ 290,544,042      $ 555,351,644      $ 81,768,761
    

 

 

       

 

 

       

 

 

       

 

 

  

COMPONENTS OF NET ASSETS

                    

Paid-in-capital

      $ 263,187,521      $ 198,180,922      $ 423,240,569      $ 68,183,618

Undistributed net investment income

        1,266,616        —        92,094        380,604

Accumulated net realized gain on investments

        18,983,369        20,133,484        14,606,526        3,856,809

Net unrealized appreciation of investments

        77,103,772        72,229,636        117,412,455        9,347,730
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS

      $ 360,541,278      $ 290,544,042      $ 555,351,644      $ 81,768,761
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS BY SHARE CLASS

                    

Investor Shares

      $ 76,779,599      $ 29,115,678      $ 243,062,050      $ 8,635,398

Institutional Shares

        283,761,679        261,428,364        312,289,594        73,133,363
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS

      $ 360,541,278      $ 290,544,042      $ 555,351,644      $ 81,768,761
    

 

 

       

 

 

       

 

 

       

 

 

  

SHARES OF BENEFICIAL INTEREST OUTSTANDING

                    

($0.01 par value, unlimited authorized shares)

                    

Investor Shares

        4,477,934        2,223,846        10,764,038        898,720

Institutional Shares

        14,350,336        19,469,027        13,294,104        7,593,471

NET ASSET VALUE (OFFERING AND REDEMPTION PRICE PER SHARE)

                    

Investor Shares

      $ 17.15      $ 13.09      $ 22.58      $ 9.61

Institutional Shares

      $ 19.77      $ 13.43      $ 23.49      $ 9.63

1  Includes securities loaned of:

      $ 9,407,000      $ 6,732,951      $ 12,866,397      $ —

 

 

 

See accompanying notes.

      

 

CRM Funds

   34   

 

CRM FUNDS

STATEMENTS OF ASSETS AND LIABILITIES

JUNE 30, 2018

 

 

 

 

     CRM All Cap
Value Fund

ASSETS:

     

Investments

     

Investments, at cost

      $ 17,102,003

Net unrealized appreciation

        2,479,229
    

 

 

  

Total investments, at value1

       19,581,232

Receivable for fund shares sold

        4,506

Receivable for securities sold

        57,448

Dividends and interest receivable

        13,446

Other assets

        15,945
    

 

 

  

Total assets

        19,672,577
    

 

 

  

LIABILITIES:

     

Obligation to return securities lending collateral

        737,829

Payable for fund shares redeemed

        1,987

Payable for securities purchased

        124,827

Accrued advisory fee

        10,325

Trustees fees

        741

Audit and tax fees

        6,310

Other accrued expenses

        15,007
    

 

 

  

Total liabilities

        897,026
    

 

 

  

NET ASSETS

      $ 18,775,551
    

 

 

  

COMPONENTS OF NET ASSETS

     

Paid-in-capital

      $ 14,524,334

Undistributed net investment income

        18,248

Accumulated net realized gain on investments

        1,753,740

Net unrealized appreciation of investments

        2,479,229
    

 

 

  

NET ASSETS

      $ 18,775,551
    

 

 

  

NET ASSETS BY SHARE CLASS

     

Investor Shares

      $ 4,693,941

Institutional Shares

        14,081,610
    

 

 

  

NET ASSETS

      $ 18,775,551
    

 

 

  

SHARES OF BENEFICIAL INTEREST OUTSTANDING

     

($0.01 par value, unlimited authorized shares)

     

Investor Shares

        532,613

Institutional Shares

        1,568,257

NET ASSET VALUE (OFFERING AND REDEMPTION PRICE PER SHARE)

     

Investor Shares

      $ 8.81

Institutional Shares

      $ 8.98

1  Includes securities loaned of:

      $ 731,654

 

 

 

See accompanying notes.

      

 

CRM Funds

   35   

 

CRM FUNDS

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2018

 

 

 

 

     CRM Small Cap    CRM Small/Mid    CRM Mid Cap    CRM Large Cap
     Value Fund    Cap Value Fund    Value Fund    Opportunity Fund

INVESTMENT INCOME

                    

Dividends

      $ 7,366,691      $ 3,679,013      $ 8,806,718      $ 1,476,119

Securities lending income

        51,569        43,299        39,332        —

Foreign tax withheld

        (29,595 )        —        —        (12,293 )
    

 

 

       

 

 

       

 

 

       

 

 

  

Total investment income

        7,388,665        3,722,312        8,846,050        1,463,826
    

 

 

       

 

 

       

 

 

       

 

 

  

EXPENSES

                    

Investment advisory fees

        3,333,635        2,609,346        3,842,399        504,650

Administration and accounting fees

        112,882        90,036        127,243        34,086

Custody fees

        18,023        19,724        21,352        5,977

Transfer Agent fees

        157,995        186,811        260,815        50,666

Shareholder services - Investor Shares

        189,825        77,341        565,587        29,466

Trustee fees and expenses

        80,223        65,782        92,120        17,330

Insurance fees

        33,837        36,099        41,348        7,160

Registration fees

        45,623        40,156        47,640        37,971

Audit and tax fees

        39,194        39,194        39,194        39,194

Legal fees

        20,424        15,803        23,177        4,535

Miscellaneous

        108,702        57,868        55,686        26,523
    

 

 

       

 

 

       

 

 

       

 

 

  

Total expenses

        4,140,363        3,238,160        5,116,561        757,558

Expenses waived/reimbursed

        —        —        —        (131,688 )
    

 

 

       

 

 

       

 

 

       

 

 

  

Net expenses

        4,140,363        3,238,160        5,116,561        625,870
    

 

 

       

 

 

       

 

 

       

 

 

  

NET INVESTMENT INCOME

        3,248,302        484,152        3,729,489        837,956
    

 

 

       

 

 

       

 

 

       

 

 

  
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS                    

Net realized gain from:

                    

Investments

        41,585,295 1          65,594,122 1          61,513,476        8,911,922

Net change in unrealized appreciation/ (depreciation) on:

                    

Investments

        4,672,731        (12,527,719 )        19,407,204        (713,756 )
    

 

 

       

 

 

       

 

 

       

 

 

  

Net realized and unrealized gain on investments

        46,258,026        53,066,403        80,920,680        8,198,166
    

 

 

       

 

 

       

 

 

       

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

     

 

$

 

49,506,328

 

      $ 53,550,555      $ 84,650,169      $ 9,036,122
    

 

 

       

 

 

       

 

 

       

 

 

  

 

1Includes realized gains resulting from redemptions-in-kind of $7,648,782 and $2,462,593 for CRM Small Cap Value Fund and CRM Small/ Mid Cap Value Fund, respectively. (See Note 10 in Notes to Financial Statements)

 

 

 

See accompanying notes.

      

 

CRM Funds

   36   

 

CRM FUNDS

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2018

 

 

 

 

     CRM All Cap
Value Fund

INVESTMENT INCOME

     

Dividends

      $ 295,800

Securities lending income

        1,418
    

 

 

  

Total investment income

        297,218
    

 

 

  

EXPENSES

     

Investment advisory fees

        197,177

Administration and accounting fees

        18,464

Custody fees

        4,648

Transfer Agent fees

        39,857

Shareholder services - Investor Shares

        18,229

Trustee fees and expenses

        3,907

Insurance fees

        1,777

Registration fees

        36,586

Audit and tax fees

        39,194

Legal fees

        981

Miscellaneous

        5,194
    

 

 

  

Total expenses

        366,014

Expenses waived/reimbursed

        (88,342 )
    

 

 

  

Net expenses

        277,672
    

 

 

  

NET INVESTMENT INCOME

        19,546
    

 

 

  
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS     

Net realized gain (loss) from:

     

Investment securities

        3,701,327

Net change in unrealized appreciation/(depreciation) on:

     

Investment securities

        (1,322,223 )
    

 

 

  

Net realized and unrealized gain on investments

        2,379,104
    

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

      $ 2,398,650
    

 

 

  

 

 

 

See accompanying notes.

      

 

CRM Funds

   37   

 

CRM FUNDS

STATEMENTS OF CHANGES IN NET ASSETS

 

 

 

 

     CRM Small Cap Value Fund
     Year Ended
      June 30, 2018      		   Year Ended
      June 30, 2017      

NET ASSETS - BEGINNING OF YEAR

      $ 421,160,967     $ 438,216,903
    

 

 

      

 

 

  

OPERATIONS

         

Net investment income

        3,248,302       642,072

Net realized gain from investments

        41,585,295       65,830,362

Net change in unrealized appreciation/(depreciation) on investments

        4,672,731       26,041,055
    

 

 

      

 

 

  

Net increase in net assets resulting from operations

        49,506,328       92,513,489
    

 

 

      

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS FROM

         

Net investment income - Investor Shares

        (340,451 )       (312,474 )

Net investment income - Institutional Shares

        (2,221,781 )       (2,019,903 )

Net realized gains on investments - Investor Shares

        (10,792,473 )       (4,762,199 )

Net realized gains on investments - Institutional Shares

        (47,059,979 )       (20,994,650 )
    

 

 

      

 

 

  

Total distributions to shareholders

        (60,414,684 )       (28,089,226 )
    

 

 

      

 

 

  

CAPITAL SHARE TRANSACTIONS

         

Sale of shares - Investor Shares

        11,433,091       8,183,035

Sale of shares - Institutional Shares

        49,470,080       45,387,119

Reinvestment of distributions - Investor Shares

        10,320,025       4,699,441

Reinvestment of distributions - Institutional Shares

        45,902,029       21,802,119

Redemption of shares - Investor Shares

        (14,022,658 )       (10,458,965 )

Redemption of shares - Institutional Shares

        (152,813,900 )       (151,092,948 )
    

 

 

      

 

 

  

Net decrease from capital share transactions

        (49,711,333 )       (81,480,199 )
    

 

 

      

 

 

  

Total decrease in net assets

        (60,619,689 )       (17,055,936 )
    

 

 

      

 

 

  

NET ASSETS - END OF YEAR

      $ 360,541,278     $ 421,160,967
    

 

 

      

 

 

  

Undistributed net investment income

      $ 1,266,616     $ 580,546
    

 

 

      

 

 

  

 

 

 

See accompanying notes.

      

 

CRM Funds

   38   

 

CRM FUNDS

STATEMENTS OF CHANGES IN NET ASSETS

 

 

 

 

     CRM Small/Mid Cap Value Fund
     Year Ended
      June 30, 2018      		   Year Ended
      June 30, 2017      

NET ASSETS - BEGINNING OF YEAR

      $ 490,958,351     $ 605,732,739
    

 

 

      

 

 

  

OPERATIONS

         

Net investment income

        484,152       648,773

Net realized gain from investments

        65,594,122       69,944,323

Net change in unrealized appreciation/(depreciation) on investments

        (12,527,719 )       15,744,218
    

 

 

      

 

 

  

Net increase in net assets resulting from operations

        53,550,555       86,337,314
    

 

 

      

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS FROM

         

Net investment income - Investor Shares

        —       (944,742 )

Net investment income - Institutional Shares

        —       (12,424,792 )

Net realized gains on investments - Investor Shares

        (7,529,268 )       —

Net realized gains on investments - Institutional Shares

        (60,656,217 )       —
    

 

 

      

 

 

  

Total distributions to shareholders

        (68,185,485 )       (13,369,534 )
    

 

 

      

 

 

  

CAPITAL SHARE TRANSACTIONS

         

Sale of shares - Investor Shares

        3,080,085       6,072,107

Sale of shares - Institutional Shares

        36,696,635       78,683,060

Reinvestment of distributions - Investor Shares

        7,412,852       934,871

Reinvestment of distributions - Institutional Shares

        60,606,700       12,399,778

Redemption of shares - Investor Shares

        (15,262,750 )       (29,671,078 )

Redemption of shares - Institutional Shares

        (278,312,901 )       (256,160,906 )
    

 

 

      

 

 

  

Net decrease from capital share transactions

        (185,779,379 )       (187,742,168 )
    

 

 

      

 

 

  

Total decrease in net assets

        (200,414,309 )       (114,774,388 )
    

 

 

      

 

 

  

NET ASSETS - END OF YEAR

      $ 290,544,042     $ 490,958,351
    

 

 

      

 

 

  

Distributions in excess of net investment income

      $ —     $ (5,819,943 ) 
    

 

 

      

 

 

  

 

 

 

See accompanying notes.

      

 

CRM Funds

   39   

 

CRM FUNDS

STATEMENTS OF CHANGES IN NET ASSETS

 

 

 

 

     CRM Mid Cap Value Fund
     Year Ended
      June 30, 2018      		   Year Ended
      June 30, 2017      

NET ASSETS - BEGINNING OF YEAR

      $ 518,686,370     $ 594,582,861
    

 

 

      

 

 

  

OPERATIONS

         

Net investment income

        3,729,489       3,410,467

Net realized gain from investments

        61,513,476       85,283,650

Net change in unrealized appreciation/(depreciation) on investments

        19,407,204       (4,536,386 )
    

 

 

      

 

 

  

Net increase in net assets resulting from operations

        84,650,169       84,157,731
    

 

 

      

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS FROM

         

Net investment income - Investor Shares

        (2,607,178 )       (26,153 )

Net investment income - Institutional Shares

        (3,898,163 )       (394,582 )

Net realized gains on investments - Investor Shares

        (35,928,634 )       (13,796,223 )

Net realized gains on investments - Institutional Shares

        (44,985,826 )       (8,979,025 )
    

 

 

      

 

 

  

Total distributions to shareholders

        (87,419,801 )       (23,195,983 )
    

 

 

      

 

 

  

CAPITAL SHARE TRANSACTIONS

         

Sale of shares - Investor Shares

        34,631,732       38,892,985

Sale of shares - Institutional Shares

        55,345,618       119,771,766

Reinvestment of distributions - Investor Shares

        38,022,578       13,786,959

Reinvestment of distributions - Institutional Shares

        45,055,446       8,587,050

Redemption of shares - Investor Shares

        (57,683,787 )       (213,273,460 )

Redemption of shares - Institutional Shares

        (75,936,681 )       (104,623,539 )
    

 

 

      

 

 

  

Net increase (decrease) from capital share transactions

        39,434,906       (136,858,239 )
    

 

 

      

 

 

  

Total increase (decrease) in net assets

        36,665,274       (75,896,491 )
    

 

 

      

 

 

  

NET ASSETS - END OF YEAR

      $ 555,351,644     $ 518,686,370
    

 

 

      

 

 

  

Undistributed net investment income

      $ 92,094     $ 3,069,233  
    

 

 

      

 

 

  

 

 

 

See accompanying notes.

      

 

CRM Funds

   40   

 

CRM FUNDS

STATEMENTS OF CHANGES IN NET ASSETS

 

 

 

 

     CRM Large Cap Opportunity Fund
     Year Ended
      June 30, 2018      		   Year Ended
      June 30, 2017      

NET ASSETS - BEGINNING OF YEAR

      $ 94,198,999     $ 72,969,987
    

 

 

      

 

 

  

OPERATIONS

         

Net investment income

        837,956       818,786

Net realized gain from investments

        8,911,922       7,826,777

Net change in unrealized appreciation/(depreciation) on investments

        (713,756 )       4,427,975
    

 

 

      

 

 

  

Net increase in net assets resulting from operations

        9,036,122       13,073,538
    

 

 

      

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS FROM

         

Net investment income - Investor Shares

        (56,804 )       (84,202 )

Net investment income - Institutional Shares

        (567,334 )       (767,078 )

Net realized gains on investments - Investor Shares

        (1,326,597 )       (89,828 )

Net realized gains on investments - Institutional Shares

        (8,477,144 )       (608,477 )
    

 

 

      

 

 

  

Total distributions to shareholders

        (10,427,879 )       (1,549,585 )
    

 

 

      

 

 

  

CAPITAL SHARE TRANSACTIONS

         

Sale of shares - Investor Shares

        481,717       365,574

Sale of shares - Institutional Shares

        12,889,719       21,326,156

Reinvestment of distributions - Investor Shares

        1,325,608       166,309

Reinvestment of distributions - Institutional Shares

        2,126,773       300,612

Redemption of shares - Investor Shares

        (5,871,441 )       (1,148,981 )

Redemption of shares - Institutional Shares

        (21,990,857 )       (11,304,611 )
    

 

 

      

 

 

  

Net increase (decrease) from capital share transactions

        (11,038,481 )       9,705,059
    

 

 

      

 

 

  

Total increase (decrease) in net assets

        (12,430,238 )       21,229,012
    

 

 

      

 

 

  

NET ASSETS - END OF YEAR

      $ 81,768,761     $ 94,198,999
    

 

 

      

 

 

  

Undistributed net investment income

      $ 380,604     $ 204,429  
    

 

 

      

 

 

  

 

 

 

See accompanying notes.

      

 

CRM Funds

   41   

 

CRM FUNDS

STATEMENTS OF CHANGES IN NET ASSETS

 

 

 

 

     CRM All Cap Value Fund
     Year Ended
      June 30, 2018      		   Year Ended
      June 30, 2017      

NET ASSETS - BEGINNING OF YEAR

      $ 22,409,645     $ 23,328,299
    

 

 

      

 

 

  

OPERATIONS

         

Net investment income

        19,546       90,028

Net realized gain from investments

        3,701,327       2,767,246

Net change in unrealized appreciation/(depreciation) on investments

        (1,322,223 )       643,395
    

 

 

      

 

 

  

Net increase in net assets resulting from operations

        2,398,650       3,500,669
    

 

 

      

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS FROM

         

Net investment income - Investor Shares

        —       (70,732 )

Net investment income - Institutional Shares

        —       (23,644 )

Net realized gains on investments - Investor Shares

        (1,180,335 )       (782,915 )

Net realized gains on investments - Institutional Shares

        (2,012,149 )       (154,859 )
    

 

 

      

 

 

  

Total distributions to shareholders

        (3,192,484 )       (1,032,150 )
    

 

 

      

 

 

  

CAPITAL SHARE TRANSACTIONS

         

Sale of shares - Investor Shares

        98,425       1,754,066

Sale of shares - Institutional Shares

        4,236,733       9,738,451

Reinvestment of distributions - Investor Shares

        1,138,128       784,124

Reinvestment of distributions - Institutional Shares

        1,770,278       168,192

Redemption of shares - Investor Shares

        (4,942,232 )       (15,556,325 )

Redemption of shares - Institutional Shares

        (5,141,592 )       (275,681 )
    

 

 

      

 

 

  

Net decrease from capital share transactions

        (2,840,260 )       (3,387,173 )
    

 

 

      

 

 

  

Total decrease in net assets

        (3,634,094 )       (918,654 )
    

 

 

      

 

 

  

NET ASSETS - END OF YEAR

      $ 18,775,551     $ 22,409,645
    

 

 

      

 

 

  

Undistributed net investment income

      $ 18,248     $ —  
    

 

 

      

 

 

  

 

 

 

See accompanying notes.

      

 

CRM Funds

   42   

 

CRM FUNDS

FINANCIAL HIGHLIGHTS

 

 

 

The following tables include selected data for a share outstanding throughout each period and other performance information derived from the financial statements. The total returns in the tables represent the rate an investor would have earned or lost on an investment in the funds (assuming reinvestment of all dividends and distributions). This information should be read in conjunction with the financial statements and notes thereto.

 

     CRM Small Cap Value Fund — Investor Shares  
     For the Years Ended June 30,  
     2018      2017      2016      2015        2014  

Net Asset Value — Beginning of Year

    $ 18.06      $ 15.86      $ 19.98      $ 23.54        $ 21.94  
  

 

 

     

 

 

     

 

 

     

 

 

       

 

 

  

Investment operations:

                 

Net investment income (loss)1

     0.09 2         (0.01 )       0.08        — 3           0.08  

Net realized and unrealized gain (loss) on investments

      1.87        3.54        (0.66 )       1.32          4.43  
  

 

 

     

 

 

     

 

 

     

 

 

       

 

 

  

Total from investment operations

      1.96        3.53        (0.58 )       1.32          4.51  
  

 

 

     

 

 

     

 

 

     

 

 

       

 

 

  

Distributions to shareholders:

                 

From net investment income

      (0.09 )       (0.08 )       (0.03 )       (0.07 )         (0.04 ) 

From net realized gains on investments

      (2.78 )       (1.25 )       (3.51 )       (4.81 )         (2.87 ) 
  

 

 

     

 

 

     

 

 

     

 

 

       

 

 

  

Total distributions to shareholders

      (2.87 )       (1.33 )       (3.54 )       (4.88 )         (2.91 ) 
  

 

 

     

 

 

     

 

 

     

 

 

       

 

 

  

Net Asset Value — End of Year

    $ 17.15      $ 18.06      $ 15.86      $ 19.98        $ 23.54  
  

 

 

     

 

 

     

 

 

     

 

 

       

 

 

  

Total Return

      11.17 %       22.28 %       (2.13 )%       7.14 %         21.39 % 

Ratios/Supplemental Data:

                 

Ratios to average net assets:

                 

Expenses

      1.13 %       1.15 %       1.12 %       1.09 %         1.07 % 

Net investment income (loss)

      0.52 %2        (0.07 )%       0.50 %       0.02 %         0.32 % 

Portfolio turnover rate

      49 %       91 %       68 %       83 %         66 % 

Net Assets at the end of year (000’s omitted)

    $ 76,779      $ 72,472      $ 61,529      $ 74,037        $ 81,948  

 

1 

Calculated using the average shares outstanding method.

2 

For the year ended June 30, 2018, net investment income per share reflects special dividends which amounted to $0.13 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been (0.22)%.

3 

Amount represents less than $0.005.

 

 

 

See accompanying notes.

      

 

CRM Funds

   43   

 

CRM FUNDS

FINANCIAL HIGHLIGHTS

 

 

 

 

     CRM Small Cap Value Fund — Institutional Shares  
     For the Years Ended June 30,  
     2018      2017        2016      2015        2014  

Net Asset Value — Beginning of Year

    $ 20.41      $ 17.78        $ 21.94      $ 25.37        $ 23.45  
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Investment operations:

                   

Net investment income1

     0.16 2         0.03          0.13        0.05          0.13  

Net realized and unrealized gain (loss) on investments

      2.11        3.97          (0.70 )       1.45          4.75  
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Total from investment operations

      2.27        4.00          (0.57 )       1.50          4.88  
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Distributions to shareholders:

                   

From net investment income

      (0.13 )       (0.12 )         (0.08 )       (0.12 )         (0.09 ) 

From net realized gains on investments

      (2.78 )       (1.25 )         (3.51 )       (4.81 )         (2.87 ) 
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Total distributions to shareholders

      (2.91 )       (1.37 )         (3.59 )       (4.93 )         (2.96 ) 
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Net Asset Value — End of Year

    $ 19.77      $ 20.41        $ 17.78      $ 21.94        $ 25.37  
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Total Return

      11.44 %       22.51 %         (1.89 )%       7.39 %         21.63 % 

Ratios/Supplemental Data:

                   

Ratios to average net assets:

                   

Expenses

      0.89 %       0.91 %         0.89 %       0.86 %         0.85 % 

Net investment income

      0.77 %2        0.19 %         0.70 %       0.22 %         0.53 % 

Portfolio turnover rate

      49 %       91 %         68 %       83 %         66 % 

Net Assets at the end of year (000’s omitted)

    $ 283,762      $ 348,689        $ 376,688      $ 445,322        $ 707,921  

 

1 

Calculated using the average shares outstanding method.

2 

For the year ended June 30, 2018, net investment income per share reflects special dividends which amounted to $0.15 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.01%.

 

 

 

See accompanying notes.

      

 

CRM Funds

   44   

 

CRM FUNDS

FINANCIAL HIGHLIGHTS

 

 

 

 

     CRM Small/Mid Cap Value Fund — Investor Shares  
     For the Years Ended June 30,  
     2018      2017      2016      2015        2014  

Net Asset Value — Beginning of Year

    $ 14.54      $ 12.81      $ 15.41      $ 18.66        $ 16.94  
  

 

 

     

 

 

     

 

 

     

 

 

       

 

 

  

Investment operations:

                 

Net investment income (loss)1

     (0.01 )       (0.01 )       0.23 2         0.07          0.05  

Net realized and unrealized gain (loss) on investments

      2.15        2.04        (1.36 )       0.26          3.94  
  

 

 

     

 

 

     

 

 

     

 

 

       

 

 

  

Total from investment operations

      2.14        2.03        (1.13 )       0.33          3.99  
  

 

 

     

 

 

     

 

 

     

 

 

       

 

 

  

Distributions to shareholders:

                 

From net investment income

      —        (0.30 )       —        (0.10 )         (0.02 ) 

From net realized gains on investments

      (3.59 )       —        (1.47 )       (3.48 )         (2.25 ) 
  

 

 

     

 

 

     

 

 

     

 

 

       

 

 

  

Total distributions to shareholders

      (3.59 )       (0.30 )       (1.47 )       (3.58 )         (2.27 ) 
  

 

 

     

 

 

     

 

 

     

 

 

       

 

 

  

Net Asset Value — End of Year

    $ 13.09      $ 14.54      $ 12.81      $ 15.41        $ 18.66  
  

 

 

     

 

 

     

 

 

     

 

 

       

 

 

  

Total Return

      16.75 %       15.87 %       (6.91 )%       3.16 %         25.09 % 

Ratios/Supplemental Data:

                 

Ratios to average net assets:

                 

Expenses

      1.13 %       1.14 %       1.12 %       1.08 %         1.07 % 

Net investment income (loss)

      (0.05 )%       (0.05 )%       1.75 %2        0.39 %         0.27 % 

Portfolio turnover rate

      48 %       76 %       72 %       82 %         86 % 

Net Assets at the end of year (000’s omitted)

    $ 29,116      $ 36,626      $ 53,393      $ 75,621        $ 274,988  

 

1 

Calculated using the average shares outstanding method.

2 

For the year ended June 30, 2016, net investment income per share reflects special dividends which amounted to $0.19 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.24%.

 

 

 

See accompanying notes.

      

 

CRM Funds

   45   

 

CRM FUNDS

FINANCIAL HIGHLIGHTS

 

 

 

 

     CRM Small/Mid Cap Value Fund — Institutional Shares  
     For the Years Ended June 30,  
     2018        2017        2016      2015        2014  

Net Asset Value — Beginning of Year

    $ 14.80        $ 13.03        $ 15.62      $ 18.93        $ 17.16  
  

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Investment operations:

                     

Net investment income1

     0.02          0.02          0.25 2         0.13          0.09  

Net realized and unrealized gain (loss) on investments

      2.20          2.08          (1.37 )       0.24          3.99  
  

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Total from investment operations

      2.22          2.10          (1.12 )       0.37          4.08  
  

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Distributions to shareholders:

                     

From net investment income

      —          (0.33 )         —        (0.20 )         (0.06 ) 

From net realized gains on investments

      (3.59 )         —          (1.47 )       (3.48 )         (2.25 ) 
  

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Total distributions to shareholders

      (3.59 )         (0.33 )         (1.47 )       (3.68 )         (2.31 ) 
  

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Net Asset Value — End of Year

    $ 13.43        $ 14.80        $ 13.03      $ 15.62        $ 18.93  
  

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Total Return

      17.03 %         16.19 %         (6.74 )%       3.41 %         25.34 % 

Ratios/Supplemental Data:

                     

Ratios to average net assets:

                     

Expenses

      0.91 %         0.93 %         0.90 %       0.87 %         0.85 % 

Net investment income

      0.16 %         0.13 %         1.90 %2        0.80 %         0.49 % 

Portfolio turnover rate

      48 %         76 %         72 %       82 %         86 % 

Net Assets at the end of year (000’s omitted)

    $ 261,428        $ 454,332        $ 552,340      $ 819,957        $ 881,179  

 

1 

Calculated using the average shares outstanding method.

2 

For the year ended June 30, 2016, net investment income per share reflects special dividends which amounted to $0.19 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.46%.

 

 

 

See accompanying notes.

      

 

CRM Funds

   46   

 

CRM FUNDS

FINANCIAL HIGHLIGHTS

 

 

 

 

     CRM Mid Cap Value Fund — Investor Shares  
     For the Years Ended June 30,  
     2018      2017        2016      2015        2014  

Net Asset Value — Beginning of Year

    $ 23.18      $ 20.80        $ 28.93      $ 35.61        $ 34.36  
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Investment operations:

                   

Net investment income1

     0.14 2         0.13          0.25 3         0.15          0.12  

Net realized and unrealized gain (loss) on investments

      3.57        3.12          (0.51 )       1.31          7.12  
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Total from investment operations

      3.71        3.25          (0.26 )       1.46          7.24  
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Distributions to shareholders:

                   

From net investment income

      (0.29 )       — 4          (0.30 )       (0.19 )         (0.18 ) 

From net realized gains on investments

      (4.02 )       (0.87 )         (7.57 )       (7.95 )         (5.81 ) 
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Total distributions to shareholders

      (4.31 )       (0.87 )         (7.87 )       (8.14 )         (5.99 ) 
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Net Asset Value — End of Year

    $ 22.58      $ 23.18        $ 20.80      $ 28.93        $ 35.61  
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Total Return

      17.80 %       15.93 %         1.43 %       5.73 %         22.95 % 

Ratios/Supplemental Data:

                   

Ratios to average net assets:

                   

Expenses

      1.11 %       1.15 %         1.13 %       1.05 %         1.03 % 

Net investment income

      0.62 %2        0.58 %         1.11 %3        0.49 %         0.35 % 

Portfolio turnover rate

      58 %       74 %         76 %       105 %         77 % 

Net Assets at the end of year (000’s omitted)

    $ 243,062      $ 229,541        $ 357,232      $ 461,579        $ 654,431  

 

1 

Calculated using the average shares outstanding method.

2 

For the year ended June 30, 2018, net investment income per share reflects special dividends which amounted to $0.13 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.04%.

3 

For the year ended June 30, 2016, net investment income per share reflects special dividends which amounted to $0.20 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.21%.

4 

Amount represents less than $0.005.

 

 

 

See accompanying notes.

      

 

CRM Funds

   47   

 

CRM FUNDS

FINANCIAL HIGHLIGHTS

 

 

 

 

     CRM Mid Cap Value Fund — Institutional Shares  
     For the Years Ended June 30,  
     2018      2017        2016      2015        2014  

Net Asset Value — Beginning of Year

    $ 23.96      $ 21.46        $ 29.60      $ 36.27        $ 34.90  
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Investment operations:

                   

Net investment income1

     0.19 2         0.15          0.39 3         0.22          0.21  

Net realized and unrealized gain (loss) on investments

      3.71        3.26          (0.60 )       1.33          7.23  
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Total from investment operations

      3.90        3.41          (0.21 )       1.55          7.44  
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Distributions to shareholders:

                   

From net investment income

      (0.35 )       (0.04 )         (0.36 )       (0.27 )         (0.26 ) 

From net realized gains on investments

      (4.02 )       (0.87 )         (7.57 )       (7.95 )         (5.81 ) 
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Total distributions to shareholders

      (4.37 )       (0.91 )         (7.93 )       (8.22 )         (6.07 ) 
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Net Asset Value — End of Year

    $ 23.49      $ 23.96        $ 21.46      $ 29.60        $ 36.27  
  

 

 

     

 

 

       

 

 

     

 

 

       

 

 

  

Total Return

      18.04 %       16.19 %         1.61 %       5.91 %         23.22 % 

Ratios/Supplemental Data:

                   

Ratios to average net assets:

                   

Expenses

      0.91 %       0.94 %         0.95 %       0.85 %         0.81 % 

Net investment income

      0.82 %2        0.63 %         1.60 %3        0.70 %         0.57 % 

Portfolio turnover rate

      58 %       74 %         76 %       105 %         77 % 

Net Assets at the end of year (000’s omitted)

    $ 312,290      $ 289,145        $ 237,351      $ 736,171        $ 1,856,591  

 

1 

Calculated using the average shares outstanding method.

2 

For the year ended June 30, 2018, net investment income per share reflects special dividends which amounted to $0.13 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.24%.

3 

For the year ended June 30, 2016, net investment income per share reflects special dividends which amounted to $0.28 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.43%.

 

 

 

See accompanying notes.

      

 

CRM Funds

   48   

 

CRM FUNDS

FINANCIAL HIGHLIGHTS

 

 

 

 

     CRM Large Cap Opportunity Fund — Investor Shares  
     For the Years Ended June 30,  
     2018      2017      2016      2015      2014  

Net Asset Value — Beginning of Year

    $ 9.77      $ 8.56      $ 9.48      $ 12.23      $ 12.27  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Investment operations:

               

Net investment income1

     0.07        0.07        0.05        0.02        0.07  

Net realized and unrealized gain (loss) on investments

      0.86        1.28        (0.21 )       0.78        2.28  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total from investment operations

      0.93        1.35        (0.16 )       0.80        2.35  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Distributions to shareholders:

               

From net investment income

      (0.04 )       (0.07 )       (0.01 )       (0.06 )       (0.15 ) 

From net realized gains on investments

      (1.05 )       (0.07 )       (0.75 )       (3.49 )       (2.24 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

      (1.09 )       (0.14 )       (0.76 )       (3.55 )       (2.39 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net Asset Value — End of Year

    $ 9.61      $ 9.77      $ 8.56      $ 9.48      $ 12.23  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total Return

      9.78 %       15.79 %       (1.47 )%       8.42 %       21.24 % 

Ratios/Supplemental Data:

               

Ratios to average net assets:

               

Expenses, including waiver/reimbursement

      0.90 %       1.13 %       1.15 %       1.15 %       1.15 % 

Expenses, excluding waiver/reimbursement

      1.04 %       1.24 %       1.33 %       1.42 %       1.35 % 

Net investment income, including waiver/reimbursement

      0.67 %       0.68 %       0.58 %       0.20 %       0.54 % 

Portfolio turnover rate

      79 %       111 %       121 %       132 %       89 % 

Net Assets at the end of year (000’s omitted)

    $ 8,635      $ 12,872      $ 11,906      $ 12,604      $ 15,858  

 

1 

Calculated using the average shares outstanding method.

 

 

 

See accompanying notes.

      

 

CRM Funds

   49   

 

CRM FUNDS

FINANCIAL HIGHLIGHTS

 

 

 

 

     CRM Large Cap Opportunity Fund — Institutional Shares  
     For the Years Ended June 30,  
     2018        2017        2016        2015        2014  

Net Asset Value — Beginning of Year

    $ 9.79        $ 8.58        $ 9.50        $ 12.25        $ 12.30  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Investment operations:

                       

Net investment income1

     0.10          0.09          0.07          0.05          0.10  

Net realized and unrealized gain (loss) on investments

      0.86          1.28          (0.20 )         0.78          2.28  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total from investment operations

      0.96          1.37          (0.13 )         0.83          2.38  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Distributions to shareholders:

                       

From net investment income

      (0.07 )         (0.09 )         (0.04 )         (0.09 )         (0.19 ) 

From net realized gains on investments

      (1.05 )         (0.07 )         (0.75 )         (3.49 )         (2.24 ) 
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions to shareholders

      (1.12 )         (0.16 )         (0.79 )         (3.58 )         (2.43 ) 
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Net Asset Value — End of Year

    $ 9.63        $ 9.79        $ 8.58        $ 9.50        $ 12.25  
  

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total Return

      10.03 %         16.04 %         (1.18 )%         8.69 %         21.52 % 

Ratios/Supplemental Data:

                       

Ratios to average net assets:

                       

Expenses, including waiver/reimbursement

      0.65 %         0.88 %         0.90 %         0.90 %         0.90 % 

Expenses, excluding waiver/reimbursement

      0.79 %         0.99 %         1.04 %         1.17 %         1.10 % 

Net investment income, including waiver/reimbursement

      0.95 %         0.95 %         0.87 %         0.45 %         0.78 % 

Portfolio turnover rate

      79 %         111 %         121 %         132 %         89 % 

Net Assets at the end of year (000’s omitted)

    $ 73,134        $ 81,327        $ 61,064        $ 21,012        $ 25,861  

 

1 

Calculated using the average shares outstanding method.

 

 

 

See accompanying notes.

      

 

CRM Funds

   50   

 

CRM FUNDS

FINANCIAL HIGHLIGHTS

 

 

 

 

     CRM All Cap Value Fund — Investor Shares  
     For the Years Ended June 30,  
     2018      2017      2016      2015      2014  

Net Asset Value — Beginning of Year

    $ 9.28      $ 8.32      $ 10.72      $ 12.99      $ 11.88  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Investment operations:

               

Net investment income (loss)1

     (0.01 )       0.03        0.06        (0.01 )       0.02  

Net realized and unrealized gain (loss) on investments

      1.00        1.32        (0.08 )       0.51        2.23  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total from investment operations

      0.99        1.35        (0.02 )       0.50        2.25  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Distributions to shareholders:

               

From net investment income

      —        (0.03 )       (0.07 )       (0.02 )       (0.03 ) 

From net realized gains on investments

      (1.46 )       (0.36 )       (2.31 )       (2.75 )       (1.11 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

      (1.46 )       (0.39 )       (2.38 )       (2.77 )       (1.14 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net Asset Value — End of Year

    $ 8.81      $ 9.28      $ 8.32      $ 10.72      $ 12.99  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total Return

      11.20 %       16.66 %       0.87 %       5.48 %       19.87 % 

Ratios/Supplemental Data:

               

Ratios to average net assets:

               

Expenses, including waiver/reimbursement

      1.50 %       1.50 %       1.50 %       1.50 %       1.45 % 

Expenses, excluding waiver/reimbursement

      1.93 %       1.95 %       1.76 %       1.59 %       1.45 % 

Net investment income (loss), including waiver/reimbursement

      (0.07 )%       0.36 %       0.72 %       (0.08 )%       0.18 % 

Portfolio turnover rate

      72 %       91 %       91 %       97 %       76 % 

Net Assets at the end of year (000’s omitted)

    $ 4,694      $ 8,735      $ 19,708      $ 23,367      $ 41,279  

 

1 

Calculated using the average shares outstanding method.

 

 

 

See accompanying notes.

      

 

CRM Funds

   51   

 

CRM FUNDS

FINANCIAL HIGHLIGHTS

 

 

 

 

     CRM All Cap Value Fund — Institutional Shares  
     For the Years Ended June 30,  
     2018      2017      2016      2015      2014  

Net Asset Value — Beginning of Year

    $ 9.40      $ 8.44      $ 10.84      $ 13.10      $ 11.97  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Investment operations:

               

Net investment income1

     0.01        0.05        0.10        0.02        0.06  

Net realized and unrealized gain (loss) on investments

      1.03        1.33        (0.10 )       0.53        2.24  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total from investment operations

      1.04        1.38        —        0.55        2.30  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Distributions to shareholders:

               

From net investment income

      —        (0.06 )       (0.09 )       (0.06 )       (0.06 ) 

From net realized gains on investments

      (1.46 )       (0.36 )       (2.31 )       (2.75 )       (1.11 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

      (1.46 )       (0.42 )       (2.40 )       (2.81 )       (1.17 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net Asset Value — End of Year

    $ 8.98      $ 9.40      $ 8.44      $ 10.84      $ 13.10  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total Return

      11.63 %       16.71 %       1.21 %       5.82 %       20.16 % 

Ratios/Supplemental Data:

               

Ratios to average net assets:

               

Expenses, including waiver/reimbursement

      1.25 %       1.25 %       1.25 %       1.25 %       1.18 % 

Expenses, excluding waiver/reimbursement

      1.68 %       1.73 %       1.51 %       1.35 %       1.18 % 

Net investment income, including waiver/reimbursement

      0.18 %       0.53 %       1.10 %       0.17 %       0.43 % 

Portfolio turnover rate

      72 %       91 %       91 %       97 %       76 % 

Net Assets at the end of year (000’s omitted)

    $ 14,082      $ 13,675      $ 3,620      $ 6,316      $ 8,002  

 

1 

Calculated using the average shares outstanding method.

 

 

 

See accompanying notes.

      

 

CRM Funds

   52   

 

CRM FUNDS

NOTES TO FINANCIAL STATEMENTS — June 30, 2018

 

 

 

 

1.

Description of the Funds. CRM Small Cap Value Fund (“Small Cap Value Fund”), CRM Small/Mid Cap Value Fund (“Small/Mid Cap Value Fund”), CRM Mid Cap Value Fund (“Mid Cap Value Fund”), CRM Large Cap Opportunity Fund (“Large Cap Opportunity Fund”) and CRM All Cap Value Fund (“All Cap Value Fund”) (each, a “Fund” and collectively, the “Funds”) are series of the CRM Mutual Fund Trust (the “Trust”). The Trust consists of 6 funds, 5 of which are presented herein. The remaining fund is presented in a separate report. A shareholder of one series is not deemed to be a shareholder of any other series. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and was organized as a Delaware statutory trust on March 30, 2005.

Each Fund offers Investor and Institutional Shares. Each class has different minimum investment requirements, fees and expenses. All classes of shares have identical voting, dividend and liquidation rights. Institutional Shares are offered only to those investors who invest in a Fund through an intermediary (i.e. broker) or through a consultant and who invest $1,000,000 or more or where related accounts total $1,000,000 or more when combined. Investor Shares are available to all investors and are subject to a shareholder servicing fee.

 

2.

Significant Accounting Policies. The Funds’ financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). The Funds are investment companies and follow the accounting and reporting requirements for investment companies under Financial Accounting Standards Board (“FASB”), Accounting Standards Codification Topic 946, in accordance with FASB Accounting Standards Update 2013-08. The following is a summary of the significant accounting policies of the Funds:

Security Valuation. The Funds value their investment securities based on current market values when such values are available. These prices normally are supplied by a pricing service.

In valuing a Fund’s investment securities, a security listed on the New York Stock Exchange (the “Exchange”) (and not subject to restrictions against sale by the Fund on the Exchange) will be valued at its last sale price on the Exchange on the day the security is valued. Lacking any sales on such day, the security will be valued at the mean between the closing asked price and the closing bid price. Securities listed on other exchanges (and not subject to restriction against sale by the Fund on such exchanges) will be similarly valued, using quotations on the exchange on which the security is traded most extensively. Securities that are quoted on the NASDAQ Stock Market, for which there have been sales of such securities on such day, shall be valued at the last sale price reported on such system on the day the security is valued. If there are no such sales on such day, the value shall be the mean between the closing asked price and the closing bid price. The value of such securities quoted on the stock market system, but not listed on the national market system, shall be valued at the mean between the closing asked price and the closing bid price. Unlisted securities that are not quoted on the NASDAQ Stock Market and for which over-the-counter market quotations are readily available will be valued at the mean between the current bid and asked prices for such security in the over-the-counter market. Short-term investments with remaining maturities of less than 61 days are valued at amortized cost, provided such amount approximates fair value. A Fund’s currency valuations, if any, are also valued at the close of regular trading on the Exchange. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.

Securities that do not have a readily available current market value are valued in good faith by, or under the direction of, the Board of Trustees of the Trust (the “Board” or “Trustees”). In addition, the Funds may use

 

 

     

 

CRM Funds

   53   

 

CRM FUNDS

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

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 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.

 

 

     

 

CRM Funds

   54   

 

CRM FUNDS

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

•  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 Fund’s 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, 2018 is included with each Fund’s Schedule of Investments.

Foreign Currency Translations. The books and records of the Funds are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date. The value of all assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar daily. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of those investments. Such fluctuations are included with the net realized and unrealized gain or loss from investments that are disclosed within each Fund’s statement of operations, as applicable.

Federal Income Taxes. Each Fund is treated as a separate entity for federal income tax purposes and intends to continue to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of its taxable income to its shareholders. Therefore, no Federal income tax provision has been made.

Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each of the Fund’s tax positions and has concluded that no provision for U.S. income tax is required in each of the Fund’s financial statements. Each of the Fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. On an ongoing basis, management monitors the Funds’ tax positions to determine if any adjustments to its conclusions are necessary.

The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the year ended June 30, 2018, the Funds did not incur any interest or penalties.

 

 

     

 

CRM Funds

   55   

 

CRM FUNDS

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

Security Transactions and Investment Income. Investment security transactions are accounted for on a trade date basis for financial reporting purposes. Each Fund uses the specific identification method for determining realized gains and losses on investments for both financial and federal income tax reporting purposes. Interest income is recorded on the accrual basis and includes the amortization of premium and the accretion of discount. Dividend income is recorded on the ex-dividend date. 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. There were no capital gains taxes for the year ended June 30, 2018 in the Funds.

Class Accounting. In calculating the NAV per share for each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Repurchase Agreements. Each Fund may, through its custodian, receive delivery of the underlying securities used to collateralize repurchase agreements, the market value of which is required to be in an amount at least equal to 101% of the resale price. The Funds’ investment adviser is responsible for determining that the market value of these underlying securities is maintained at all times at a level at least equal to 101% of the resale price. In event of default of the obligation to repurchase, each Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Provisions of each agreement require that the market value of the collateral is sufficient in the event of default; however, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

Repurchase agreements are entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund.

 

 

     

 

CRM Funds

   56   

 

CRM FUNDS

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

At June 30, 2018, 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                                 
Bank of Montreal      $ 483,894           $ 483,894           $ —         $ —
HSBC Securities USA, Inc.        2,300,987             2,300,987             —           —
Natwest Markets PLC        2,300,987             2,300,987             —           —
NBC Global Finance Ltd.        2,300,987             2,300,987             —           —
Nomura Securities Int’l, Inc.        2,300,987             2,300,987             —           —
    

 

 

            

 

 

            

 

 

          

 

 

  
     $ 9,687,842           $ 9,687,842           $ —         $ —
    

 

 

            

 

 

            

 

 

          

 

 

  
Small/Mid Cap Value Fund                                 
Bank of Montreal      $ 340,776           $ 340,776           $ —         $ —
HSBC Securities USA, Inc.        1,620,217             1,620,217             —           —
Natwest Markets PLC        1,620,217             1,620,217             —           —
NBC Global Finance Ltd.        1,620,217             1,620,217             —           —
Nomura Securities Int’l, Inc.        1,620,217             1,620,217             —           —
    

 

 

            

 

 

            

 

 

          

 

 

  
     $ 6,821,644           $ 6,821,644           $ —         $ —
    

 

 

            

 

 

            

 

 

          

 

 

  
Mid Cap Value Fund                                 
Bank of Montreal      $ 653,458           $ 653,458           $ —         $ —
HSBC Securities USA, Inc.        3,107,233             3,107,233             —           —
Natwest Markets PLC        3,107,233             3,107,233             —           —
NBC Global Finance Ltd.        3,107,233             3,107,233             —           —
Nomura Securities Int’l, Inc.        3,107,233             3,107,233             —           —
    

 

 

            

 

 

            

 

 

          

 

 

  
     $ 13,082,390           $ 13,082,390           $ —         $ —
    

 

 

            

 

 

            

 

 

          

 

 

  
All Cap Value Fund                                 
NBC Global Finance Ltd.      $ 737,829           $ 737,829           $ —         $ —
    

 

 

            

 

 

            

 

 

          

 

 

  

                    

  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 $9,881,660, $6,958,121, $13,344,121 and $752,588, 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

   57   

 

CRM FUNDS

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

3.

Advisory Fees and Other Transactions with Affiliates. Cramer Rosenthal McGlynn, LLC (“CRM”) serves as investment adviser to the Funds. CRM receives an advisory fee from Small Cap Value Fund, Small/Mid Cap Value Fund, and Mid Cap Value Fund of 0.75% of each Fund’s first $1 billion of average daily net assets; 0.70% of each Fund’s next $1 billion of average daily net assets; and 0.65% of each Fund’s average daily net assets in excess of $2 billion. For its advisory services to Large Cap Opportunity Fund, CRM receives 0.55% of the Fund’s average daily net assets. For its advisory services to All Cap Value Fund, CRM receives 0.95% for the first $1 billion of average daily net assets; 0.90% of the next $1 billion of average daily net assets; and 0.85% in excess of $2 billion of average daily net assets.

CRM has contractually agreed to waive its fees and reimburse certain operating expenses (excluding taxes, extraordinary expenses, brokerage commissions, acquired fund fees and expenses and interest) (i) with respect to each of Small Cap Value Fund, Small/Mid Cap Value Fund, Mid Cap Value Fund, and All Cap Value Fund, in an amount that will limit annual operating expenses to not more than 1.50% and 1.25% of average daily net assets for the Investor Shares and Institutional Shares, respectively. These undertakings will remain in place until November 1, 2018. CRM has contractually agreed to waive its fees and reimburse certain operating expenses (excluding taxes, extraordinary expenses, brokerage commissions, acquired fund fees and expenses and interest) with respect to Large Cap Opportunity Fund in an amount that will limit annual operating expenses to not more than 0.90% and 0.65% of average daily net assets for Investor Shares and Institutional Shares, respectively. This undertaking will remain in place until November 1, 2018.

CRM provides compliance services to the Trust. The Chief Compliance Officer (“CCO”) is an employee of CRM. The Trust reimburses CRM for the portion of his salary allocated to his duties as the CCO of the Trust at a rate of $75,000 per year which is allocated on a pro-rata basis amongst the series of the Trust based on relative net assets.

Compensation of Trustees and Officers. Except for the CCO of the Funds, trustees and officers of the Funds who are interested persons of CRM, as defined in the 1940 Act, receive no compensation from the Funds.

Trustees of the Funds who are not interested persons of CRM, as defined in the 1940 Act (each an “Independent Trustee”), receive compensation and reimbursement of expenses. Each Independent Trustee receives aggregate annual compensation from the Trust at an annual rate of $75,000 which is allocated on a pro-rata basis amongst the series of the Trust based on relative net assets. Under a Deferred Compensation Plan (the “Plan”) adopted August 12, 2005, an Independent Trustee may elect to defer receipt of all, or a portion, of his annual compensation. If an Independent Trustee opts for deferral, then the deferred amounts are credited to an Independent Trustee’s deferral account and invested and reinvested in Institutional Shares of one or more of the Funds 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, 2018. Trustees’ fees reflected in the accompanying financial statements include total compensation earned, which were paid in cash. Each trustee serves during the continued lifetime of the Funds, or the earlier of when his or her successor is elected or qualified, the officer dies, resigns, is removed or becomes disqualified.

Shareholder Servicing Fees. The Board has adopted a Shareholder Servicing Plan which allows each Fund to obtain, for its Investor Shares, the services of CRM and other qualified financial institutions to act as shareholder servicing agents for its shareholders. Under the Shareholder Servicing Plan, each Fund may pay shareholder

 

 

     

 

CRM Funds

   58   

 

CRM FUNDS

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

servicing agents, including CRM, monthly fees at an annual rate not to exceed 0.25% of the Fund’s average daily net assets attributable to its Investor Shares.

Sub-Transfer Agent Fees. Institutional Shares of each Fund are sold through certain intermediaries that provide accounting, recordkeeping, and/or other services to shareholders. The Board of Trustees has approved payment of the fees charged by these intermediaries for providing these sub-transfer agency services from the assets of the Institutional Shares of each Fund provided these fees do not exceed the charges the Fund would bear for these services if they were provided directly by the Funds’ transfer agent. CRM, as the Funds’ agent, remits these payments to the intermediaries. In some cases, where the sub-transfer agency fees of an intermediary are greater than the amounts paid to CRM by the Funds for that intermediary, CRM will pay the balance of those fees itself.

 

4.

Investment Securities Transactions. The cost of investments purchased and the proceeds from investments sold (excluding short-term investments) for the year ended June 30, 2018, were as follows:

 

     Purchases        Sales  

Small Cap Value Fund

    $ 205,936,507        $ 214,662,073  

Small/Mid Cap Value Fund

      160,505,217          377,084,877  

Mid Cap Value Fund

      286,190,294          342,120,644  

Large Cap Opportunity Fund

      70,612,281          89,910,854  

All Cap Value Fund

      14,480,155          20,587,783  

 

5.

Securities Lending Agreement. The Funds may lend their securities pursuant to a securities lending agreement (“Lending Agreement”) with The Bank of New York Mellon. Security loans made pursuant to the Lending Agreement are required at all times to be secured by cash collateral at least equal to 102% of the market value of the securities loaned. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board of Trustees, is invested in short-term fixed income securities rated in the highest rating category by nationally recognized statistical rating organizations (or of comparable quality if unrated) with a maturity date of 397 days or less, including corporate obligations and money market mutual funds. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. The Bank of New York Mellon and the lender retain a portion of the earnings from the collateral investments, with the remainder being retained by the Fund. The Funds record securities lending income net of such allocations. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, The Bank of New York Mellon has agreed to pay the amount of the shortfall to the Funds, or at its discretion, replace the loaned securities. In the event of default or bankruptcy by The Bank of New York Mellon, realization and/or retention of the collateral may be subject to legal proceedings.

 

 

     

 

CRM Funds

   59   

 

CRM FUNDS

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

  At June 30, 2018, the following Funds had securities on loan:

 

    

Market Value

       

Cash Collateral

  

Small Cap Value Fund

     $ 9,407,000         $ 9,687,842    

Small/Mid Cap Value Fund*

      6,732,951          6,821,644    

Mid Cap Value Fund*

      12,866,397          13,082,390    

All Cap Value Fund*

      731,654          737,829    

                    

  *

Additional cash collateral in the amount of $45,972, $72,439 and $9,793 was received for Small/Mid Cap Value Fund, Mid Cap Value Fund and All Cap Value Fund, respectively, on July 2, 2018 to satisfy the 102% cash collateral requirement.

 

6.

Capital Share Transactions. Transactions in shares of capital stock for the year ended June 30, 2018 and the year ended June 30, 2017 were as follows:

 

     For the Year      For the Year  
     Ended June 30, 2018      Ended June 30, 2017  
     Investor               Institutional            Investor            Institutional  
     Shares            Shares                 Shares               Shares  

Small Cap Value Fund

                  

Sold

      646,813          2,461,668          480,447          2,315,492  

Issued on reinvestment of distributions

      614,287          2,372,198          261,516          1,073,996  

Redeemed

      (796,918 )         (7,564,065 )         (607,457 )         (7,494,865 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

Net increase (decrease)

      464,182          (2,730,199 )         134,506          (4,105,377 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

Small/Mid Cap Value Fund

                  

Sold

      221,402          2,658,437          439,654          5,560,945  

Issued on reinvestment of distributions

      612,633          4,887,637          65,697          857,523  

Redeemed

      (1,129,230 )         (18,781,100 )         (2,155,719 )         (18,104,702 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

Net decrease

      (295,195 )         (11,235,026 )         (1,650,368 )         (11,686,234 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

Mid Cap Value Fund

                  

Sold

      1,580,361          2,395,714          1,799,165          5,198,056  

Issued on reinvestment of distributions

      1,843,966          2,102,447          636,812          384,302  

Redeemed

      (2,562,951 )         (3,273,884 )         (9,709,126 )         (4,572,170 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

Net increase (decrease)

      861,376          1,224,277          (7,273,149 )         1,010,188  
  

 

 

       

 

 

       

 

 

       

 

 

  

Large Cap Opportunity Fund

                  

Sold

      50,345          1,351,095          38,437          2,356,999  

Issued on reinvestment of distributions

      140,573          225,294          17,825          32,185  

Redeemed

      (610,115 )         (2,289,790 )         (128,448 )         (1,196,405 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

Net increase (decrease)

      (419,197 )         (713,401 )         (72,186 )         1,192,779  
  

 

 

       

 

 

       

 

 

       

 

 

  

All Cap Value Fund

                  

Sold

      11,241          475,203          202,042          1,036,804  

Issued on reinvestment of distributions

      133,740          204,656          90,860          19,244  

Redeemed

      (553,534 )         (566,265 )         (1,719,244 )         (30,497 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

Net increase (decrease)

      (408,553 )         113,594          (1,426,342 )         1,025,551  
  

 

 

       

 

 

       

 

 

       

 

 

  

 

 

     

 

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CRM FUNDS

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

7.

Federal Tax Information. Distributions to shareholders from net investment income and realized gains are determined in accordance with Federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Additionally, net short-term realized gains are treated as “ordinary income” for tax purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

At June 30, 2018, the following reclassifications were made within the capital accounts to reflect permanent differences relating to the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividend paid deduction for income tax purposes and in-kind redemption gains and losses.

 

     Paid-in-capital    Undistributed
net investment income (loss)		   Accumulated
net realized gain (loss)
on investments

Small Cap Value Fund

      $ 6,411,928      $ —     $ (6,411,928 )

Small/Mid Cap Value Fund

        13,124,490        5,335,791       (18,460,281 )

Mid Cap Value Fund

        3,386,496        (201,287 )       (3,185,209 )

Large Cap Opportunity Fund

        440,846        (37,643 )       (403,203 )

All Cap Value Fund

        241,443        (1,298 )       (240,145 )

The tax character of distributions paid during the year ended June 30, 2018 and the year ended June 30, 2017 was as follows:

 

     Small Cap
Value Fund		    Small/Mid Cap
Value Fund		    Mid Cap
Value Fund		    Large Cap
Opportunity Fund		    All Cap
Value Fund

For the Year Ended June 30, 2018

                         

Ordinary income

      $ 30,585,652      $ —      $ 11,380,610      $ 6,625,220      $ 737,723

Long-term capital gains

        29,829,032        68,185,485        76,039,191        3,802,659        2,454,761
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions

      $ 60,414,684      $ 68,185,485      $ 87,419,801      $ 10,427,879      $ 3,192,484
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

For the Year Ended June 30, 2017

                         

Ordinary income

      $ 5,042,372      $ 13,369,534      $ 719,289      $ 1,415,595      $ 94,376

Long-term capital gains

        23,046,854        —        22,476,694        133,990        937,774
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions

      $ 28,089,226      $ 13,369,534      $ 23,195,983      $ 1,549,585      $ 1,032,150
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

 

     

 

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NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

The components of accumulated earnings (deficit) on a tax basis as of June 30, 2018 were as follows:

 

     Undistributed
ordinary
income		    Undistributed
long-term
capital gains		    Qualified
late year
loss
deferrals†		    Net unrealized
appreciation
on investments
and foreign
currency		    Total
accumulated
earnings
(deficit)

Small Cap

                         

Value Fund

      $ 8,876,326      $ 15,221,427      $ —      $ 73,256,004      $ 97,353,757

Small/Mid Cap

                         

Value Fund

        9,593,887        16,472,074        —        66,297,159        92,363,120

Mid Cap

                         

Value Fund

        12,310,268        16,970,851        —        102,829,956        132,111,075

Large Cap

                         

Opportunity Fund

        1,960,835        3,041,941        —        8,582,367        13,585,143

All Cap

                         

Value Fund

        289,564        1,739,227        —        2,222,426        4,251,217

 

  † 

Under federal tax law, qualified late year ordinary and capital losses realized after December 31 and October 31, respectively, may be deferred and treated as occurring on the first day of the following fiscal year.

The difference between book basis and tax basis components of accumulated earnings (deficit) is primarily attributable to tax deferral of wash sales and investments in publicly traded partnerships.

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, 2018 were as follows:

 

     Tax Cost of
Investments		    Gross Unrealized
Appreciation		    Gross Unrealized
Depreciation		   Net Unrealized
Appreciation
on Investments

Small Cap Value Fund

      $ 298,409,029      $ 84,682,487      $ (11,426,483 )     $ 73,256,004 

Small/Mid Cap Value Fund

        234,667,523        75,805,040        (9,507,881 )       66,297,159 

Mid Cap Value Fund

        468,992,627        125,641,863        (22,811,907 )       102,829,956 

Large Cap Opportunity Fund

        73,714,843        12,447,895        (3,865,528 )       8,582,367 

All Cap Value Fund

        17,358,806        3,162,675        (940,249 )       2,222,426 

 

8.

Contractual Obligations. The Funds enter into contracts in the normal course of business that contain a variety of indemnification obligations. The Funds’ maximum exposure under these arrangements is unknown. However, the Funds have not had prior claims or losses pursuant to these contracts. Management has reviewed the Funds’ existing contracts and expects the risk of liability for indemnity claims to be remote.

 

9.

Temporary Borrowing. The Funds participate in a $25 million revolving line of credit to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions by shareholders. This line of credit agreement is with the Bank of New York Mellon. The Funds are charged an annual commitment fee, which is allocated across the Funds on the basis of each Fund’s allocation of the entire facility. Each Fund may borrow up to one third of its net assets under the agreement (subject to a maximum of $25 million), except that if a Fund has net assets of less than $100 million, such Fund may borrow up to a maximum of 20% of its net assets. The Funds are charged an annual commitment fee of 0.21%, plus an upfront fee of

 

 

     

 

CRM Funds

   62   

 

CRM FUNDS

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Concluded)

 

 

 

 

 

0.03%, which is allocated proportionately to each Fund’s borrowing capabilities. For a Fund that utilizes the revolving line of credit, interest will be charged at a rate of 1.25% plus a negotiated alternative base rate, or overnight rate, depending upon the type of loan. The line of credit is scheduled to expire on October 5, 2018. The Funds had no amounts outstanding as of June 30, 2018 or at any time during the year then ended.

 

10.

Redemptions-In-Kind. During the year ended June 30, 2018, CRM Small Cap Value Fund realized $7,648,782 of net gains and CRM Small/Mid Cap Value Fund realized $2,462,593 of net gains resulting from redemptions-in-kind in which a shareholder redeemed fund shares for securities held by each Fund rather than for cash. The gains are not distributed to the remaining shareholders and they have been reclassified from accumulated net realized gains (loss) to paid-in capital on shares of beneficial interest.

 

11.

Subsequent Events. Management has evaluated the impact of all subsequent events on the Funds and has determined that there were no subsequent events that required recognition or disclosure in the financial statements.

 

 

     

 

CRM Funds

   63   

 

CRM FUNDS

REPORT OF INDEPENDENT

REGISTERED PUBLIC ACCOUNTING FIRM

    

 

 

 

 

To the Shareholders of CRM Small Cap Value Fund, CRM Small/Mid Cap Value Fund, CRM Mid Cap Value Fund, CRM Large Cap Opportunity Fund and CRM All Cap Value Fund and the 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 Large Cap Opportunity Fund and CRM All Cap Value Fund (collectively referred to as the “Funds”) (five of the funds constituting CRM Mutual Fund Trust (the “Trust”)), including the schedules of investments, as of June 30, 2018, and 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, the 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 each of the Funds (five of the funds constituting the CRM Mutual Fund Trust) at June 30, 2018, 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 U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of 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 Trust 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 conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s 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 Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

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 procedures included confirmation of securities owned as of June 30, 2018, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included

 

 

     

 

CRM Funds

   64   

 

CRM FUNDS

REPORT OF INDEPENDENT

REGISTERED PUBLIC ACCOUNTING FIRM

    

 

 

 

 

evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

LOGO

We have served as the auditor of one or more CRM Funds’ investment companies since 1996.

Philadelphia, Pennsylvania

August 27, 2018

 

 

     

 

CRM Funds

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CRM FUNDS

TAX INFORMATION (Unaudited)

 

 

 

 

For the fiscal year ended June 30, 2018, 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

      18.81%        18.33%  

Small/Mid Cap Value Fund

      —                —          

Mid Cap Value Fund

      54.33%        53.61%  

Large Cap Opportunity Fund

      28.25%        22.48%  

All Cap Value Fund

      57.85%        42.04%  

In January 2019, shareholders of the Funds will receive Federal income tax information on all distributions paid to their accounts in calendar year 2018, including any distributions paid between July 1, 2018 and December 31, 2018.

 

 

     

 

CRM Funds

   66   

 

CRM FUNDS

TRUSTEES AND OFFICERS

 

 

 

 

INDEPENDENT TRUSTEES

 

Name and Age

   Position(s)
Held with
Fund 		   Term of
Office and
Length of
Time
Served#		   

Principal

Occupation(s)

During Past

Five Years

   Number of
Portfolios in
Fund
Complex
Overseen by
Trustee 		  

Other Board

Memberships

Held by

Trustee

During Past

Five Years

F. GREGORY AHERN, 66    Trustee    Since
June
2017.		    Advisory Director, Sard Verbinnen (from January 2017-present); Chief of Public Communications, Financial Industry Regulatory Authority (from 2012-2016).    6    Chairman of Board, Yale New Haven Westerly Hospital Foundation (since 2005).
LOUIS FERRANTE, CFA, CPA, 59    Trustee    Since
June
2005.		    Private Investor (from August 2007- present).    6            None
RODNEY P. WOOD, 58    Trustee    Since
June
2017.		    President, Detroit Lions, Inc. (since 2015); President, Ford Estates, LLC (2007-2015).    6    Director, Silver Lake Advisers (since 2007); Director, Velvel Group (since 2013).

 

 

     

 

CRM Funds

   67   

 

CRM FUNDS

TRUSTEES AND OFFICERS (Concluded)

 

 

 

 

OFFICERS

 

Name and Age

   

Position(s)

Held with

Fund

    Term of
Office and
Length of
Time
Served# 		  

Principal

Occupation(s)

During Past

Five Years

    Number of
Portfolios in
Fund
Complex
Overseen by
Trustee		    Other Board
  Memberships  
Held by
Trustee
During Past
Five Years
MICHELLE KAUFMANN, CPA, 44    Treasurer and Principal Financial Officer    Since
July
2018.		    Vice President and Controller, CRM (since 2013).    N/A    N/A
RONALD H. MCGLYNN, 75    President and Chief Executive Officer    Since
June
2005.		    Chairman, CRM (since 2005), Chief Executive Officer (1998 - 2011), President and Chief Executive Officer, Cramer Rosenthal McGlynn, Inc. (investment management) (since 1996), CRM Investors, Inc. (investment management) (since 1990), and CRM Alternatives, Inc. (investment management) (since 2001).    N/A    N/A
STEVEN A. YADEGARI, ESQ., 45    Secretary, Chief Legal Officer and Chief Compliance Officer    Since
August
2005.		    Executive Vice President (since 2012), Senior Vice President (2008 - 2011), Chief Legal Officer and Chief Compliance Officer, CRM (since August 2005), Chief Operating Officer, CRM (since 2015).    N/A    N/A

 

 

# 

Serves during the continued lifetime of the Funds or until he/she earlier dies, resigns or is removed, or if sooner, until the election and qualification of his successor.

 

 

     

 

CRM Funds

   68   

 

CRM FUNDS

OTHER INFORMATION (Unaudited)

 

 

 

 

Quarterly Portfolio Schedule

The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year (quarters ended September 30 and March 31) on Form N-Q. The Trust’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Voting Proxies on Fund Portfolio Securities

A description of the policies and procedures that the Trust used to determine how to vote proxies relating to securities held in the Trust’s portfolios is available, without charge and upon request, by calling 800-CRM-2883 and on the SEC’s website at http://www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 is available without charge and upon request by calling 800-CRM-2883, and on the SEC’s website listed above.

Statement of Additional Information

The Statement of Additional Information (“SAI”) for the Fund includes additional information about the Trustees and is available upon request, without charge, by calling 800-CRM-2883 or by visiting the Funds’ website at http://www.crmfunds.com.

Privacy Notice

(THIS PRIVACY NOTICE IS BEING DELIVERED WITH THE FUNDS’ SHAREHOLDER REPORT BUT IS NOT DEEMED TO BE A PART OF THE FUNDS’ SHAREHOLDER REPORT)

Set forth below is the policy of CRM Mutual Fund Trust (the “Trust”) concerning the collection and disclosure of non-public personal information regarding investors and prospective investors in the CRM Funds (the “Fund”) who are individuals investing for personal, family, or household purposes. The words “we” and “us” refers to the Trust and the Fund. The words “you” and “your” refers to investors and prospective investors in the Fund who are covered by this policy.

We use administrators, investment managers, custodians, transfer agents, securities brokers, and other third party businesses to conduct many aspects of our business, including processing initial investments, additional investments, redemptions, share transfers, and other transactions that you request. We refer to these third parties below as our “Service Agents.”

As we work together to achieve your investment goals, we will often share with our Service Agents personal and financial information, including, for example, your name, address and telephone number, your e-mail address, your purchases and redemptions of shares of the Funds, your banking arrangements, information on your family members, and your social security number. Our Service Agents may also receive these types of information from other firms that assist us in conducting our business. This information is collected in order to properly handle your account.

To protect the security of your personal and financial information, our Service Agents maintain physical, electronic, and procedural safeguards that meet the standards of applicable laws and regulations.

We may, and we may authorize our Service Agents to, use your personal and financial information and share it

 

 

     

 

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CRM FUNDS

OTHER INFORMATION (Unaudited) (Concluded)

 

 

 

 

with us, other Service Agents, and affiliates of Service Agents in order to provide you with investment services, improve our services, make our procedures more efficient, implement security measures, and fight fraud.

We will not sell your personal and financial information to any outside party. We obtain from our Service Agents confidentiality agreements that prohibit them from selling or improperly using your personal or financial information.

On occasion, we and our Service Agents may be required to provide information about you and your transactions to governmental agencies, self-regulatory organizations, industry associations and similar bodies in order to fulfill legal and regulatory requirements. In addition, federal, state, and foreign laws give people involved in lawsuits and other legal proceedings the right under certain circumstances to obtain information from us and our Service Agents, including your personal and financial information. We and our Service Agents may make other disclosures to non-affiliated third parties as permitted by law.

 

 

     

 

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   70   

 

DISCUSSION OF BOARD CONSIDERATIONS IN APPROVING CONTINUANCE AND RENEWAL OF ADVISORY AGREEMENT WITH CRM

 

 

 

 

In order for CRM to remain the Funds’ investment adviser, the Trustees Committee and Board of Trustees of the Trust (the “Board”) 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 the materials provided by CRM at meetings held in May of 2018.

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 counsel setting forth the Board’s fiduciary duties under the 1940 Act and state law and the factors the Board should consider in its evaluation of the Investment Advisory Agreement; and (2) a report prepared for the Independent Trustees of the Trust by Management Practice, Inc. (“MPI”), an independent third party consultant, comparing each Fund’s investment performance to the performance of the Fund’s benchmark index 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, reports of and presentations 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; (v) CRM’s “soft” dollar commission and trade allocation policies, including information on the types of research and services obtained with “soft” dollar commissions; (vi) 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 managed by CRM; (vii) CRM’s compliance and risk management procedures; and (viii) an analysis of the profits of CRM related to its services to the Funds. The Board also considered information related to the Funds provided at quarterly Board meetings and otherwise received throughout the year.

At the meeting held on May 7, 2018, the Board, including all of the Independent Trustees voting separately, 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 examined the nature, extent and quality of services provided by CRM to the Funds, and the quality, size and experience of CRM’s professional portfolio management team.

The Board considered CRM’s investment approach and research process, including CRM’s capabilities and experience in the development and implementation of its value-oriented investment process. The Board also considered CRM’s compliance programs and compliance record, risk management philosophy, policies and procedures, marketing strategies, process for trade execution, CRM’s personnel and the Board’s dealings with CRM. Based on the foregoing, the Board determined that it was satisfied with the nature, extent and quality of the services provided by CRM to the Funds.

 

 

     
   71   

 

DISCUSSION OF BOARD CONSIDERATIONS IN APPROVING CONTINUANCE AND RENEWAL OF ADVISORY AGREEMENT WITH CRM (Continued)

 

 

 

 

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 also considered CRM’s approach to investment risk and commitment to maintain each Fund’s focus on its target market segment even when that segment may be out of favor, and noted that this distinguished CRM from some other investment managers that may accept higher levels of investment risk or may deviate from a fund’s target market segment in order to pursue short-term performance (including by investing in cash). The Board noted that although this overall approach to investing might cause a Fund to perform not as well over some periods when compared to other mutual funds, CRM had generally achieved successful investment results for its clients over the longer term. 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 discussed the information prepared by MPI, which compared each Fund’s performance against a benchmark index and other mutual funds with similar investment objectives and strategies identified by MPI. The Board considered CRM’s plans for improving the Funds’ performance.

The Board considered the following factors in relation to the performance of particular Funds:

Small Cap Value Fund

The Board noted that Institutional Shares of Small Cap Value Fund had outperformed the Fund’s benchmark index for the one-year, three-year, five-year and ten-year periods ended March 31, 2018. The Board noted that Institutional Shares of the Fund ranked in the first quintile of funds with similar investment objectives and strategies for the one-year period ended March 31, 2018, ranked in the second quintile for the three-year and five-year periods ended March 31, 2018, and ranked in the third quintile for the ten-year period ended March 31, 2018. (In all quintile rankings referred to herein, first quintile is most favorable to shareholders. Highest relative performance would be first quintile.)

Small/Mid Cap Value Fund

The Board noted that Institutional Shares of Small/Mid Cap Value Fund had underperformed the Fund’s benchmark index for the three-year, five-year and ten-year periods ended March 31, 2018, and outperformed the Fund’s benchmark index for the one-year period ended March 31, 2018. The Board noted that Institutional Shares of the Fund ranked in the first quintile of funds with similar investment objectives and strategies for the one-year period ended March 31, 2018, ranked in the fourth quintile for the three-year, five-year and ten-year periods ended March 31, 2018.

Mid Cap Value Fund

The Board noted that Institutional Shares of Mid Cap Value Fund had underperformed the Fund’s benchmark index for the ten-year period ended March 31, 2018, and outperformed the Fund’s benchmark index for the one-year, three-year and five-year periods ended March 31, 2018. The Board noted that Institutional Shares

 

 

     
   72   

 

DISCUSSION OF BOARD CONSIDERATIONS IN APPROVING CONTINUANCE AND RENEWAL OF ADVISORY AGREEMENT WITH CRM (Continued)

 

 

 

 

of the Fund ranked in the first quintile of funds with similar investment objectives and strategies for the one-year, three-year and five-year periods ended March 31, 2018, and in the fourth quintile for the ten-year period ended March 31, 2018.

Large Cap Opportunity Fund

The Board noted that Institutional Shares of Large Cap Opportunity Fund had underperformed the Fund’s benchmark index for the one-year, three-year, five-year and ten year periods ended March 31, 2018. The Board noted that Institutional Shares of the Fund ranked in the second quintile of funds with similar investment objectives and strategies for one-year, three-year and five-year periods ended March 31, 2018 and ranked in the third quintile for the 10-year period ended March 31, 2018.

All Cap Value Fund

The Board noted that Institutional Shares of All Cap Value Fund had underperformed the Fund’s benchmark index for the five-year and ten-year periods ended March 31, 2018, and outperformed the Fund’s benchmark index for the one-year and three-year periods ended March 31, 2018. The Board noted that Institutional Shares of the Fund ranked in the second quintile of funds with similar investment objectives and strategies for the one-year, three-year and five-year periods ended March 31, 2018, and ranked in the third quintile for the ten-year period ended March 31, 2018.

Conclusion as to Investment Performance

The Board determined that it would continue to monitor closely 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 benchmark. The Board noted that CRM relies heavily on its own proprietary research to implement its value-oriented investment philosophy, and that the cost of preparing this research may be significant. Accordingly, CRM’s reliance on this proprietary research might cause CRM’s research costs to exceed those of some other investment managers that largely rely upon research prepared by third parties, especially with respect to larger cap companies, for which a good deal of third party research is available. The Board considered CRM’s experience in implementing its value-oriented investment philosophy. The Board concluded that the costs of CRM’s proprietary research and CRM’s experience in implementing its investment philosophy may in some cases justify investment advisory fees that are higher than the median advisory fees paid by other mutual funds with similar investment objectives and strategies.

In addition, the Board compared the fees and expenses paid by each class of each Fund with the fees paid by institutional separate accounts managed by CRM in a similar investment strategy to that of the applicable Fund. The Board noted that, except for Small Cap Value Fund, the investment advisory fees paid by each Fund were generally higher than the management fees paid by the respective institutional separate accounts managed

 

 

     
   73   

 

DISCUSSION OF BOARD CONSIDERATIONS IN APPROVING CONTINUANCE AND RENEWAL OF ADVISORY AGREEMENT WITH CRM (Continued)

 

 

 

 

by CRM in a similar investment strategy to the applicable Fund. In comparing the fees paid by the Funds to the fees 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 considered 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 quarterly Board meetings. The Board also considered the business risks that CRM faces with respect to the Funds, including regulatory and reputational risks with respect to CRM’s investment decisions and compliance oversight on behalf of the Funds, and the substantial entrepreneurial risks that CRM assumes during the initial years of a Fund’s operations. The Board also considered that there may be historical reasons for certain separate account fees, and the element of negotiation in regard to the level of fees paid by CRM’s separate account clients.

The Board also discussed the information prepared by MPI, 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 identified by MPI.

Small Cap Value Fund

The Board noted that, based on the information provided, the investment advisory fee for Small Cap Value Fund ranked in the second quintile of funds with similar investment objectives and strategies. The Board noted that the Fund’s investment advisory fee was lower than both the median and average advisory fee paid by funds with similar investment objectives and strategies.

The Board noted that, based on the information provided, the total net annual operating expenses of Institutional Shares of Small Cap Value Fund ranked in the first quintile of funds with similar investment objectives and strategies. The Board noted that the total net annual operating expenses of Institutional Shares of the Fund were lower than the median and average net expenses paid by funds with similar investment objectives and strategies.

Small/Mid Cap Value Fund

The Board noted that, based on the information provided, the investment advisory fee for Small/Mid Cap Value Fund ranked in the second quintile of funds with similar investment objectives and strategies. The Board noted that the Fund’s investment advisory fee was lower than the median and average advisory fee paid by funds with similar investment objectives and strategies.

The Board noted that, based on the information provided, the total net annual operating expenses of Institutional Shares of Small/Mid Cap Value Fund ranked in the second quintile of funds with similar investment objectives and strategies. The Board noted that the total net annual operating expenses of Institutional Shares of the Fund were lower than the median and average net expenses paid by funds with similar investment objectives and strategies.

 

 

     
   74   

 

DISCUSSION OF BOARD CONSIDERATIONS IN APPROVING CONTINUANCE AND RENEWAL OF ADVISORY AGREEMENT WITH CRM (Continued)

 

 

 

 

Mid Cap Value Fund

The Board noted that based on the information provided, the investment advisory fee for Mid Cap Value Fund ranked in the fourth quintile of funds with similar investment objectives and strategies. The Board noted that the Fund’s investment advisory fee was one basis point higher than the median advisory fee and three basis points higher than the average advisory fee paid by mutual funds with similar investment objectives and strategies.

The Board noted that, based on the information provided, the total net annual operating expenses of Institutional Shares of Mid Cap Value Fund ranked in the fourth quintile of funds with similar investment objectives and strategies. The Board noted that the total net annual operating expenses of Institutional Shares of the Fund were four basis points higher than the median net expenses and two basis points higher than the average net expenses paid by funds with similar investment objectives and strategies.

Large Cap Opportunity Fund

The Board noted that, based on the information provided, the investment advisory fee for Large Cap Opportunity Fund ranked in the third quintile of funds with similar investment objectives and strategies. The Board noted that the Fund’s investment advisory fee was higher than the median and average advisory fees paid by other mutual funds with similar investment objectives and strategies.

The Board noted that, based on the information provided, the total net annual operating expenses of Institutional Shares of Large Cap Opportunity Fund ranked in the third quintile of funds with similar investment objectives and strategies. The Board noted that the total net annual operating expenses of Institutional Shares of the Fund were equal to the median net expenses and one basis point higher than the average net expenses paid by funds with similar investment objectives and strategies.

All Cap Value Fund

The Board noted that, based on the information provided, the investment advisory fee for All Cap Value Fund ranked in the fourth quintile of funds with similar investment objectives and strategies. The Board noted that the Fund’s investment advisory fee was higher than the median and average advisory fees paid by funds with similar investment objectives and strategies.

The Board noted that, based on the information provided, the total net annual operating expenses of Institutional Shares of All Cap Value Fund ranked in the fifth quintile of funds with similar investment objectives and strategies. The Board noted that the total net annual operating expenses of Institutional Shares of the Fund were higher than the median and average net expenses paid by funds with similar investment objectives and strategies.

The Board considered the impact of All Cap Value Fund’s higher than average investment advisory fee and small asset size on the Fund’s expense ratios.

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 determined that the investment advisory fee paid by each

 

 

     
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DISCUSSION OF BOARD CONSIDERATIONS IN APPROVING CONTINUANCE AND RENEWAL OF ADVISORY AGREEMENT WITH CRM (Continued)

 

 

 

 

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 noted 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. The Board also noted that expense subsidization, 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 concluded 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, 2017 as well as the 2018 CRM operating budget. The Board considered CRM’s profit margins with respect to the Funds in comparison to the limited industry data available. The Board also considered information regarding compensation provided to CRM personnel as a percentage of CRM’s net revenue, and compared such information to the limited industry data available. The Board noted that the profitability of any adviser was affected by numerous factors, including its organizational structure, method for allocating expenses and the compensation to be paid to its employees, and, accordingly, acknowledged the limitations inherent in any comparison of adviser profitability information. The Board determined 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. They 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 noted that the amounts paid by CRM to the Funds’ third party shareholder servicing agents since the inception of the Trust exceeded the amounts paid by Investor Shares of the Funds to CRM under the shareholder servicing plan. 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 determined that any other benefits derived by CRM from managing the Funds were reasonable and reflected in the fees under the Investment Advisory Agreement.

 

 

     
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DISCUSSION OF BOARD CONSIDERATIONS IN APPROVING CONTINUANCE AND RENEWAL OF ADVISORY AGREEMENT WITH CRM (Concluded)

 

 

 

 

General Conclusion

Based on the foregoing considerations, the Board, including all of the Independent Trustees voting separately, determined that the terms of the Investment Advisory Agreement, including the fees payable thereunder, are fair and reasonable, and voted to approve the continuance and renewal of the Investment Advisory Agreement.

 

 

     
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LOGO        

    

       

 

ANNUAL REPORT

 

       

 

TRUSTEES

F. Gregory Ahern

Louis Ferrante, CFA, CPA

Rodney P. Wood

 

INVESTMENT ADVISER

Cramer Rosenthal McGlynn, LLC

520 Madison Avenue, 20th Floor

New York, NY 10022

 

DISTRIBUTOR

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

 

ADMINISTRATOR & TRANSFER AGENT

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

 

CUSTODIAN

The Bank of New York Mellon

240 Greenwich Street

New York, NY 10286

 

LEGAL COUNSEL

Morgan, Lewis & Bockius LLP

One Federal Street

Boston, MA 02110

 

Investor Information:

800-CRM-2883

www.crmfunds.com

 

        

 

JUNE 30, 2018

 

CRM SMALL CAP

VALUE FUND

 

CRM SMALL/MID CAP

VALUE FUND

 

CRM MID CAP

VALUE FUND

 

CRM LARGE CAP

OPPORTUNITY FUND

 

CRM ALL CAP

VALUE FUND

This report is authorized for distribution only to shareholders and to others who have received current prospectuses of the CRM Funds.        

LOGO

 

 

ANNUAL REPORT

    June 30, 2018

 

President’s Message (Unaudited)

 

     

Dear Fellow Shareholders:

Market leadership experienced a pronounced change of heart during the first half of the fiscal year ended June 30, 2018. The market had a general upward bias through most of July. The earnings seasons generated healthy dispersion amongst stocks with a reasonable penalty for those that missed expectations on either the top or bottom line. As we entered August, the market took a more deflationary tone with the ten-year Treasury yield declining from 2.3% to a low of 2.1% at the end of the first full week in September. Congress avoided a September budget and debt ceiling showdown, with a continuing resolution effectively postponing the tough decisions and lifting some short-term uncertainty for the markets. Bond yields that were testing the 2% level on the ten-year began to reverse, and, day by day, the tone and leadership of the market inflected. Interest sensitive financials, smaller cap equities, and industrials reassumed the momentum last seen post the November 2016 election. The reflation trade was back. The hawkish tone from outgoing Federal Reserve (“Fed”) Chair, Janet Yellen, post the Federal Open Market Committee meeting and the tax reform blueprint released the last week of September, provided the additional fuel to sustain the trend. The European Central Bank modified its rhetoric, which contributed to a stronger Euro versus the U.S. Dollar. Inflation expectations, which were well anchored, seemed to inch up behind tighter labor markets and concerns over wage inflation. Fiscal policy euphoria gave way to despair in the aftermath of the failure to pass new healthcare legislation. The growing realization that tax reform legislation would be approved by Congress has to be considered the principal propellant for U.S. equity markets picking up steam out of the fiscal first quarter. In addition to the immediate earnings benefit for many corporations, it eliminated years of uncertainty and thereby further bolstered business confidence. In terms of market caps and style, growth indices continued to sustain the outperformance over value, and larger caps generally outperformed smaller caps across the style spectrum.

Stocks took off in January, only to struggle in February and March. The early euphoria seemed like a continuation of the tax reform rally from the first half of the fiscal year, with bullish sentiment around corporate earnings and economic forecasts. Whether due to indications of wage inflation in the monthly employment report, or an unwind of low volatility trading strategies, the markets suffered their first 10% correction in nearly two years. Market leadership remained with larger cap stocks and growth, versus smaller cap stocks and value. The markets had to contend with the data privacy issues surrounding Facebook and other tech companies, as well as concerns over a new European data tax. Notwithstanding a strong earnings growth outlook for the tech sector, questions relating to the long-term viability of these business models contributed to what was already becoming a loss of market leadership from this group. Reduced forecasts for fiscal third quarter gross domestic product (GDP) may have weighed on cyclicals, while fears of higher interest rates contributed to the underperformance of the bond proxies.

After a slow start in April, the equity markets perked up with all the major indices in positive territory for the fiscal fourth quarter. Technology continued to lead the S&P 500®1 (total return). Growth stocks up and down the capitalization spectrum sustained outperformance over value indices. A bond sell off in early May quickly reversed, and concerns over global economic growth from trade disputes provided support for growth-oriented

 

 

 

1

 

 

equities. Beyond the technology sector’s low double-digit return, the remarkable FANG (Facebook, Amazon, Netflix, Google) stocks looked past data privacy issues from earlier in the year and posted very robust returns of approximately 40% year-to-date. In spite of these trends, and active management generally struggling during the fiscal fourth quarter, we were pleased to have identified a number of stocks with idiosyncratic situations across the portfolios, which highlight the importance of stock selection and our relative value investment approach.

More recently, trade war fears appear to be top of mind for investors and are having effects beyond just U.S. equities. The heightened trade rhetoric is likely a combination of aggressive negotiating tactics and a flawed understanding of the complexities of trade. After decades of globalizing supply chains, it is beyond most people’s comprehension to understand how and where value is added to intermediate goods, which might cross back and through numerous countries before being used or consumed as a finished good. It is quite different from a simple bi-lateral situation of producing a textile or a commodity in one country and shipping it to another, as was the case decades ago. If the current administration is intent on forcing trade surpluses with each and every trading partner, it is a losing battle that will likely inflict pain on all parties. However, if the goal is to ultimately seek redress for select blatant unfair trading practices, including theft of intellectual property, the country is wise to take on those battles from a current position of economic strength. Each tweet, headline, protectionist action, and subsequent countermeasures, however, leave the markets wondering which course is really being pursued.

The Fed seems unperturbed thus far by the trade war prospects and its implications for the economy. After raising the Fed Funds rates for a second time this year in June 2018, forecasts indicate two more increases in 2018 and three more during the 2019 calendar year. While earnings forecasts remain robust, the same trends the Fed is watching are beginning to impact many companies experiencing cost pressures from labor, raw materials, and freight. The prospect of tariffs further driving up costs is another wildcard in this equation, as we have seen with steel prices. The surge in oil prices recently has also become an issue for many companies and has reduced the net tax windfall for consumers as well. Oil jumped nearly 15% in the fiscal fourth quarter in spite of record U.S. production, as the administration’s toughened stance on Iran has led to concerns of OPEC (Organization of the Petroleum Exporting Countries) related shortages.

Notwithstanding the narrow market leadership behind FANG stocks, there has been significant stock dispersion providing the opportunity for some active management to outperform. We have benefitted from the impact of new management on many of our holdings and continue to see pressure from activists and institutional shareholders to compel better corporate governance. In spite of the daily headlines, business confidence is sustaining at a high level, leading to a pick-up in capital expenditures and a variety of portfolio moves from spin-offs to divestitures of non-core businesses. We remain focused on those management teams demonstrating good capital discipline at a time of record merger and acquisition activity (M&A), recognizing it is generally better to be a seller than a buyer at this point in the economic cycle and with elevated transaction multiples.

The following is a discussion of factors that influenced the performance of CRM Long/Short Opportunities Fund for the fiscal year ended June 30, 2018.

CRM Long/Short Opportunities Fund returned 4.44% in the fiscal year as compared to 14.37% for the S&P 500® Index1. During the fiscal year, our longs in the consumer discretionary, industrials, and information technology sectors contributed most to performance. The Fund’s short book detracted from overall performance. In terms of exposure during the period, the Fund averaged approximately 97% gross long, 52% gross short, and 45% net long. The heightened volatility and reactions to disappointing news benefitted performance of

 

 

2

 

 

the short book in the second half of the fiscal year. Stock specific negative catalysts such as earnings misses, poor capital allocation, and evidence of competitive difficulties were also being rewarded and on a more sustained basis. The volatility and correction has also provided opportunities for increasing core long positions.

The top contributors in the long portfolio were: (i) jewelry manufacturer and retailer, Tiffany & Co.; (ii) FLIR Systems, Inc., a designer and manufacturer of thermal imaging and broadcast camera systems; and (iii) AutoZone, Inc., an aftermarket automotive parts retailer. Shares of Tiffany & Co. responded positively to the first North American compensation increase in nine quarters. The company posted better-than-expected first quarter 2018 earnings driven by both revenue and margins. FLIR Systems announced a large new business contract from the U.S. Army in the first half of the fiscal year and subsequently delivered a strong earnings report. AutoZone reported better earnings during the fiscal second quarter driven by both revenue and gross margin, which gave investors confidence that the underlying fundamentals in the auto parts industry were improving.

The top detractors in the long portfolio were: (i) global tobacco company, Philip Morris International, Inc.; (ii) Edgewell Personal Care Company, a consumer products company; and (iii) multi-national pharmaceutical, Allergan PLC. Philip Morris declined on an unexpected slowdown in shipments of its new Reduced-Risk Product, iQos, into the Japanese market. Shares of Edgewell Personal Care were pressured by overall investor concern regarding consumer staples and traditional health and beauty care businesses. The company reported weaker-than-expected earnings in the fourth quarter 2017, driven by misses in its wet shave and feminine care businesses and a weak revenue outlook. Negative sentiment weighed on shares of Allergan during the period. A potential competitor to BOTOX® released positive data on a longer acting toxin. Even though this data was positive, we viewed the threat as overstated.

Our leading short contributors included (i) a mall-based specialty retailer; (ii) a specialty retailer; and (iii) a lighting manufacturer. Shares of a mall-based specialty retailer underperformed as revenues slowed in an increasingly competitive market. We continue to believe retail remains a volatile space and expect to see further opportunities on the short side. A high-multiple specialty retailer reported slowing top line growth as investors continued to question the ultimate impact of channel shift and the potential for further discounting at retail. A lighting manufacturer’s gross margin continued to come under pressure from competitive threats investors did not appear to appreciate fully.

The top detractors in the short portfolio were (i) a specialty retailer; (ii) a med tech company; and (iii) a global logistics company. A specialty retailer reported better than expected second quarter 2017 earnings. Despite a significant premium valuation to the group, the stock continued to appreciate as investors gravitated toward domestic companies. Despite the deteriorating fundamentals of a med tech company’s core businesses, shares rallied. A global logistics and freight forwarder company appreciated as a beneficiary of tax reform as a full tax payer. The stock was further bolstered by strength in the overall freight market and a tightening of supply within the truckload market.

Sincerely,

 

LOGO

Ronald H. McGlynn

Chairman, Cramer Rosenthal McGlynn, LLC

President, CRM Mutual Fund Trust

 

 

3

 

 

 

1S&P 500® Index is an index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. It is not possible to invest directly in an index.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. During the period, certain fees and expenses were waived by the Fund’s service providers. Without these waivers, total returns would have been lower. Additional performance figures for the Fund can be found in the Comparison of Change in Value section of this report.

Fund holdings and sector allocations are subject to change at any time and are not recommendations to buy or sell any security. Please refer to the Schedule of Investments for a complete list of Fund holdings. Opinions expressed herein are as of June 30, 2018 and are subject to change at any time, are not guaranteed, and should not be considered investment advice.

Investments in small and mid capitalization companies generally are more volatile due to limited product lines, fewer capital resources and less depth of management than larger companies. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic values. Investments in foreign securities, including emerging markets, involve special risks such as greater social, economic, regulatory, and political uncertainties, and currency fluctuation.

The Fund will hold long equity securities that the Fund’s adviser has identified as undervalued and take short positions (through short sales) in equity securities that the Fund’s adviser has identified as overvalued or poised for underperformance. Short sales involve significant risks, including the risk that the Fund may have to cover its short position at a higher price than the short sale price, resulting in a loss. Short sales involve borrowing securities and then selling them, which may cause the value of the Fund’s shares to be more volatile than if the Fund did not borrow.

This report must be preceded or accompanied by the current prospectus for the Fund. Before investing, you should carefully read the prospectus and consider the investment objectives, risks, charges and expenses of the Fund. Additional copies of the prospectus may be obtained at www.crmfunds.com or at (800) CRM-2883.

Distributed by ALPS Distributors, Inc.

 

 

 

4

 

CRM LONG/SHORT OPPORTUNITIES FUND

COMPARISON OF CHANGE IN VALUE (Unaudited)

June 30, 2018

 

 

 

 

The following information compares the performance of the CRM Long/Short Opportunities Fund (“Fund”) with the performance of the S&P 500® Index. The S&P 500® Index is an index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. Total return for the Fund assumes reinvestment of dividends and distributions. The index returns reflect reinvestment of dividends but exclude the effect of any expenses, which have been deducted from the Fund’s return. The performance in the below table and graph does not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemption of Fund shares.

The Fund will hold long equity securities that the Fund’s adviser has identified as undervalued and take short positions (through short sales) in equity securities that the Fund’s adviser has identified as overvalued or poised for underperformance. Short sales involve significant risks, including the risk that the Fund may have to cover its short position at a higher price than the short sale price, resulting in a loss. Short sales involve borrowing securities and then selling them, which may cause the value of the Fund’s shares to be more volatile than if the Fund did not borrow.

CRM Long/Short Opportunities Fund — Institutional Shares vs. S&P 500® Index1

 

LOGO

Expense Ratios (per prospectus dated 10/27/17, as supplemented on 01/19/18) - Gross: 2.61% Net: 2.46%4

 

1 

The Fund is professionally managed, while the index is unmanaged and is not available for investment.

2 

Total return would have been lower had certain fees and expenses not been waived and/or reimbursed.

3 

Return calculated since the Institutional Shares’ inception on August 16, 2016.

4 

The investment adviser has a contractual obligation to waive a portion of its fees and to assume certain expenses of the Fund to the extent that the total annual fund operating expenses, excluding taxes, extraordinary expenses, brokerage commissions, interest, dividends and interest expense relating to short sales and acquired fund fees and expenses, exceed 1.60% of average daily net assets of the Fund. The expense limitation is in effect until November 1, 2018.

The line graph for Institutional Shares shows values based on an assumed investment of $1,000,000.

Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Fund’s expense ratio may fluctuate over time, and vary from the Fund’s expenses for the period covered by this report. Please refer to the financial highlights for a more current expense ratio.

 

          CRM Long/Short Opportunities Fund

5

 

CRM LONG/SHORT OPPORTUNITIES FUND

EXPENSE DISCLOSURE (Unaudited)

 

 

 

 

DISCLOSURE OF FUND EXPENSES

The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the Fund, you incur ongoing costs, including management fees and other Fund expenses. The Fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (January 1, 2018 through June 30, 2018). The “Annualized Expense Ratio” reflects the actual expenses, net of fee waivers, for the six-month period January 1, 2018 to June 30, 2018 and may be different from the expense ratio in the Financial Highlights which is for the fiscal year ended June 30, 2018.

The Expense Table below illustrates your Fund expenses in two ways.

 

  •  

Actual fund return.     The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.

 

  •  

Hypothetical 5% return.     The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs that may be levied by other funds, such as sales charges (loads), redemption fees, or exchange fees, if any. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total cost of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The “Annualized Expense Ratio” reflects the actual expenses for the period indicated.

 

          CRM Long/Short Opportunities Fund

6

 

CRM LONG/SHORT OPPORTUNITIES FUND

EXPENSE DISCLOSURE (Unaudited) (Concluded)

 

 

 

 

For the Six Months Ended June 30, 2018

Expense Table

 

     Beginning
Account Value
01/01/18		    Ending
Account Value
06/30/18		    Annualized
Expense
Ratio(1)		   Expenses
Paid
During
Period(2)

Institutional Shares

                   

Actual Fund Return

        $1,000.00        $1,034.90        2.41 %       $12.16

Hypothetical (5% Return Before Expenses)

        $1,000.00        $1,012.84        2.41 %       $12.03

 

(1)

The expense ratio includes the impact of dividend expense and net interest expense (when applicable), on securities sold short. Excluding such expenses, the ratio of expenses to average net assets would have been 1.60%.

(2)

Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the most recent one-half year period).

 

          CRM Long/Short Opportunities Fund

7

 

CRM LONG/SHORT OPPORTUNITIES FUND

DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited)

 

 

 

PORTFOLIO HOLDINGS

June 30, 2018

The following table presents a summary of the portfolio holdings of the Fund as a percentage of its net assets.

 

Sector Allocation

       

Common Stock

   

Industrials

      19.6%   

Information Technology

      18.6      

Health Care

      17.3      

Consumer Discretionary

      12.3      

Financials

      9.4      

Materials

      9.0      

Consumer Staples

      7.0      

Telecommunication Services

      2.2      

Energy

      2.1      

Real Estate

      1.5      

Purchased Option

      0.0      

Short-Term Investments

      1.9      

Common Stock Sold Short

   

Energy

      (0.9)     

Real Estate

      (1.0)     

Health Care

      (2.6)     

Materials

      (2.9)     

Financials

      (3.5)     

Information Technology

      (5.2)     

Consumer Staples

      (7.4)     

Consumer Discretionary

      (14.7)     

Industrials

      (15.6)     
  

 

 

  
     47.1%   
  

 

 

  

Portfolio holdings are subject to change at any time.

 

 

         

 

CRM Long/Short Opportunities Fund

8

 

CRM LONG/SHORT OPPORTUNITIES FUND

SCHEDULE OF INVESTMENTS

June 30, 2018

 

 

 

 

Shares

    Value  

Common Stock — 99.0%

   

Consumer Discretionary — 12.3%

   

Consumer Durables & Apparel — 2.4%

   

115,550

   PVH Corp.1    $ 17,300,146  
    

 

 

  

Consumer Services — 2.8%

   

71,280

   Vail Resorts, Inc.      19,544,263  
    

 

 

  

Retailing — 7.1%

   

22,267

   AutoZone, Inc.2      14,939,598  

270,943

   Tiffany & Co.1      35,656,099  
    

 

 

  
       50,595,697  
    

 

 

  

Total Consumer Discretionary

      87,440,106  
    

 

 

  

Consumer Staples — 7.0%

   

Food, Beverage & Tobacco — 5.0%

   

938,800

   Cott Corp.      15,537,140  

249,445

   Philip Morris International, Inc.1      20,140,189  
    

 

 

  
       35,677,329  
    

 

 

  

Household & Personal Products — 2.0%

   

280,915

   Edgewell Personal Care Co.2      14,174,971  
    

 

 

  

Total Consumer Staples

      49,852,300  
    

 

 

  

Energy — 2.1%

   

Oil, Gas & Consumable Fuels — 2.1%

   

271,965

   EQT Corp.      15,007,029  
    

 

 

  

Financials — 9.4%

   

Banks — 6.9%

   

550,212

   Associated Banc-Corp.      15,020,788  

267,455

   Hancock Whitney Corp.      12,476,776  

386,189

   Wells Fargo & Co.      21,410,318  
    

 

 

  
       48,907,882  
    

 

 

  

Insurance — 2.5%

 

326,360

   American International Group, Inc.      17,303,607  
    

 

 

  

Total Financials

      66,211,489  
    

 

 

  

Health Care — 17.3%

   

Health Care Equipment & Services — 10.0%

   

224,010

   Danaher Corp.1      22,105,307  

93,760

   Humana, Inc.1      27,905,789  

190,454

   Zimmer Biomet Holdings, Inc.1      21,224,193  
    

 

 

  
       71,235,289  
    

 

 

  

Pharmaceuticals, Biotechnology & Life Sciences — 7.3%

 

244,449

   Allergan PLC1,3      40,754,538  

132,846

   Gerresheimer AG      10,782,073  
    

 

 

  
       51,536,611  
    

 

 

  

Total Health Care

      122,771,900  
    

 

 

  

Industrials — 19.6%

   

Capital Goods — 4.8%

   

179,365

   Dover Corp.      13,129,518  

167,825

   United Technologies Corp.      20,983,160  
    

 

 

  
       34,112,678  
    

 

 

  

Shares

    Value  

Industrials — (continued)

   

Commercial & Professional Services — 8.5%

 

397,885

   Clean Harbors, Inc.2    $ 22,102,512  

270,422

   IHS Markit Ltd.2      13,951,071  

436,131

   TriNet Group,Inc.1,2      24,397,168  
    

 

 

  
       60,450,751  
    

 

 

  

Transportation — 6.3%

   

446,520

   CSX Corp.1      28,479,046  

70,392

   FedEx Corp.1      15,983,207  
    

 

 

  
       44,462,253  
    

 

 

  

Total Industrials

      139,025,682  
    

 

 

  

Information Technology — 18.6%

   

Semiconductors & Semiconductor Equipment — 3.0%

   

87,788

   Broadcom, Inc.1      21,300,880  
    

 

 

  

Software & Services — 12.5%

   

203,460

   CommVault Systems, Inc.2      13,397,841  

452,130

   Conduent, Inc.2      8,215,202  

483,358

   DXC Technology Co.1      38,963,489  

285,830

   Microsoft Corp.      28,185,696  
    

 

 

  
       88,762,228  
    

 

 

  

Technology Hardware & Equipment — 3.1%

   

990,420

   Extreme Networks, Inc.2      7,883,743  

266,201

   FLIR Systems, Inc.1      13,834,466  
    

 

 

  
       21,718,209  
    

 

 

  

Total Information Technology

      131,781,317  
    

 

 

  

Materials — 9.0%

   

Chemicals — 9.0%

   

120,655

   Air Products & Chemicals, Inc.1      18,789,603  

406,885

   DowDuPont, Inc.      26,821,859  

249,190

   W.R. Grace & Co.1      18,268,119  
    

 

 

  

Total Materials

      63,879,581  
    

 

 

  

Real Estate — 1.5%

   

Residential REIT’s — 1.5%

 

117,537

   Camden Property Trust      10,711,147  
    

 

 

  

Telecommunication Services — 2.2%

   

Diversified Telecommunication Services — 2.2%

 

419,200

   Zayo Group Holdings, Inc.1,2      15,292,416  
    

 

 

  

Total Common Stock
(Cost $672,348,119)

      701,972,967  
    

 

 

  

Purchased Option — 0.0%

   

Total Purchased Option
(See Open Option Contracts Table)
(Cost $338,841)

      133,350  
    

 

 

  
 

 

 

See accompanying notes.

        

 

CRM Long/Short Opportunities Fund

9

 

CRM LONG/SHORT OPPORTUNITIES FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2018

 

 

 

 

Shares

    Value  

Short-Term Investments — 1.9%

   

6,754,178

  

Blackrock Liquidity Funds

TempCash Portfolio — Institutional

Series, 1.80%4

   $ 6,754,178  

6,754,178

  

Federated Treasury Obligations

Fund Institutional Series, 1.77%4

     6,754,178  
    

 

 

  

Total Short-Term Investments
(Cost $13,508,356)

      13,508,356  
    

 

 

  

Total Investments in Securities — 100.9%
(Cost $686,195,316)

      715,614,673  
    

 

 

  

Common Stock Sold Short — (53.8%)

   

Consumer Discretionary — (14.7%)

   

Consumer Durables & Apparel — (3.8%)

   

(186,495)

   KB Home    $ (5,080,124 ) 

(123,625)

   Leggett & Platt, Inc.      (5,518,620 ) 

(55,985)

   Ralph Lauren Corp.      (7,038,434 ) 

(111,970)

   VF Corp.      (9,127,795 ) 
    

 

 

  
       (26,764,973 ) 
    

 

 

  

Hotels, Restaurants & Leisure — (1.1%)

   

(169,035)

   Starbucks Corp.      (8,257,360 ) 
    

 

 

  

Media — (3.0%)

   

(1,040,135)

   Cineworld Group PLC      (3,645,936 ) 

(136,595)

   Omnicom Group, Inc.      (10,418,100 ) 

(102,365)

   Publicis Groupe SA      (7,045,805 ) 
    

 

 

  
       (21,109,841 ) 
    

 

 

  

Retailing — (6.8%)

   

(76,654)

   Children’s Place Retail Stores, Inc. (The)      (9,259,803 ) 

(80,216)

   Dollar General Corp.      (7,909,298 ) 

(172,409)

   Gap, Inc. (The)      (5,584,327 ) 

(55,690)

   Home Depot, Inc. (The)      (10,865,119 ) 

(147,115)

   L Brands, Inc.      (5,425,601 ) 

(123,730)

   Stitch Fix, Inc. — Class A2      (3,395,151 ) 

(78,187)

   Tractor Supply Co.      (5,980,524 ) 
    

 

 

  
       (48,419,823 ) 
    

 

 

  

Total Consumer Discretionary

      (104,551,997 ) 
    

 

 

  

Consumer Staples — (7.4%)

   

Food & Drug Retailing — (1.3%)

 

(215,300)

   Alimentation Couche-Tard, Inc. — Class B      (9,352,895 ) 
    

 

 

  

Food, Beverage & Tobacco — (6.1%)

   

(239,115)

   Campbell Soup Co.      (9,693,722 ) 

(614,280)

   Flowers Foods, Inc.      (12,795,452 ) 

(78,200)

   General Mills, Inc.      (3,461,132 ) 

(201,837)

   Hormel Foods Corp.      (7,510,355 ) 

(89,632)

   J.M. Smucker Co. (The)      (9,633,647 ) 
    

 

 

  
       (43,094,308 ) 
    

 

 

  

Total Consumer Staples

      (52,447,203 ) 
    

 

 

  

Shares

    Value  

Energy — (0.9%)

   

Oil, Gas & Consumable Fuels — (0.9%)

 

(362,480)

   Range Resources Corp.    $ (6,064,290 ) 
    

 

 

  

Financials — (3.5%)

   

Banks — (3.5%)

 

(611,995)

  Fulton Financial Corp.      (10,097,917 ) 

(301,550)

   National Bank of Canada      (14,478,254 ) 
    

 

 

  

Total Financials

      (24,576,171 ) 
    

 

 

  

Health Care — (2.6%)

   

Health Care Equipment & Services — (1.0%)

 

(41,220)

   Cigna Corp.      (7,005,339 ) 
    

 

 

  

Pharmaceuticals, Biotechnology & Life Sciences — (1.6%)

 

(50,602)

   Roche Holding AG      (11,269,586 ) 
    

 

 

  

Total Health Care

      (18,274,925 ) 
    

 

 

  

Industrials — (15.6%)

   

Capital Goods — (13.6%)

 

(56,575)

   General Dynamics Corp.      (10,546,145 ) 

(520,465)

   General Electric Co.      (7,083,528 ) 

(99,070)

   Hubbell, Inc.      (10,475,662 ) 

(34,035)

   Lennox International, Inc.      (6,812,105 ) 

(142,080)

   Mercury Computer Systems, Inc.2      (5,407,565 ) 

(191,829)

   PACCAR, Inc.      (11,885,725 ) 

(269,265)

   Philips Lighting NV5      (6,996,469 ) 

(181,465)

   Rexnord Corp.2      (5,273,373 ) 

(42,995)

   Rockwell Automation, Inc.      (7,147,059 ) 

(637,405)

   Siemens Gamesa Renewable Energy SA      (8,563,890 ) 

(124,210)

   Vestas Wind Systems A/S      (7,690,178 ) 

(549,590)

   Volvo AB — Class B      (8,786,813 ) 
    

 

 

  
       (96,668,512 ) 
    

 

 

  

Commercial Services & Supplies — (0.7%)

 

(77,978)

   Robert Half International, Inc.      (5,076,368 ) 
    

 

 

  

Trading Companies & Distributors — (0.8%)

 

(17,240)

   WW Grainger, Inc.      (5,316,816 ) 
    

 

 

  

Transportation — (0.5%)

 

(30,780)

   Landstar System, Inc.      (3,361,176 ) 
    

 

 

  

Total Industrials

      (110,422,872 ) 
    

 

 

  

Information Technology — (5.2%)

   

Semiconductors & Semiconductor Equipment — (2.8%)

 

(257,910)

   Intel Corp.      (12,820,706 ) 

(87,465)

   Qorvo, Inc.2      (7,012,069 ) 
    

 

 

  
       (19,832,775 ) 
    

 

 

  

Software & Services — (1.4%)

 

(518,785)

   Cloudera, Inc.2      (7,076,227 ) 

(60,685)

   DocuSign, Inc.2      (3,213,271 ) 
    

 

 

  
       (10,289,498 ) 
    

 

 

  

Technology Hardware & Equipment — (1.0%)

 

(27,540)

   Arista Networks, Inc.2      (7,091,275 ) 
    

 

 

  

Total Information Technology

      (37,213,548 ) 
    

 

 

  
 

 

 

See accompanying notes.

        

 

CRM Long/Short Opportunities Fund

10

 

CRM LONG/SHORT OPPORTUNITIES FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2018

 

 

 

 

 

Shares

    Value  

Materials — (2.9%)

   

Chemicals — (2.9%)

   

(48,820)

   LyondellBasell Industries NV — Class A    $ (5,362,877 ) 

(247,630)

   Olin Corp.      (7,111,934 ) 

(100,720)

   Scotts Miracle-Gro Co. (The)      (8,375,875 ) 
    

 

 

  

Total Materials

      (20,850,686 ) 
    

 

 

  

Shares

    Value  

Real Estate — (1.0%)

   

Diversified REIT’s — (1.0%)

   

(305,175)

   Realogy Holdings Corp.    $ (6,957,990 ) 
    

 

 

  

Total Common Stock Sold Short
(Proceeds $(391,101,871))

      (381,359,682 ) 
    

 

 

  

Other Assets in Excess of Liabilities — 52.9%

      375,047,858  
    

 

 

  

Total Net Assets — 100.0%

      $709,302,849  
    

 

 

  
 

 

A summary of inputs used to value the Fund’s investments as of June 30, 2018 is as follows (see Note 2 in Notes to Financial Statements):

 

      Investments in
Securities
(Value)		    Level 1
Quoted
Prices		    Level 2
Significant
Observable
Inputs		    Level 3
Significant
Unobservable
Inputs

Assets:

                    

Investments in Securities:

                    

Common Stock

                    

Consumer Discretionary

      $ 87,440,106      $ 87,440,106      $ —      $ —

Consumer Staples

        49,852,300        49,852,300        —        —

Energy

        15,007,029        15,007,029        —        —

Financials

        66,211,489        66,211,489        —        —

Health Care

        122,771,900        122,771,900        —        —

Industrials

        139,025,682        139,025,682        —        —

Information Technology

        131,781,317        131,781,317        —        —

Materials

        63,879,581        63,879,581        —        —

Real Estate

        10,711,147        10,711,147        —        —

Telecommunication Services

        15,292,416        15,292,416        —        —

Purchased Option

        133,350        133,350        —        —

Short-Term Investments

        13,508,356        13,508,356        —        —
    

 

 

       

 

 

       

 

 

       

 

 

  

Total Assets - Investments in Securities

      $ 715,614,673      $ 715,614,673      $ —      $ —
    

 

 

       

 

 

       

 

 

       

 

 

  

 

 

See accompanying notes.

        

 

CRM Long/Short Opportunities Fund

11

 

CRM LONG/SHORT OPPORTUNITIES FUND

SCHEDULE OF INVESTMENTS (Concluded)

June 30, 2018

 

 

 

 

 

      Investments in
Securities
(Value)		   Level 1
Quoted
Prices		   Level 2
Significant
Observable
Inputs		    Level 3
Significant
Unobservable
Inputs

Liabilities:

                  

Investments in Securities:

                  

Common Stock Sold Short

                  

Consumer Discretionary

      $ (104,551,997 )     $ (104,551,997 )     $ —      $ —

Consumer Staples

        (52,447,203 )       (52,447,203 )       —        —

Energy

        (6,064,290 )       (6,064,290 )       —        —

Financials

        (24,576,171 )       (24,576,171 )       —        —

Health Care

        (18,274,925 )       (18,274,925 )       —        —

Industrials

        (110,422,872 )       (110,422,872 )       —        —

Information Technology

        (37,213,548 )       (37,213,548 )       —        —

Materials

        (20,850,686 )       (20,850,686 )       —        —

Real Estate

        (6,957,990 )       (6,957,990 )       —        —
    

 

 

      

 

 

      

 

 

       

 

 

  

Total Liabilities - Investments in Securities

      $ (381,359,682 )     $ (381,359,682 )     $ —      $ —
    

 

 

      

 

 

      

 

 

       

 

 

  

There were no transfers between Level 1, Level 2, and Level 3 during the fiscal year ended June 30, 2018.

Open Option contracts at June 30, 2018:

 

Contracts            Description          Expiration
Date  		      Strike
Price		      Notional
Amount		      Value  
     

Purchased Option — 0.0%

               
      Put Option — 0.0% Automobiles               
  127             Tesla, Inc.         9/21/18      $ 265.00      $ 4,355,465      $ 133,350  

 

1 

Security position is either entirely or partially held in a segregated account as collateral for securities sold short.

2 

Non-income producing security.

3 

PLC — Public Limited Company.

4 

Rate represents an annualized yield at date of measurement.

5 

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total value of Rule 144A securities is $(6,996,469) and represents (1.0)% of net assets as of June 30, 2018.

 

See accompanying notes.         CRM Long/Short Opportunities Fund

12

 

CRM LONG/SHORT OPPORTUNITIES FUND

STATEMENT OF ASSETS AND LIABILITIES

JUNE 30, 2018

 

 

 

 

ASSETS:

   

Investments in securities, at value
(cost $686,195,316)

    $ 715,614,673  

Foreign currencies held with broker for securities sold short
(cost $65,939,642)

      64,517,193  

Cash

      33,775  

Cash pledged with custodian for securities sold short

      322,929,720  

Receivable for fund shares sold

      871,075  

Receivable for securities sold

      5,060,017  

Dividends receivable

      1,035,539  

Tax reclaim receivable

      12,106  

Other assets

      63,095  
  

 

 

  

Total assets

      1,110,137,193  
  

 

 

  

LIABILITIES:

   

Securities sold short, at value (proceeds $391,101,871)

      381,359,682  

Payable for fund shares redeemed

      6,490,827  

Payable for securities purchased

      11,495,229  

Payable for dividends on securities sold short

      280,476  

Interest payable

      180,128  

Accrued advisory fee

      881,661  

Trustees fees

      24,138  

Audit and tax fees

      8,201  

Other accrued expenses

      114,002  
  

 

 

  

Total liabilities

      400,834,344  
  

 

 

  

NET ASSETS

    $ 709,302,849  
  

 

 

  

COMPONENTS OF NET ASSETS

   

Paid-in-capital

    $ 677,749,344  

Accumulated net realized loss on investments, derivatives and foreign currency transactions

      (6,185,561 ) 

Net unrealized appreciation on investments, derivatives and foreign currency

      37,739,066  
  

 

 

  

NET ASSETS

    $ 709,302,849  
  

 

 

  

NET ASSETS BY SHARE CLASS

   

Institutional Shares

    $ 709,302,849  
  

 

 

  

SHARES OF BENEFICIAL INTEREST OUTSTANDING

   

($0.01 par value, unlimited authorized shares)

   

Institutional Shares

      66,386,281  

NET ASSET VALUE (OFFERING AND REDEMPTION PRICE PER SHARE)

   

Institutional Shares

    $ 10.68  

 

See accompanying notes.         CRM Long/Short Opportunities Fund

13

 

CRM LONG/SHORT OPPORTUNITIES FUND

STATEMENT OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2018

 

 

 

 

INVESTMENT INCOME

   

Dividends

    $ 9,025,752  

Foreign tax withheld

      (101,455 ) 

Net interest income on securities sold short

      1,761,995  
  

 

 

  

Total investment income

      10,686,292  
  

 

 

  

EXPENSES

   

Investment advisory fees

      8,623,029  

Administration and accounting fees

      141,079  

Custody fees

      23,950  

Transfer Agent fees

      333,466  

Trustee fees and expenses

      94,834  

Insurance fees

      31,065  

Registration fees

      57,588  

Audit and tax fees

      46,606  

Legal fees

      26,239  

Dividend expense on securities sold short

      6,879,881  

Miscellaneous

      85,196  
  

 

 

  

Total expenses

      16,342,933  

Expenses waived/reimbursed

     (265,154 ) 
  

 

 

  

Net expenses

      16,077,779  
  

 

 

  

NET INVESTMENT LOSS

      (5,391,487 ) 
  

 

 

  

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, DERIVATIVES AND FOREIGN CURRENCY

   

Net realized gain (loss) from:

   

Investments

      43,891,579  

Purchased options

      (2,299,236 ) 

Securities sold short

      (26,916,924 ) 

Swap agreements

      (3,975,540 ) 

Written options

      75,584  

Foreign currency transactions

      (419,531 ) 

Forward foreign currency exchange contracts

      998,512  
  

 

 

  

Net realized gain (loss)

      11,354,444  
  

 

 

  

Net change in unrealized appreciation (depreciation) on:

   

Investments

      5,753,681  

Purchased options

      215,732  

Securities sold short

      14,551,735  

Swap agreements

      (1,726,415 ) 

Foreign currency transactions

      (1,552,604 ) 

Forward foreign currency exchange contracts

      (43,038 ) 
  

 

 

  

Net change in unrealized appreciation/(depreciation)

      17,199,091  
  

 

 

  

Net realized and unrealized gain (loss) on investments and foreign currency

      28,553,535  
  

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 23,162,048  
  

 

 

  

 

See accompanying notes.         CRM Long/Short Opportunities Fund

14

 

CRM LONG/SHORT OPPORTUNITIES FUND

STATEMENT OF CHANGES IN NET ASSETS

 

 

 

 

 

     Year Ended
June 30, 2018		   For the Period
August 16, 2016(1)
through
June 30, 2017

NET ASSETS - BEGINNING OF YEAR

      $ 448,107,848     $ —
    

 

 

      

 

 

  

OPERATIONS

         

Net investment loss

        (5,391,487 )       (2,287,277 )

Net realized gain (loss) from investments and foreign currency

        11,354,444       (8,767,001 )

Net change in unrealized appreciation/(depreciation) on investments and foreign currency

        17,199,091       20,539,975
    

 

 

      

 

 

  

Net increase in net assets resulting from operations

        23,162,048       9,485,697
    

 

 

      

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS FROM

         

Net realized gains on investments - Institutional Shares

        (1,152,726 )       —
    

 

 

      

 

 

  

Total distributions to shareholders

        (1,152,726 )       —
    

 

 

      

 

 

  

CAPITAL SHARE TRANSACTIONS

         

Sale of shares - Institutional Shares

        353,625,449       484,788,591

Reinvestment of distributions - Institutional Shares

        57,474       —

Redemption of shares - Institutional Shares

        (114,497,244 )       (46,166,440 )
    

 

 

      

 

 

  

Net increase from capital share transactions

        239,185,679       438,622,151
    

 

 

      

 

 

  

Total increase in net assets

        261,195,001       448,107,848
    

 

 

      

 

 

  

NET ASSETS - END OF YEAR

      $ 709,302,849     $ 448,107,848
    

 

 

      

 

 

  

Accumulated net investment loss

      $ —     $ (2,473,272 )
    

 

 

      

 

 

  

(1) Inception date.

 

See accompanying notes.         CRM Long/Short Opportunities Fund

15

 

CRM LONG/SHORT OPPORTUNITIES FUND

FINANCIAL HIGHLIGHTS

 

 

 

 

The following table includes selected data for a share outstanding throughout each period and other performance information derived from the financial statements. The total return in the table represents the rate an investor would have earned or lost on an investment in the fund. This information should be read in conjunction with the financial statements and notes thereto.

 

     For the
Year Ended
June 30, 2018		   For the Period
August 16, 2016
through
June 30,  20171

Net Asset Value — Beginning of Period

      $ 10.25     $ 10.00
    

 

 

      

 

 

  

Investment operations:

         

Net investment loss2

       (0.10 )       (0.08 )

Net realized and unrealized gain on investments and foreign currency

        0.55       0.33
    

 

 

      

 

 

  

Total from investment operations

        0.45       0.25
    

 

 

      

 

 

  

Distributions to shareholders:

         

From net realized gains on investments

        (0.02 )       —
    

 

 

      

 

 

  

Total distributions to shareholders

        (0.02 )       —
    

 

 

      

 

 

  

Net Asset Value — End of Period

      $ 10.68     $ 10.25
    

 

 

      

 

 

  

Total Return

        4.44 %       2.50 %

Ratios/Supplemental Data:

         

Ratios to average net assets:

         

Expenses, including waiver/reimbursement3

       2.80 %       2.44 %

Expenses, excluding waiver/reimbursement

        2.85 %       2.59 %

Net investment loss, including waiver/reimbursement

        (0.94 )%       (0.93 )%

Portfolio turnover rate

        251 %       319 %

Net Assets at the end of period (000’s omitted)

      $ 709,303     $ 448,108

 

1 

Inception date was August 16, 2016. All ratios for the period have been annualized. Total return and portfolio turnover for the period have not been annualized.

 

2 

Calculated using the average shares outstanding method.

 

3 

Expense ratio includes the impact of dividend expense and net interest expense (when applicable), on securities sold short. Excluding such expenses, the ratio of expenses to average net assets would have been 1.60%.

 

See accompanying notes.         CRM Long/Short Opportunities Fund

16

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018

 

 

 

 

1.

Description of the Fund. CRM Long/Short Opportunities Fund (“Long/Short Opportunities Fund”or the “Fund”) is a series of the CRM Mutual Fund Trust (the “Trust”). The Trust consists of six funds, one of which is presented herein. The remaining five funds are presented in a separate report. A shareholder of one series of the Trust is not deemed to be a shareholder of any other series. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and was organized as a Delaware statutory trust on March 30, 2005. The Fund commenced operations on August 16, 2016.

The Fund offers Institutional Shares. Shares are generally available for purchase and sale by registered investment advisers acting in a fiduciary capacity on behalf of their clients and by or through other qualified intermediaries and programs sponsored by such qualified financial intermediaries. Initial investments in the Fund are subject to a $100,000,000 minimum per registered investment adviser or qualified financial intermediary.

 

2.

Significant Accounting Policies. The Fund’s financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). The Fund is an investment company and therefore, the Fund follows the accounting and reporting requirements for investment companies under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, in accordance with FASB Accounting Standards update 2013-08. The following is a summary of the significant accounting policies of the Fund:

Security Valuation. The Fund values its investment securities based on current market values when such values are available. These prices normally are supplied by a pricing service.

In valuing the Fund’s investment securities, a security listed on the New York Stock Exchange (the “Exchange”) (and not subject to restrictions against sale by the Fund on the Exchange) will be valued at its last sale price on the Exchange on the day the security is valued. Lacking any sales on such day, the security will be valued at the mean between the closing asked price and the closing bid price. Securities listed on other exchanges (and not subject to restriction against sale by the Fund on such exchanges) will be similarly valued, using quotations on the exchange on which the security is traded most extensively. Securities that are quoted on the NASDAQ Stock Market, for which there have been sales of such securities on such day, shall be valued at the last sale price reported on such system on the day the security is valued. If there are no such sales on such day, the value shall be the mean between the closing asked price and the closing bid price. The value of such securities quoted on the stock market system, but not listed on the national market system, shall be valued at the mean between the closing asked price and the closing bid price. Unlisted securities that are not quoted on the NASDAQ Stock Market and for which over-the-counter market quotations are readily available will be valued at the mean between the current bid and asked prices for such security in the over-the-counter market. Short-term investments with remaining maturities of less than 61 days are valued at amortized cost, provided such amount approximates fair value. The Fund’s currency valuations, if any, are also valued at the close of regular trading on the Exchange. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations provided by a third party pricing service. Option contracts are generally valued at the mean between the last bid and ask prices on the principal exchange where they are traded.

 

          CRM Long/Short Opportunities Fund

17

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

Securities that do not have a readily available current market value are valued in good faith by, or under the direction of, the Board of Trustees of the Trust (the “Board” or “Trustees”). In addition, the Fund 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 the Fund prices its shares. Securities trading in overseas markets present time zone arbitrage opportunities when events affecting portfolio security values occur after the close of the overseas market but prior to the close of the U.S. market. In addition, arbitrage opportunities may exist when trading in a portfolio security or securities is halted and does not resume before a fund calculates its NAV. These arbitrage opportunities may enable short-term traders to profit at the expense of long-term investors. Valuing securities using fair value methodologies involves greater reliance on judgment than valuing securities based on readily available market quotations. The Fund, when using fair value methodologies to price securities, may value those securities higher or lower than another fund using market quotations or its own fair value methodologies to price the same securities. There can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security.

The Fund discloses the value of its investments in a hierarchy based on the inputs used to value the investments. The disclosure hierarchy consists of three broad levels:

 

•  Level 1

   

—

   

quoted prices in active markets for identical securities

Investments whose values are based on quoted market prices in active markets, and whose values are therefore classified as Level 1 prices, include active listed equity securities. The Fund does not adjust the quoted price for such investments, even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

 

•  Level 2

   

—

   

other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs are classified as Level 2 prices. These generally include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equity securities. As investments whose values are classified as Level 2 prices may include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

 

•  Level 3

   

—

   

significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not available for these securities, the Fund uses one or more valuation techniques for which sufficient and reliable data is available. The inputs used by the Fund in estimating the value of Level 3 prices may include the original transaction price, quoted prices for comparable companies or assets in active markets, completed or pending third-party transactions in the underlying

 

          CRM Long/Short Opportunities Fund

18

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Fund in the absence of market information. Assumptions used by the Fund due to the lack of observable inputs may significantly impact the resulting value and therefore the Fund’s results of operations.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any inputs both individually and in the aggregate that is significant to the fair value measurement. The Fund’s policy is to recognize transfers among levels as of the beginning of the reporting period. A summary of the inputs used to value the Fund’s investments as of June 30, 2018 is included with the Fund’s Schedule of Investments.

Foreign Currency Translations. The books and records of the Fund are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date. The value of all assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar daily. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of those investments. Such fluctuations are included with the net realized and unrealized gain or loss from investments that are disclosed within the Fund’s statement of operations, as applicable.

Federal Income Taxes. The Fund is treated as a separate entity for federal income tax purposes and intends to 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 the Fund’s tax positions and has concluded that no provision for U.S. income tax is required in the Fund’s financial statements. The Fund’s federal tax return for the year ended June 30, 2017 remains subject to examination by the Internal Revenue Service. On an ongoing basis, management monitors the Fund’s tax positions to determine if any adjustments to its conclusions are necessary.

The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the year ended June 30, 2018, the Fund did not incur any interest or penalties.

Security Transactions and Investment Income. Investment security transactions are accounted for on a trade date basis for financial reporting purposes. The Fund uses the specific identification method for determining realized gains and losses on investments for both financial and federal income tax reporting purposes. Interest income is recorded on the accrual basis and includes the amortization of premium and the accretion of discount. Dividend income and expense are recorded on the ex-dividend date. 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

 

          CRM Long/Short Opportunities Fund

19

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

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.

Common expenses of the Trust are allocated on a pro-rata basis amongst the series of the Trust based on relative net assets.

The Fund’s investments in certain countries are subjected to additional capital gain taxes. Such taxes are due upon sale of individual securities. The Fund accrues for taxes on the capital gains throughout the holding period based on the unrealized gain of the underlying securities as applicable. There were no capital gains taxes for the year ended June 30, 2018 in the Fund.

Distributions to Shareholders. Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Distributions from net investment income and net realized gains, if any, will be declared and paid annually.

Use of Estimates in the Preparation of Financial Statements. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

 

3.

Advisory Fees and Other Transactions with Affiliates. Cramer Rosenthal McGlynn, LLC (“CRM”) serves as investment adviser to the Fund. CRM receives an advisory fee from the Fund of 1.50% of the Fund’s average daily net assets.

CRM has a contractual obligation to waive a portion of its fees and to assume certain expenses of the Fund to the extent that the total annual fund operating expenses, excluding taxes, extraordinary expenses, brokerage commissions, interest, dividend and interest expenses related to short sales, and acquired fund fees and expenses, exceed 1.60% of average daily net assets of the Fund. These expense limitations are in effect until November 1, 2018. Prior to that date, the arrangement may be terminated only by the vote of the Board of Trustees of the Fund.

CRM provides compliance services to the Trust. The Chief Compliance Officer (“CCO”) is an employee of CRM. The Trust reimburses CRM for the portion of his salary allocated to his duties as the CCO of the Trust at a rate of $75,000 per year which is allocated on a pro-rata basis amongst the series of the Trust based on relative net assets.

Compensation of Trustees and Officers. Except for the CCO of the Fund, trustees and officers of the Fund who are interested persons of CRM, as defined in the 1940 Act, receive no compensation from the Fund.

Trustees of the Fund who are not interested persons of CRM, as defined in the 1940 Act (each an “Independent Trustee”), receive compensation and reimbursement of expenses. Each Independent Trustee receives aggregate annual compensation from the Trust at an annual rate of $75,000 which is allocated on a pro-rata basis amongst the series of the Trust based on relative net assets. Under a Deferred Compensation Plan (the “Plan”) adopted August 12, 2005, an Independent Trustee may elect to defer receipt of all, or a portion, of his annual compensation. If an Independent Trustee opts for deferral, then the deferred amounts are credited to an Independent Trustee’s deferral account and invested and reinvested in Institutional Shares of one or more of the Funds in the series

 

          CRM Long/Short Opportunities Fund

20

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

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, 2018. Trustees’ fees reflected in the accompanying financial statements include total compensation earned, which were paid in cash. Each trustee serves during the continued lifetime of the Fund, or the earlier of when his or her successor is elected or qualified, the officer dies, resigns, is removed or becomes disqualified.

 

4.

Investment Securities Transactions. The cost of investments purchased and the proceeds from investments sold (excluding short-term investments) for the year ended June 30, 2018, were as follows:

 

Purchases   Sales
$1,004,995,227   $778,660,392
Short Sales   Purchases to
Cover Shorts
$1,350,186,766   $1,172,262,907

 

5.

Short Sale Transactions. In short sale transactions, the Fund sells a security it does not hold in anticipation of a decline in the market price of that security. When the Fund makes a short sale, it will borrow the security sold short (borrowed bond) and deliver the security to the counterparty to which it sold the security short. An amount equal to the proceeds received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund is required to repay the counterparty any dividends declared on the security sold short, which is shown as dividend expense in the Statement of Operations. The Fund is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain is limited to the price at which the Fund sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that the Fund will be able to close out a short position at a particular time or at an acceptable price.

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 Statement of Assets and Liabilities as deposits with broker for securities sold short. Non-cash collateral pledged by the Fund is noted in the Schedule of Investments in the amount of $152,170,864. 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 on securities sold short in the Statement of Operations.

 

          CRM Long/Short Opportunities Fund

21

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

 

6.

Capital Share Transactions. Transactions in shares of capital stock for the year ended June 30, 2018 and the period August 16, 2016 (inception date) through June 30, 2017 were as follows:

 

     For the Year
Ended June 30, 2018		     For the Period
August 16, 2016(1)
through
June 30, 2017		  
     Institutional
Shares		     Institutional
Shares		  

Sold

      33,622,548       48,350,690  

Issued on reinvestment of distributions

      5,585       —  

Redeemed

      (10,970,077 )      (4,622,465 ) 
  

 

 

    

 

 

  

Net increase

      22,658,056       43,728,225  
  

 

 

    

 

 

  

(1) Inception date.

 

7.

Federal Tax Information. Distributions to shareholders from net investment income and realized gains are determined in accordance with Federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Additionally, net short-term realized gains are treated as “ordinary income” for tax purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

At June 30, 2018, the following reclassifications were made within the capital accounts to reflect permanent differences relating to the differing book/tax treatment of swaps, foreign currency transactions, capitalized short sale dividend expense and tax character redesignation of short-term gain to ordinary income.

 

Paid-in-capital

   

Accumulated
net investment loss

   

Accumulated
net realized gain (loss)
on investments

$—    $7,864,759    $(7,864,759)

The tax character of distributions paid during the year ended June 30, 2018 were as follows:

 

For the Year Ended June 30, 2018

   

Ordinary income

    $ 1,152,726  

Long-term capital gains

      —  
  

 

 

  

Total distributions

    $ 1,152,726  
  

 

 

  

 

          CRM Long/Short Opportunities Fund

22

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

The components of accumulated earnings (deficit) on a tax basis as of June 30, 2018 were as follows:

 

Undistributed
ordinary
income

    Undistributed
long-term
capital gains		    Capital
loss
carry-
forwards		    Qualified
late year
loss
deferrals†
    Net unrealized
appreciation
on investments
and foreign
currency		    Total
accumulated
earnings
(deficit)

$131,391

    $2,341,774    $—    $—    $29,080,340    $31,553,505

 

  † 

Under federal tax law, qualified late year ordinary and capital losses realized after December 31 and October 31, respectively, may be deferred and treated as occurring on the first day of the following fiscal year.

The difference between book basis and tax basis components of accumulated earnings (deficit) is primarily attributable to dividend expense on securities sold short, tax deferral of losses on wash sales, the deferral of losses on straddles, the deferral of losses on short sale transactions and investments in swaps and other securities with book and tax cost differences.

The total cost of investments and net unrealized appreciation or depreciation for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, and related gross unrealized appreciation and depreciation of securities held by the Fund as of June 30, 2018 were as follows:

 

Tax Cost of
  Investments  

    Gross Unrealized
Appreciation		    Gross Unrealized
Depreciation		    Net Unrealized
Appreciation on Investments

$691,374,228

    $74,173,702    $(45,093,362)    $29,080,340

 

8.

Derivative Financial Instruments. The Fund may, but is not required to, invest in derivative contracts, such as swaps and options on securities and securities indices, for a variety of purposes, including: in an attempt to hedge against adverse changes in the market price of securities, interest rates or currency exchange rates; as a substitute for purchasing or selling securities, including short sales; to attempt to increase the Fund’s return as a non-hedging strategy that may be considered speculative; to manage portfolio characteristics; and as a cash flow management technique. Using swaps, options and other derivatives can increase Fund losses and reduce opportunities for gains when market prices, interest rates or the derivative instruments themselves behave in a way not anticipated by the Fund. Using derivatives may increase the volatility of the Fund’s net asset value and may not provide the result intended. Derivatives may have a leveraging effect on the Fund. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment. Changes in a derivative’s value may not correlate well with the referenced asset or metric. The Fund also may have to sell assets at inopportune times to satisfy its obligations. Derivatives may be difficult to sell, unwind or value, and the counterparty may default on its obligations to the Fund.

Options. The Fund purchases and writes call and put options to increase or decrease its exposure to underlying instruments (including credit risk, equity risk, foreign currency exchange rate risk and/or interest rate risk) and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to

 

          CRM Long/Short Opportunities Fund

23

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in the Statement of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statement of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statement of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Fund writes an option, such option is covered by cash in an amount sufficient to cover the obligation. In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that the Fund may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Fund purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Forward Foreign Currency Contracts. The Fund enters into forward foreign currency exchange contracts to gain or reduce exposure, to foreign currencies (foreign currency exchange rate risk). A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Fund are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked to market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

As of June 30, 2018, the Fund did not hold any forward foreign currency exchange contracts.

Swaps. The Fund enters into swap contracts to manage exposure to issuers, markets and securities. Such contracts are agreements between the Fund and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, in the Statement of Assets and Liabilities and amortized over the term of the OTC swap. Payments received or made by the Fund for OTC swaps are recorded in the Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Fund will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

 

          CRM Long/Short Opportunities Fund

24

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statement of Operations.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

As of June 30, 2018, the Fund did not hold any swaps.

Collateral Requirements. For derivatives traded under an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDAMA”), the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.

Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Fund. Any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA MA, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from its counterparties are not fully collateralized, they bear the risk of loss from counterparty non-performance. Likewise, to the extent the Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, they bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

 

          CRM Long/Short Opportunities Fund

25

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

The following is a summary of the location of derivatives on the Fund’s Statement of Assets and Liabilities as of June 30, 2018:

 

         

Location on the Statement of Assets and Liabilities

    

Derivative Type

   

 

Asset Derivatives

   Equity Contracts    Investments in securities, at value

 

        

Asset Derivative Value

        

 

Total
    Value    

   

Equity
Contracts

  Purchased Options    $133,350    $133,350

The following is a summary of the location of derivatives on the Fund’s Statement of Operations for the year ended June 30, 2018:

 

        

Location on the Statement of Operations

   

Derivative Type

   

Net Realized Gain (Loss)

   

 

Net Change in Unrealized
Appreciation (Depreciation)

  Forward Foreign Currency    Net realized gain (loss) from: Forward    Net change in unrealized appreciation
  Exchange Contracts    Foreign Currency Exchange Contracts    (depreciation) on: Forward Foreign Currency Exchange Contracts
  Equity Contracts    Net realized gain (loss) from: Purchased Options    Net change in unrealized appreciation (depreciation) on: Purchased Options
     Net realized gain (loss) from: Swap Agreements    Net change in unrealized appreciation (depreciation) on: Swap Agreements
     Net realized gain (loss) from: Written Options   

 

         Net Realized Gain (Loss)  
        

 

Total
Value

        Currency
Contracts		        Equity
Contracts		  
  Forward Foreign Currency Exchange Contracts    $ 998,512        $ 998,512        $ —  
  Purchased Options      (2,299,236 )         —          (2,299,236 ) 
  Swap Agreements      (3,975,540 )         —          (3,975,540 ) 
  Written Options      75,584          —          75,584  
    

 

 

       

 

 

       

 

 

  
     $  (5,200,680 )       $     998,512        $  (6,199,192 ) 
    

 

 

       

 

 

       

 

 

  

 

          CRM Long/Short Opportunities Fund

26

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

 

 

         Net Change in Unrealized Appreciation (Depreciation)  
        

 

Total
Value

        Currency
Contracts		        Equity
Contracts		  
  Forward Foreign Currency Exchange Contracts    $ (43,038 )       $ (43,038 )       $ —  
  Purchased Options      215,732          —          215,732  
  Swap Agreements      (1,726,415 )         —          (1,726,415 ) 
    

 

 

       

 

 

       

 

 

  
     $  (1,553,721 )       $      (43,038 )       $  (1,510,683 ) 
    

 

 

       

 

 

       

 

 

  

The table below summarizes the average balance of derivative holdings by the Fund during the year ended June 30, 2018. The average balance of derivatives held is indicative of the trading volume of the Fund.

 

          Long Derivative Volume            
         

 

Forward Foreign
Currency Exchange
Contracts

   Purchased Option
Contracts
(Cost)		   Swap
Contracts
(Notional Value)		            
    $3,936,729   $742,337   $—    
          Short Derivative Volume            
         

 

Forward Foreign
Currency Exchange
Contracts

   Written Option
Contracts		   Swap
Contracts
(Notional Value)		            
    $2,973,023   $32,329   $15,213,018    

In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, the Fund may enter into an ISDA MA or similar agreement with its counterparties. An ISDA MA is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA MA, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA MA typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. For example, notwithstanding what contractual rights may be included in an ISDA MA, such laws may prohibit the Fund from setting off amounts owed to a defaulting counterparty under an ISDA MA against amounts owed to the Fund by affiliates of the defaulting counterparty. The insolvency regimes of many jurisdictions do, however, generally permit set-off of simultaneous payables and receivables under certain types of financial contracts between the same legal entity upon a default of the entity, regardless of the existence of a contractual set-off right in those contracts. In addition, certain ISDA MA allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA MA, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

 

          CRM Long/Short Opportunities Fund

27

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Continued)

 

 

 

 

Offsetting of Financial and Derivative Assets and Liabilities. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

The following table presents derivative assets and liabilities net of amounts available for offset under an ISDA MA or similar agreement and, as applicable, the related collateral and potential loss exposure to the Fund as of June 30, 2018:

 

         Assets  
 

Derivative Financial Instruments:

   
 

Purchased options

    $ 133,350  
    

 

 

  
 

Total derivative assets and liabilities in the Statement of Assets and Liabilities

      133,350  
    

 

 

  
 

Derivatives not subject to an ISDA MA or similar agreement

     133,350  
    

 

 

  
 

Total assets and liabilities subject to an ISDA MA

    $ —  
    

 

 

  

 

9.

Risks. In the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the issuers of securities owned by the Fund. Changes arising from the general economy, the overall market and local, regional or global political or/and social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value. Similar to issuer credit risk, the Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that CRM believes have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately its value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.

A derivative contract may suffer mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Fund.

For OTC options purchased, the Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty, to perform. The Fund may be exposed to counterparty credit risk with respect to options written to the extent the Fund deposits collateral with its counterparty to a written option. With exchange-traded options purchased and centrally cleared swaps, there is less counterparty

 

          CRM Long/Short Opportunities Fund

28

 

CRM LONG/SHORT OPPORTUNITIES FUND

NOTES TO FINANCIAL STATEMENTS — June 30, 2018 (Concluded)

 

 

 

 

credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.

 

10.

Contractual Obligations. The Fund enters into contracts in the normal course of business that contain a variety of indemnification obligations. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of liability for indemnity claims to be remote.

 

11.

Subsequent Events. Management has evaluated the impact of all subsequent events on the Fund and has determined that there were no subsequent events that required recognition or disclosure in the financial statements.

 

          CRM Long/Short Opportunities Fund

29

 

CRM LONG/SHORT OPPORTUNITIES FUND

REPORT OF INDEPENDENT

REGISTERED PUBLIC ACCOUNTING FIRM

 

 

 

 

To the Shareholders and Trustees of CRM Long/Short Opportunities Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of CRM Long/Short Opportunities Fund (the “Fund”) (one of the funds constituting CRM Mutual Fund Trust (the “Trust”)), including the schedule of investments, as of June 30, 2018, and the related statement of operations for the year then ended, the statements of changes in net assets and the financial highlights for the year ended June 30, 2018 and the period from August 16, 2016 (commencement of operations) through June 30, 2017 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 Fund (one of the funds constituting CRM Mutual Fund Trust) at June 30, 2018, the results of its operations for the year then ended, and the changes in its net assets and its financial highlights for the year ended June 30, 2018 and the period from August 16, 2016 (commencement of operations) through June 30, 2017, in conformity with the U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s 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 Trust 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 conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s 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 Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

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 procedures included confirmation of securities owned as of June 30, 2018, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. 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. We believe that our audits provide a reasonable basis for our opinion.

 

LOGO

We have served as the auditor of one or more CRM Funds’ investment companies since 1996.

Philadelphia, Pennsylvania

August 27, 2018

 

          CRM Long/Short Opportunities Fund

30

 

CRM LONG/SHORT OPPORTUNITIES FUND

TAX INFORMATION (Unaudited)

 

 

 

For the fiscal year ended June 30, 2018, 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 Fund 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 Fund qualifies 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		  
  100.00%        100.00%  

In January 2019, shareholders of the Fund will receive Federal income tax information on all distributions paid to their accounts in calendar year 2018, including any distributions paid between July 1, 2018 and December 31, 2018.

 

          CRM Long/Short Opportunities Fund

31

 

CRM LONG/SHORT OPPORTUNITIES FUND

TRUSTEES AND OFFICERS

 

 

 

 

INDEPENDENT TRUSTEES

Name and Age

   

Position(s)
Held with
Fund

   

Term of
Office and
Length of
Time
Served#

  

Principal
Occupation(s)
During Past
Five Years

   

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

   

Other Board
Memberships
Held by
Trustee
During Past
Five Years

F. GREGORY AHERN, 66    Trustee   

Since

June

2017.

    Advisory Director, Sard Verbinnen (from January 2017-present); Chief of Public Communications, Financial Industry Regulatory Authority (from 2012-2016).    6    Chairman of Board, Yale New Haven Westerly Hospital Foundation (since 2005).
LOUIS FERRANTE, CFA, CPA, 59    Trustee   

Since

June

2005.

    Private Investor (from August 2007- present).    6    None
RODNEY P. WOOD, 58    Trustee   

Since

June

2017.

    President, Detroit Lions, Inc. (since 2015); President, Ford Estates, LLC (2007-2015).    6    Director, Silver Lake Advisers (since 2007); Director, Velvel Group (since 2013).

 

          CRM Long/Short Opportunities Fund

32

 

CRM LONG/SHORT OPPORTUNITIES FUND

TRUSTEES AND OFFICERS (Concluded)

 

 

 

 

OFFICERS

Name and Age

   

Position(s)
Held with
         Fund        

   

Term of
Office and
Length of
Time
Served#

  

Principal
Occupation(s)
During Past
Five Years

   

Number of
Portfolios in
Fund
Complex
Overseen by
Trustee

   

Other Board
Memberships
Held by
Trustee
During Past
Five Years

MICHELLE KAUFMANN, CPA, 44   

Treasurer

and Principal

Financial

Officer

   

Since

July

2018.

    Vice President and Controller, CRM (since 2013).    N/A    N/A
RONALD H. MCGLYNN, 75   

President

and Chief Executive

Officer

   

Since

June

2005.

    Chairman, CRM (since 2005), Chief Executive Officer (1998 - 2011), President and Chief Executive Officer, Cramer Rosenthal McGlynn, Inc. (investment management) (since 1996), CRM Investors, Inc. (investment management) (since 1990), and CRM Alternatives, Inc. (investment management) (since 2001).    N/A    N/A
STEVEN A. YADEGARI, ESQ., 45   

Secretary,

Chief

Legal

Officer

and Chief

Compliance

Officer

   

Since

August

2005.

    Executive Vice President (since 2012), Senior Vice President (2008 - 2011), Chief Legal Officer and Chief Compliance Officer, CRM (since August 2005), Chief Operating Officer, CRM (since 2015).    N/A    N/A

 

 

#

Serves during the continued lifetime of the Funds or until he/she earlier dies, resigns or is removed, or if sooner, until the election and qualification of his successor.

 

          CRM Long/Short Opportunities Fund

33

 

CRM LONG/SHORT OPPORTUNITIES FUND

OTHER INFORMATION (Unaudited)

 

 

 

 

Quarterly Portfolio Schedule

The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year (quarters ended September 30 and March 31) on Form N-Q. The Trust’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Voting Proxies on Fund Portfolio Securities

A description of the policies and procedures that the Trust used to determine how to vote proxies relating to securities held in the Trust’s portfolios is available, without charge and upon request, by calling 800-CRM-2883 and on the SEC’s website at http://www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 is available without charge and upon request by calling 800-CRM-2883, and on the SEC’s website listed above.

Statement of Additional Information

The Statement of Additional Information (“SAI”) for the Fund includes additional information about the Trustees and is available upon request, without charge, by calling 800-CRM-2883 or by visiting the Fund’s website at http://www.crmfunds.com.

Privacy Notice

(THIS PRIVACY NOTICE IS BEING DELIVERED WITH THE FUND’S SHAREHOLDER REPORT BUT IS NOT DEEMED TO BE A PART OF THE FUND’S SHAREHOLDER REPORT)

Set forth below is the policy of CRM Mutual Fund Trust (the “Trust”) concerning the collection and disclosure of non-public personal information regarding investors and prospective investors in CRM Long/Short Opportunities Fund, (the “Fund”) who are individuals investing for personal, family, or household purposes. The words “we” and “us” refers to the Trust and the Fund. The words “you” and “your” refers to investors and prospective investors in the Fund who are covered by this policy.

We use administrators, investment managers, custodians, transfer agents, securities brokers, and other third party businesses to conduct many aspects of our business, including processing initial investments, additional investments, redemptions, share transfers, and other transactions that you request. We refer to these third parties below as our “Service Agents.”

As we work together to achieve your investment goals, we will often share with our Service Agents personal and financial information, including, for example, your name, address and telephone number, your e-mail address, your purchases and redemptions of shares of the Fund, your banking arrangements, information on your family members, and your social security number. Our Service Agents may also receive these types of information from other firms that assist us in conducting our business. This information is collected in order to properly handle your account.

To protect the security of your personal and financial information, our Service Agents maintain physical, electronic, and procedural safeguards that meet the standards of applicable laws and regulations.

We may, and we may authorize our Service Agents to, use your personal and financial information and share it

 

          CRM Long/Short Opportunities Fund

34

 

CRM LONG/SHORT OPPORTUNITIES FUND

OTHER INFORMATION (Unaudited) (Concluded)

 

 

 

 

with us, other Service Agents, and affiliates of Service Agents in order to provide you with investment services, improve our services, make our procedures more efficient, implement security measures, and fight fraud.

We will not sell your personal and financial information to any outside party. We obtain from our Service Agents confidentiality agreements that prohibit them from selling or improperly using your personal or financial information.

On occasion, we and our Service Agents may be required to provide information about you and your transactions to governmental agencies, self-regulatory organizations, industry associations and similar bodies in order to fulfill legal and regulatory requirements. In addition, federal, state, and foreign laws give people involved in lawsuits and other legal proceedings the right under certain circumstances to obtain information from us and our Service Agents, including your personal and financial information. We and our Service Agents may make other disclosures to non-affiliated third parties as permitted by law.

 

          CRM Long/Short Opportunities Fund

35

 

DISCUSSION OF BOARD CONSIDERATIONS IN APPROVING CONTINUANCE AND RENEWAL OF ADVISORY AGREEMENT WITH CRM

 

 

 

 

In order for CRM to remain the Fund’s investment adviser, the Trustees Committee and Board of Trustees of the Trust (the “Board”) must determine annually whether to renew the Investment Advisory Agreement between the Trust and CRM with respect to the Fund. 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 the materials provided by CRM at meetings held in May of 2018.

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 counsel setting forth the Board’s fiduciary duties under the 1940 Act and state law and the factors the Board should consider in its evaluation of the Investment Advisory Agreement; and (2) a report prepared for the Independent Trustees of the Trust by Management Practice, Inc. (“MPI”), an independent third party consultant, comparing the Fund’s investment performance to the performance of the Fund’s benchmark index and other mutual funds, and comparing the 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, reports of and presentations by CRM that described: (i) the nature, extent and quality of CRM’s services provided to the Fund; (ii) the experience and qualifications of the personnel providing those services; (iii) CRM’s investment philosophies and processes; (iv) CRM’s assets under management; (v) CRM’s “soft” dollar commission and trade allocation policies, including information on the types of research and services obtained with “soft” dollar commissions; (vi) the investment advisory fees charged by CRM to the Fund as compared with the fees charged by CRM to other advisory accounts with similar investment objectives and strategies managed by CRM; (vii) CRM’s compliance and risk management procedures; and (viii) an analysis of the profits of CRM related to its services to the Fund. The Board also considered information related to the Fund provided at quarterly Board meetings and otherwise received throughout the year. At the meeting held on May 7, 2018, the Board, including all of the Independent Trustees voting separately, approved the continuance and renewal of the Investment Advisory Agreement for another year with respect to the 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 examined the nature, extent and quality of services provided by CRM to the Fund, and the quality, size and experience of CRM’s professional portfolio management team. The Board considered CRM’s investment approach and research process, including CRM’s capabilities and experience in the development and implementation of its value-oriented investment process.

With respect to the Fund, the Board considered the experience of CRM’s portfolio management team in managing long/short strategies through hedge funds, separately managed accounts and UCITs. The Board also considered CRM’s compliance programs and compliance record, risk management philosophy, policies and procedures, marketing strategies, process for trade execution, CRM’s personnel and the Board’s dealings with CRM. Based on the foregoing, the Board determined that it was satisfied with the nature, extent and quality of the services provided by CRM to the Fund.

 

           

36

 

DISCUSSION OF BOARD CONSIDERATIONS IN APPROVING CONTINUANCE AND RENEWAL OF ADVISORY AGREEMENT WITH CRM (Continued)

 

 

 

 

Performance Information

The Board considered CRM’s focus on achieving long-term performance in a manner consistent with the Fund’s investment objective and investment strategies, as well as CRM’s value-oriented, research driven investment philosophy. The Board also considered CRM’s approach to investment risk and commitment to maintain the Fund’s focus on its target market segment even when that segment may be out of favor, and noted that this distinguished CRM from some other investment managers that may accept higher levels of investment risk or may deviate from a fund’s target market segment in order to pursue short-term performance (including by investing in cash). The Board noted that although this overall approach to investing might cause the Fund to perform not as well over some periods when compared to other mutual funds, CRM had generally achieved successful investment results for its clients over the longer term. 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 discussed the information prepared by MPI, which compared the Fund’s performance against a benchmark index and other mutual funds with similar investment objectives and strategies identified by MPI. The Board considered CRM’s plans for improving the Fund’s performance.

The Board noted that the Fund had underperformed its benchmark index for the one-year period ended March 31, 2018 and since inception on August 16, 2016. The Board noted that the Fund ranked in the third quintile of funds with similar investment objectives and strategies for the one-year period ended March 31, 2018. The Board determined that it would continue to monitor closely the Fund’s performance, but that the information it considered supported approval of the Investment Advisory Agreement.

Fees and Expenses

The Board considered the research and analysis conducted by CRM in order to identify investment opportunities for the Fund and attempt to distinguish itself from the Fund’s benchmark. The Board noted that CRM relies heavily on its own proprietary research to implement its value-oriented investment philosophy, and that the cost of preparing this research may be significant. Accordingly, CRM’s reliance on this proprietary research might cause CRM’s research costs to exceed those of some other investment managers that largely rely upon research prepared by third parties, especially with respect to larger cap companies, for which a good deal of third party research is available. The Board considered CRM’s experience in implementing its value-oriented investment philosophy. The Board concluded that the costs of CRM’s proprietary research and CRM’s experience in implementing its investment philosophy may in some cases justify investment advisory fees that are higher than the median advisory fees paid by other mutual funds with similar investment objectives and strategies.

In addition, the Board compared the fees and expenses paid by the Fund with the fees paid by institutional separate accounts managed by CRM in a similar investment strategy to that of the Fund. The Board noted that the investment advisory fee paid by the Fund was generally higher than the management fees paid by the institutional separate accounts managed by CRM in a similar investment strategy to the Fund. In comparing the fees paid by the Fund to the fees paid by institutional separate accounts, the Board considered that the costs associated with the management of the Fund generally are greater than those associated with providing investment advisory services to separately-managed accounts. The Board considered the additional complexities

 

           

37

 

DISCUSSION OF BOARD CONSIDERATIONS IN APPROVING CONTINUANCE AND RENEWAL OF ADVISORY AGREEMENT WITH CRM (Continued)

 

 

 

 

involved in the management of the Fund resulting from more frequent and less predictable cash flows and regulatory requirements, among other factors. The Board considered the additional services provided to the Fund 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 Fund is subject, oversight of third-party service providers, preparation of prospectuses, shareholder reports and other disclosure documents and preparation of materials for quarterly Board meetings. The Board also considered the business risks that CRM faces with respect to the Fund, including regulatory and reputational risks with respect to CRM’s investment decisions and compliance oversight on behalf of the Fund, and the substantial entrepreneurial risks that CRM assumes during the initial years of the Fund’s operations. The Board also considered that there may be historical reasons for certain separate account fees, and the element of negotiation in regard to the level of fees paid by CRM’s separate account clients.

The Board also discussed the information prepared by MPI, which compared the fees and expenses paid by the Fund with the fees and expenses paid by other mutual funds with similar investment objectives and strategies identified by MPI.

The Board noted that, based on the information provided, the investment advisory fee for the Fund ranked in the fourth quintile of funds with similar investment objectives and strategies. The Board noted that the Fund’s investment advisory fee was higher than the median and average advisory fees paid by funds with similar investment objectives and strategies. The Board considered the additional work and analysis required to identify investments for the short selling component of the Fund’s investment strategy, the participation of CRM’s most experienced investment personnel in managing the Fund would support charging a higher than average investment advisory fee.

The Board noted that, based on the information provided, the total net annual operating expenses of the Fund ranked in the third quintile of funds with similar investment objectives and strategies. The Board noted that the total net annual operating expenses of the Fund were higher than the median net expenses, and higher than the average net expenses paid by funds with similar investment objectives and strategies. The Board noted the impact of the Fund’s higher than average investment advisory fee on the Fund’s expense ratio.

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 determined that the investment advisory fee paid by the 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 Fund’s fees and expenses.

 

           

38

 

DISCUSSION OF BOARD CONSIDERATIONS IN APPROVING CONTINUANCE AND RENEWAL OF ADVISORY AGREEMENT WITH CRM (Concluded)

 

 

 

 

Economies of Scale

The Board considered whether economies of scale would be realized by CRM as the 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 noted that the Investment Advisory Agreement contains breakpoints that reduce the investment advisory fee rate paid by the 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 Fund grows larger. The Board also noted that expense subsidization, investment by CRM in proprietary research, and CRM’s commitment and resource allocation to the Fund may be relevant in considering the sharing of economies of scale, and that profitability also may be an indicator of the existence of any economies of scale. Accordingly, the Board concluded that economies of scale, if any, were being appropriately shared with the Fund.

Profitability

The Board considered the information provided by CRM regarding CRM’s profitability in relation to the Fund and considered the methodology used by CRM in preparing the profitability information. The Board reviewed the financial results of CRM in relation to the Fund for the year ended December 31, 2017 as well as the 2018 CRM operating budget. The Board considered CRM’s profit margins with respect to the Fund in comparison to the limited industry data available. The Board also considered information regarding compensation provided to CRM personnel as a percentage of CRM’s net revenue, and compared such information to the limited industry data available. The Board noted that the profitability of any adviser was affected by numerous factors, including its organizational structure, method for allocating expenses and the compensation to be paid to its employees, and, accordingly, acknowledged the limitations inherent in any comparison of adviser profitability information. The Board determined that, based on the information provided, the profit to CRM on the fees paid by the Fund 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 Fund. The Board considered how CRM uses “soft” commission dollars generated by the Fund to pay for research and brokerage services and the ways in which CRM conducts portfolio transactions for the Fund and selects brokers. The Board determined that any other benefits derived by CRM from managing the Fund were reasonable and reflected in the fees under the Investment Advisory Agreement.

General Conclusion

Based on the foregoing considerations, the Board, including all of the Independent Trustees voting separately, determined that the terms of the Investment Advisory Agreement, including the fees payable thereunder, are fair and reasonable, and voted to approve the continuance and renewal of the Investment Advisory Agreement.

 

           

39

 

LOGO

TRUSTEES

F. Gregory Ahern

Louis Ferrante, CFA, CPA

Rodney P. Wood

INVESTMENT ADVISER

Cramer Rosenthal McGlynn, LLC

520 Madison Avenue, 20th Floor

New York, NY 10022

DISTRIBUTOR

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

ADMINISTRATOR & TRANSFER AGENT

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

CUSTODIAN

The Bank of New York Mellon

240 Greenwich Street

New York, NY 10286

LEGAL COUNSEL

Morgan, Lewis & Bockius LLP

One Federal Street

Boston, MA 02110

Investor Information:

800-CRM-2883

www.crmfunds.com

This report is authorized for distribution only to shareholders and to others who have received the current prospectus.

LOGO

 

Item 2. Code of Ethics.

As of June 30, 2018, the Registrant has adopted a code of ethics that applies to the Registrant’s Principal Executive and Principal Financial Officers. For the fiscal year ended June 30, 2018, there were no amendments to a provision of its code of ethics, nor were there any waivers, including implicit waivers granted from a provision of the code of ethics. A copy of the Registrant’s code of ethics is filed with this Form N-CSR under Item 13(a)(1).

Item 3. Audit Committee Financial Expert.

The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its Trustees Committee. The audit committee financial expert serving on the Registrant’s Trustees Committee is Louis Ferrante, CFA, CPA, who is “independent,” as defined in Item 3(a)(2) of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Audit Fees

 

  (a)

The aggregate fees billed for professional services rendered by the 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 the fiscal years ended June 30, 2018 and 2017 were $205,955 and $224,505, respectively.

Audit-Related Fees

 

  (b)

The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for 2018, and $0 for 2017.

Tax Fees

 

  (c)

The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning during the fiscal years ended June 30, 2018 and 2017 were $53,861 and $51,521, respectively. [These fees related to services consisting of the review of U.S. federal income tax returns, annual excise distribution calculations, India tax compliance services and tax advisory services with regard to foreign equity securities.]

All Other Fees

 

  (d)

The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2018, and $0 for 2017.

 

  (e)(1)

The Trustees Committee of the Board of Trustees of the Registrant is required to pre-approve the engagement of independent accountants to (i) conduct the annual audit of the series of the Registrant (the “Funds”) and provide their opinion of the Funds’ financial statements, (ii) provide (a) any audit services to the Funds in addition to those described in clause (i) above and (b) non-audit services to the Funds, Cramer Rosenthal McGlynn, LLC (“CRM”) or any entity controlling, controlled by, or under common control with CRM that provides ongoing services to the Funds, if the engagement relates directly to the operations and financial reporting of the Funds. Accordingly, the Registrant’s Trustees Committee pre-approves all audit and non-audit services to be performed by the Registrant’s independent accountant before the accountant is engaged by the Registrant to perform such services.

 

  (e)(2)

There were no services described in paragraphs (b) through (d) of this Item (including services required to be approved by the Trustees Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X) that were approved by the Trustees Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

  (f)

Not Applicable

 

  (g)

The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years ended June 30, 2018 and 2017 were $0 and $0, respectively.

 

  (h)

The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

 

(a)

Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

 

(b)

Not applicable.

 

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

 

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

 

  (a)

The Registrant’s Principal Executive and Principal Financial Officers have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))) are effective based on the evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report.

 

  (b)

There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred

 

during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

 

  (a)(1)

Code of Ethics for the Registrant’s Principal Executive and Principal Financial Officers described in Item 2 is attached hereto.

 

  (a)(2)

Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.

 

  (a)(3)

Not applicable.

 

  (a)(4)

Not applicable.

 

  (b)

Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)    CRM Mutual Fund Trust                                                                                 

 

By (Signature and Title)*

   

/s/ Ronald H. McGlynn

  

Ronald H. McGlynn, President and Chief Executive Officer

  

(Principal Executive Officer)

Date September 7, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*

   

/s/ Ronald H. McGlynn

  

Ronald H. McGlynn, President and Chief Executive Officer

  

(Principal Executive Officer)

Date September 7, 2018

 

By (Signature and Title)*

   

/s/ Michelle Kaufmann

  

Michelle Kaufmann, Treasurer

  

(Principal Financial Officer)

Date September 7, 2018

* Print the name and title of each signing officer under his or her signature.