NQ 03312015 Combined Document

N-Q 1 nq03312015doc.htm N-Q FOR MARCH 31, 2015 NQ 03312015 Combined Document

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-00082

CGM TRUST

(Exact name of registrant as specified in charter)

One International Place, Boston, Massachusetts 02110

(Address of principal executive offices) (Zip code)

Barry N. Hurwitz, Esq.

Morgan, Lewis & Bockius LLP

One Federal Street

Boston, MA 02110

(Name and address of agent for service)

Registrant's telephone number, including area code: 1-617-737-3225

Date of fiscal year end: December 31, 2015

Date of reporting period: March 31, 2015

ITEM 1. SCHEDULE OF INVESTMENTS.

CGM MUTUAL FUND

SCHEDULE OF INVESTMENTS as of March 31, 2015 (unaudited) COMMON STOCKS — 73.3% OF TOTAL NET ASSETS

		Shares		Value (a)
Auto and Related - 1.6%
	CarMax, Inc. (b)	105,000		$	7,246,050

Banks - Money Center - 16.1%
	Bank of America Corporation	1,410,000		21,699,900
	Citigroup Inc.	500,000		25,760,000
	Morgan Stanley	710,000		25,339,900
				72,799,800
Basic Materials - 1.4%
	Martin Marietta Materials, Inc.	45,000		6,291,000

Financial Services - Miscellaneous - 2.9%
	Lazard Ltd MLP	130,000		6,836,700
	Santander Consumer USA Holdings Inc.	270,000		6,247,800
				13,084,500
Home Products - 2.7%
	Whirlpool Corporation	60,000		12,123,600

Housing and Building Materials - 22.4%
	D.R. Horton, Inc.	1,260,000		35,884,800
	Lennar Corporation	700,000		36,267,000
	Toll Brothers, Inc. (b)	750,000		29,505,000
				101,656,800
Leisure - 6.9%
	Norwegian Cruise Line Holdings Ltd. (b)	180,000		9,721,800
	Polaris Industries Inc.	154,000		21,729,400
				31,451,200
Retail - 5.7%
	Lowe's Companies, Inc.	75,000		5,579,250
	Signet Jewelers Limited	50,000		6,939,500
	The Home Depot, Inc.	115,000		13,065,150
				25,583,900
Textile and Apparel - 3.2%
	Hanesbrands Inc.	150,000		5,026,500
	PVH Corp.	90,000		9,590,400
				14,616,900
Vehicle Assembly - 10.4%
	Fiat Chrysler Automobiles N.V. (b)	1,060,000		17,288,600
	Ford Motor Company	630,000		10,168,200
	General Motors Company	525,000		19,687,500
				47,144,300
TOTAL COMMON STOCKS (Identified cost $290,469,646)				331,998,050

BONDS — 26.3% OF TOTAL NET ASSETS
United States Treasury — 26.3%		Face Amount

	United States Treasury Notes, 0.250%, 11/30/2015	$	15,000,000	15,003,510
	United States Treasury Notes, 0.375%, 08/31/2015	11,000,000		11,012,034
	United States Treasury Notes, 0.375%, 05/31/2016	14,500,000		14,504,524
	United States Treasury Notes, 0.375%, 10/31/2016	54,000,000		53,932,500
	United States Treasury Notes, 0.500%, 01/31/2017	25,000,000		25,001,950
TOTAL BONDS (Identified cost $119,334,327)				119,454,518

SHORT-TERM INVESTMENT — 0.2% OF TOTAL NET ASSETS
	Tri-party Repurchase Agreement with Fixed Income Clearing Corporation, dated 03/31/2015 at 0.00% to be repurchased at $860,000 on 04/01/2015 collateralized by $870,000 US Treasury Note, 1.75% due 02/28/2022 valued at $879,788 including interest. (Cost $860,000)(c)	860,000		860,000

TOTAL INVESTMENTS — 99.8% (Identified cost $410,663,973)(d)				452,312,568
	Cash and receivables			31,758,512
	Liabilities			(30,903,028		)
TOTAL NET ASSETS — 100.0%				$	453,168,052

(a) Security valuation — Equity securities are valued on the basis of valuations furnished by a pricing service, authorized by the Board of Trustees (the “Board”). Equity securities listed or regularly traded on a securities exchange or in the over-the-counter (“OTC”) market are valued at the last quoted sale price or, for certain markets, the official closing price at the time the valuations are made. A security that is listed or traded on more than one exchange is valued at the quotation on the exchange determined to be the primary market for such security. For securities with no sale reported, the last reported bid price is used. Corporate debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are valued on the basis of valuations furnished by a pricing service, authorized by the Board, which determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. United States government debt securities are valued at the current closing bid, as last reported by a pricing service approved by the Board. Short-term investments purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates value.

When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board. For example, when developments occur between the close of a market and the close of the NYSE that may materially affect the value of some or all of the securities, or when trading in a security is halted, these procedures may be used. The frequency with which these procedures are used is unpredictable. These valuation procedures may result in a change to a particular security’s assigned level within the fair value hierarchy described below. The value of securities used for net asset value (“NAV”) calculation under these procedures may differ from published prices for the same securities.

The Fund may use valuation techniques consistent with the market, income, and cost approach to measure fair value. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. The income approach uses valuation techniques to convert future amounts (cash flows, earnings) to a single present amount. The cost approach is based on the amount that currently would be required to replace the service capacity of an asset. To increase consistency and comparability in fair value measurements and related disclosure, the Fund utilizes a fair value hierarchy which prioritizes the various inputs to valuation techniques used to measure fair value into three broad levels:


•	Level 1 - Prices determined using: quoted prices in active markets for identical securities that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.


•	Level 2 - Prices determined using: other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment spreads, credit risk, etc.).

•

Level 3 - Prices determined using: significant unobservable inputs, including the Fund’s own assumptions and judgment in determining the fair value of investments. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund’s own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available in the circumstances. Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models rely on one or more significant unobservable inputs and/or significant assumptions by Capital Growth Management Limited Partnership, the Fund’s investment adviser (“CGM”). Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2015:



	Valuation Inputs
Classification	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
Investments in Securities-Assets
Common Stocks*	$	331,998,050	$—		$—
Debt Securities
United States Treasury Notes	—		119,454,518		—
Repurchase Agreement	—		860,000		—
Total	$	331,998,050	$	120,314,518	$—

* All common stocks held in the Fund are Level 1 securities. For a detailed break-out of common stocks by major industry classification, please refer to the Schedule of Investments.

(b) Non-income producing security.

(c) The Fund enters into repurchase agreements, under the terms of a Master Repurchase Agreement, secured by U.S. Government or Agency securities, which involve the purchase of securities from a counterparty with a simultaneous commitment to resell the securities at an agreed upon date and price. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements afford the Fund the opportunity to earn a return on temporarily available cash at minimal market risk. While the underlying security may be a bill, certificate of indebtedness, note or bond issued by an agency, authority or instrumentality of the U.S. Government, the obligation of the seller is not guaranteed by the U.S. Government and there is a risk that the seller may fail to repurchase the underlying security. Consequently, there may be possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. Upon an event of default under the Master Repurchase Agreement, the Fund would attempt to exercise its rights with respect to the underlying security, including taking possession of the cash and/or collateral provided by the seller. At March 31, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

(d) Federal Tax Information: At March 31, 2015, the net unrealized appreciation on investments based on cost of $411,579,095 for Federal income tax purposes was as follows:



Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	42,579,224
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value	(1,845,751		)
	$	40,733,473

The cost basis and unrealized appreciation/(depreciation) for the Schedule of Investments and tax purposes differ due to differing treatments of wash sale losses deferred.

MLP: Master Limited Partnership - A type of limited partnership that is publicly traded.

CGM REALTY FUND

SCHEDULE OF INVESTMENTS as of March 31, 2015 (unaudited) COMMON STOCKS — 99.1% OF TOTAL NET ASSETS

REAL ESTATE INVESTMENT TRUSTS — 15.1%		Shares		Value(a)

Lodging and Resorts - 11.5%
	Chesapeake Lodging Trust	609,900		$	20,632,917
	Pebblebrook Hotel Trust	515,000		23,983,550
	RLJ Lodging Trust	1,494,000		46,777,140
	Ryman Hospitality Properties, Inc.	875,100		53,302,341
				144,695,948
Self Storage - 3.6%
	Extra Space Storage Inc.	660,000		44,596,200

TOTAL REAL ESTATE INVESTMENT TRUSTS (Identified cost $147,338,907)				189,292,148

OTHER COMMON STOCKS — 84.0%

Banks - Money Center - 11.2%
	Citigroup Inc.	1,240,000		63,884,800
	Morgan Stanley	2,150,000		76,733,500
				140,618,300
Home Products - 5.2%
	Whirlpool Corporation	324,000		65,467,440

Hotels and Restaurants - 24.9%
	Choice Hotels International, Inc.	138,000		8,841,660
	Extended Stay America Inc Unit	420,000		8,202,600
	Hilton Worldwide Holdings Inc. (b)	2,250,000		66,645,000
	Hyatt Hotels Corporation (b)	480,000		28,425,600
	La Quinta Holdings Inc. (b)	650,000		15,392,000
	Marriott International, Inc.	820,000		65,862,400
	Starwood Hotels & Resorts Worldwide, Inc.	785,000		65,547,500
	Wyndham Worldwide Corporation	580,000		52,472,600
				311,389,360

Housing and Building Materials - 24.6%
	D.R. Horton, Inc.	2,850,000		81,168,000
	Lennar Corporation	1,870,000		96,884,700
	NVR, Inc. (b)	18,000		23,915,880
	PulteGroup, Inc.	1,220,000		27,120,600
	Toll Brothers, Inc. (b)	2,020,000		79,466,800
				308,555,980
Real Estate Services - 18.1%
	CBRE Group, Inc. (b)	1,945,000		75,290,950
	HFF, Inc.	350,000		13,139,000
	Jones Lang LaSalle Incorporated	680,000		115,872,000
	Marcus & Millichap, Inc. (b)	609,000		22,825,320
				227,127,270

TOTAL OTHER COMMON STOCKS (Identified cost $894,430,266)				1,053,158,350

TOTAL COMMON STOCKS (Identified cost $1,041,769,173)				1,242,450,498

SHORT-TERM INVESTMENT — 1.1% OF TOTAL NET ASSETS
	Tri-party Repurchase Agreement with Fixed Income Clearing Corporation, dated 03/31/2015 at 0.00% to be repurchased at $13,185,000 on 04/01/2015 collateralized by $13,300,000 US Treasury Note, 1.75% due 02/28/2022 valued at $13,449,625 including interest. (Cost $13,185,000)(c)	Face Amount
		$	13,185,000	13,185,000

TOTAL INVESTMENTS — 100.2% (Identified cost $1,054,954,173)(d)				1,255,635,498
	Cash and receivables			15,995,392
	Liabilities			(17,896,751		)
TOTAL NET ASSETS — 100.0%				$	1,253,734,139


•	Level 1 - Prices determined using: quoted prices in active markets for identical securities that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.


•	Level 2 - Prices determined using: other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment spreads, credit risk, etc.).

•



	Valuation Inputs
Classification	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
Investments in Securities-Assets
Common Stocks*	$	1,242,450,498	$—		$—
Debt Securities
Repurchase Agreement	—		13,185,000		—
Total	$	1,242,450,498	$	13,185,000	$—

* All common stocks held in the Fund are Level 1 securities. For a detailed break-out of common stocks by major industry classification, please refer to the Schedule of Investments.

(b) Non-income producing security.

(d) Federal Tax Information: At March 31, 2015, the net unrealized appreciation on investments based on cost of $1,057,737,832 for Federal income tax purposes was as follows:



Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	199,203,578
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value	(1,305,912		)
	$	197,897,666

The cost basis and unrealized appreciation/(depreciation) for the Schedule of Investments and tax purposes differ due to differing treatments of wash sale losses deferred.

Unit: Two securities that have been registered under the Securities Act of 1933, as amended (the “Securities Act”), which are publicly traded and listed on the New York Stock Exchange (the “NYSE”) as Paired Shares.

CGM FOCUS FUND

SCHEDULE OF INVESTMENTS as of March 31, 2015 (unaudited) COMMON STOCKS — 106.4% OF TOTAL NET ASSETS

		Shares		Value (a)
Banks - Money Center - 13.9%
	Citigroup Inc.	1,680,000		$	86,553,600
	Morgan Stanley (b)	2,550,000		91,009,500
				177,563,100
Basic Materials - 2.6%
	Martin Marietta Materials, Inc.	235,000		32,853,000

Electrical Equipment - 5.1%
	Acuity Brands, Inc.	385,000		64,741,600

Electronic Components - 12.8%
	Avago Technologies Limited	470,000		59,680,600
	NXP Semiconductors N.V. (c)	380,000		38,136,800
	Skyworks Solutions, Inc.	675,000		66,345,750
				164,163,150
Financial Services - Miscellaneous - 7.8%
	Lazard Ltd MLP	700,000		36,813,000
	Santander Consumer USA Holdings Inc.	1,385,000		32,048,900
	Springleaf Holdings, Inc. (c)	610,000		31,579,700
				100,441,600
Home Products - 3.6%
	Whirlpool Corporation	230,000		46,473,800

Housing and Building Materials - 29.6%
	D.R. Horton, Inc.	3,492,900		99,477,792
	Lennar Corporation (b)	3,400,000		176,154,000
	Toll Brothers, Inc. (c)	2,610,000		102,677,400
				378,309,192
Leisure - 7.2%
	Norwegian Cruise Line Holdings Ltd. (c)	430,000		23,224,300
	Polaris Industries Inc.	490,000		69,139,000
				92,363,300
Retail - 4.8%
	Lowe's Companies, Inc.	105,000		7,810,950
	The Home Depot, Inc.	475,000		53,964,750
				61,775,700
Textile and Apparel - 1.5%
	Hanesbrands Inc.	130,000		4,356,300
	PVH Corp.	135,000		14,385,600
				18,741,900
Vehicle Assembly - 17.5%
	Fiat Chrysler Automobiles N.V. (c)	5,320,000		86,769,200
	Ford Motor Company	4,000,000		64,560,000
	General Motors Company	1,940,000		72,750,000
				224,079,200

TOTAL COMMON STOCKS (Identified cost $1,154,805,805)				1,361,505,542

SHORT-TERM INVESTMENT — 0.6% OF TOTAL NET ASSETS
	Tri-party Repurchase Agreement with Fixed Income Clearing Corporation, dated 03/31/2015 at 0.00% to be repurchased at $7,000,000 on 04/01/2015 collateralized by $7,065,000 US Treasury Note, 1.75% due 02/28/2022 valued at $7,144,481 including interest. (Cost $7,000,000)(d)	Face Amount
		$	7,000,000	7,000,000
TOTAL INVESTMENTS — 107.0% (Identified cost $1,161,805,805)(e)				1,368,505,542
	Cash and receivables			294,613,968
	Liabilities			(383,797,091		)
TOTAL NET ASSETS — 100.0%				$	1,279,322,419

SECURITIES SOLD SHORT

BONDS — 25.7% OF TOTAL NET ASSETS

United States Treasury — 25.7%		Face Amount		Value(a)
	United States Treasury Bond, 2.750%, 08/15/2042	$	170,000,000	$	176,999,240
	United States Treasury Bond, 3.125%, 02/15/2043	80,000,000		89,362,480
	United States Treasury Bond, 3.750%, 11/15/2043	50,000,000		62,476,550
TOTAL BONDS (Proceeds $291,288,182)				328,838,270
TOTAL SECURITIES SOLD SHORT — 25.7%				$	328,838,270

(a) Security valuation — Equity securities are valued on the basis of valuations furnished by a pricing service, authorized by the Board of Trustees (the “Board”). Equity securities listed or regularly traded on a securities exchange or in the over-the-counter (“OTC”) market are valued at the last quoted sale price or, for certain markets, the official closing price at the time the valuations are made. A security that is listed or traded on more than one exchange is valued at the quotation on the exchange determined to be the primary market for such security. For securities with no sale reported, the last reported bid price is used for long positions and the last reported ask price for short positions. Corporate debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are valued on the basis of valuations furnished by a pricing service, authorized by the Board, which determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. United States government debt securities held long are valued at the current closing bid and if held short are valued at the current closing ask, as last reported by a pricing service approved by the Board. Short-term investments purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates value.


•	Level 1 - Prices determined using: quoted prices in active markets for identical securities that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.


•	Level 2 - Prices determined using: other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment spreads, credit risk, etc.).

•



	Valuation Inputs
Classification	Level 1 - Quoted Prices		Level 2 - Other Significant Observable Inputs		Level 3 - Significant Unobservable Inputs
Investments in Securities-Assets
Common Stocks*	$	1,361,505,542	$—		$—
Debt Securities
Repurchase Agreement	—		7,000,000		—
Total	$	1,361,505,542	$	7,000,000	$—

Investments in Securities-Liabilities
Debt Securities
United States Treasury	$—		$	328,838,270	$—
Total	$—		$	328,838,270	$—

* All common stocks held in the Fund are Level 1 securities. For a detailed break-out of common stocks by major industry classification, please refer to the Schedule of Investments.

(b) A portion of this security has been segregated as collateral in connection with short sale investments. The market value of securities held in a segregated account at March 31, 2015 was $211,267,000 and the value of cash held in a segregated account was $240,650,893.

(d) The Fund enters into repurchase agreements, under the terms of a Master Repurchase Agreement, secured by U.S. Government or Agency securities, which involve the purchase of securities from a counterparty with a simultaneous commitment to resell the securities at an agreed upon date and price. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements afford the Fund the opportunity to earn a return on temporarily available cash at minimal market risk. While the underlying security may be a bill, certificate of indebtedness, note or bond issued by an agency, authority or instrumentality of the U.S. Government, the obligation of the seller is not guaranteed by the U.S. Government and there is a risk that the seller may fail to repurchase the underlying security. Consequently, there may be possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. Upon an event of default under the Master Repurchase Agreement, the Fund would attempt to exercise its rights with respect to the underlying security, including taking possession of the cash and/or collateral provided by the seller. At March 31, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

(e) Federal Tax Information: At March 31, 2015, the net unrealized appreciation on investments held long, based on cost of $1,172,532,227 for Federal income tax purposes was as follows:



Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	207,318,701
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value	(11,345,386		)
	$	195,973,315

The cost basis and unrealized appreciation/(depreciation) for the Schedule of Investments and tax purposes differ due to differing treatments of wash sale losses deferred.

MLP: Master Limited Partnership - A type of limited partnership that is publicly traded.

ITEM 2. CONTROLS AND PROCEDURES.

(a) Based on their evaluation of the CGM Trust’s disclosure controls and procedures within 90 days of the filing of this Form N-Q, the principal executive officer and principal financial officer of CGM Trust have concluded that the CGM Trust’s disclosure controls and procedures are effective to provide reasonable assurance that information required to be disclosed by the CGM Trust on Form N-Q is recorded, processed, summarized and reported within the time periods specified in Securities and Exchange Commission rules and forms.

b) There were no changes in CGM Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the CGM Trust's last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the CGM Trust’s internal control over financial reporting.

ITEM 3. EXHIBITS.

Separate certifications by the registrant's principal executive officer and principal financial officer, pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, are filed and attached hereto as EX99_CERT.

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.

CGM Trust

By: /S/ David C. Fietze

David C. Fietze

President

Principal Executive Officer

Date: May 14, 2015

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: /S/ David C. Fietze

David C. Fietze

President

Principal Executive Officer

Date: May 14, 2015

By: /S/ Jem A. Hudgins

Jem A. Hudgins

CFO & Treasurer

Principal Financial Officer

Date: May 14, 2015