CGM Mutual Fund. 338th Quarterly Report September 30, A No-Load Fund INVESTMENT ADVISER

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1 INVESTMENT ADVISER CAPITAL GROWTH MANAGEMENT LIMITED PARTNERSHIP Boston, Massachusetts TRANSFER AND DIVIDEND PAYING AGENT AND CUSTODIAN OF ASSETS STATE STREET BANK AND TRUST COMPANY Boston, Massachusetts SHAREHOLDER SERVICING AGENT FOR STATE STREET BANK AND TRUST COMPANY BOSTON FINANCIAL DATA SERVICES, INC. P.O. Box 8511 Boston, Massachusetts CGM Mutual Fund 338th Quarterly Report September 30, 2014 A No-Load Fund This report has been prepared for the shareholders of the Fund and is not authorized for distribution to current or prospective investors in the Fund unless it is accompanied or preceded by a prospectus. MQR314 Printed in U.S.A. Investment Adviser Capital Growth Management Limited Partnership

2 To Our Shareholders: CGM Mutual Fund declined -1.4% during the third quarter of 2014 compared to a return of 1.1% for the Standard and Poor s 500 Index ( S&P 500 Index ) and 0.2% for the Bank of America Merrill Lynch U.S. Corporate, Government and Mortgage Bond Index. Year-to-date, CGM Mutual Fund returned -0.3%; the S&P 500 Index, 8.3%; and the Bank of America Merrill Lynch U.S. Corporate, Government and Mortgage Bond Index, 4.4%. Strong economic growth nearly across the board in the third quarter of 2014 put to bed any of last spring s lingering fears of a slowdown on the horizon. Good news came early with June job numbers released on July 3 indicating a net hire of 288,000 employees which outpaced the previous two months by 29,000 positions and brought the unemployment rate down to 6.1%. July s new hires came in at a slightly lower than expected 209,000 and though the economy only added 142,000 new jobs in August, the unemployment rate remained at 6.1%. The August employment number was somewhat lower than expected given a host of other positive indicators. In addition to new hires, the Bureau of Labor Statistics announced 4.67 million job openings in June, the highest number since 2001 and double the number of March Openings declined slightly in July, but rose again in August to 4.84 million new positions tracked by the Labor Department in its Job Opening and Labor Turnover Survey. The housing market is a major economic driver and rising housing starts are typically a good barometer of improving conditions. Housing starts shot up 15.7% in July with single family home starts up 8.3% from the month before. Existing home sales rose 2.4% in July to a seasonally adjusted rate of 5.15 million units though sales dipped modestly in August to a rate of 5.05 million. New home sales on the other hand, climbed 18% in August outpacing monthly sales since May of The June Consumer Price Index released in mid-july was up 0.3% though the core CPI rose only 0.1% for a year-over-year core change of 1.9%, just under the Federal Reserve Board s target level of 2.0%. In July, the CPI ticked up 0.1% and in August, declining energy prices nudged the CPI down by -0.2%. This number is a critical gauge of the Federal Reserve Board s efforts to stimulate the economy without spurring excessive inflation. The Fed met on July 30 and announced economic activity had rebounded in the second quarter and labor market conditions improved with the unemployment rate declining further. Once again, the Fed voted to reduce its quantitative easing bond buying program, this time to $25 billion per month, down $10 billion from the previous meeting and down $60 billion from the program s high. Nonetheless, in a statement issued on September 17, the Fed indicated it will maintain lower interest rates for a considerable time disappointing some investors who expected the more open-ended wording would disappear in light of the improving labor market. Ten-year U.S. Treasury securities traded within a small range during the third quarter of the year. On June 30, the yield was 2.53%, dropping to 2.39% in mid August and ending the quarter on September 30 at 2.48%. Fed intervention notwithstanding, we are surprised rates have remained so low given the surge in economic activity. A possible explanation may lie overseas where China reported unprecedented purchases of U.S. Treasuries, at the fastest pace in 30 years when recordkeeping began. China has purchased $107 billion in U.S. Treasury securities thus far this year for a total holding of $1.27 trillion. The U.S. equity market, as measured by the S&P 500 Index, rose slightly over most of the month of July. In late July, it sank, rose again at the beginning of August

3 and bottomed out less than a week later for a total decline of roughly 4% between July 24 and August 7. The market abruptly rebounded and when all was said and done, the S&P 500 Index was up 3.8% for the month of August, its most dramatic monthly gain since the year The market continued to rally through September 18 when the S&P 500 Index closed at yet a new record high. Market choppiness then set in and the Index ended September underwater for the month, though up for the quarter. For the most part, an improved domestic economy during the quarter seemed to trump geopolitical uncertainty that ranged from fighting in Israel and Russian troops poised on the Ukrainian border to the atrocities and conquests of the Islamic State of Iraq and Syria (ISIS) and in late September, to pro-democracy demonstrations in Hong Kong. The estimated earnings for the S&P 500 Index for 2015 are $128 per share which places the Index at 15.4 times earnings which, in our view, is not excessively high, especially in light of little competition from interest rates. CGM Mutual Fund was 26.7% invested in short-term government securities at quarter end. The three major industries in the equity portion of the portfolio were housing and building materials, health care services and money center banks. The three largest equity positions were the Lennar Corporation (housing and building materials), Citigroup Inc. (money center bank) and D.R. Horton, Inc. (housing and building materials). INVESTMENT PERFORMANCE (unaudited) Total Return for Periods Ended September 30, 2014 The Fund s The Fund s Average Cumulative Annual Total Return Total Return 10 Years % +7.0% 5 Years Year Months The performance data contained in the report represent past performance, which is no guarantee of future results. The table above does not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares and assumes the reinvestment of all Fund distributions. The investment return and the principal value of an investment in the Fund will fluctuate so that investors shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. October 1, 2014 Robert L. Kemp President

4 SCHEDULE OF INVESTMENTS as of September 30, 2014 (unaudited) COMMON STOCKS 73.0% OF TOTAL NET ASSETS Shares Value(a) Banks - Money Center 11.5% Citigroup Inc ,000 $ 25,910,000 Morgan Stanley ,000 24,544,700 50,454,700 Biotechnology 5.1% Gilead Sciences, Inc. (b) ,000 22,354,500 Electronic Components 9.9% Avago Technologies Limited... 80,000 6,960,000 Micron Technology, Inc. (b) ,500 13,926,690 SanDisk Corporation ,000 22,528,500 43,415,190 Health Care Services 13.4% HCA Holdings, Inc. (b) ,000 23,271,600 Tenet Healthcare Corporation (b) ,000 20,786,500 Universal Health Services, Inc ,000 14,630,000 58,688,100 Hotels and Restaurants 1.1% Hilton Worldwide Holdings Inc. (b) ,000 4,926,000 Housing and Building Materials 17.4% D.R. Horton, Inc.... 1,260,000 25,855,200 Lennar Corporation ,000 27,181,000 Toll Brothers, Inc. (b) ,000 23,370,000 76,406,200 Insurance 4.0% MetLife, Inc ,000 6,983,600 Prudential Financial, Inc ,000 10,552,800 17,536,400 Leisure 5.1% Polaris Industries Inc ,000 22,318,710

5 SCHEDULE OF INVESTMENTS as of September 30, 2014 (continued) (unaudited) COMMON STOCKS (continued) Shares Value(a) Retail 5.5% Foot Locker, Inc ,000 $ 12,243,000 Signet Jewelers Limited ,000 11,960,550 24,203,550 TOTAL COMMON STOCKS (Identified cost $301,148,573) ,303,350 BONDS 26.7% OF TOTAL NET ASSETS Face Amount United States Treasury 26.7% United States Treasury Notes, 0.250%, 10/31/ $ 4,500,000 4,500,702 United States Treasury Notes, 0.250%, 11/30/ ,500,000 44,513,884 United States Treasury Notes, 0.250%, 03/31/ ,500,000 27,526,868 United States Treasury Notes, 0.250%, 11/30/ ,000,000 15,009,375 United States Treasury Notes, 0.375%, 08/31/ ,000,000 11,027,929 United States Treasury Notes, 0.375%, 05/31/ ,500,000 14,485,268 TOTAL BONDS (Identified cost $116,982,674) ,064,026 SHORT-TERM INVESTMENT 0.3% OF TOTAL NET ASSETS Tri-party Repurchase Agreement with Fixed Income Clearing Corporation, dated 09/30/2014 at 0.00% to be repurchased at $1,280,000 on 10/01/2014 collateralized by $1,375,000 US Treasury Note, 1.625% due 08/15/2022 valued at $1,309,688 including interest. (Cost $1,280,000)... 1,280,000 1,280,000 TOTAL INVESTMENTS 100.0% (Identified cost $419,411,247)(c) ,647,376 Cash and receivables... 1,076,370 Liabilities... (1,132,414) TOTAL NET ASSETS 100.0%... $ 438,591,332

6 (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

7 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 September 30, 2014: Valuation Inputs Level 3 - Level 2 - Significant Level 1 - Other Significant Unobservable Classification Quoted Prices Observable Inputs Inputs Investments in Securities-Assets Common Stocks* $320,303,350 $ $ Debt Securities United States Treasury Notes 117,064,026 Repurchase Agreement 1,280,000 Total $320,303,350 $118,344,026 $ * 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) Federal Tax Information: At September 30, 2014, the net unrealized appreciation on investments, based on cost of $419,578,728 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... $ 24,064,551 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value... (4,995,903) $ 19,068,648 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.

8 TELEPHONE NUMBERS For information about: Account Procedures Redemptions Exchanges Call New Account Procedures and Status Prospectuses Performance Proxy Voting Policies and Voting Records Complete Schedule of Portfolio Holdings for the 1st and 3rd Quarters (as filed on Form N-Q) Call Proxy voting policies also appear in the Fund s Statement of Additional Information, which can be found on the CGM Fund s website, and the SEC s website, The voting records can also be found on the SEC s website on the Fund s Form N-PX filing. The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund s Forms N-Q are available on the SEC s website at and may be reviewed and copied at the SEC s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC MAILING ADDRESS CGM Shareholder Services c/o Boston Financial Data Services P.O. Box 8511 Boston, MA WEBSITE